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- W4361276452 abstract "Abstract For a sample of US commercial banks, we find that during the Global Financial Crisis of 2007–2009 and the COVID‐19 pandemic of February–December 2020, bank returns were positively related to their coskewness with the market return, while the relationship was negative during stable periods. The literature on non‐financial firms and global equity indices has shown that the relationship between coskewness and stock returns is time‐variant. The findings of this study extend that evidence to banks. The interpretation is that in normal times, investors show a preference for “lotteryness,” and therefore they are willing to pay a premium for bank stocks with a high coskewness (i.e., low expected return). In contrast, during crises, stocks with a high coskewness are more likely to suffer deep losses, and investors are reluctant to demand these risky high returns. These findings deliver important insights into how to interpret bank capital costs throughout the business cycle, as we suggest that during crises the issuance of equity capital becomes more costly for banks because investors demand higher coskewness risk premiums." @default.
- W4361276452 created "2023-03-31" @default.
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- W4361276452 date "2023-03-29" @default.
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- W4361276452 title "On the time‐varying relationship between coskewness and returns of banks" @default.
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- W4361276452 doi "https://doi.org/10.1002/rfe.1178" @default.
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