Master Thesis:

Bank Capital Requirements and Performance

Supervisor:
Prof. Kjell G. Nyborg

Student:
Lilia Mukhlynina

Department of Banking and Finance

University of Zurich

Januar 2012

Abstract
This thesis examines possible effects of stricter capital regulations on banks. Following
the history of Basel Accords, the focus of analysis lies on capital supervision and control.
An issue for controversial discussions among bankers and academics, Basel III is to be
implemented in the coming years as a response to the last financial crisis. Core element of
the new directive is the requirement to raise the proportion of equity in the bank capital
structure. The main reasoning is that equity is the loss-absorbing source of financing and
when increased, will help to reduce the probability and severity of systemic risks. This
initiative caused an intense opposition from the bankers side who claim, equity is too
expensive compared to debt. They argue that more equity will negatively affect bank
profits, lowering its lending abilities and eventually leading to a credit crunch. The thesis
analyses both stand points of the debate with the conclusion that equity funding is not
expensive per se. The justification of the opposite opinion can only be true under certain
conditions, which include tax deductibility of debt and government guarantees. In this case,
the paradoxical nature of government measures becomes obvious: strengthening the rules
on capital and, at the same time giving incentives for debt financing. Until the internal
contradictions are solved and the message of the authorities is clear, the probability that
financial institutions become risk-averse and stock up their capital reserves remains low.

Keywords: cost of capital, Miller-Modigliani proposition, Basel Accord, leverage, capital structure

Contents
Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Table of Contents . . . . . . . . . . . . . . . . . . . . . . . . .
1 Evolution of Bank Regulations . . . . . . . . . . . . . . . .
1.1 Birth of Capital Regulation . . . . . . . . . . . . . .
1.2 Capital Regulation Before Basel . . . . . . . . . . .
1.3 Basel I . . . . . . . . . . . . . . . . . . . . . . . . . .
Definition of Capital . . . . . . . . . . . . . . . . . .
Risk Weights . . . . . . . . . . . . . . . . . . . . . .
Amendments . . . . . . . . . . . . . . . . . . . . . .
Evaluation of Basel I . . . . . . . . . . . . . . . . . .
1.4 Basel II . . . . . . . . . . . . . . . . . . . . . . . . .
Consultative Papers . . . . . . . . . . . . . . . . . . .
Structure of the Accord . . . . . . . . . . . . . . . . .
Basel II: Pillar I in Detail . . . . . . . . . . . . . . .
Evaluation of Basel II . . . . . . . . . . . . . . . . . .
1.5 Basel III . . . . . . . . . . . . . . . . . . . . . . . . .
Features in Review . . . . . . . . . . . . . . . . . . .
Future of Basel III . . . . . . . . . . . . . . . . . . .
2 Debt vs Equity . . . . . . . . . . . . . . . . . . . . . . . .
2.1 The Logic of Miller and Modigliani . . . . . . . . . .
Does M&M Apply to Banks? . . . . . . . . . . . . .
2.2 Market Distortions Due to Government Interventions
Taxes . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bankruptcy, Bank Runs and Deposit Insurance . . .
2.3 Is Debt a Carrot or a Stick? . . . . . . . . . . . . . .
2.4 Bankers Argument . . . . . . . . . . . . . . . . . . .
3 Empirical Evidence . . . . . . . . . . . . . . . . . . . . . .
3.1 Previous Studies . . . . . . . . . . . . . . . . . . . .
3.2 The Model . . . . . . . . . . . . . . . . . . . . . . . .
Selection of Variables . . . . . . . . . . . . . . . . . .
Relationship Expectations . . . . . . . . . . . . . . .
Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
ii

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

Page
.
i
.
ii
.
5
.
5
.
6
.
9
.
10
.
11
.
12
.
13
.
16
.
17
.
18
.
19
.
22
.
26
.
26
.
29
.
32
.
32
.
33
.
35
.
35
.
38
.
42
.
44
.
47
.
47
.
49
.
49
.
50
.
52

Data Analysis . . . . . . . . . .
Regression Analysis . . . . . . .
4 Evaluation . . . . . . . . . . . . . . .
4.1 Proposals to Capital Regulation
4.2 Is Debt Expensive? . . . . . . .
Appendix . . . . . . . . . . . . . . . . .

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

.
.
.
.
.
.

53
55
59
59
61
63

Introduction
Motivation
A bank exists to facilitate the interaction between two parties. Being an intermediary institution, it plays a significant role in the financial system and society, who therefore depend
on its prudence and health. More than any other business entities, banks are extremely
interconnected with each other, which can lead to a domino effect in times of trouble.
Due to its high involvement in peoples lives, any malfunction becomes crucial, revealing
a considerable scale of adverse externalities. Such structural fragility also comes from the
bank-specific balance sheet that contains low portion of cash and capital reserves relative
to debt.
Banking is a spread business, which lives from the difference between receiving and paying interest on capital. To generate an income bank attempts to keep high interest rates
on its services while securing cheap access to the capital. Hence the price of financing
determines its structure. As equity predominantly perceived to be more expensive than
debt, it is plausible, that banks maintain high ratios of debt trying to lever up its earnings.
In this context it is also understandable why bank executives build an opposition against
strengthened capital requirements, which imply substantial raise in equity. Their claims
do not seem wrong, but the question is how they define expensiveness and at which cost
comes the cheapness of debt.
The problem of optimal capital structure is not new. The first thorough research on the
subject started with the article of M. Miller and F. Modigliani in the American Economic
Review: The Cost of Capital, Corporation Finance and the Theory of Investment. The
economists illuminated the fact, that whatever financial structure the firm might have, it
is completely irrelevant to its value, which depends only on the income from its assets.
This statement sounds contradictory to the managers behavior, who compose their bank
balance sheet according to the price for capital resources. That is however consistent with
the theory. The Miller and Modigliani Irrelevance Theorem (M&M henceforth) holds only
under certain assumptions, such as operating in perfect financial markets, with no transaction or bankruptcy costs, no taxes, symmetric information or any other arbitrage allowing
frictions. As such ideal conditions are only theoretically possible, the proposition is better
used as a scale to measure market distortions. In other words, which of the prerequisites

may fail in order the capital structure to matter? Having an answer to this question and
modifying the corresponding parameters, it is possible to steer the form of funding. The
most common mechanisms that authorities apply to banks are taxes and deposit guarantees. Under the current regulatory framework, debt has two major advantages over equity.
First, debt possesses the advantage of tax shield and second, it provides a safety net, as
the government gives subsidies and therefore is taking over a portion of risk. That allows
banks to pay investors less and thus to generate more income. Lacking such favorable characteristics, equity is perceived to be more expensive. It is true, but cannot be generalized.
One has to distinguish between social and private costs. The same conditions do not have
the same implications for banking executives and for shareholders; the correlation of their
individual interests is often negative. It is also important to mention the time perspective.
In the short term, benefits of cheap financing may overweigh the risk concerns. But in
the long term, the probability of default will rise, making leveraged structure highly fragile
and expensive. Many economists point out, that the system designed today gives the management incentives to pile up debt and to shun equity, and thereby setting the economic
system on the brink of failure.
It is therefore very interesting to follow the evolution of capital regulation from the roots
to the modern concepts. Such analysis might help to see how particular rules formed the
structure and behavior of banking institutions and maybe it will help to identify the tools
that bring financial markets closer to the optimal functioning.

Structure
The thesis is organized in three parts. The first part is dedicated to the evolution of capital
regulation. The historical overview starts with the earliest attempts to set some rudimentary capital rules the banking institutions should comply with. It continues with Basel
Accords, following the development of the directives from 1988 to the latest regulatory
initiatives. The purpose is not only to list the events in their chronological order, but also
to analyze the reasoning that lied behind the introduction of certain requirements, as well
as consequences and market response.
The second part is the core element of the paper. It contains the collection of arguments
from different market participants: academics and practitioners, leverage defenders and
those, who support an expansion of equity. To understand the rationale for particular
positions, it might be helpful to choose a starting point, which in this case would be M&M
Proposition. The first question which appears in the context is whether the Theorem holds

for banks. After having this point covered, we move to the extensive analysis of debt and
equity as building blocks of bank liabilities. This thesis examines the roles both types
of financing play privately and socially, the costs and benefits they create and how they
are perceived by the different kinds of discussion participants. The analysis is based on
the review of the advances in scientific literature, media contributions to the subject and
interviews with banking executives1 .
The last section covers empirical evidences to the subject. The sample of European banks
was used to evaluate the effect of leverage on a banks performance. Return on assets
and equity, residual returns and price-to-book ratio were chosen as a profitability measure,
whereas capital tier 1 ratio served as an indicator for leverage. The null-hypothesis is the
validity of M&M Proposition, meaning that the regression coefficients are not significantly
different from zero. Overview of the results is included in the part of data analysis and
tables.
The conclusion is dedicated to the current discussion of capital regulation and academic
proposals and summarizes the findings and thoughts of the thesis.

Which could not be explicitely included in this thesis.

1
Evolution of Bank Regulations
1.1

Birth of Capital Regulation

Although there are a lot of arguments which justify control and supervision of banks,
the question whether and how far the sector has to be regulated remains controversial.
Economist Kevin Dowd (1996, [33]) compares this issue with generally desirable free trade
and asks why the laissez-faire approach could not be applicable for banks. Examining the
possibility of free financial system, he comes to the conclusion that, with no lender of last
resort or government guarantees, the market would be disciplined and punished by depositors themselves. In his theoretical model, the depositors, being aware of the risks, threaten
to close the accounts when the first signs of danger appear. That induces banks to pursue
conservative lending policy and transparency. Adequate level of capital therefore serves as
an insurance against potential losses to reassure investors. Dowd argues that additional
capitalization, being rather costly, makes a bank safer and more attractive to its depositors.
So the competition between banks would ensure the most appropriate to the customers
demand degree of capitalization. The exact amount of capital would be determined by
market forces.
Representing the opposite point of view, Professor Sheila Dow (1996, [32]) brings two main
arguments for regulated financial system. She claims that, first, free banking is prone to
extreme cyclicality and second, central banking would automatically emerge in such a system, so there is no point in laissez-faire (Dowd, 1996, [33]). Dow bases her position on the
very special economic role of money and the uncertainty associated with it. Unlike firms,
banks use their liabilities as money, so the purpose of the regulation is in this case to
ensure that banks assets retain sufficient liquidity to meet any reduction in redeposit, and
to discourage such a reduction in the first place. In her article Why the Banking System
Should Be Regulated, Dow reasons, that regulation is warranted because the moneyness
of bank liabilities is a public good. The state in turn produces moneyness by inspiring
confidence in moneys capacity to retain value (Dow, 1996, [32]).
Following this line of argument, Santos (2000, [79]) derives the necessity to regulate banks
from the role they play in financial intermediation, providing liquidity, monitoring and information services. Such importance may increase the probability of a systemic crisis and

lead to substantial social costs. High interconnectedness and potential exposure to runs
make banks particularly vulnerable to any kind of actual or perceived failure. Thus, the
danger of a destructive chain reaction stimulates the idea of implementing bank insuring
mechanisms.
Another issue comes from the inability of depositors to monitor banking activities. According to the representation hypothesis of Dewatripont and Tirole (1994, [24]), the rationale
for banking regulation is based on agency problems and corporate governance. A bank
structure implies separation of ownership from management, what makes them susceptible
to moral hazard and adverse selection problems. Screening and monitoring, though necessary, could be expensive for single depositors, especially for the small ones. That would also
lead to a free-riding effect. Therefore, the regulation could facilitate the communication
between two sides by taking over the control and supervision that depositors would exert
themselves under these certain conditions (Santos, 2000, [79]).
If the regulation of banks is really crucial for the system, one has to ask why among
other parameters the regulation of bank capital seems to be particularly important. This
can be explained by the fact, that the bank has mainly two sources of financing at its
disposal. Using borrowed money, the bank has to fulfill its contractual liabilities, which, if
not satisfied, can lead to default. Financing its operations with the own funds (equity), the
bank does not expose itself to an immediate failure in case the value of the funds decreases.
Therefore, the bigger the proportion of own capital in the bank balance sheet, the greater
the probability that the institution will comply with its obligations even in difficult times
(FDIC, 2003, [37]).

