九州官方网站-九州（中国）科技有限公司官网经济学前沿高端讲座第七讲

Bank Capital and Bank Stock Performance

主讲人：Sang-Ook (Simon) Shin（韩国国立蔚山科学技术院工商管理学院）

主持人：张岸洲（九州官方网站-九州（中国）科技有限公司官网李安民经济研究院）

嘉宾介绍：曹庸焕（九州官方网站-九州（中国）科技有限公司官网李安民经济研究院）

时间：2022年11月18日（周五）  14：00-15：30（北京时间）

地点：腾讯会议：907 4908 3431

语言：英语

摘要：

Little is known about how bank capital affects bank stock performance. We show that capital does not affect returns unconditionally, but high-capital banks have higher risk-adjusted stock returns (alphas) than low-capital banks in bad times in and out of sample. Trading strategies earn 3.12% – 3.72% annually. The results are robust to: using different bad times and capital definitions, alternative asset pricing models, and ex-ante expected returns; controlling for performance-type delistings, short-sale constraints, and trading costs; and dropping the largest or smallest banks. Our results seem to be driven by a “Surprised Investor Channel” rather than by an “Informed Investor Channel.”

主讲人简介：Sang-Ook (Simon) Shin，德克萨斯农工大学金融学博士，现为韩国国立蔚山科学技术院（UNIST）助理教授。他的研究兴趣包括：资产定价，宏观金融，和金融中介等。