Accrual Effect on Optimal Bank Interest Margin and Default Risk in Equity Return
學年 101
學期 2
出版（發表）日期 2013-07-01
作品名稱 Accrual Effect on Optimal Bank Interest Margin and Default Risk in Equity Return
作品名稱（其他語言）
著者 Lin, Jyh Horng; Hung, Wei Ming; Jou, Rosemary
單位 淡江大學國際企業學系
出版者 Kumamoto: ICIC International
著錄名稱、卷期、頁數 ICIC Express Letters: An International Journal of Research and Surveys 7(7), pp.2093-2098
摘要 Most studies in literature focus on using information contained in accounting accruals about earnings quality to predict equity returns. However, these have been little evidence using accounting accrual information with bank spread behavior to predict bank default risk in equity returns. To fill this gap, this paper proposes a Merton-Type banking firm model to determine the optimal bank interest margin, explicitly incorporating information about accounting accruals in the return to retail banking environment. We show that an increase in the optimal bank interest margin accompanied by higher accruals suggests lower default risk in equity returns.
關鍵字 Accounting accrual; Bank interest margin; Equity quality; Default risk
語言 en_US
ISSN 1881-803X
期刊性質 國外
收錄於 EI
產學合作
通訊作者
審稿制度 是
國別 JPN
公開徵稿
出版型式 電子版
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