Systematic risk and banks leverage: The role of asset quality

Beltrame, Federico; Previtali, Daniele; Sclip, Alex

doi:10.1016/j.frl.2018.02.015

Cited by 28 publications

(13 citation statements)

References 12 publications

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“…The market risk variable has an insignificant negative effect on the capital structure of manufacturing companies listed on the Indonesia Stock Exchange with a coefficient of -0.0280. These results are in accordance with research by Susanto (2011), and not in accordance with research by Hadianto and Tayana (2010), Hournes et al (2012), Khairin and Harto (2014), Stelk et al (2017), Beltrame et al (2018), Brownless and Engle (2017). Therefore, Ha5 is rejected.…”

Section: Resultssupporting

confidence: 65%

“…Sheikh and Wang (2011), Santika andSudiyatno (2011), Hermuningsih (2013), Chen et al (2013), Sari et al (2013), Matemilola et al (2013), Gomez et al (2014), Eventvci (2015, Oino and Ukaegbu (2015) also found the same thing where companies owe more if the growth experienced is higher, so the hypothesis is formulated as follows: Ha4: The growth rate has a positive effect on the company's capital structure. Hadianto and Tayana (2010), Hournes et al (2012), Khairin and Harto (2014), Stelk et al (2017), Beltrame et al (2018) also found that the higher the market risk, the company will use greater debt in its capital structure. This shows that market risk can be a signal for the use of greater debt because this market risk will increase the cost of shares in the context of the Capital Asset Pricing Model (CAPM), this is in line with signaling theory, so the hypothesis is formulated as follows: Ha5: Market risk has a positive influence on the company's capital structure.…”

mentioning

confidence: 98%

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Determinan Struktur Modal Dan Nilai Perusahaan Manufaktur Di Bursa Efek Indonesia

Yunita¹,

Robiyanto²

2021

JMBK

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Penelitian ini menguji pengaruh faktor internal perusahaan seperti profitabilitas, ukuran perusahaan, risiko bisnis, tingkat pertumbuhan perusahaan serta faktor eksternal perusahaan yaitu risiko pasar terhadap struktur modal perusahaan sebagai variabel intervening yang mempengaruhi nilai perusahaan. Penelitian ini dilakukan terhadap perusahaan manufaktur tercatat di Bursa Efek Indonesia dalam periode waktu penelitian tahun 2013 hingga 2018 dan sampel berjumlah 82 perusahaan. Penelitian ini menemukan bahwa faktor profitabilitas dan ukuran perusahaan memiliki pengaruh signifikan terhadap struktur modal perusahaan, tetapi risiko bisnis, tingkat pertumbuhan dan risiko pasar tidak memiliki pengaruh signifikan terhadap struktur modal. Kemudian struktur modal memiliki pengaruh signifikan terhadap nilai perusahaan.

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Section: Resultssupporting

confidence: 65%

mentioning

confidence: 98%

Determinan Struktur Modal Dan Nilai Perusahaan Manufaktur Di Bursa Efek Indonesia

Yunita¹,

Robiyanto²

2021

JMBK

View full text Add to dashboard Cite

show abstract

“…Temuan serupa dengan Agusman, Monroe, Gasbarro, & Zumwalt (2008) juga terjadi pada industri perbankan di Eropa. Beltrame, Previtali, & Sclip (2018) menemukan bahwa leverage sederhana yang diukur dengan rasio total aset terhadap modal ekuitas tidak mempengaruhi risiko sistematis. Hal ini dikarenakan leverage tersebut tidak menunjukkan pandangan yang jelas tentang risiko yang mendasarinya dalam perbankan.…”

Section: Kajian Literatur Dan Perumusan Hipotesisunclassified

“…Leverage sederhana kemudian disesuaikan dengan cadangan kerugian pinjaman (loan loss reserves) dan paparan risiko kredit. Dengan menggunakan leverage yang telah disesuaikan tersebut, Beltrame, Previtali, & Sclip (2018) menemukan pengaruh positif terhadap risiko sistematis. Temuan lain juga menunjukkan bahwa ukuran perusahaan tidak berpengaruh terhadap risiko sistematis.…”

Section: Kajian Literatur Dan Perumusan Hipotesisunclassified

“…Hal ini juga dapat berlaku pada perusahaan yang memiliki aset besar yang dibuktikan secara empiris oleh Ben-Zion & Shalit (1975). Namun demikian, Reeb, Kwok, & Baek (1998) dan Beltrame, Previtali, & Sclip (2018) tidak menemukan adanya pengaruh ukuran perusahaan terhadap risiko sistematis. Hasil ini mendukung Bowman (1979) yang secara teoritis tidak menemukan adanya pengaruh langsung ukuran perusahaan terhadap risiko sistematis.…”

Section: Kajian Literatur Dan Perumusan Hipotesisunclassified

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Determinan Risiko Sistematis pada Perusahaan Rokok di Indonesia

Prasetyo¹

2020

Wahana

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This study aims to examine the effect of company size, sales growth, and financial leverage on systematic risk in the Indonesian cigarette industry. The variable total assets is used to proxy for company size, long term debt-to-equity ratio for financial leverage, and beta stock—collected from the third party—for systematic risk. Four cigarette companies listed on the Indonesia Stock Exchange are sampled for this study in the 2016Q2-2018Q4 period. Hypothesis testing is done using panel data regression. The results show that ceteris paribus, company size and financial leverage have a positive effect on systematic risk, while sales growth statistically has no effect.

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Bank leverage and systemic risk: Impact of bank risk‐taking and inter‐bank business

Zhang,

Lee

2024

Int. J Fin Econ

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In order to prevent and resolve systemic risk more effectively through deleveraging policy, this research takes China A‐share listed commercial banks from 2011 to 2021 as samples, calculates the systemic risk spillover through the conditional value at risk model, re‐estimates the leverage ratio with reference to the “Administration Measures for the Leverage Ratio of Commercial Banks (revised)”, and evaluates the influence of the leverage ratio on systemic risk. The results show that a high leverage ratio increases systemic risk spillover, and under this increase state‐owned commercial banks have the greatest contribution. Further research presents that a better leverage ratio enhances the systemic risk spillover by improving bank risk‐taking and encouraging inter‐bank business expansion. In addition, over different periods of economic development the influence of the leverage ratio on systemic risk exudes different characteristics. During an economic upswing, the leverage ratio's impact on systemic risk significantly drops.

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Systematic risk and banks leverage: The role of asset quality

Cited by 28 publications

References 12 publications

Determinan Struktur Modal Dan Nilai Perusahaan Manufaktur Di Bursa Efek Indonesia

Determinan Struktur Modal Dan Nilai Perusahaan Manufaktur Di Bursa Efek Indonesia

Determinan Risiko Sistematis pada Perusahaan Rokok di Indonesia

Bank leverage and systemic risk: Impact of bank risk‐taking and inter‐bank business

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