期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2021
卷号：16
期号：1
页码：19-34
DOI：10.5539/ijbm.v16n1p19
出版社：Canadian Center of Science and Education
摘要：Which factors determine the systematic risk of European banks? The issue is very important for regulators and decision-makers in financial markets. This study follows the Beaver, Kettler and Scholes (1970)’s pioneering approach, which estimates true betas of not-financial firms by correcting the observed market betas through the fundamental financial/accounting ratios that better explain the systematic risk. By extending this approach to commercial banks, the fundamental betas of a sample of more than 100 European banks in 2006-2015 period, are empirically estimated. The emerging findings show that size, diversification, derivatives, and TEXAS ratio increase the systematic risk of banks and that the risk weighting of assets, based on Basel framework, does not correctly catch the bank risks (as perceived by the market), since it influences negatively their beta. This evidence weakens the dominant belief among European supervisory institutions and governments that growing up through M&As is the panacea for European banks.
关键词：drivers of systematic risk;fundamental beta;European banks;Basel rules