1.2

Capital Regulation Before Basel

The history of banking regulation starts long before the Basel Accords and experiences a
series of changes from the strict policy to the phases of deregulation.
The earliest attempts to control bank capital can be traced back to 1863, when the new
class of charter national banks was created in the US1 . Civil War was a heavy weight for
the economy, forcing government to look for funds. Thus, the new national banks were allowed to issue their own currency, backed by the US securities. These were the first entities
to undergo capital requirements, which were based on the population in their service area.
1

Before 1863 only state-regulated banks had existed in the US.

1913 is the birth year of the US Federal Reserve (FED) as the lender of last resort. That
helped banks to avoid losses by discounting assets instead of selling them at low prices
in case of liquidity problems. After the difficult year of 1929 and the beginning of the
Great Depression, the American Senate took several regulatory measures. On the proposal
of senator Steagall, the Federal Deposit Insurance Corporation (FDIC) was established in
1933. The purpose was to ensure the system from bank runs, providing creditors with government guarantees. At the same time, Senator Glass initiated the creation of a Chinese
Wall between investment banking, that issued securities, and commercial banking which
accepted deposits. These rules, known as Glass-Steagall Act, were introduced to protect
investors and to eliminate potential conflict of interest concerning granting and using of
credit by the same institution. Japan soon adopted a similar course of action, whereas
Europe kept its model of universal banking.
After the golden 1960s of economic prosperity, Europe experienced the Herstatt bankruptcy2 ,
when one of the biggest commercial banks in Germany with DM 2 million assets had gone
down. The bank was involved in the foreign exchange business, which after the collapse
of Bretton Woods in 1973 had become a risky activity under the floating exchange rates.
Responding to the consequences of the downfall, the G-10 countries3 formed a standing
committee at the Bank for International Settlements (BIS) in 1975, which later became
the birthplace of the Basel Accords (Balthazar, 2006, [7]).
The lack of consensus between supervisors from different countries at this moment made it
more difficult to work out a universal approach to capital regulation. There were numerous
developments that urged the authorities to turn their focus on capital (Tarullo, 2004, [86]).
In the late 1970s, the economic situation globally deteriorated. The combination of economic stagnation and high inflation was named stagflation, characterizing the decade of
macroeconomic weakness (FDIC, 2003, [37]). Volatile foreign exchange and interest rates
caused the expansion of non-bank financial institutions (NBFIs), which became direct competitors of banks. Together with rapid growth of capital markets, this effect led to the shift
in the clients behavior, who turned their attention from savings accounts to money market funds. Losing on their gain margins, the banks began to look for alternative ways
2

The Case of Herstatt was one of the largest failures in German banking history. The debacle received
much attention due to its regulatory implications and now is known in finance under the term Herstatt
risk, which comes from the time delivery lag between two currencies. The bank was closed in 1974 (BIS,
2004 [11]).
3
The Group of Ten includes eleven industrial countries: Belgium, Canada, France, Germany, Italy,
Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States. These countries
cooperate on economic, monetary and financial matters.

to secure their income, investing in real estate lending and loans to developing countries
(Balthazar, 2006, [7]). The downward trend in capital level, particularly at large banks,
became the point of concern. Looking for new sources of revenue, banks tried to increase
lending, putting their capital under pressure. They involved themselves in leasing and data
processing activities, but also sought for new ways within the traditional credit business.
One possibility to get higher returns fast was to attract borrowers with low credit history
or restricted access to public capital markets, who were ready to pay higher risk premiums. Such a tendency proved to have disastrous consequences later on (Tarullo, 2004, [86]).
This situation of high competitiveness among banks was an unintended result of the particular macroeconomic strategy in the US, called Regulation Q. The Federal Reserve Board,
according to the Banking Act of 1933, prohibited the payment of interest on demand deposits and set a ceiling to the interest rates that banks paid for funds. The government
planned to restrain price competition in banking industry and to stabilize the system by
controlling credit flows in the economy. This implied that banks would lend more in their
local area instead of trying to keep pace with the big players. Regulation Q did not affect the volume of total credit, but influenced its allocation. Restricted for the financial
intermediaries, the funds were available in the unregulated markets for a cheaper price.
The policy, complemented by the other restrictions concerning commercial and investment
business, put banks in a difficult position (Gilbert, 1986, [41]; Ruebling, 1970, [77]).
The US Savings and Loans institutions (S&L) soon were also in trouble. The 1980
marked the beginning of the S&L crises which took a decade to resolve. Growing fast after
the Great Depression, S&L offered long-term fixed-rate mortgage loans financed through
short-term deposits. Creditworthy borrowers and limited interest rates secured a comfortable economic environment. But the recession of the 1970s worsened funding conditions
considerably (Balthazar, 2006, [7]).
Responding to the poor economic development and problems in financial sector, the government started the deregulation campaign that lasted for the next 20 years. In 1980 the
limits on interest rates were abolished and the restrictions on banking activities were in
many ways loosened (Tarullo, 2004, [86]). To compensate for the higher costs of funding,
S&L began to look for riskier opportunities. This and the overall financial instability motivated the regulators to propose an explicit capital ratio requirement at the federal level.
The first standard was set by the leverage ratio on primary capital, which included equity
and loan loss reserves. Thus, the earliest capital adequacy ratio constituted a minimum of
6% for community banks and 5% for larger regional institutions.

In 1982 Mexico defaulted on its USD 80 billion debt, causing substantial write-offs of bad
loans during the next ten years. By 1983, twenty-seven countries had undergone debt restructuring processes, involving more than USD 230 billion. The same year the Rumasa
failure4 happened in Spain and one year later, Continental Illinois5 failed on its obligations
after the downgrading and followed bank run. In the US and Europe the government was
working on the uniform capital standards, emphasizing the growing necessity for international convergence in bank regulation. As a result, the Congress passed the International
Lending and Supervision Act of 1983 (ILSA), responding to the international debt crisis
and its negative impact on the US. The common definition of regulatory capital and uniform capital requirements were finalized in 1985, changing the primary capital ratio for
large banks from 5% and for the community banks from 6% to equal 5.5% of adjusted total
assets. Holding less than 3% of primary-capital-to-total assets, banks were categorized as
unsafe and unsound and required to comply with corresponding corrective actions. By
1986 banks were expanding their activities, developing more innovative off-balance sheet
operations and at the same time were moving away from low-yield safe liquid assets. Regulators sensed the need to review the primary capital ratio as insufficient to differentiate
among newly appeared risks and were looking for ways to systematically consider risk profiles of individual banks (FDIC, 2003, [37]). Soon almost all Basel Committee countries
introduced capital ratio calculations, that were progressively based on a risk-weighting of
assets. However, there were substantial differences in the approach and details of capital
regulation among these countries (Tarullo, 2004, [86]).

1.3

Basel I

In July 1988, a working group of the Basel Committee published a set of minimal requirements for bank capital. The new Basel Accord mostly addressed to credit risk, leaving
4

Rumasa was a diversified holding company with close government links and a conglomerate strategy.
However, it was claimed that Rumasa did not have any real assets and used one company as a collateral
to buy another, building the whole empire in the pyramid fashion. At the time point of expropriation,
the group controlled over 700 companies, employing 65000 people directly and 300000 indirectly (Fight,
2004, ([38]).
5
Continental was the seventh largest bank in the US, which made its default consequential. Regulators,
worried about systemic implications, decided to rescue the bank, injecting USD 2bn. Other USD 5.3m were
granted by a consortium of the twenty-four major US banks and the FED managed its liquidity problems.
One of the first too-big-to-fail problems highlighted the concerns about control and possible failure of
large banks (Balthazar, 2006,[7]; FDIC, 1997, [36].

other kinds of risk to national regulators6 . Targeting primarily on globally active banks,
the proposal outlined two major points: global reduction of competitive inequality among
banks and strengthening of the international banking system (Balthazar, 2006, [7]). To
resolve the first problem, the regulation increased current capital ratios, which seemed to
be too low in some countries. For the second purpose, it introduced a simpler approach to
credit risk, with regard to the risk-taking behavior of banks (van Roy, 2005, [76]).
The core of the initiative could be illustrated by the three steps of calculations. First,
each asset and off-balance sheet item held by the bank had to be assigned to one of the
five risk categories. Second, the capital required for each balance sheet item based on the
risk-weighting had to be determined. Third, these amounts had to be added together to
generate the total minimum capital the bank had to raise and to maintain (Tarullo, 2004,
[86]).

Definition of Capital
According to its quality, capital was divided into two major classes:
core capital (basic equity): Tier 1
supplementary capital: Tier 2
The first category contained stockholder equity7 and disclosed reserves8 . The most important element of capital, it defined bank competitiveness and profit margins. Common for
all banking systems it could be found in the published accounts of different countries where
market estimations of capital adequacy were made (BIS,1988, [9]).
Tier 2 contained undisclosed reserves9 , asset revaluation reserves
hybrid debt capital instruments12 and subordinated term debt.
6

10

, general provisions11 ,

E.g. investment risk, interest rate risk, exchange rate risk and concentration risk.
Equity capital: common stock and non-cumulative perpetual preferred stock.
8
Disclosed reserves: e.g. share premiums, retained profit, general and legal reserves.
9
Undisclosed reserves (hidden reserves): usually unpublished, but considered in P&L account and accepted by bank supervisory authorities (BIS,1988, [9]).
10
Accounting standards in some countries allow to revalue assets to their current value rather than
historical costs (BIS,1988, [9]).
11
Also called general loan-loss reserves, usually built in anticipation of not-yet identified losses (BIS,1988,
[9]).
12
Capital instruments, which combain partly debt and partly equity characteristics (BIS,1988, [9]).
7

10

There were also certain deductions from both categories. Goodwill had to be eliminated
from Tier 1, due to its volatile and subjective character. Investments in not consolidated
subsidiaries had to be deduced against the total capital base in order to avoid several entities using the same capital funds (Balthazar, 2006, [7]).
Besides, Tier 2 components had to be limited to a maximum of 100% and subordinated
debt to a maximum of 50% of the Tier 1 capital; general provisions were not allowed to be
more than 1.25 percentage points and asset revaluation reserves in form of latent gains or
unrealized securities were subject to a discount of 55% (Tarullo, 2004, [86]).
The first Basel Accord defined a minimum standard to apply for international banks. The
target ratio of capital to weighted risk assets had to be at least 8%, of which the core
capital had to be minimum 4%.

Risk Weights
After the capital was defined, the Committee worked on identifying factors to weigh the
balance sheet items, according to their risk characteristics. By doing that regulators aimed
to implement a novel approach, advantageous to the simple-ratio procedure. They wanted
to create a fairer international field and level basis for international comparison between
banks with various structures; to incorporate off-balance sheet exposure into the measure
and to stimulate banks to hold liquid or other low-risk assets. The method had to be as
simple as possible, using only five classes of weights: 0, 10, 20, 50 and 100% (Table 4.1).
The assignment of weights was based on the general characteristics of the borrower, rather
than borrowers specific financial stand or credit history. That was the reason, for example,
to weigh all loans to non-banking entities at 100%, whether it was a blue-chip corporation
or a newly born startup.
There were several elements that deserved particular attention:
categories of risk
It was emphasized that credit risk was the major issue for most banks, so the regulation stressed the necessity to oversee the counterparty-relationships, especially the
risky ones.
country transfer risk

11

The Committee defined a group of countries13 as a measure for different weight coefficients. Any country rescheduling its external sovereign debt, precluded itself from
the group for five years.
claims on non-central-government, public-sector entities
It did not seem adequate to set a single weight for all claims on domestic public-sector
entities, which would be below the level of central government. Thus, the Committee
granted the possibility to national authorities to apply the appropriate weighting
factors for public-sector within the country, according to certain guidelines.
collateral and guarantees
The importance of collateral was recognized only to a limited extent, due to the
country differences in dealing with that issue. There was no initiative for a common
collateral weighting system. However, several specifications were composed in the
document.
loans secured on residential property
Because of the rather low record of loss in the majority of countries, the regulation
assigned a 50% weight to loans fully secured by mortgages on residential property,
rented or occupied by the borrower.
off-balance sheet engagements
Off-balance sheet exposures were divided into derivative instruments and obligations
similar to unfunded loans. The latter would be shifted to the on-balance sheet side
if a certain event occurred.
The Committee adopted a two-step approach to deal with this issue: first, a conversion factor had to be used to transform the item into its on-balance sheet equivalent;
second, this equivalent had to be categorized into to the risk class, based on the
customer type, like a common asset would be. This conversion factor was basically a
discount which depended on the probability that the item became an asset, creating
credit exposure for the bank.
Treatment for the derivative exposures came later into action, in the 1995 Amendment. (BIS,1988, [9]; Tarullo, 2004, [86])

Amendments
Several adjustments have been made until the full implementation of the Basel Accord in
1992. There were, for example, modifications in the handling of general provisions in the
13

Members of the OECD or countries with special lending agreements with the IMF (BIS,1988, [9]).

