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Estimating the Cost of Equity Capital of the Banking Sector in the Eurozone
Högskolan Väst, Institutionen för ekonomi och it, Avd för juridik, ekonomi, statistik och politik.ORCID-id: 0000-0002-5176-9253
2015 (Engelska)Ingår i: Journal of Applied Finance and Banking, ISSN 1792-6580, E-ISSN 1792-6599, Vol. 5, nr 6, s. 69-96Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

The objectives of this paper are, first, to estimate the long-run cost of equity capital for the banking sector using data from the Eurozone, US, UK, Sweden and Switzerland for the period 1999-2014. Our inference differs from that of previous studies because we employ a dynamic panel GMM model with a fixed effect and a multi-factor asset pricing framework to explain the variation of the cost of equity capital across banks in terms of risk-factors including, bank size, leverage, business cycle and regulations. Second, this model analyzes whether the cost of equity of banks in Eurozone differs from banks’ cost of equity in the U.S. Our findings show that the multi-factor asset pricing framework does provide a robust explanation of the cost of equity for banking sector. Our findings are consistent with those of IIF (2011) in that a higher leverage ratio, an increase in capital requirement and regulation resulting in an increase of the cost of equity in the banking sector. However, the pattern, sign, size, and significance of these factors vary widely between the Eurozone and the US

Ort, förlag, år, upplaga, sidor
2015. Vol. 5, nr 6, s. 69-96
Nyckelord [en]
: Cost of equity, GMM, regulations, Leverage and capital requirement
Nationell ämneskategori
Nationalekonomi
Forskningsämne
SAMHÄLLSVETENSKAP, Nationalekonomi
Identifikatorer
URN: urn:nbn:se:hv:diva-8762OAI: oai:DiVA.org:hv-8762DiVA, id: diva2:877508
Tillgänglig från: 2015-12-07 Skapad: 2015-12-07 Senast uppdaterad: 2019-05-14Bibliografiskt granskad

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