Early warning indicators of banking crisis and bank related stock returns
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sohn, Bumjean | - |
dc.contributor.author | Park, Heungju | - |
dc.date.accessioned | 2021-09-03T21:38:18Z | - |
dc.date.available | 2021-09-03T21:38:18Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2016-08 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/88009 | - |
dc.description.abstract | This study examines whether early warning indicators of banking crisis can predict the U.S. bank related stock returns in credit tightening periods. We use the credit-to-GDP gap and the credit growth as the early warning indicators of banking crisis. Using bank stock returns and stock returns of bank dependent firms, we find the credit growth forecasts both of the bank related stock returns better than the credit-to-GDP gap in periods of tightened credit conditions. Our results suggest that the credit growth is more informative in predicting bank sector crisis than the credit-to-GDP gap. (C) 2016 Elsevier Inc. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.subject | CREDIT CYCLES | - |
dc.title | Early warning indicators of banking crisis and bank related stock returns | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Sohn, Bumjean | - |
dc.identifier.doi | 10.1016/j.frl.2016.04.016 | - |
dc.identifier.scopusid | 2-s2.0-84965148367 | - |
dc.identifier.wosid | 000384397000021 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.18, pp.193 - 198 | - |
dc.relation.isPartOf | FINANCE RESEARCH LETTERS | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 18 | - |
dc.citation.startPage | 193 | - |
dc.citation.endPage | 198 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | CREDIT CYCLES | - |
dc.subject.keywordAuthor | Credit cycles | - |
dc.subject.keywordAuthor | Banks | - |
dc.subject.keywordAuthor | Bank dependent firms | - |
dc.subject.keywordAuthor | Stock return predictability | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.