12

aftermath of the Latin American debt crisis. The matter of loan-loss reserves gained considerable attention and caused discussions about excluding country-risk provisions from the
Tier 2 category. Later some changes have been made in the characteristics of risk-weight
categories and netting possibilities for certain off-balance sheet exposures. These steps were
important to the banks with substantial activities in derivatives trading, but they were not
evolutionary important in the conceptual approach.
It was rather the 1996 Amendment, which incorporated market risk and included the
rules for calculation of capital charges for market risk, using internal Value-at-Risk models.
These additions moved the Proposal in the direction of the Basel II initiative, which had a
larger focus on banks internal risk management systems and models (Tarullo, 2004, [86]).

Evaluation of Basel I
One can evaluate the Basel I proposal in two ways. One way is to check if the arrangement
has been appropriately implemented and observed by single countries. The other way - to
assess if it was successful in achieving the stated goals.
The first Basel Accord was enacted in all G-10 countries by the end of 1990. In two years,
the countries outside the membership with developed banking systems also introduced the
arrangements for capital requirements. Such broad voluntarily implementation by nonBasel countries was motivated by the fact that, by not complying with the new capital
rules banks would look less favorable compared with the ones that complied.
Despite many critical points, the Basel I initiative was to a large extent effective in its
implementation. By the end of the transition period in 1992, most Basel-countries had at
least 4% for Tier 1 and 8% for total capital14 (Tarullo, 2004, [86]).
Broadly speaking, the Basel Accord managed to establish an international set of rules for
more than hundred countries. The introduction of formal allowance for risk in computing
capital ratios was a major improvement in comparison with the situation until 1988, when
only some banks applied equity-to-assets or equity-to-deposits ratios. Moreover, the Proposal included off-balance sheet exposures into consideration.
14

The exceptions were Citicorp, which suffered from substantial losses in 1991 that reduced its Tier 1
capital to 3.64%; and some banks in Japan, which were in distressed financial situation (D.Tarullo, 2004,
[86]).

13

As already mentioned, there were a lot of deficiencies in the initiative that led to a series of
further innovations and improvements. One problem was the rather crude classification of
credit-risk weightings. Quantification of economic capital was complicated in the absence
of precise estimates of risk and inner capital needs. In contrast to the regulatory capital,
economic capital is to be estimated by the bank itself, according to its risk-taking activities.
There is no problem if the internal models and risk parameters estimate economic capital
to be higher than regulatory limits. But as soon as the relation changes to the opposite,
the bank has to build a capital buffer in excess of its estimation what is sufficient. The
banks, expecting this mismatch to negatively influence the shareholder value, started to
look for prompt solutions.
Generally, in order to obey the Basel I capital requirements, banks had to choose one of the
following scenarios: increase their capital level, decrease their risk-weighted assets or sell
off the assets. This can be represented by the decomposition of the growth rate of capital
adequacy ratio of bank i into three growth rate terms:

(Ki , t)
(RISKi , t)
(Ai , t)
(CARi , t)
=

CARi , t
Ki , t
RISKi , t
Ai , t

(1.1)

where
CAR = K/RWA = capital adequacy ratio (tier 1 or total capital)
K = capital (tier 1 or total capital)
RISK = RWA/A = credit risk ratio
A = total assets
Source: P. Van Roy, 2005, [76]
One can see, that an obligatory increase in CAR does not hinder the bank from increasing
their capital level K and their credit risk ratio RWA/A15 , at the same time. Such moral
hazard behavior was one of the negative responses from banking industry after the imposition of the Basel Accord (Van Roy, 2004, [76]).
Interesting fact, that already back in 1980, Koehn and Santomero analyzed this kind of
argument, coming to the conclusion that ratio constraints for bank capital regulation do
not seem to be an adequate measure for controlling the riskiness of banks and probability
of failure. The economists first showed that the implementation of higher capital requirements induces banks to reshuffle the composition of its asset portfolio per unit of capital.
15

Provided that the total amount of assets remains constant.

14

They evaluated the effect of changing required capital-asset ratio, assuming CRRA utility
function16 and came to the conclusion that the composition of an equilibrium portfolio after
the mandatory ratio increase changed towards more risky assets17 . Koehn and Santomero
pointed out that the level of reshuffling depends on the risk aversion coefficient of the bank
utility function. That implies that elasticity value of high risk assets for highly risk-averse
institutions is less than elasticity for the less risk averse ones. Thus, initially riskier agents
would tend to offset the capital restrictions to a greater degree than their conservative
counterparts, leading to the greater dispersion of risk taking across the whole banking industry (Koehn, Santomero, 1980, [57]).
Banks reacted to capital restrictions with various techniques to balance out the disadvantages and to exploit newly appeared opportunities. Expanding their capital arbitrage
strategies, they mutated the effect of the new rules, making them less efficient.
One way of using arbitrage was, as already mentioned, to invest in riskier assets. Purchasing bonds of speculative classes with high compensation and the same capital requirements
as investment-grade bonds is an example of such a strategy (Balthazar, 2006, [7]).
Another, more sophisticated practice of outplaying a system was the integration of derivatives in the daily business. Using securitization banks can transfer illiquid assets to a
self-created independent companies, named Special Purpose Vehicles (SPV). These entities
issued Asset Backed Securities (ABS) to finance themselves and buy loans from the bank,
liberating its balance-sheets by risk-chanelling. The result of the securitization mania was
vividly seen during the last financial crisis.
These arbitrage tactics can be harmless as well, allowing banks to correct the weaknesses
of the regulations, but it is hard to draw a line between correction and exploiting, making
it difficult to hold up. It is also worth mentioning that not all banks are able to use these
techniques, which leads to competitive disadvantages.
The reason why banks are motivated to perform capital arbitrage lies in the commonly
perceived expensiveness of equity compared to debt. Such factors as tax, asymmetric
information, agency costs and the safety net make equity look more costly. Therefore,
16

CRRA: constant relative risk aversion, meaning the marginal rate of substitution remains unaffected
by the regulative changes.
17
For the utility function with decreasing relative risk aversion, the effect of substituting assets with
riskier alternatives is even larger.

15

when supervisory institutions demand capital standards higher than what the banks would
choose under the market discipline alone, these requirements could be viewed at as a form
of regulatory taxation (Donahoo, Shaffer, 2004, [31]). Thus, authorities encourage banks to
elaborate on methods to serve clients minimizing the taxation. Bank executives get themselves involved in capital arbitrage because they believe it is possible to enhance shareholder
value by replacing equity with debt in the capital structures of their banks (Jones, 2000,
[52]).
There have been some other critical issues raised in connection with Basel 1988 performance.
Lack of risk sensitivity granted a small company with high leverage an opportunity to get a
corporate loan with the same capital conditions as the AAA-rated large corporate company
would get. The list of recognized collateral was rather limited in comparison with that
effectively used by banks. Besides, Basel I focused only on credit risk and did not cover
other risk sources. The Amendment of 1996 partially filled this gap, but still some risk
types were not included in the requirements. Independent of the bank type, sophistication
and risk level, the rules were practically the same one-size-fits-all approach. The 8%
ratio was chosen arbitrarily, without any solvency targets outlined. Diversification of loans
through different sectors was not taken into account, letting the credit-risk requirements
have additive nature (Balthazar, 2006, [7]).

1.4

Basel II

Discussion about Basel II emerged in the need for improvements to the first set of capital
requirements. The purpose was to address the most important shortcomings of Basel I, that
were partly caused by the necessity to find an international compromise to set the capital
rules. Surprising was the speed with which the first international agreement was replaced
with the new version. There were two major trends that encouraged the review process.
On one hand, the fast-growing securitization activity of banks, on the other hand large
banking institutions were active in developing their internal models for risk assessment.
The difference between the Basel I approach and the advanced techniques for risk management used by banks was thus increasing. Besides, the interbank competition became more
intense, arbitrage and securitization strategies more sophisticated (Tarullo, 2004, [86]).
The first Consultative Paper (CP1), containing the set of modifications of the 1988 Basel
Accord, was released in June 1999. CP2 came out in 2001 and included some adjustments
to the previous paper. In 2003 the Committee issued CP3 and in 2004 the Proposal was

16

finalized and published. This work lasted for more than six years and involved three
Quantitative Impact Studies (QIS)18 (Balthazar, 2006, [7]).

Consultative Papers
CP1 was mostly an extensive version of Basel I. It revised some issues like capital charges
to operational risk and interest risk for the banks, whose exposure there was substantial.
The Committee introduced a three-pillar approach, where the first pillar contained the
capital rules, the second was about the supervision process and the third was dealing with
the market discipline. This framework allowed supervisors to ask banks to hold more capital, above the stated minimum. It was also possible for authorities to demand higher
transparency to better assess bank risk positions. The methodology was still in its raw
form, but the new outline was already visible. The most controversial innovation of the
concept was the suggestion to use external ratings from the credit assessment institutions
like Moodys and Standard&Poors. Their ratings would be used as a basis to categorize the
borrowers to a particular risk bucket. One additional risk bucket of 150% would be created,
compared to Basel I, but this new credit rating approach would allow risk differentiation
among corporate, sovereign and bank borrowers. The rest of the CP1 content were mainly
minor changes which addressed other deficiencies of the first Accord.
CP2 went a lot further, defining the character of the Basel Accords anew. It proposed the
internal ratings-based approach (IRB), introducing two IRB methodologies for small and
medium-sized institutions respectively. A-IRB19 implied that the banks could use their own
techniques to estimate the probability of default of their exposures. Once the values were
calculated, they would be converted into risk-weights, according to the regulative formulas.
However some minimum requirements relating to the internal rating, credit assessment,
and disclosure practices had to be fulfilled if the bank wanted to use the IRB approach.
For A-IRB there was a special set of rules, which concerned the calculation of exposure in
the event of default, possible loss, and maturity of the exposure.
The response of the banks regarding the IRB capital regulation was positive in the beginning, while many academics were skeptical whether this approach was an appropriate
18

QIS were conducted to collect the data for evaluation of the new capital requirements for different
types of banks. The regulators aimed to keep the level of capital in the banking sector as close as possible
to the current one (Balthazar, 2006, [7]).
19
Foundational internal ratings-based (F-IRB) approach was meant for wider range of banks, whereas
A-IRB was applicable only to some big banks, which could comply with the prerequisits (Tarullo, 2004,
[86]).

17

measure. There were also complaints that the banks would have to disclose proprietary information to be eligible for the use of internal estimates. But the most important comment
from the bankers side was the expected increase of regulatory capital under CP2 proposal.
As the first two papers contained a lot of disputable and incomplete features, the committee
decided to review the requirements for the third time. Based on the results of QIS-3, the
CP3 included, beside some modifications to the Pillar 1, major changes on retail exposures,
small business lending, operational and credit risk and asset securitization. That was the
last discussion paper before the final version of the second Basel Accord was released in
2004 (Tarullo, 2004, [86]).

Structure of the Accord

In the new Basel framework capital requirements were only part of the three-pillars concept, which aimed to secure banks robustness and health. Beside the capital regulation, the
committee empathized the necessity to consider supervisory approach as well as diclosure
practices in the Basel Accords.
Pillar 1 (reviewed later in detail) was dedicated to the minimum capital requirements,
updating the solvency ratio from 1988. The committee kept RWA as a main estimate to
control capital buffer and carried over the 4% and 8% minimum ratios from Basel I. But
the way to weigh assets was adjusted, introducing different versions of the IRB approach.
The values, rather than rough estimates as before, now were bound to the internal capital
estimates. Depending on the size and complexity the banks could choose the way to compute their RWA for credit risk. The more sophisticated models consumed less capital but
required stricter prerequisites, motivating banks to improve their risk management.
Pillar 1 newly considered operational risk by setting explicit capital requirements for risks
of possible errors in internal processes, frauds, IT problems, etc. Here the banks could also
choose the most suitable approach according to its individual characteristics.
Pillar 2 based supervisory review on four main principles:
The banks were required to adopt a process for assessing their capital requirements
relative to their individual risk profile
This process would be evaluated by supervisors, eligible to take corrective actions
The banks were expected to hold capital beyond the scope of the Pillar 1 minimum
and the regulators would be able to enforce this in case of non-compliance

18

 Supervisors were authoritized to intervene as soon as possible to prevent drastic

reduction of capital to ensure banks riskresilience
Pillar 3 defined core and supplementary disclosures for banks and a set of disciplinary
measures for supervisors. Banks had to release publicly at least twice a year comprehensive
reports on their internal risk management and implementation of Basel II. The requirement
roused many discussions as the list of items to be published was rather extensive. (Jackson,
2001,[48]; Balthazar, 2006, [7]).

