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https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/104234
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| 题名: | Optimal diversification, bank value maximization and default probability |
| 作者: | Tsai, Yung-Shun;Lin, Chien-Chih;Chen, Hsiao-Yin |
| 关键词: | diversification;default probability;systemic risk;banking;business cycle |
| 日期: | 2015-02-04 |
| 上传时间: | 2016-01-06 10:52:23 (UTC+8) |
| 摘要: | This study argues that the optimal level of diversification for the maximization of bank value is asymmetrical and depends on the business cycle. During times of expansion, systematic risks are relatively low; hence, the effect of raising systematic risks from portfolio diversification is slight. Consequently, the benefit of reducing individual risks dominates any loss from raising systematic risks, leading to a higher value for a bank by holding a diversified portfolio of assets. On the contrary, during times of recession, systematic risks are relatively high. It is more likely that the loss from raising systematic risks surpasses the benefit of reducing individual risks from portfolio diversification. Consequently, more diversification leads to lower bank values. Finally, some empirical evidence from the banks in Taiwan is provided. |
| 關聯: | Applied Economics 47(24), pp.2488–2499 |
| DOI: | 10.1080/00036846.2015.1008766 |
| 显示于类别: | [財務金融學系暨研究所] 期刊論文
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