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- W3037327778 abstract "This paper investigates how time-varying beta and return spillovers relate to bank diversification strategies conditional on market states, from a portfolio management approach. This paper explores the methods of estimating beta in a time-varying fashion for banking data. Further, it discovers the regime-switching relationship between bank betas and returns. Finally, this paper analyzes how the dynamic relationship between betas and returns implies to bank diversification strategies. The main findings are: 1) Bank betas are time-varying and the relationship between betas and returns in banking is regime-dependent; 2) banks use different diversification strategies in response to market movements conditional on market stability; 3) return spillovers among the banking industry affect bank returns through activity diversification." @default.
- W3037327778 created "2020-07-02" @default.
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- W3037327778 date "2021-02-01" @default.
- W3037327778 modified "2023-09-25" @default.
- W3037327778 title "Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies" @default.
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- W3037327778 doi "https://doi.org/10.1016/j.qref.2020.06.007" @default.
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