Basel risk weights, asset correlations, and book-to-market equity: evidence from Asian countries
Data(s) |
02/12/2014
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Resumo |
We examine the effect of firm book-to-market equity values (BE/ME) on asset correlations which play an important role in determining risk weights under the current Basel capital requirements. Using firms in China, Hong Kong, Japan, Korea, Singapore and Taiwan over a sample period from 1988 to 2013, we find that BE/ME has a negative effect on asset correlations. This suggests a role for BE/ME as an additional factor in determining asset correlations, and thus risk weights, also potentially reducing incentives for regulatory capital arbitrage. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Financial Services Institute of Australasia (Finsia) |
Relação |
http://dro.deakin.edu.au/eserv/DU:30068889/lin-baselriskweights-2014.pdf http://dro.deakin.edu.au/eserv/DU:30068889/lin-baselriskweights-evid-2014.pdf |
Direitos |
2014, Financial Services Institute of Australasia (FINSIA) |
Tipo |
Journal Article |