Basel II: Pillar I in Detail

Credit Risk: Unstructured Exposures
Under the standardized approach (SA) the banks calculated their RWA based not only
on the counterparty types, but also on the estimates of the external rating agencies. The
list of the recognized External Credit Assessment Institutions (ECAI) was provided by the
regulators, who examined the rating companies on their objectivity, resources, credibility
and other relevant parameters. Later these ratings were mapped on the S&P international
rating scale and converted into riskweights. This simple application of the Accord was
created primarily for the smaller, less sophisticated banks. (Table 4.2)
The categories of risk for the RWA-calculation included: sovereign20 , Public Sector Entities
(PSE)21 , Multilateral Development Banks (MDB)22 , banks23 , corporate24 , retail25 , credits
secured by residential property26 , credits secured by commercial real estate27 , past due
loans28 , other assets29 , off-balance sheet items30 .
20

Exposures on countries were now considered according to their rating independently if they belong to
the OECD group.
21
The authorities could weigh non-central government PSE as banks or as sovereigns, depending on their
tax status.
22
Fulfilling certain criteria, these banks coild benefit from a 0% RWA, otherwise they fall in bankscategory.
23
Two possible options: to weight one risk-unit more than is given on their country or to use the banks
rating. The category also includes security firms (except for RWA-calculation treated as corporate).
24
The category includes insurance companies.
25
The claim of a person or a small business, in the form of a retail product, not concentrated in the
portfolio and not more than EUR 1m.
26
Fully secured claims, where only borrower could use the property.
27
The Committee recommended to apply a risk-weight of minimum 100% with possible exceptions to
mature and well-developed markets.
28
Loans past due for longer than 90 days were risk-weighted according to their provisioning.
29
100% risk-weight.
30
Similar treatment as in Basel I.

19

Another issue covered by the Standardized Approach was the so-called Credit Risk Mitigation (CRM). This was designed as a set of techniques the bank can apply to reduce
its credit risk. That included collaterals, guarantees or hedging with credit derivatives.
There were also several methods to integrate collaterals into RWA calculation: simple and
comprehensive approaches. Thus the bank, depending on the collateral31 , had either to
cover the exposure through the security with a minimum risk-weight of 20% or to apply
haircuts to take time value into account. For this purpose, the SA provided a formula for
computing the adjusted value of collateral:

AE = max(0; [E (1 + (He ) Hc Hf x)])

(1.2)

where
AE = Adjusted exposure
E = Original exposure
He = Haircut of the exposure
C = Collateral value
Hc = Haircut for collateral type
Hfx = Haircut for currency mismatch
Source: Balthazar, 2006 [7]
The bank could make the estimations using supervisory or its own haircuts. In the latter
case, it was necessary to comply with certain qualitative and quantitative criteria.
IRB Approaches32 allowed banks to classify their assets based on the internal models for
credit risk. The regulators prescribed some key parameters33 that had to be used in the
formulas, whereas the others could be estimated internally. Exposure had to be assigned
to one of the six categories, which included corporate, sovereign, bank, retail, equity and
31

Simple approach was applicable to cash on deposits, gold, debt securities with particular minimum
rating, some unrated debt securities, equities included in a main index, Undertakings for Collective Investments in Transferable Securities (UCITS) and mutual funds under specified restrictions. Equities, not
included in a main index but from a recognized exhange, UCITS and mutual funds containing these equities
were the subject for the Comprehensive computation (Balthazar, 2006 [7], for more information see BIS,
2004, [11]
32
Include Foundation-IRB and Advanced-IRB approaches. The difference lied in the definition of the
input variables. Both models allow to use banks own PD parameters, but only under the A-IRB was
possible to estimate own LGD and EAD (Nomura, 2005, [70]).
33
Key inputs included: probability of default (PD), loss given default (LGD), exposure at default (EAD),
maturity (M), asset correlation (p) and confidence interval (CI) (Balthazar, 2006 [7].

20

purchased receivables exposures. The treatment was accordingly more comprehensive as

by the Standardized Approach, including specific risk-weighting functions and complex
computations. Under this approach, calculation of minimum capital was based on the
LGD-distribution in a portfolio of loans or similar instruments within one year. The confidence level was chosen at 99.9% and only unexpected losses could be covered. (Balthazar,
2006,[7]; Nomura, 2005, [70]).
Credit Risk: Securitization
The regulators attempted to set stricter rules to the techniques close to capital arbitrage
in the second Accord. But the task was rather difficult due to the high complexity of the
securitization structures and the increasing sophistication of banks in using these tools. In
general, Basel II addressed both traditional34 and synthetic securitization35 . Banks could
again make use of standardized or IRB approaches. In the first case, risk weights are based
on rating of the position. Unrated exposures had to be deducted from the capital with
several exceptions36 . Banks using internal ratings had to comply with the following rules:
for rated exposures risk weights must be based on ratings based approach (RBA)
for unrated exposures - internal assessment (IA) possible if specified conditions met;
otherwise supervisory formula (SF), if inputs could be determined
if exposures are unrated and earlier mentioned methods are unavailable, banks can
apply look through exceptional approach with regulatory approval and on temporary basis
in other cases the exposure must be deducted from the capital
(Balthazar, 2006,[7]; GS, 2005, [78]).
Operational Risk
This was a new subject to Basel capital requirements. Three different approaches were
considered for the calculation of a bank capital ratio for operational risk:
34

In traditional securitization the cash flows from an underlying pool service at least two different
tranches. In case of default, the lower tranches would absorb losses while the others were left untouched
(Balthazar, 2006, [7]).
35
The underlyings of this structure are not explicitly taken out of the balance sheet and only credit risk
is backed by funded or unfunded credit derivatives (Balthazar, 2006, [7]).
36
In case of: most senior exposure, second-loss position or better, liquidity facilities (GS, 2005, [78]).

21

 Basic Indicator Approach (BIA)

The simplest method, assuming that the amount of operational risk is proportional
to the size of banking activities. Thus the requirement was set at 15% of the bank
average gross annual income over the last three years.
Standardized Approach (SA)
Here, banks three-year-average gross income was categorized into eight different business lines: corporate finance, trading and sales, retail banking, commercial banking,
payment and settlement, agency services, asset management and retail brokerage.
The capital charge had to be calculated for each line by multiplying the corresponding gross income by a factor assigned to that line by the Basel Committee. The total
capital requirement for operational risk would be the sum of the individual capital
requirements calculated for all business lines.
Advanced Measurement Approach (AMA)
A more sophisticated method, which implied that banks would use their own operational risk management systems. These systems had to consider actual internal and
external loss data, scenario analysis and factors of the bank environment and internal
mechanisms.
(Balthazar, 2006,[7]; Nomura, 2005, [70]).

Evaluation of Basel II
The new Accord shifted the focus of banking executives on economic versus regulatory capital management, measuring their performance against risk factors instead of market share
or expected return. A change for a system based on bank internal risk models has a potential for enhancing bank safety and proper working. That is because under this regulatory
approach banks would develop greater risk sensitivity and would be able to manage their
capital according to the requirements and credit exposures much closer to the actual risks.
The IRB model was the major innovation in the Basel II Capital Accord, which received
a lot of praise as well as many critical comments. Several assumptions taken in Basel II
have been questioned by many academics and practitioners. For example the new concept
assumed that banks were in advantageous position compared to the supervisors concerning the resources and expertise for the best possible risk assessment (Tarullo, 2004,[86];
KPMG, 2003, [58]). Being to a large extent true, this proposition increases the power of
banking institutions by decentralizing risk management process, which if exaggerated can

22

have rather negative consequences like the last financial crisis demonstrated.
There were also some problems related directly to Pillar 1. One of them Gordy (2003, [?])
calls portfolio invariance. A specified mathematical model, based on Mertons Theory37 ,
represents the core of the risk-weighting formulas of the second Capital Accord. This model
is restricted with the assumption of an invariant portfolio, meaning that the required capital depends only on the risk of the loans it backs and not on the portfolio to which it is
added (Atkinson, 2010, [6]). In other words, it is assumed that the banks credit portfolio
is infinitely finegrained in the sense that any single obligor represents a negligible share of
the portfolios total exposure, and that a single, common systematic risk factor derives all
dependence across credit losses in the portfolio (Gordy, 2004, [43]). Being a compromise
for the sake of easier global applicability, it has an important consequence on ignoring the
diversification effect which can influence the portfolio risk substantially. Thus the required
capital ratio is a linear function of the asset type it has to back, independent of the amount
of the exposure. Technically, the IRB approach and the model it uses, are based on the
asymptotic single-risk-factor (ASRF)38 . This model has an important implication for credit
VaR39 of the portfolio as it allows to make calculations using only exposurespecific parameters, such as PD, LGD and a common factor, reducing computational complexity.
According to Gordy (2003, [?]), each exposures contribution to VaR is portfolio invariant
only if: (a) dependence across exposures is driven by a single systemic risk factor - a global
risk factor [...] and (b) each exposure is small. The last financial crisis proved that exposures can be very large and emerge in the national (vs. global) market (Atkinson, 2010,
[6]).
In the context of securitization, the ASRF implies capital neutrality, meaning that the
sum of the economic charges for individual tranches of a securitization equals the economic
capital for the underlying collateral pool (Gordy, 2004, [43]).
37

The model to compute the correlation of default risk in the portfolio is based on one of the theories of
the Nobel Prize winner, Robert Meron. He specified certain default-generating processes and used them to
predict the defaults, adding such variables as estimation of assets returns and their volatility. Assuming
normal distribution, one can calculate the estimated probability of default (Balthazar, 2006,[7]).
38
Under the ASRF framework correlations in realised losses across exposures are assumed to be driven
by a single systematic risk factor meant to capture the effects of unexpected changes in economic conditions.
It can be shown that given this dependence assumption the loss rate for a well- diversified credit portfolio
depends only on the systematic factor, and not on idiosyncratic risk factors associated with individual
exposures. Furthermore, the total economic resources (both capital and provisions) that a bank must
maintain in order to satisfy a portfolio-wide Value-at-Risk (VaR) target can be determined by estimating
the sum of the conditional expected losses (CEL) associated with each exposure in the portfolio (BIS,
2004b, [10]).
39
Value-at-risk defines the maximum default loss with a given probability over a given horizon.

23

The ASRF model was heavily criticized for producing specification errors. The core of the
argument lied in the assumption that a single common factor could determine the systematic element of credit risk. The portfolio was taken as highly grained, diversifying away
all idiosyncratic risk components. Moreover, the model restrictions made it impossible to
consider any single exposure independently. However, to calibrate the model one needs the
information about the portfolio correlation structure or the common factor itself to estimate the exposure-specific dependence on the common factor. When there is not enough
information, the model could be flawy calibrated leading to more errors in measuring portfolio credit risk40 (Tarashev, 2008,[85]).
Another point of criticism relates to the risk-weighting approach which gives incentives to
concentration of low-weighted assets (sovereign debt, mortgages and interbank lending) in
the portfolio. Emerging at the same period of time as the Basel Rules, Credit Default
Swaps (CDS) made it possible to go short in credit contracts, a practice not allowed in the
past. The banks exploited the opportunity of risk-derivatives, transforming the basic idea
of capital weights.
Some argue that both Basel Accords did not pay enough attention to off-balance sheet
exposures and securitization issues, which subsequently led to huge counterparty risks and
global contagion.
A significant number of arguments points at the pro-cyclicality of the Basel capital regulations. The basic claim is that people tend to underestimate risks in good times and
overestimate them in bad times. As an example, the amount of debt held by banks usually
fluctuates with the market values and if the latter are not fairly priced, reflecting future
cash flows, the pro-cyclicality may result. Bank counterparty and risk management are
stricter in bad times, but looser when the economic conditions are getting better. Compensation schemes are designed in the way that endorse short-term orientation, but is not
particularly suitable over the whole business cycle.
According to Kane (2006, [53]), the negotiations of Basel II were very complex due to
the multiple financial institutions and regulatory committees, which caused many simplifications and compromise solutions to difficult issues. Banks looking for the loopholes
in the regulations could manipulate rather subjective risk inputs41 to reduce the amount
40

Basel II ignores calibrationg problems, assuming that the level of PD can fully determine firm-specific
dependence on the single common factor (Tarashev, 2008,[85]).
41
For example, over-the-counter exposures are difficult to price and there is usually not enough historical
data on that kind of instruments (Atkinson, 2010, [6]).

