بازار سهام چگونه تنوع بخشی بانک را ارزش گذاری می کند؟ شواهد تجربی از بانک های ژاپنی

This paper empirically examines the effect of banks' revenue diversification across different activities on the stock-based return and risk measures using data on the Japanese banking sector. In our analyses, we use non-interest income share as a measure for revenue diversification. These analyses indicate that revenue diversification positively affects bank market value but provide no evidence that it reduce bank risks. By contrast, when non-interest income is divided into its constituent parts—fee income, trading income, and other non-interest income—we find that a shift towards fee income-generating business decreases all types of risks (systematic risk, idiosyncratic risk, and total risk). Furthermore, we find that revenue diversification affects bank value and risk differently depending on particular bank characteristics, such as organizational form and traditional banking business performance.

In the last two decades, many banks have implemented a policy of diversification across various activities (e.g., commercial banking, securities underwriting, insurance, brokerage, and fiduciary services) as a result of global deregulation, technological changes, and developments in product markets. Given this trend, the question of focus versus diversification in the banking industry has gained in importance for bank managers, shareholders, regulators, and financial economists. Although a number of studies have attempted to shed light on the effect of diversification on bank performance, they have provided mixed results. For example, Baele et al. (2007) demonstrate that diversification increases the franchise values and decreases idiosyncratic risks among European banks, but Laeven and Levine (2007) find a diversification discount in financial conglomerates based on cross-country data. Moreover, Stiroh and Rumble (2006) show that, although U.S. financial holding companies can benefit from diversification, these benefits are offset by an increase in exposure to highly volatile non-interest income business.

This paper empirically investigates whether banks actually derive benefit from revenue diversification across different activities. Specifically, we examine the effects of bank's revenue diversification on firm value and risk based on stock market data, by using non-interest income share as a measure for revenue diversification. Our analyses focus on the Japanese banking sector, which is well known as a bank-centered financial system. This paper also explores the possibility that particular bank characteristics such as organizational form and performance in traditional banking activities affect the relationship between revenue diversification and bank value or risk.