IMF paper assesses drivers of banking equity returns

IMF headquarters in Washington DC

A working paper, published by the International Monetary Fund in July, evaluates factors driving changes in bank equity returns, noting that the equities of banks with a stronger capital base tend to perform better in response to shocks.

The authors, Jorge Chan-Lau, Estelle Liu and Jochen Schmittmann, use data from 68 European banks over the period 2006–2011, to assess the causes behind equity price movements. The paper finds that after 2008, equities responded mainly to changes in the growth

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