The determinants of bank cost of capital: taking into account measures of opaqueness and external support
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Επενδύσεις κεφαλαίου -- Κόστος ; Τράπεζες και τραπεζικές εργασίες ; Πιστωτικά ιδρύματα -- Κεφαλαιακή επάρκεια ; Τραπεζικές καταθέσεις ; Credit ratingsAbstract
The purpose of this work is to determine how does bank opacity and implicit or explicit external support may affect the bank cost of capital. The major difficulty in the valuation process comes from the fact that banks are, by nature, opaque organisms. Moreover, regional governments are able to intervene in difficult times to rescue a bank providing the necessary liquidity. Similarly, rescue may come from a corporate partner such as a mother-company. The present work, following previous literature, uses the disagreement between credit rating agencies as a proxy for bank opacity. Additionally, uses the Moody’s Joined Default Analysis to introduce a proxy for potential external support. Finally both measures, along with other potential factors such as relative size, GDP growth and capital adequacy, are examined through a multiple regression model with banks’ implied equity risk premium used as independent variable. The results of this study indicate that both opacity and external support, and also leverage and in some cases general economic conditions have an important contribution in the determination of bank cost of capital.
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Greek
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές