The purpose of this book is to study - theoretically and empirically - the determinants of stock prices of European banks during a financial crisis. The research is based on the idea that banks' stock prices in a period of market uncertainty and turmoil reflect the dynamics of budget indicators, market and macroeconomic variables, as well as the dynamics outside the core business and systemic variables. This in the dual awareness of the following: - international financial markets show considerable divergence between the market values of listed companies and the related capital stock estimates each day, which should reflect the expected profitability and degree of risk of the individual enterprise; - such differences of value originate, in part, from essentially economic and systemic factors and are therefore not directly governable by management or by motivational factors of an essentially emotional matrix and are therefore of an ephemeral and short-lived nature. The prices at which securities are traded reflect, at any moment, the judgement of the same on the potential of future income and the level of risk of the individual enterprise. The possible divergence between the stock market estimate and the one derived from the accounting data highlights the presence of business variables other than the reading of corporate financial statements but viewed and valued - positively or negatively - by the market. In addition to the effects of the alternatives of the business cycle, the significant inconsistencies between the market value and the economic value of the capital of listed companies, therefore, reflect market perceptions about a company's economic outlook over a given time horizon. In this study, an epistemological approach to the theme of constructivist, inductive and market-centric inquiry is adopted. This is intended to conclude a merely theoretical and deductive analysis with an inductive test of the emerging data from the empirical analysis of the banking realities analysed. In fact, this work is divided into two parts: - a first part that is essentially theoretical, consisting of the first two chapters, which aims to address the issue of creating and disseminating economic value in the specificity of financial intermediaries as well as the formation of banks' share prices between expectations and risk; - a second part that is essentially empirical, consisting of the last chapter, which illustrates the findings of an empirical investigation conducted on a panel of listed European banks aiming to analyse the sensitivity of stock prices of the banks compared to the variations of the budget indicators, as well as external and market variables, during a period of financial crisis.

The Determinants of Bank Stock Prices in Time of Crisis

Elisabetta D'apolito
;
Vincenzo Pacelli
2017

Abstract

The purpose of this book is to study - theoretically and empirically - the determinants of stock prices of European banks during a financial crisis. The research is based on the idea that banks' stock prices in a period of market uncertainty and turmoil reflect the dynamics of budget indicators, market and macroeconomic variables, as well as the dynamics outside the core business and systemic variables. This in the dual awareness of the following: - international financial markets show considerable divergence between the market values of listed companies and the related capital stock estimates each day, which should reflect the expected profitability and degree of risk of the individual enterprise; - such differences of value originate, in part, from essentially economic and systemic factors and are therefore not directly governable by management or by motivational factors of an essentially emotional matrix and are therefore of an ephemeral and short-lived nature. The prices at which securities are traded reflect, at any moment, the judgement of the same on the potential of future income and the level of risk of the individual enterprise. The possible divergence between the stock market estimate and the one derived from the accounting data highlights the presence of business variables other than the reading of corporate financial statements but viewed and valued - positively or negatively - by the market. In addition to the effects of the alternatives of the business cycle, the significant inconsistencies between the market value and the economic value of the capital of listed companies, therefore, reflect market perceptions about a company's economic outlook over a given time horizon. In this study, an epistemological approach to the theme of constructivist, inductive and market-centric inquiry is adopted. This is intended to conclude a merely theoretical and deductive analysis with an inductive test of the emerging data from the empirical analysis of the banking realities analysed. In fact, this work is divided into two parts: - a first part that is essentially theoretical, consisting of the first two chapters, which aims to address the issue of creating and disseminating economic value in the specificity of financial intermediaries as well as the formation of banks' share prices between expectations and risk; - a second part that is essentially empirical, consisting of the last chapter, which illustrates the findings of an empirical investigation conducted on a panel of listed European banks aiming to analyse the sensitivity of stock prices of the banks compared to the variations of the budget indicators, as well as external and market variables, during a period of financial crisis.
978-3-330-34830-1
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11369/361897
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