教師資料查詢 | 類別: 會議論文 | 教師: 黃國睿HUANG, KUO-JUI (瀏覽個人網頁)

標題:Capital: Sources of pre- and post-crisis performance and risk-taking
學年110
學期2
發表日期2022/06/17
作品名稱Capital: Sources of pre- and post-crisis performance and risk-taking
作品名稱(其他語言)
著者Meng-Wen Wu; Chung-Hua Shen; Kuo-Jui Huang
作品所屬單位
出版者
會議名稱2022臺灣財務金融學會年會暨國際研討會
會議地點新竹市,台灣
摘要Bank capital has been an important factor in protecting banks from large, unexpected negative shocks. As the 2008 financial crisis showed, some banks with a high capital adequacy ratio perform worse during a crisis, and thus Basel III has added the leverage ratio as a supplementary measurement. This study is the first to combine the two capital ratios to examine how the capital of banks in general affects their performance during the shock of a financial crisis, hence filling the gap in the literature on either CAR or LR, and verifying the effectiveness of the concept of Basel III. We classify banks into two types, weak-capital banks and strong-capital banks, and then compare their performance during the pre-crisis and crisis periods (2004-2009). Using 3,884 listed and non-listed banks across 34 OECD countries for the pre-crisis and crisis periods (2004-2009), we find during the crisis that weak-capital banks suffer more losses in terms of low ROE, ROA, non-interest income, and stock returns, and have higher risks in terms of insolvency and ROA volatility than do strong-capital banks. However, during the pre-crisis period, the former outperforms the latter and still exhibits higher risk. We argue that the different capital conditions may imply the excessive risk taking and different risk attitudes, thereby causing diverse results during the pre-crisis and crisis periods and implying the validity of regulation of the dual capital ratios.
關鍵字Capital adequacy ratio;Leverage ratio;Financial crisis;Basel III
語言英文(美國)
收錄於
會議性質國內
校內研討會地點
研討會時間20220617~20220618
通訊作者Kuo-Jui Huang
國別中華民國
公開徵稿
出版型式
出處
SDGs
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