24

of required capital. For that purpose Pillar 2 and Pillar 3 were introduced as a marketcontrolling mechanism, but the problem was not resolved. The idea of bank fully disclosure
and transparency under the fear of punishment has its justification in efficient market hypothesis, which assumes rational behavior of market participants. If the markets are not
efficient and suffer from information deficiency, the possibility of financial bubbles and systemic pro-cyclicality is not unthinkable(Atkinson, 2010, [6]).
There were also the debates regarding an increasing involvement of rating agencies. The
cornerstone is that non-rated entities could be uniformly charged at the conditions of the
old Accord and only the rated ones are the subject to improved capital allocation. Whereas
the US and European banks could use the IRB approach, banks in developing countries
would probably not. For the risky firm, rated BB or below there was a clear incentive to
avoid the official rating procedure and to remain unrated, making use of lower risk weights
and so to reduce the cost of capital. The rating agencies even created such services as
preliminary rating without public disclosure (Danielsson et.al., 2001,[19]).
Summing up on Basel II, one can say that there are many critical opinions, the most
critical related to the sub-prime and the last systemic crisis. Most of the arguments contain
valuable inputs and suggestions, but those who ascribe all the failures of the last years to
the Capital Accords are certainly mistaken. There always has to be somebody to blame
and in this case it is Basel II, which stands out as one of the most influential regulatory
frameworks. But is it the rules, that are falsely composed or the underlying models or
the use of the models in these rules or the implementation of the rules altogether? There
is probably no answer to this question for the present system is of such an exponentially
increasing complexity, that it becomes impossible to single out some particular factor that
caused the damage. Every proposal in the regulation can be imagined as a vector that can
point either in one or in opposite direction and until we open the box, both destinations
are simultaneously reached. The metaphor from the quantum world can be a little bit
far-fetched but it also shows that it is not straightforward to predict the outcome of the
experiment 42 . Unfortunately the costs of the field research here are too big to be ignored.
The quality and intensity of responsibility has to be much higher than in many other areas.
Thus the regulators should be committed to find the best staff, best instruments and best
control mechanisms to improve the system. That is probably the only thing they can do,
but this is a lot.
42

Relates to the Schr

odingers cat thought experiment and a concept of quantum superposition.

25

1.5

Basel III

At November 2010 Summit in Seoul, the Group of Twenty43 approved the new capital
adequacy framework, named Basel III. In December 2010 and January 2011 the latest
recommendations of the Basel Committee on Banking Supervision (BCBS) were published.
The revision of the existing capital rules was triggered by the financial crisis of 2008200944 ,
which revealed many areas that needed further improvement and correction. Though the
Initiative is still in its developing phase45 , the core principles have been already set.
The regulation attempts to increase the safety of the banking system by strengthening its
focus on capital, additionally turning its attention to the liquidity management. In general,
the new rules may be divided into 6 major statements:
1. increased quality of capital
2. increased quantity of capital
3. reduced leverage
4. increased short-term liquidity coverage
5. increased long-term balance sheet funding
6. strengthened risk capture, particularly counterparty risk
For the comparison overview between three Basel Accords see Table 4.3. For the timeline
of Basel III implementation - Table 4.4

Features in Review
1. tighter numerator
The deductions, earlier related to the total capital, now has to be imputed to the
common equity component of Tier 1. The higher subtraction percentage will apply
to equity stakes in other banks, insurance companies, financial companies and other
debt-like instruments if these stakes exceed 10% of the owners bank common equity
in aggregate. Under Basel II most of them were only 50% deductible. The elements
43

G-20 countries include: Argentina, Australia, Brazil, Canada, China, France, Germany, India, Indonesia, Italy, Japan, Mexico, Russia, Saudi Arabia, South Africa, Republic of Korea, Turkey, the UK, the USA
and the EU as the 20th memeber.
44
The dates vary depending on the source.
45
Mostly related to the treatment of Systemically Important Financial Institutions (SIFIs), a.k.a. toobig-to-fail.

26

of Tier 1 or Tier 2, not anymore eligible to belong to either category because of

their weak loss-absorbing capacity, will be eliminated by consecutive 10% tranches
annually from 2013 to 2023. Only Tier 1- carve outs are estimated to be around 25
- 40%. The amount of goodwill and deferred tax assets have to be carefully managed
by large banks being under the light of regulative attention. As the new requirements
are already discounted by markets, the banks would probably try to restructure their
balance sheets as soon as possible.
2. more is better
The last crisis exposed the fact, that the core capital was insufficient to absorb losses.
This led to the stricter definition of capital, meaning that common equity Tier
1 (instead of core Tier 1) now comprises common shares and retained earnings
only. This is set to be 7% now, where 4.5% comes from minimum common equity
(2% under Basel II) and 2.5% from capital conservation buffer. The total capital
(including conservation buffer) has to be raised to 10.5% (vs. 8% under Basel II),
whereas Tier 1 has to constitute at least 6%. The capital conservation buffer should
help to prevent cyclicality by gaining additional slack through the periods of growth.
It is also possible that the banks, especially SIFIs may face total capital requirements
of 13 - 15% due to further revisions and BCBS add-ons.
3. less greed
The key message is that leverage can not exceed the limit of 3%, meaning that a bank
total assets (on- and off-balance sheet) should not be more than 33 times the bank
own capital. These ratios will be set in force in 2018 and starting from 2013, the
banks will be monitored on leverage data. The ratio has to be on a gross, unweighted
basis and not consider risks related to the assets. Taking into account the fact, that
the market or rating agencies can put pressure on banks to maintain a higher leverage
ratio than officially required, one can expect that the banks would look for riskier
return opportunities and to sell low margin assets (e.g. mortgages), driving the prices
down.
4. take care of liquidity
The Liquidity Coverage Ratio (LCR) was introduced to secure short-term resilience
to potential problems. Basically, banks have to sustain high-quality liquid assets
(HQLA) to cover 30 days net outflows following a short-term liquidity crisis. HQLA
have to amount to at least 100% of net outflows and are categorized into Level 1
and Level 2 assets. The first class contains cash, reserves held at the central bank
and sovereign bonds or items rated at least AA. The second class includes sovereign

27

bonds or similar products rated between A and A+, corporate and covered bonds
with the rating of minimum AA. Beside that, Level 2 assets are restricted to 40%
of HQLA after a 15% haircut. As an implication for these measures, the risk of bank
run should be reduced, improving the stability in the markets. However for banks
this can mean lower profitability, as they have to hold more liquid, low-yield assets.

5. healthy balance sheet, healthy spirit

By adopting the Net Stable Funding Ratio (NSFR), the Basel Committee intended to
decrease bank dependency on short-term funding and protect them from the consequences of a longer-term liquidity crisis. Basel III demands that weighted assets with
maturity longer than one year, as well as some off-balance sheet exposures, are 100%
covered by long-term stable funding. Generally, the weighting factors for assets vary
from 0% and 5% for cash and government bonds respectively, to 65% for mortgages,
85% for retail loans, and 100% for other assets. The liabilities for stable funding are
determined through weighting factors from 100% for Tier 1 capital to 90% for core
retail deposits and 50% for unsecured wholesale funding and ECB funding at 0%.
As a result, banks would probably rely less on their short-term funding and increasing
the stability of the funding mix. But they would need to pile up more of wholesale
and corporate deposits with maturities longer than one year and the demand for
term debt is rather limited right now. That can lead to higher funding costs. The
competition could be weakened because stronger banks with higher NSFR could try
to influence market prices for assets, the option weaker banks would not be able to use.

6. beware of Lehman
The Counterparty Credit Risk (CCR) management should be particularly taken care
of. The focus lies on the risk on derivative exposures and in order to deal with
this issue, the Committee introduced the concept of Credit Valuation Adjustments
(CVA) capital charge and a central counterparty for the treatment of market-tomarket counterparty risk. For the calibration of CCR-modeling some banks will be
permitted to use Internal Model Methods (IMM). These banks will need to integrate
the changes in the counterparty credit spreads in their calculations, which will result
in an additional capital charge.
According to the Standard&Poors research, this approach has several calibration
issues. Their calculations show that the banks can expect additional capital charge
of about 15%-20% of total regulatory Exposure-at-Default (EAD). Combined with

28

other requirements this would mean the total capital charge for counterparty risk at a
level between 20% and 25% of EAD (2.5% - 4% under Basel II), which is a big increase.
The researchers mention also other potential problems like incentives for banks to use
qualified clearing houses for OTC derivative transactions more frequently, as they are
not expected to make capital charges. This increased concentration at central clearing
houses under the risk-free assumption (zero capital charge) can expose the system to
further potential risks. There is also a possibility that banks would try to push OTC
derivative transactions through unregulated channels (such as hedge funds) when the
transactions through regulated institutions became too capital expensive.
Sources: BIS, 2011,[12]; BNP Paribas, 2011,[72] ; KPMG, 2011,[59]; S&P, 2010,[83]; McKinsey&Company, 2010,[61].

Future of Basel III

Basel III is a big challenge for banks as well as for supervisors and regulators. Not all
requirements are definitely set yet and the implementation is still in its earliest phase. But
the transition period is rather long, so that the banks can start monitoring their ratios
well before the deadline in 2019. Many banks intend to comply with the requirements
even sooner to reassure the markets and rating agencies in their credibility. The impact on
banks however is not expected to be equal for different lines of business.
Retail banking would be probably least affected by the new rules. But if so, they would
not be very flexible in their response possibilities, being rather sensible to repricing, cost
cutting and other changes in business activity. Most influential will be those changes, that
affect the entire bank, such as higher capital and liquidity requirements. Especially new
capital ratios can be significant, as most retail banks in recent years could profit from lower
capital ratios than wholesale banks. Increase in target ratios for high-risk segments can
cause an increase in costs of up to 70 basis points. Given that for some consumer finance
segments repricing may be difficult, the option of banks to pass the higher costs on to
customers may not be easy to realise.
Corporate banking would also have limited consequences, like retail banking, mostly due
to increased capital target ratios. Many standard corporate banking products, like longterm corporate loans and long-term asset-based finance businesses my be affected, facing
higher funding costs. Higher liquidity requirements will cause a cost increase in uncommitted credit and liquidity lines to both financial institutions and corporates. This, given
the difficulties in passing on the cost increases, can lead to a reduction in profitability and

29

a reduction of capital being allocated to these businesses. There could also be a change
in client relationships, as the active portfolio management will be more difficult because of
new constraints on hedging and capital markets transactions.
But most affected will be investment banks with their broad capital market activities.
The regulative interventions, including new capital treatment, new leverage ratio, limited
netting and new funding requirements for trading portfolios, are expected to have a big
impact on trading business. Particularly three areas of activity have to be mentioned here.
OTC derivatives
There are two major effects for this type of business. On one side, banks will have to
hold more capital for market risk46 . On the other side, newly adopted CVAs demand
that banks hold more capital for counterparty credit risk. The credit valuation adjustments are estimated by McKinsey (2010,[61]) to increase RWA by a factor of 3,
in addition to other changes in marketrisk charges. Together with liquidity requirements this may result in a raise of costs by significant 85 basis points on the market
value of unnetted, uncollateralized positions on average. Lower-rated counterparties,
as well as the ones with limited netting ability, will be most sensitive to changes.
Banks would have to look for ways to compensate for higher costs, demanding better
collateral and netting agreements and moving some businesses to central counterparty
clearing platforms.
Cash trading
Here profitability will be negatively affected by higher inventory costs, particularly
the funding requirements on lower-rated assets. This can lead to a widening of bidask spreads from 1 to 10 basis points, which will already be affected by higher hedge
costs from OTC derivatives, shifting some trading activity toward exchanges.
Securitizations
Overall changes in this business could drive up capital ratios by a factor up to ten.
First, the investors, buying a piece of a new securitization, will have to make sure
in the future, that the originator holds at least 5% of all securitizations it created.
Second, there could be a threefold increase in capital requirements in regard to resecuritzation as well. And third, in contrast to Basel II, which required to deduct
securitizations with a low rating (below BB) from capital (50% as Tier 1 and 50% as
46

The stressed VaR, the incremental risk charge (IRC), and the comprehensive risk measure (CRM) for
correlation trading under the EUs Capital Requirement Directive III (CRD III) are to be mentioned here
(McKinsey, 2010,[61]).

