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fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Languages: English
Types: Doctoral thesis
Subjects: HG
This dissertation focuses primarily on potential explanations for bank common stock abnormal returns, and their patterns, coincident with the announcement of bank capital issues. Potential influences considered include increased regulatory pressure, conflicting regulatory and market views of bank capital adequacy and the relative predictability of security type. Where possible, the dissertation is set in both UK and US contexts. The dissertation has four principal research components; (1) a review of historical and contemporary bank capital regulation in the UK and US. Historical analysis indicates that the definition of capital, as determined by its functional properties, is dynamic and qualifies the consistency of its measurement over time. The regulatory control of absolute levels of capital is seen to have influence on bank structural development, costs and risk. The regulatory control of relative bank capital (ie in terms of balance sheet structure) is found to have a long and controversial history in the US and is effective progenitor of the current methodology of bank capital measurement and assessment, such as the Basle Agreement, and contains a number of potentially costly deficiencies. (2) an examination of bank capital issue announcement effects in the UK. Following similar work in the US (eg Keeley 1989) negative abnormal return effects are found associated with the announcements of UK ordinary share issues. Also, evidence hints that an imposed increase in regulatory capital pressure (viz the introduction of a minimum capital ratio regime) causes a reduction in issue announcement effects for ordinary share issues. (3) assessment of the capital adequacy of UK and US banks from a market perspective and in terms of a number definitions of capital; namely equity, regulatory primary capital (US), and the 1992 Basle Agreement capital.Conflict between market and regulatory views of capital adequacy are observed in certain years for primary capital. In terms of the capital structure relevance hypothesis, this suggests particular costs which may influence issue announcement effects. (4) modelling the predictability of UK bank capital issue security type (viz ordinary share and debt) and assessing the hypothesis that it is inversely related to the announcement abnormal returns.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • 7.1 A: Regulatory and Market Capital Adequacy Status B: Issue Announcement Effects
    • 7.2 A: 6 Major UK Banks: Capital Defined as Equity B: US BHCs: Capital Defined as Equity C: US BHCs: Capital Defined as Primary Capital D: US BHCs: Capital Defined per Basle Agreement
    • 7.3 US Primary Capital Assessment: Regulator Vs Market
    • 3.1 Stigler (1971): Aspects of the Political Process
    • 3.2 Goodhart (1985): The Case for Central Banking
    • 3.3 Dale (1984): Forms of Prudential Regulation
    • 3.4 Cooper & Fraser (1986): Major US Regulatory Developments Post 1913
    • 3.5 Wilcox (1979), Webber (1989): Decline in UK Bank Capital Ratios
    • 3.6 Crick & Wadsworth (1936): Table of English Bank and Branch Numbers, and Liability Structures 1844, 1884, 1904 and 1934
    • 4.1 Accounting Definition A: Hicks (1946): The Nature of Income B: Income Measurement and Presentation C: Equity Components D: Bank Accounting Policies E: Capital Structure Change
    • 4.2 Revell (1975), Gardener (1981): Risk Frameworks
    • 4.3 US Post-1981 Bank Capital Regulatory Regime
    • 4.4 Basle Committee: 1988 Agreement
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