Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2016.4.82/2-59
CC BY-SA   Open Access 

Issue archive / 4/2016
The Impact of the Global Financial Crisis on the Value Relevance of Leverage in the Polish Banking Sector

Authors: Piotr Bolibok
Keywords: banks; market value leverage financial crisis value relevance.
Data publikacji całości:2016
Page range:10 (679-688)
Cited-by (Crossref) ?:

Abstract

Purpose – The paper is an empirical investigation of the impact of the global financial crisis on the value relevance of leverage in the Polish banking sector. Design/methodology/approach – The employed research methods include multiple linear regression analysis and the Chow test for a structural break in the model’s parameters. The examined sample covers all domestically- based commercial banks listed on the Warsaw Stock Exchange over the period 1998–2014. Findings – The results of the research indicate that the perception of financial leverage by equity investors in the Polish banking sector has changed significantly since the beginning of the global financial crisis. In the period preceding the crisis leverage appeared to have a positive, yet not significant, impact on banks’ market value. After the crisis started, however, this impact became significantly negative which might reflect a structural change in investors’ attitudes, resulting from considerably increased uncertainty and risk aversion in that period. Originality/value – The empirical evidence on the impact of the global financial crisis on the value relevance of leverage in the banking sector in the existing literature seems to be limited to the context of the U.S. market. In particular, it appears that no prior study has investigated this problem in the specific setting of the Polish capital market. The present study attempts, therefore, to enhance the existing international and domestic literature by filling this apparent gap.
Download file

Article file

Bibliography

1.Abuzayed B., Molyneux P., Al-Fayoumi N . (2009). Market value, book value and earnings: is bank efficiency a missing link? Managerial Finance, 35 (2), 156–179.
2.Agostino M., Drago D., Silipo D. B. (2011). The value relevance of IFRS in the European banking industry. Review of Quantitative Finance and Accounting, 36 (3), 437–457.
3.Allen F., Carletti E., Marquez R. (2011). Credit market competition and capital regulation. Review of Financial Studies, 24 (4), 983–1018.
4.Anandarajan A., Francis B., Hasan I., John K. (2011). Value relevance of banks: global evidence. Review of Quantitative Finance and Accounting, 36, 33–55.
5.Bank for International Settlements (2010). 80th Annual Report. 1 April 2009 – 31 March 2010. Bank for Interna Settlements, Basel.
6.Bolibok P. (2014). Application of the Ohlson model for testing the value relevance of accounting data in Polish banking sector. Zeszyty Naukowe Uniwersytetu Szczecińskiego nr 802, Finanse, Rynki Finansowe, Ubezpieczenia nr 65, 463–471.
7.Calomiris C.W., Nissim D. (2012). Crisis-related shifts in the market valuation of banking activities. NBER Working Paper No. 17868 (pp. 1–53).
8.Calomiris C.W., Wilson B. (2004). Bank capital and portfolio management: The 1930 “ capital crunch” and the scramble to shed risk. Journal of Business, 77 (3), 421–455.
9.Cheng I.-H., Hong H., Scheinkman J.A. (2010). Yesterday’s heroes: Compensation and creative risk-taking, NBER Working Paper No. 16176 (pp. 1–49).
10.Dougherty C. (2011). Introduction to econometrics. 4th edition, New York: Oxford University Press Inc.
11.Hart O., Moore J. (1995). Debt and seniority: An analysis of the role of hard claims in constraining management. American Economic Review, 85, 567–585.
12.Jordan D.J., Rice D., Sanchez J., Wort D. (2011). Explaining bank market-to-book ratios: Evidence from 2006 to 2009. Journal of Banking and Finance, 35 (8), 2047–2055.
13.Kalemli-Ozcan S., Sorensen B., Yesiltas S. (2011). Leverage across firms, banks and countries. NBER Working Paper No. 17354 (pp. 1–56).
14.Mehran H., Thakor A. (2011). Bank capital and value in the cross-section. The Review of Financial Studies, 24 (4), 1019–1067.
15.Modigliani F., Miller M.H. (1958). The cost of capital, corporate finance and the theory of investment. American Economic Review, 48, 261–297.
16.Phelan G. (2016). Financial intermediation, leverage, and macroeconomic instability. American Economic Journal: Macroeconomics (forthcoming).
17.Yang J., Tsatsarosis K. (2012). Bank stock returns, leverage and the business cycle. BIS Quarterly Review, March, 45–59.