What determines return risks for bank equities in Turkey?

Ozsoz, Emre (2011): What determines return risks for bank equities in Turkey?

Abstract

By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity composition of a bank’s loans, the share of trading income in a banks’ overall revenue stream and foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of bank’s overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.

• Item Type: MPRA Paper
• Language: English
• Keywords: Commercial banks, risk, Turkish Banks
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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