Document Type

Article

Article Version

Post-print

Publication Date

10-2019

Abstract

We show that the relations between the returns on the banking industry, risk factors, and other industries often are asymmetric. Lagged banking industry returns seem to improve predictability but the positive impact of a 1‐month lag of the return on the banking portfolio is much higher in the lower part of the return distribution. However, after the Dodd‐Frank Act in 2010, the cross‐autocorrelation with banks is changed and becomes negative in the upper part of the distribution. Returns on banks also seem to lead returns on five risk factors. This relation, however, is not robust across the distribution.

Comments

© 2019 The Eastern Finance Association

This is the peer reviewed version of the following article: Högholm, Kenneth, Johan Knif, Gregory Koutmos, and Seppo Pynnönen. "Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns." Financial Review, which has been published in final form at https://doi.org/10.1111/fire.12214. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.

Publication Title

Financial Review

Published Citation

Högholm, Kenneth, Johan Knif, Gregory Koutmos, and Seppo Pynnönen. "Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns." Financial Review. doi: 10.1111/fire.12214

DOI

10.1111/fire.12214

Peer Reviewed

Download

Share

COinS