30

Tier 2 were allowed), Basel III weighs 1.250% on such securitizations47 . Along with
the increased capital ratio, this amounts to a substantially higher capital ratios (40 100% higher for capital deduction items). In some cases the required Tier 1 capital
would exceed the nominal value of the securitization48 .
Sources: BIS, 2011,[12]; KPMG, 2011,[59]; McKinsey&Company, 2010,[61].
The new Basel rules seem to become a monumental task for banks, who will have to
reorganize a large part of its process flows. It is not surprising that many executives find the
new requirements absurdly high and impossible to comply with. In fact they are high, but
if appropriate and doable, that is another question. Where should one find a line between
prudential restriction and exaggerated precaution, eventually leading to evolutionary halt?
Perhaps, that is the purpose of the experiment, making incremental steps and observing
how the environment reacts. This grand experiment with far-reaching consequences might
be assigned to a high riskweighted category itself. But the most important task is to make
the experiment survivable, exactly mentioned by Harford (2011,[45]): The financial crisis
was so traumatic that it is tempting simply to conclude that all banking risks should be
legislated out of existence, with fancy financial instruments outlawed, and banks compelled
to hold gigantic capital cushions. But that would take for granted - and threaten - the
benefits we now enjoy from banking. The end of error in finance would also be the end of
new ideas, and indeed of most banking as we know it. [...] As in any other sector, some
innovations in finance will inevitably fail. And as in any other sector, those inevitable
failures are a price well worth paying for innovations that succeed - but only if the failures
are survivable.

47

Basel II allowed banks to choose between two options for low or unrated securitizations: to place a
risk weighting of 1.250% (which would require a minimum regulatory capital of the nominal value, but an
actual capital of 1.250% multiplied with the bank internal target ratio, which is usually above 8%, results
in actual capital requirement above the nominal value) or to deduct capital (50% from Tier 1 and 50%
from Tier 2) Most banks however chose the second option for it affected capital ratios less (McKinsey,
2010,[61]).
48
1.250% multiplied with the new minimum of 8.5% yields capital requirement of 106% of the nominal
value. Assuming, the required minimum will be increased, the required ratio can rise beyond 140%. Such
high percentages could cause controversial discussions and suggestions to revise the rule.

31

2
Debt vs Equity
As Ive got into the paper and finally figured out the essential idea, I said that
it was the simplest thing in the world, but one of those simple things that has
consequences that go on forever, both in scope and in time.
- Stewart Myers about M&M

2.1

The Logic of Miller and Modigliani

To draw a straight line we are better off by using a ruler, so that minimizing the distortions, we can at some point accept the line as perfectly straight. If we are to make it
by hand, the bias will be a function of many factors: shaking hand, smoothness of the
surface and continuity of ink. If one of these parameters performed at its worst for whatever reason or if somebody constantly pushed our hand in order to support it the best
sake, we would probably have big chances of ending up with some zigzag approximation
of the desired result. It is however not a problem if we take the ruler, measure the errors
and after neutralizing the obstacles try to correct the line. There is also another way of
handling the problem. We can look at it and say that it was meant to be a zigzag after
all. That the world is designed in such a way that it is much more advantageous to have
a zigzag in the end, that it perfectly fits the circumstances and a straight line though nice
and correct just too hard to get. May be it is an acceptable solution but not in case if
this line is a part of the architects draft for the building. It is even worse if it is a skyscraper.
If to assume that there exists a perfect world with frictionless markets, full information, no
transaction or bankruptcy costs and an absence of taxes, then firms decision how to finance
itself, with debt or equity, should not matter for the firms value. This was a quantum step
of Miller and Modigliani (1958, [66]) in the development of finance and can serve many as
a ruler to build a straight line of argument for further emerging problems. As mentioned
in the beginning of the thesis, the utility of the proposition is at its highest if we take it
reverse. Which of the idealistic assumptions have to fail in order to produce a zigzag or
when does the financial structure matter? This question has to be answered in order to
understand why many perceive equity as so much more expensive than debt and how we

32

should correctly estimate the cost of capital.

Does M&M Apply to Banks?

Repeatedly mentioned in the context of optimal capital structure, this sentence is still used
in the question form. The answer has not yet been agreed upon. To examine why and if it
is possible at all, it would make sense to look at the nature of the question and to define a
departure point. Basically it seems important to distinguish between to apply and to
hold. The Proposition may apply but not hold for banks1 . The apply question would
sound like: is it possible that under the perfect market conditions, a value of a bank is
independent from its structure? The hold question goes further: if we omitted the assumptions of the frictionless world one after another, is the form of financing still irrelevant
for the cost of capital? To see if we have to answer the second question, it is important to
examine the first.
What would it mean if M&M were applicable to banks? This would in some respect equal
banks with firms, making it possible to consider them as allequity financed entities and
to prove the Proposition in the same way as for the firms2 . The problem here is that banks
are not firms, sometimes even exactly the opposite in their functions. While the corporate
institution usually represents a borrower, banks provide lending opportunities. The very
existence of banking is justified by fulfilling among other functions, the maturity transformation, converting short-term liabilities into long-term assets3 . Being all-equity-financed,
the banks would not be able to perform this activity anymore. Miller (1995,[65]) argues in
his article Do the M&M Propositions Apply to Banks? that it is well imaginable, that
the bank is financed exclusively with equity. He claims, that if an equity financed bank is
not profitable, the additional debt would not make it better, due to the added risk, which
will offset the increased return. This may be true, but it still does not mean the bank can
1

One can imagine these questions as two sets, where hold is a subset of apply. More exact, apply
would be necessary condition for hold whereas hold - sufficient for apply.
2
The original proof for M&M Irrelevance Proposition is based on arbitrage, meaning that if levered
firms were undervalued relative to unlevered ones, the arbitrager were able to undo the leverage by
buying an appropriate portion of both the levered firms debt and its shares. On a consolidated basis, the
interest paid by the firm cancels against the interest received and the arbitrager thus owned a pure equity
stream. Unlevered corporate equity streams could in turn be relevered by borrowing on individual account
if unlevered streams ever sold at a discount relative to levered corporate equity. (M. Miller, 1988,[65]
That possibility of homemade leverage by individual investors could be used in the case of banks.
3
More about functions of financial intermediaries for example by Gorton and Winton, 2002[44] or various
articles of D. Diamond about bank capital, liquidity and monitoring.

33

exist as a financial intermediary according to its definition4 . However it is not a reason to

dismiss the idea of M&M for banks, it may be useful to adjust it for banks. This could
be for example an assumption of some minimum amount of leverage for a bank to fulfill
its functions in full spectrum. Another point concerns the perfect market, where there is
no theoretical justification for financial intermediaries5 . In this case one has to consider to
make certain assumptions as well6 . But in spite of that, the question of how much leverage
is appropriate for banks fits very good in the M&M framework.
Assuming the specifics of banks are considered and adjustments are made accordingly, the
banks and the firms have a common denominator now and we can apply the Proposition to
banks. Starting from this platform we can deal with the question to hold, which is the
same as for the firms. Due to the peculiarities of banks however, the extent to which it holds
can be different. Some factors may play a bigger role and offset the Irrelevance Proposition
in a much larger extent. In their recent article Miles et. al. (2011,[63]) formulate this notion
as following: There are several reasons why the theorem is not likely to hold exactly for
banks, though to jump to the conclusion that the basic mechanism underlying the theorem
- that equity is more risky the higher is leverage - is irrelevant would certainly be a mistake.
The key question is to what extent there is an offset to the impact upon a bank overall cost
of funds of using more equity because the risk of that equity is reduced and so the return it
needs to offer is lowered. Supporting this point of view, Pfleiderer (2010,[74]) claims that
the insights of Modigliani and Miller are extremely relevant to discussions about banking
and bank capital regulation. [...] the pure-form irrelevancy proposition does not apply to
any firm. But that does not mean that one can dismiss Modigliani and Miller. The M&M
Irrelevancy Proposition gives rise to an immediate corollary, which is extremely important
and can be applied specifically to banks:If changes in leverage or capital requirements affect the value created by banks, then it must be because one or more market frictions exist
that are affected by leverage and capital requirements.
4

Financial intermediary exists to connect surplus and deficit agents by transforming bank deposits into
bank loans. Functions of a bank as a financial intermediary include delegated monitoring, information production, consumption smoothing providing of liquidity and commitment mechanisms (Gorton, 2002,[44]).
5
Financial intermediaries exist because the markets are not frictionless and their role is to facilitate the
communication between lenders and borrowers, who due to the imperfections cannot interact seamlessly.
One important reason is the notion of asymmetric information. According to Diamond (1984,[25]) an
intermediary (such as a bank) is delegated the task of costly monitoring of loan contracts written with firms
who borrow from it. It has a gross cost advantage in collecting this information because the alternative is
either duplication of effort if each lender monitors directly, or a free-rider problem, in which case no lender
monitors. If there is a perfect market, there is no need to monitor, because neither party posseses an
informational advantage.
6
E.g. one has to assume the presence of incomplete information

34

2.2

Market Distortions Due to Government Interventions

There are generally two ways how government participates in financial decisions of banks:
through taxes and deposit guarantees. At this point it is important to mention two different
positions to look at it. One has to distinguish between private and social perspective, when
speaking about costs and benefits. The distinction is crucial because sometimes the interests
are mirror-inverted, and ignoring that can lead to confusion and wrong conclusions.

Taxes
A large amount of scientific literature provides evidence for taxes having a significant influence on the financial structure of corporations. According to Weichenrieder and Klautke
(2008,[90]), an increase of 10 percentage points in the corporate tax rate increases the
debt-asset ratio by 1.4 to 4.6 percentage points. This shift happens because of the taxdeductibility of debt, the quality equity financing was not granted with.
Back to the roots, Miller (1988,[65]) reviews in his paper The Modigliani-Miller Propositions After Thirty Years some notions made in the first article7 considered a progressive
tax system8 , which imposed double taxation of corporate net income. That means, first
a separate income tax is levied directly in the firm and then a second tax is levied at the
personal level on any income cash flows (e.g. dividends). But in the case of debt interest
payments are taken as a cost of doing business and therefore are allowed to be deducted
from corporate income. Thus double taxation does not take place, creating an advantage to
debt-financing in the form of a tax-shield effect. As this form of tax policy is currently dominating, such an asymmetric treatment of debt and equity leads to an opposition of stricter
capital requirements, which will reduce bank ability to exploit advantages of the tax-shield.
The concerns may be legitimate in this case, especially if to estimate solely private costs
and benefits. Because on the macro-scale this lost portion of taxes has not vanished,
it goes back to the government, offsetting any extra costs to banks9 . So it is not clear
7

Meant Modigliani and Miller (1958,[66]) The Cost of Capital, Corporation Finance and the Theory
of Investment.
8
in this thesis it is generally assumed that tax rate is progressive as it is in most countries
9
Assuming the collected taxes are not wasted by the government, but reinvested, contributing to the

35

that in estimating the wider economic cost of having banks using more equity, and less
debt, we should include the cost to banks of paying higher taxes (Miles et.al. (2011),[63]).
The same view supports Admati et. al.(2010,[3]), pointing out that from a public-policy
perspective, this effect [meant debt-advantage of tax-shield ] is irrelevant as it concerns only
the distribution of public money. They explain that the tax savings obtained by a bank,
reduce the government tax revenue, forcing a contraction in public spending or an increase
in taxes elsewhere. So that in the end, while the bank gains, the public loses as in the
typical zero-sum game10 . One can link this argument back to Miller (1977,[64]), who challenged the statement made in Miller & Modigliani (1988,[65]) that taxes are too large to
be ignored in the irrelevance proposition, saying that even in a world in which interest
payments are fully deductible in computing corporate income taxes, the value of the firm,
in equilibrium will still be independent of its capital structure. He incorporates personal
taxes into the model and, taking debt and equity as equally risky, illustrates his insight on
the market for corporate bonds.
Source: Miller, 1977 [64]

Figure 2.1: Equilibrium in the Market for Bonds

social wellfare.
10
Zero-sum game is a particular case in game theory where the gain or loss of one individual is exactly
balanced by the loss or gain of the other participating individual. If to sum up their total gains and losses,
the result will be zero. The outcome of the zero-sum situation is usually Pareto optimal, meaning that there
is no possible change, which would make one participant better off without leaving any other individual in
disadvantage.

