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Basel risk weights, asset correlations, and book-to-market equity: evidence from Asian countries

Lin,C, Lee,SC, Chen,JL and Chiu,BH 2014, Basel risk weights, asset correlations, and book-to-market equity: evidence from Asian countries, JASSA, no. 3, pp. 6-11.

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Title Basel risk weights, asset correlations, and book-to-market equity: evidence from Asian countries
Author(s) Lin,CORCID iD for Lin,C orcid.org/0000-0001-6367-3606
Lee,SC
Chen,JL
Chiu,BH
Journal name JASSA
Issue number 3
Start page 6
End page 11
Publisher Financial Services Institute of Australasia (Finsia)
Place of publication Sydney, NSW
Publication date 2014-12-02
ISSN 0313-5934
Summary We examine the effect of firm book-to-market equity values (BE/ME) on asset correlations which play an important role in determining risk weights under the current Basel capital requirements. Using firms in China, Hong Kong, Japan, Korea, Singapore and Taiwan over a sample period from 1988 to 2013, we find that BE/ME has a negative effect on asset correlations. This suggests a role for BE/ME as an additional factor in determining asset correlations, and thus risk weights, also potentially reducing incentives for regulatory capital arbitrage.
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, Financial Services Institute of Australasia (FINSIA)
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30068889

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.