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بازده سهام
For banks' overall risk, we examine the Z-scores (a measure of their distance to default), liquidity creation (financial intermedi- ation risk) as well as the standard deviation of bank stock returns.
The standard deviation of stock returns for the sample of BHCs is 2.45%.
The correlation coefficient of the natural logarithm of the Z-score and stock return volatility with the ratio of total deposits to total assets are −0.03 and 0.04, respectively.
loss provisions to total assets, liquidity creation to total assets, the natural logarithm of the Z-score, and the standard deviation of banks' stock returns.
We also consider a market-based assessment of overall bank risk as measured by the standard deviation of bank stock returns.
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