Series: IMF Working Papers
Author(s): Sonali Das , and Amadou Sy
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2012
Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General
We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...