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Accounting and capital market measures of risk: Evidence from Asian banks during 1998–2003

Agusman, A., Monroe, G.S., Gasbarro, D. and Zumwalt, J.K. (2008) Accounting and capital market measures of risk: Evidence from Asian banks during 1998–2003. Journal of Banking & Finance, 32 (4). pp. 480-488.

Link to Published Version: http://dx.doi.org/10.1016/j.jbankfin.2006.06.018
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Abstract

This study examines the relation between accounting and capital market risk measures for a sample of 46 listed Asianbanks during the period 1998–2003. By applying a panel data analysis that includes a control for country-specific factors, the results show that the standard deviation of the return-on-assets and loan-loss-reserves-to-gross-loans are significantly related to total risk. Also gross-loans-to-total-assets and loan-loss-reserves-to-gross-loans are significantly related to non-systematic risk. These results indicate that in these Asian countries, firm-specific risk is more important than systematic risk and the results are robust even though significant differences exist across Asian countries in banking activities, capital adequacy requirements, and deposit insurance protection.

Publication Type: Journal Article
Murdoch Affiliation: Murdoch Business School
Publisher: Elsevier BV
Copyright: 2008 Elsevier BV
URI: http://researchrepository.murdoch.edu.au/id/eprint/8904
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