Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns
Högholm, Kenneth; Knif, Johan; Koutmos, Gregory; Pynnönen, Seppo (2021-01-29)
Högholm, Kenneth
Knif, Johan
Koutmos, Gregory
Pynnönen, Seppo
Wiley
29.01.2021
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022031623727
https://urn.fi/URN:NBN:fi-fe2022031623727
Kuvaus
vertaisarvioitu
©2021 Wiley. This is the peer reviewed version of the following article: Högholm, K., Knif, J., Koutmos, G. & Pynnönen, S. (2021). Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns. Financial Review 56(1), 179-198, which has been published in final form at https://doi.org/10.1111/fire.12214. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
©2021 Wiley. This is the peer reviewed version of the following article: Högholm, K., Knif, J., Koutmos, G. & Pynnönen, S. (2021). Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns. Financial Review 56(1), 179-198, which has been published in final form at https://doi.org/10.1111/fire.12214. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
Tiivistelmä
We show that the relations between the returns on the banking industry, risk factors, and other industries often are asymmetric. Lagged banking industry returns seem to improve predictability but the positive impact of a 1-month lag of the return on the banking portfolio is much higher in the lower part of the return distribution. However, after the Dodd-Frank Act in 2010, the cross-autocorrelation with banks is changed and becomes negative in the upper part of the distribution. Returns on banks also seem to lead returns on five risk factors. This relation, however, is not robust across the distribution.
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