Banking research paper picks up international award
A research paper written by Bangor Business School academics has won an international award.
“Bank Liquidity Risk and Excess Stock Returns", written by Professor Phil Molyneux (Professor of Banking and Finance) and Dr Ru Xie (Senior Lecturer in Banking and Finance), was awarded the ‘Best Paper’ prize at the 12th Global Business and Social Science Research Conference held in Beijing, China, recently. An abstract of the paper is available below.
“It’s a great pleasure to have received the best paper award from the Global Business and Social Science Research Conference”, commented Dr Ru Xie. “This is not only a recognition of our paper, it also recognises the importance of this research area in bank liquidity risk and asset pricing.”
“Bank Liquidity Risk and Excess Stock Returns" – Abstract
The current financial crisis has illustrated starkly how increased funding costs and changes in market liquidity can trigger stock market failures. In this paper we provide empirical evidence for the impact of bank funding and market liquidity risks on excess bank stock returns. With a model in line with Acharya and Pedersen (2005), we decompose individual liquidity into systematic and idiosyncratic components. We find that the volatility of bank idiosyncratic funding and market liquidity risk is negatively and significantly correlated with bank excess stock returns. Idiosyncratic and Systematic volatility of liquidity are priced in the excess bank stock returns, especially during negative market conditions.
Publication date: 19 September 2016