36

Assuming for simplicity that there are only personal taxes on debt (personal taxes on income from shares are zero), Miller shows that the supply for bonds in this case is a flat line
re
and the demand is continuously increasing. The reason the supply curve rd is flat at (1T
c)
is because the firms are ready to offer debt as long as the after tax cost of it is less than or
equal to the after tax cost of equity: rd (1 Tc ) re . But the investors are willing to buy
these bonds only if their taxes on interest income are compensated by the rate of return.
So the rate of return on these bonds have to be high enough to be attractive for investors.
And this, in its turn, depends on the tax brackets investors are in. The demand curve is
thus upward sloping, implying continuous involvement of investors in higher and higher
tax brackets. The point of equilibrium is where fully tax-exempt bonds (usually sovereign)
are demanded by fully tax-exempt individuals, because only they can be satisfied with the
corresponding low rate of return. In Millers model this continuum of investors along the
supply curve is under the tax range of Tpd s from 0 to larger than Tc , where the last investor to buy a debt security is the one with the corporate tax brackets (Tpd = Tc ). Miller
concludes that if a firm offered an amount of bonds larger than the equilibrium amount,
re
, which would make it unprofitable for
the interest rate would have to be higher than (1T
c)
some levered firms. If the corporations were to issue less securities as what optimum suggests, the ability to pay low interest would drive up the demand for bonds, inducing firms
to lever up and thus the economy would end up in the equilibrium point again. In Millers
world, there is no optimum for individual firms, but for the sector as a whole, because
all-equity or low-levered firms would attract investors in high tax brackets, whereas firms
loaded with debt will find their clients in low tax brackets. But this are just different kinds
of investors with no advantage of one over another. So in this important sense it would
still be true that the value of any firm, in equilibrium, would be independent of its capital
structure, despite the deductibility of interest payments in computing corporate income
taxes (Miller, 1977,[64]). This also means that a firms debt/equity decision cannot be
considered in isolation. The debt of different firms are substitutes for each other. Equity
and debt with the same level of riskiness are also substitutes (Nyborg, 2011,[71]).
But Millers model is not the only one broadly accepted, it has to compete with others in
its attempt to explain how taxes may affect the cost of capital. Beside Miller & Modigliani,
there is another important theory, which found its place somewhere in between. DeAngelo
and Masulis (1980,[21]) offer a Compromise Theory, where they claim, that a firm can
increase its value by adding up debt, but the tax gain per unit of interest will be less than
the corporate tax rate. In this case the corporate tax shield will be a decreasing function
of borrowing, meaning that there is some tax advantage to debt. The economists came
to this conclusion by questioning the flatness of the supply curve, illustrated by Miller

37

(1978). They claim that in equilibrium firms are willing to issue debt as long as the after
tax cost of it is less than the after tax cost of equity: rd (1 Tc ) = re . This happens, they
argue, because firms do not possess an unlimited capacity to use tax shield, but they are
also in different tax brackets with corresponding (limited) capacity to benefit from taxdeductibility of debt (Nyborg, 2011,[71]).
It is therefore not a straightforward task to estimate the effect of taxes on the capital structure of a firm or a bank, which is a more relevant case in the context of this thesis, assuming
M&M applies to banks. It does not seem possible yet to calculate the sensitivity of the
tax advantage of debt exactly. The theories differ as does the empirical evidence, ranging
from large size of tax advantage (Fama and French, 1998,[34]) to small (Kemsley and
Nissim, 2002,[56]). But in any case, one has to come back to the point of perspective and
ask which side is winning while the other will have to suffer. It would be miraculous if
adding leverage would make all parties better off and maybe there would be no further
discussions if everyone were satisfied. Many articles represent a quest for an optimal capital structure, the question is: optimal for whom. Usually it is the banks and corporations
which are the departure point. But after or in the middle of the economical calamities like
the latest financial crisis, there is a search of another optimum, which includes the social
perspective as well. Because in the end, the tax-payers pay for the rescue of too-big-tofail redistributing wealth and closing an economic cycle. So in the end it comes to the
question who should pay first.

Bankruptcy, Bank Runs and Deposit Insurance

That is another important argument in the discussion about bank financial decisions. The
M&M framework works under the assumption of no-default, regarding both, a bank and an
investor. This means, all debt is riskless and individual borrowing is a perfect substitute to
a bank borrowing. That is a good starting point but without further analysis it is incomplete as an approach. Miller (1988,[65]) in his later article Modigliani-Miller Propositions
After Thirty Years addressed to this problem: The troublesome tactical simplification
in the original proof was our taking bonds or other debt instruments to be securities not
merely of lower risk than common stocks, but of no risk whatever.[...] Drawing so sharp a
line between risky stocks and risk-less bonds served, we thought, to bring out the risks of
corporate leveraging as such, and , to that extent, also to explain how the seeming gains
from using cheap debt can be offset by the higher risks and hence costs of leveraged equity (our MM Proposition II) keeping the weighted average risks and costs the same (our
Proposition I). But making bonds risk-less also made all debts effectively indistinguishable,

38

thereby, leaving corporate finance, in the strict sense, with nothing to do. [...] Thus, ironically, the risk-less debt assumption we introduced originally to sharpen the line between
corporate stocks and bonds seemed to have blurred the line between the corporation and
other forms of business organization.
There is a plenty of scientific literature examining how financial distress may distort the
Irrelevance Proposition, contributing to the calculation of capital. Generally, two types of
bankruptcy costs could be distinguished direct and indirect. The first category includes
legal and other administrative fees connected with bankruptcy. The second - comprises opportunity costs, such as lost sales, decreased productivity and profitability, restrictions of
firms borrowing and higher compensation and costs from the suboptimal use of resources,
asymmetric information, and conflict of interest problems (Fisher and Martel, 2001,[39],
Jensen and Smith, 1984,[51]). Analyzing the impact of direct costs on a number of railroad firms, Warner (1977,[89]) finds that expected present value of bankruptcy expenses
is rather small compared to the market value of the firm. Baxter (1967,[13]) in his turn
shifts the focus to the direct costs, pointing out its significance. In the article Leverage,
Risk of Run and the Cost of Capital he discusses how excessive leverage in the context
of the Modigliani and Miller model, can be expected to raise the cost of a firms capital.
In addition, Kraus and Litzenberger (1973,[60]) argue that tax shield is going to be offset
by the expected increase of bankruptcy costs in case of growing leverage. They define the
point at which additional leverage causes an increase in expected bankruptcy costs that just
balance out the tax advantage to the incremental debt as the point where capital structure
is optimal. According to academical evidence, the costs of financial distress do seem to
make a difference for the debt/equity decision of the firm. In this respect it is worthwhile
to mention a paper of Hellwig (1977,[46]), who supports the argument that the probability
of a firms bankruptcy depends on its debt/equity ratio and that if it is large enough, this
probability will always be positive. He also finds that even in case of such probability,the
M&M Theorem can be valid, if and only if all portfolios that are used as collateral for individual borrowing contain a firms bonds and equity in the same proportions in which the
firm has issued them. This contradicts (or complements) the results of Stiglitz (1972,[84]),
who suggested that M&M was no longer valid in situation of bankruptcy. According to
Hellwig, it is only the case if an individual were to borrow on margin to invest only in the
firms equity.
Even if scientific literature is inconclusive regarding this issue, there is still an indication,
that financial distress does matter and when it does not, there are rather restrictive conditions that are fulfilled. Too restrictive to be of much practical importance, how Hellwig

39

(1977,[46]) concludes himself.

It does not seem clear yet how bankruptcy is connected with government intervention and
its role in defining optimal mix of capital. It becomes obvious, when one thinks about bank
runs.
Arriving at this point of the analysis it would make sense to choose Diamond and Dybvig
(1983,[28]) as the departure point for the next destination. The economists introduced
an extensive model of banking, justification its existence as a financial intermediary and
providing an analysis of bank runs and financial crises. At the core of the theory lie the
specifics of banking business. Bank balance sheet is structured in such a way, that there
is a substantial liquidity mismatch between the side of assets and the side of liabilities. A
bank creates loans, adding them to its assets, which have longer maturity and cannot be
quickly sold at a high price, and issues demand deposits on the liability side, which could
be withdrawn at any time. This existential function of banks to provide liquidity, smoothes
consumption patterns and alleviates the maturity problems for consumers, who are rather
uncertain about the timing of consumption and moreover are heterogeneous in their intertemporal preferences. By liquidating their assets in different time buckets the consumers
ensure the functioning of this mechanism. Banks can make long-term loans, while maintaining relatively small amounts of cash, to service depositors withdrawals. That requires a
suggestion of ordinary circumstances, where the probability of all consumers demanding
their deposits is rather low, assuming their needs do not correlate. According to Diamond
and Dybvig (1983,[28]), the disadvantage of this concept is in its inherent instability.
Banks do not possess information according to when exactly do their depositors need the
money and at the same time they are not able to call in the loans with long maturity in case
many depositors want to withdraw. If all consumers were to decide to go for their money
simultaneously, the bank would run out of cash, subsequently forced to declare bankruptcy.
This means that even a healthy profitable bank with sound strategy and good management
is sensitive to panics and can go bankrupt. The Diamond and Dybvig model (1983,[28])
explains bank runs as some form of self-fulfilling prophecy, where depositors behavior is a
function of expectation of what other depositors would do. If there is a considerable amount
of individuals expecting the others would withdraw and knowing that the bank will only be
able to serve the first to come, they will also call in for their funds. In mathematical terms,
the situation is represented by a game with multiple Nash-equilibria. In a rational world, if
depositors are to expect others to withdraw only when they really need their money, they
will also go for liquidity only when it is necessary. If the expectation is not associated with

40

the real need but with the urgency to withdraw as long as the bank does not run out of
cash, the depositors will rush to their accounts. If the world were not only rational but
also Pareto-efficient, the second equilibria would not exist. In reality the world is hardly
both and bank runs are not just a theoretical implication of a model. Only to mention the
Northern Rock episode, where one of the most innovative and rapidly growing banks in
the UK dried out of liquidity and, unable to serve all its depositors, was taken into state
ownership11 .
Diamond (2007,[27]) shows, that deposit insurance backed by the government or the central
bank can serve as an instrument to prevent bank runs, arguing that suspension to convertability 12 may work as long as it is just a threat. But when the situation is extended when it
has to be actually carried out, the depositors would demand another way of handling with
runs. That is where government safety net comes into light.
Diamond and Dybvig (1983,[28]) suggest a model, where deposit insurance provided by the
government allows bank contracts that can dominate the best that can be offered without
insurance and never do worse.[...]Deposit insurance guarantees that the promised return
will be paid to all who withdraw. They show that in this case, the bad equilibrium
disappears, because for the late consumers it does not make sense anymore to queue up in
the first period with early consumers because they would get less as if they waited until the
time when they usually would consume. A bank with such a safety net can credibly promise
its investors not to have runs and government can ensure the security through its taxation
authority. The theory would work fine if it were not prone to moral hazard. Having its
deposits insured, the bank has a temptation to take excessive risks. As the government
guarantees the liquidity anyway, the investors do not have an incentive to monitor bank
behavior and will tend to choose the most profitable bank. Here starts the deadly spiral,
which somewhere becomes a too-big-to-fail problem, meaning that the state cannot allow
a bank to default, because it will contagiously pull other banks, that invested in that bank,
down to collapse. Diamond and Dybvig (1983,[28]) anticipated this problem, pointing out
that if the lender of last resort were always required to bail out banks with liquidity
problems, there would be perverse incentives for banks to take on risk, even if bailouts
occurred only when many banks fail together.[...] If the lender of last resort is not required
to bail out banks unconditionally, a bank run can occur in response to changes in depositor
11

More about Fall of Nothern Rock by H.S. Shin (2009, Reflections on Nothern Rock: the Bank Run
that Heralded the Global Financial Crisis, Journal of Economic Perspectives, 23 (1)), pp. 101 - 119.
12
Diamond (2007,[27]) illustrates a simple model where a bank can suspend convertability of deposits to
cash in attempt to stop a bank run.

