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Intäktsdiversifiering i europeiska bankverksamheter: En studie om provisionsintäkternas effekt på aktiemarknadens värdering och variationen i aktiepriserna
Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2014 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesisAlternative title
Revenue diversification in European banks : A study on the effects of non-interest income on the market valuation and total, systematic and idiosyncratic risk (English)
Abstract [sv]

Denna studie undersöker hur intäktsdiversifiering i europeiska bankverksamheter påverkar aktiemarknadens värdering och variationen i aktiepriserna. Europeiska bankverksamheter har sedan mitten på 1980-talet expanderat mot tjänster som genererar provisionsintäkter eftersom den historiska uppfattningen har varit att intäktsdiversifiering kan minska variationen i vinsterna och potentiellt öka marknadsvärderingen.

Effekten av intäktsdiversifiering studeras utifrån OLS-regressioner på paneldata som består av 103 bankverksamheter från 24 länder i Europa för perioden 2005 till 2012. Aktiemarknadens värdering och variationen i aktiepriserna beräknas utifrån data över aktiepriser och från bankverksamheternas finansiella rapporter. Denna studie undersöker även resultatens ekonomiska signifikans för att utvärdera implikationerna av intäktsdiversifiering.

Resultaten visar att en högre intäktsdiversifiering har en positiv effekt på aktiemarknadens värdering. Mer specifikt förväntar sig aktiemarknaden att ‘fee income’ har en positiv effekt på framtida vinster. Däremot innebär en högre intäktsdiversifiering även en högre variation i aktiepriserna. Den ekonomiska signifikansen visar att en högre intäktsdiversifiering främst har en betydande effekt på aktiemarknadens värdering och aktiens systematiska risk. Avslutningsvis framstår effekterna även ha varierat under tidsperioden och var större under den senaste finanskrisen.

Abstract [en]

This study examines how revenue diversification in European banks affects the market valuation and the total, systematic and idiosyncratic risk. Since the mid-1980s, European banks have expanded towards non-interest income generating activities. The historical perception has been that revenue diversification can reduce overall earnings volatility, potentially contributing to an increased market valuation.

The effects of revenue diversification are examined by using OLS regressions on panel data containing 103 banks from 24 European countries over the period of 2005 to 2012. Stock market data and the data from banks’ financial statements are used to calculate market valuations and total, systematic and idiosyncratic risk. Additionally, this study examines the economic significance of the results in order to evaluate the implications of revenue diversification.

The study finds a positive effect of revenue diversification on a bank’s market value. Specifically, the findings suggest that the stock market anticipates that ‘fee income’ can improve future profits. However, a higher degree of revenue diversification increases all types of risks. The economic significance reveals that revenue diversification has a considerable effect on the market valuation and the systematic risk. At last, the effects of revenue diversification appear to have varied over time and were greater during the recent financial crisis.

Place, publisher, year, edition, pages
2014. , 94 p.
Keyword [en]
Revenue diversification, Non-interest income, Fee income, Trading income, Tobins Q
Keyword [sv]
Intäktsdiversifiering, Provisionsintäkter, Fee income, Trading income, Tobins Q
National Category
Economics Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-111031ISRN: LIU-IEI-FIL-A--14/01827--SEOAI: oai:DiVA.org:liu-111031DiVA: diva2:752505
Subject / course
Master Thesis in Business and Economics Programme (Business Administration/Economics)
Presentation
2014-06-05, 2B:841, A-huset, Campus Valla, Linköpings universitet, Linköping, 13:15 (Swedish)
Supervisors
Examiners
Available from: 2014-10-06 Created: 2014-10-04 Last updated: 2014-10-06Bibliographically approved

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