Reassessment of diversification effects on market values of banks
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
The effects of income diversification of banks on various risk-adjusted market value measures are reassessed by applying quantile regressions on U.S. bank holding company data from 2000–2010. An indirect effect from a diversified income structure and a direct effect from an increased non-interest income share jointly determine the net effect of income diversification. The first main empirical finding shows a significant discount for the banks in the upper quantiles of the risk-adjusted market value distributions. Second, the net diversification effects change over time. These findings are consistent with the view that the diversification discount reflects an opportunity cost in adjusting a dynamic value-maximizing strategy.
Abstract
The effects of income diversification of banks on various risk-adjusted market value measures are reassessed by applying quantile regressions on U.S. bank holding company data from 2000–2010. An indirect effect from a diversified income structure and a direct effect from an increased non-interest income share jointly determine the net effect of income diversification. The first main empirical finding shows a significant discount for the banks in the upper quantiles of the risk-adjusted market value distributions. Second, the net diversification effects change over time. These findings are consistent with the view that the diversification discount reflects an opportunity cost in adjusting a dynamic value-maximizing strategy.
참고문헌 (19)
- Berger, A., "The dominance of inefficiencies over scale and product mix economies in banking", Journal of Monetary Economics, 28, pp.117~148 (1991)
- Campa, J., "Explaining the diversification discount", Journal of Finance, 57, pp.1731~1762 (2002)
- Diamond, D., "Monitoring and reputation : the choice between bank loans and directly placed debt", Journal of Political Economy, 99, pp.689~721 (1991)
- Drucker, S., "On the benefits of concurrent lending and underwriting", Journal of Finance, 60, pp.2763~2799 (2005)
- Elsas, R., "The anatomy of bank diversification", Journal of Banking and Finance, 34, pp.1274~1287 (2010)
- Ferrier, G., "Economies of diversification in the banking industry : a frontier approach", Journal of Monetary Economics, 31, pp.229~249 (1993)
- Goetz, M, "Identifying the valuation effects and agency costs of corporate diversification: Evidence from the geographic diversification of U.S. banks", Review of Financial Studies, 26, pp.1787~1823 (2013)
- Goldberg, L., "Understanding banking sector globalization", International Monetary Fund Staff Papers, 56, pp.171~197 (2009)
- Hausman, J., "Specification tests in econometrics", Econometrica, 46, pp.1251~1271 (1978)
- Jayaratne, J., "The finance-growth nexus : Evidence from bank branch deregulation", Quarterly Journal of Economics, 111, pp.639~670 (1996)
- Koenker, R., "Regression quantiles", Econometrica, 46, pp.33~50 (1978)
- Laeven, L., "Is there a diversification discount in financial conglomerates?", Journal of Financial Economics, 85, pp.331~367 (2007)
- Machado, J., "QREG2 : Stata module to perform quantile regression with robust and clustered standard errors", Statistical Software Component S457369, ~ (2011)
- Maksimovic, V., "Do conglomerate firms allocate resources inefficiently across industries? Theory and evidence", Journal of Finance, 57, pp.721~767 (2002)
- Matsusaka, J., "Corporate diversification, value maximization, and organizational capabilities", Journal of Business, 74, pp.409~431 (2001)
- Morgan, D., "Bank integration and state business cycles", Quarterly Journal of Economics, 119, pp.1555~1585 (2004)
- Rajan, R., "Insiders and outsiders: The choice between informed and arm’s-length debt", Journal of Finance, 47, pp.1367~1400 (1992)
- Stiroh, K, "Diversification in banking: Is noninterest income the answer?", Journal of Money, Credit and Banking, 36, pp.853~882 (2004)
- Stiroh, K., "The dark side of diversification : The case of US financial holding companies", Journal of Banking and Finance, 30, pp.2131~2161 (2006)