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NBER Working Papers and Publications
|July 1990||Capital Positions of Japanese Banks|
with Edward J. Kane, Asli Demirguc-Kunt: w3401
This paper measures and analyzes two types of hidden capital at Japanese banks: (1) the net undervaluation present in accounting measures of on-balance-sheet assets and liabilities and (2) the net economic value of off-balance-sheet items. A model is constructed that explains changes in both types of capital as functions of holding that explains changes in both types of capital as functions of holding-period returns earned in Japan on stocks, bonds, yen, and real estate. The model is applied to annual data covering 1975-1989 and a four-class size/charter partition of the Japanese banking system. For each type of hidden capital and each class of bank, the model develops estimates of the stock-market, interest-rate, foreign-exchange, and real estate sensitivities of returns to bank stockhold...
- Edward J. Kane & Haluk Unal & Asli Demirgüç-Kunt, 1990. "Capital positions of Japanese banks," Proceedings, Federal Reserve Bank of Chicago, pages 509-535.
- Rhee, S.G. and R.P. Chang (eds.) Pacific-Basin Capital Markets Research, Volume II. Amsterdam: Elsevier Science Publishers B.V., 1991.
|August 1988||Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms|
with Edward J. Kane: w2693
This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and capital-market information to explain cross-sectional and temporal variation in the value of stockholder equity. To control statistically for heteroskedasticity and intrasample differences in unbooked capital positions, the model is estimated separately for three size classes of large U.S. banks. Parameter estimates confirm the importance of "hidden" or unbooked capital at these banks. For the nation's very largest banks, shifts in the value of these parameters are consistent with the view that the capitali...
Published: The Journal of Finance, Vol. XLV, No. 1, pp. 113-136, (March 1990). citation courtesy of
|March 1988||Change in Market Assessments of Deposit-Institution Riskiness|
with Edward J. Kane: w2530
Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.
Published: Kane, Edward J. and Haluk Unal, "Change in Market Assessments of Deposit-Institution Riskiness," from Journal of Financial Services Research, Vol. 1, No. 3, pp. 207-229, June 1988.