دانلود مقاله ISI انگلیسی شماره 14710
عنوان فارسی مقاله

مواجهه پرتفوی بانک ها با بازارهای در حال ظهور و اثرات آن بر ارزش بازار بانکی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
14710 2006 24 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Bank portfolio exposure to emerging markets and its effects on bank market value
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 30, Issue 4, April 2006, Pages 1103–1126

کلمات کلیدی
- بحران های بازار در حال ظهور - ارزش بانک - اطلاعات بدهی -
پیش نمایش مقاله
پیش نمایش مقاله مواجهه پرتفوی بانک ها با بازارهای در حال ظهور و اثرات آن بر ارزش بازار بانکی

چکیده انگلیسی

This study estimates a model of banking company equity returns taking into consideration book value and market value measures of their exposure to emerging markets debt. In this estimation, general systematic market factors, such as the rate of return on the S&P500 stock index and yields on a constant maturity 5-year Treasury note, are held constant such that the exposure variables are accounting for effects due to banks’ exposure to emerging market debt. The results, although not uniform among banking companies, support the hypothesis that the extent of exposure to emerging market debt are factored into the valuation of banking company equity contemporaneously. The inclusion of a market value indicator adds to the explanation of equity returns of some banks. It is also clear that knowing the extent of the exposure on a book value basis is important information alone that may allow investors to take account of or evaluate the effects of changes in banking company equity valuation from LDC debt exposures. We also perform an event study for three major debt crises to determine whether the market recognizes the effects of these events on bank valuation. The event study results show that there is little information from identifying the time period of the crises on banking company equity returns. Explanations for this are that the information of these possible crises has been embedded in bank changes in exposure and that the market valuation of the emerging market debt is already accounted for by our model.

مقدمه انگلیسی

Large US banks have been heavily exposed to debt from emerging countries. As these countries have encountered serious financial problems, the value of emerging country debt has decreased, with a potential negative impact upon banks. This paper addresses the issue of whether the market, through the equity price of the banks, fully values these debt valuation changes. Crucial to the analysis is whether the information about individual country debt holdings of large US banks is sufficiently transparent so that it can be recognized by investors. Market participants may only be aware of the total foreign debt exposure of the banks, but not the exposure from individual countries. The extent of general knowledge about country exposure will affect the degree to which changes in the value of country debt is reflected in the value of bank equity. This paper examines whether country debt valuation is reflected in bank stock prices overall and during the periods of financial crises.

نتیجه گیری انگلیسی

This study estimates a 3SLS model of banking company equity returns taking into consideration book value and market value measures of their exposure to emerging markets debt. The 3SLS model is used to account for the interrelationships among banking companies in the study and found that this approach gave more consistent estimates than OLS for each bank. In this estimation, general systematic market factors, such as the rate of return on the S&P500 stock index and yields on constant maturity 5-year Treasury note, are held constant such that the exposure variables are accounting for effects arising from emerging market debt conditions. The results, although not uniform among banking companies, support the hypothesis that the extent of exposure to emerging market debt is factored into the valuation of banking company equity contemporaneously. Furthermore, the inclusion of a market value indicator of this debt exposure provides some additional explanatory power of changes in equity returns for some banks. It is also clear that knowing the extent of the exposure on a book value basis is important information alone that may allow investors to take account of or evaluate the effects of changes in banking company equity valuation from LDC debt exposures. These results provide limited support for the contention that securitizing emerging market debt and having the financial markets value it provides liquidity for this debt and valuable information to all market participants.

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