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Accounting and Capital Market Measures of Risk: Evidence from Asian Banks during 1998-2003

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dc.contributor.authorAgusman
dc.contributor.authorMonroe, Gary
dc.contributor.authorGasbarro, Domenico
dc.contributor.authorZumwalt, James K
dc.date.accessioned2015-12-07T22:16:52Z
dc.date.issued2008
dc.date.updated2015-12-07T07:57:57Z
dc.description.abstractThis study examines the relation between accounting and capital market risk measures for a sample of 46 listed Asian banks 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.
dc.identifier.issn0378-4266
dc.identifier.urihttp://hdl.handle.net/1885/18242
dc.publisherElsevier
dc.sourceJournal of Banking and Finance
dc.subjectKeywords: Accounting measures of risk; Asian banks; Capital market measures of risk; Non-systematic risk; Systematic risk; Total return risk
dc.titleAccounting and Capital Market Measures of Risk: Evidence from Asian Banks during 1998-2003
dc.typeJournal article
local.bibliographicCitation.issue4
local.bibliographicCitation.lastpage488
local.bibliographicCitation.startpage480
local.contributor.affiliationAgusman, ., College of Business and Economics, ANU
local.contributor.affiliationMonroe, Gary, College of Business and Economics, ANU
local.contributor.affiliationGasbarro, Domenico, Murdoch University
local.contributor.affiliationZumwalt, James K, University of Western Australia
local.contributor.authoruidAgusman, ., u3982776
local.contributor.authoruidMonroe, Gary, u4044323
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150203 - Financial Institutions (incl. Banking)
local.identifier.absfor150205 - Investment and Risk Management
local.identifier.absfor150104 - International Accounting
local.identifier.ariespublicationu9900263xPUB3
local.identifier.citationvolume32
local.identifier.doi10.1016/j.jbankfin.2006.06.018
local.identifier.scopusID2-s2.0-41149149310
local.identifier.thomsonID000255675600003
local.type.statusPublished Version

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