Three-factor capm risk exposures

Some evidence from Malaysian commercial banks

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

This study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major contributions. First, we find that different types of risk exposures have different determinants. Second, the market risk exposure for the Islamic bank in our study is lower than for conventional banks. Third, the merger programme is fruitful because it reduces the interest rate risk exposure, total risk exposure, and unsystematic risk exposure. Finally, our results show that the banks under study have higher total and unsystematic risk exposures during the 1997 Asian financial crisis. Thus, a clear understanding of this evidence helps in ensuring effective and successful decision-making for regulators, policy makers and market players.

Original languageEnglish
Pages (from-to)47-67
Number of pages21
JournalAsian Academy of Management Journal of Accounting and Finance
Volume6
Issue number1
Publication statusPublished - 2010

Fingerprint

Factors
Commercial banks
Risk exposure
Exchange rates
Islamic financial institutions
Asian financial crisis
Politicians
Decision making
Model risk
Interest rate risk
Market risk
Interest rates
Total risk
Mergers
Capital asset pricing model

Keywords

  • Banking
  • Financial crisis
  • Merger
  • Risk

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

@article{582226951a204a5abb9d28e0c2be1558,
title = "Three-factor capm risk exposures: Some evidence from Malaysian commercial banks",
abstract = "This study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major contributions. First, we find that different types of risk exposures have different determinants. Second, the market risk exposure for the Islamic bank in our study is lower than for conventional banks. Third, the merger programme is fruitful because it reduces the interest rate risk exposure, total risk exposure, and unsystematic risk exposure. Finally, our results show that the banks under study have higher total and unsystematic risk exposures during the 1997 Asian financial crisis. Thus, a clear understanding of this evidence helps in ensuring effective and successful decision-making for regulators, policy makers and market players.",
keywords = "Banking, Financial crisis, Merger, Risk",
author = "{Abdul Rahman}, Aisyah",
year = "2010",
language = "English",
volume = "6",
pages = "47--67",
journal = "Asian Academy of Management Journal of Accounting and Finance",
issn = "1823-4992",
publisher = "Universiti Sains Malaysia",
number = "1",

}

TY - JOUR

T1 - Three-factor capm risk exposures

T2 - Some evidence from Malaysian commercial banks

AU - Abdul Rahman, Aisyah

PY - 2010

Y1 - 2010

N2 - This study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major contributions. First, we find that different types of risk exposures have different determinants. Second, the market risk exposure for the Islamic bank in our study is lower than for conventional banks. Third, the merger programme is fruitful because it reduces the interest rate risk exposure, total risk exposure, and unsystematic risk exposure. Finally, our results show that the banks under study have higher total and unsystematic risk exposures during the 1997 Asian financial crisis. Thus, a clear understanding of this evidence helps in ensuring effective and successful decision-making for regulators, policy makers and market players.

AB - This study investigates the determinants of the three-factor capital asset pricing model (CAPM) risk exposures in the case of commercial banks. Five risk exposures are examined namely, market, interest rate, exchange rate, total, and unsystematic risk exposures. Our findings provide four major contributions. First, we find that different types of risk exposures have different determinants. Second, the market risk exposure for the Islamic bank in our study is lower than for conventional banks. Third, the merger programme is fruitful because it reduces the interest rate risk exposure, total risk exposure, and unsystematic risk exposure. Finally, our results show that the banks under study have higher total and unsystematic risk exposures during the 1997 Asian financial crisis. Thus, a clear understanding of this evidence helps in ensuring effective and successful decision-making for regulators, policy makers and market players.

KW - Banking

KW - Financial crisis

KW - Merger

KW - Risk

UR - http://www.scopus.com/inward/record.url?scp=78650499675&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=78650499675&partnerID=8YFLogxK

M3 - Article

VL - 6

SP - 47

EP - 67

JO - Asian Academy of Management Journal of Accounting and Finance

JF - Asian Academy of Management Journal of Accounting and Finance

SN - 1823-4992

IS - 1

ER -