41

expectations about the banks creditworthiness. Therefore, deposit insurance can cause a
big amount of problems, requiring proper regulation and supervision. But here comes the
question: what is appropriate regulation? One of the major issues, underlined by Admati
et.al.(2010,[3]) is that government guarantees account for another distortion (beside taxes
and other issues, articulated further in the thesis) that favors debt over equity financing.
The economists address it as the privatization of profits and socialization of costs and
indicate that the banks unfairly profit from cheaper borrowing, as they otherwise would.
The government takes over a portion of the risk, so that the depositors do not demand
banks to pay high compensation for the risk. Admati at. al. suggest, that charging
banks for this safety net would remove the subsidy and biased perception of costly equity
financing. But, acknowledging that this approach would be extremely hard to carry out
and that incentives to take excessive risk would not be possible to eliminate with any
insurance plan, they advocate a policy of leverage reduction. This would lower social costs
and minimize the probability of bank failure and a subsequent bailout. Similar opinion
in this respect expresses another group of prominent economists - Miles et.al.(2011,[63]) claiming that an underpriced state insurance produces a market friction, contributing to
the misinterpretation of M&M results. The scientists stress that the existence of insurance
does not nullify the logic of Modigliani and Miller (1958), but that the Proposition holds
even if debt is completely safe (insured). This distortion, among with other frictions, is
however responsible that the Irrelevance Theorem does not hold to the full extent.

2.3

Is Debt a Carrot or a Stick?

Another frequently mentioned advantage of the debt is its disciplinary function. This discussion finds its roots in the early articles of M. Jensen (since 1976, [50]), where he examines
the problem of principal-agency relationships. The difficulty lies in the separation of ownership and management, where those who provide capital (principals) are not well informed
(asymmetric information) about the actions of the hired management (agents), who effectively decide what to do with the means. Thus the principals do not know if or to what
extent the contracts have been satisfied and need to find incentives, which would motivate
the agents to act in the desirable way. In the case of banks, there could be conflicting
interests between outside investors and the bank management. Generally, the latter could
profit from extensive risk-taking, as they would benefit if the project is a success and would
not lose if it is a failure, as the investors are the ones who have to bear the losses. Diamond
(1994,[26]) suggests that if the firm is financed exclusively with equity, outsiders never
have control and the firm will always invest (meant, also in risky projects). If the firm
cannot fully repay its debt obligation, then the firm cannot avoid a default and the owners

42

of the debt can take control of the firm. It seems, that the solution to the principal-agency
problem partially lies in the choice of leverage. According to Jensen (1986,[49]), debt can
induce managers to behave efficiently. In contrast to dividends, which may be subsequently
reduced, interest on debt has to be repaid, independently from the performance. He claims,
that greater leverage also overcomes institutional resistance to entrenchment, which the
free cash flow hypothesis assumes13 .
One problem with this argument is that by adding up leverage, bank exposes itself to increased probability of bankruptcy and related costs, which counterbalances and eventually
offsets the advantages of debt disciplinary effects.
Another input comes from Admati et.al.(2010,[3]), who emphasize that the above referenced arguments, though theoretically correct, are inadequately applied to the discussion
of capital regulation. They claim that here, on the contrary, the use of debt can generate
and aggravate agency problems and the mechanisms through which debt can perform its
disciplinary function do not properly work for large institutions. Besides, it was observed,
that debt did not prove its effectiveness in ameliorating the situation during the years 2007
- 2008.
The major difference in the case of banks is its already mentioned maturity mismatch: part
of its loans are illiquid and could be hardly assessed from the outside, whereas other assets
are very tradable, allowing management to promptly reorganize bank positions, sometimes
to the personal advantage. Moreover, banks and firms are dissimilar in their focus on
agency problems. Firms are mostly concerned about empire building, whereas banks have
to predominantly deal with risk management and theft, which can be easily hidden due to
the high liquidity of some assets. Exacerbating this problem of in-transparency with excessive leverage can lead to unfavorable consequences. Non-financial institutions are less prone
to this kind of problems, having lower level of leverage and thus less incentives to engage
in risky activities. Apart from high leverage and more dispersed investors, the state insurance eliminates an incentive for depositors to spend resources on monitoring bank behavior.
Admati et. al. (2010,[3]) legitimately ask why debt is considered to be uniquely capable
of providing managerial oversight for financial institutions. They accentuate the use of
13

The free cash flow hypothesis was described by Jensen (1986,[49]) and stated that the management
in possession of free cash flow will invest it in negative NPV-projects, striving to increase size and scope
of organization (so-called empire building), rather than paying the liquidity excess to shareholders. He
difines free cash flow as cash flow left after the firm invested in all positive NPV-opportunities. Besides,
realizing specific investments, managers entrench themselves, making it costly for shareholders to replace
them. (More about management entrenchment by A. Shleifer and R. Vishny (1989,[81]).

43

compensational instruments in provision of management incentives, indicating that capital

structure in this context is not an appropriate tool, laden with additional problems and
socially costly indirect consequences.
Calomiris and Kahn (1991,[16]) claim that the function of debt discipline is enhanced due
to the repeated renegotiating of contracts. According to this logic, the creditors make
efforts to control the bank activities and if they are not satisfied the contracts will not
be renewed. Diamond and Rajan (2001,[29]) point out that, in fear of the run, the bank
management will in its turn better monitor its borrowers. Admati et.al.(2010,[3]) respond
to this argument, illustrating the failing of the short-term debt to perform its disciplinary
function during the financial crisis of 2007 - 2008, where renewable debt instruments, mostly
in the form of roll-over repo contracts were largely expanded. They claim that the most
effective discipline for management must come from the shareholders. In this case, this can
be linked to information when the debt or equity is repriced. The latter is repriced on a
daily basis, compare to debt, which has a much longer period before the next renegotiation happens. Plus, debt holders, believing to be protected by government guarantees or
marketable collaterals, may refuse to spend resources on monitoring altogether. Analyzing
the latest crisis and its consequences, Kashyap et.al.(2008,[54]) come to conclusion that
excessive short-term leverage was the core of the problem. As the housing market deteriorated, increasing the perceived risk of mortgage-backed securities, it became challenging to
refinance the short-term loans against these securities. Banks were trying to get rid of the
troubled assets, pulling down their price, sometimes below their fundamental values. Due
to the valuation losses, the bank capital was compromised, making it even harder to get a
roll-over funding. The downward spiral continued due to borrowers, who started to panic
as the banks cut back on their loans, preserving liquidity.

2.4

Bankers Argument

After the Basel III capital regulations were announced, there was a wave of discontent on
the side of bankers and top executives. They claimed that with increased capital ratios the
banks:
first, will not be able to function efficiently and will have to restrict lending, which
will hurt borrowers and eventually cause a credit crunch
and second, will lower banks return on equity (ROE), deteriorating its performance
and thus hurting the shareholders

44

The arguments are certainly to some extent true, but as with any statement, it depends
how the message is formulated and from which perspective it is looked at. Putting this
differently, one could say that the new capital requirements might hurt bankers, as the ROE,
to which management compensation is bound to, will decline. The mechanics are rather
straightforward, but still deserve some close attention. Here is the basic ROE equation:
ROE =

D
ROA A r D
= ROA + (ROA rd )
E
E

(2.1)

where
ROA = return on assets
A =total assets
E = bank equity
D = bank debt
rd = after-tax interest on debt
Source: Admati et.al.(2010 [3])
One can see, that when there is more equity in the denominator, there will be less return
on equity as a result. By taking only ROE as a measure for profitability, one can claim,
that the industry will become inefficient. An important point, that many bankers omit in
their arguments, is that ROE on its own cannot be taken as a profitability measure without
appropriate risk-adjustment. Every additional unit of return, is mirrored somehow in the
risk characteristics of the investment, keeping in mind that free-lunch is not available yet.
As Admati et.al.(2010 [3]) emphasize in their article Fallacies, Irrelevant Facts, and Myths
in the Discussion of Capital Regulation: Why Bank Equity is Not Expensive, that more
equity would reduce ROE in good times, but raise it in bad times, which is the interest of
shareholders. Admati (2011,[2]) stresses that unless leverage and risk are held constant,
ROE comparisons across managers or banks are meaningless, because leverage increases
realized ROE when realized returns on assets are above the borrowing rate, by magnifying
the impact that rises in asset values have on earnings. However, high leverage also magnifies losses when returns on assets are low - a small negative return on asset relative to the
borrowing rate can wipe out much, or even all, of the equity.
What about the reduced lending possibilities? Here it also comes down to how the problem
is stated. In fact, to raise the proportion of equity and reduce leverage, it is not necessary
to shrink the balance sheet and sell off the assets. Nor do the banks need to set equity
aside, which they claim would drive up the cost of funding. Admati et.al.(2010, [3]) show
different possibilities to comply with the new requirements and just one of them is to cut

45

back the assets. Other options are recapitalization, when some parts of the liabilities areis
replaced with additional equity, or even expansion of assets if the bank wants to keep the
size of its assets and liabilities unchanged.
It is however possible to expect that many banks will charge higher interest for lending,
subsequently causing a slowdown of investment activity and a lower level of the GDP. The
recent study of Miles et.al.(2011,[63]) showed that even proportionally large increases in
bank capital are likely to result in a small long-run impact on the borrowing costs faced by
bank customers. They conclude, that even by doubling the portion of equity, the average
funding cost will increase by only around 10 - 40 basis points, simultaneously creating large
benefits by reducing the probability of systemic failures due to loss-absorbing qualities of
capital. Investigating the historical development of equity funding and costs in the UK
and the US since 1880, the authors find no evidence that higher capital ratios required
considerable increase in cost of borrowing for firms, although the amount of leverage was
almost half the current level. They observe an upward trend in leverage for 100 years, but
no significant trend for the average growth of the economy. Kashyap, Stein and Hansen
(2010,[55]) analyze data on US banks and find that substantially higher capital requirements for significant financial institutions are likely to have only a modest impact on the
cost of loans for households and corporations.

46

3
Empirical Evidence
3.1

Previous Studies

There is a large spectrum of scientific evidence regarding a banks capital structure and
performance. Many studies from different regions were undertaken to reveal what determines a banks optimal performance, how costly capital requirements are, how large the
benefits coming from debt-financing are. There are different approaches as there are different datasets, time periods and examined environments, the results are heterogenous as
well.
Most studies distinguish two sets of factors influencing profitability: bank specific and
external determinants. The first category contains such variables as bank capital ratio,
overhead costs, yearly growth of deposits, bank size, ownership, age, nationality, interest
income share, funding costs and risk. Macroeconomic and industry-specific characteristics
include tax rate, regional population, GDP growth, term structure of interest rate and
stock market capitalization.
Pasiouras and Kosmidou (2007,[73]) investigate the influence of a banks internal and external parameters on profitability of commercial domestic and foreign banks operating in
the 15 EU countries over the period 1995 - 2001. Their findings show that most variables1 ,
bank specific characteristics, financial market structures and macroeconomic conditions
are significant 2 . In this regard, they indicate, that size and bank profitability are positively related, whereas Micco et.al.(2007,[62])3 find that this relationship is not significant.
Akhavein et.al.(1997,[4]) as well as Smirlock (1985,[82]) confirm a positive and significant
relationship between size and bank profitability.
Abreu and Mendes (2002,[1]) study a number of european banks during the period of 1986
- 1999. Using the loans-to-asset ratio as a proxy for risk, they find an evidence for positive
1

With the exception of concentration in the case of domestic banks profits, for more details see F.
Pasiouras and K. Kosmidou (2007,[73])
2
However their impact and relation with profits is not always the same for domestic and foreign banks,
for more details see Pasiouras and Kosmidou (2007,[73])
3
Their dataset includes more than 70000 observations and primarily focused on the relationship between
bank ownership and performance.

47

impact on the profitability of the bank. Bourke (1989,[14])4 , Molyneux and Thornton
(1992,[67])5 perform empirical studies, where they show that the relationship between risk
and profitability is negative.
Athanasoglou et.al.(2008,[5])6 indicate that high overhead costs in relation to the assets
contribute to the lower profitability of a bank.
Micco et. al. (2007,[62]) reveal that state-owned banks located in developing countries
are less profitable than the private ones and that the difference between their performance
increases during election years. At the same time, studies of Nocera and Sironi (2007,[47])7
as well as Barth et. al. (2004,[8])8 provide evidence for government-owned banks being less
profitable than their private counterparties. Bourke (1989, [14]), Molyneux and Thornton
(1992,[67]) claim that the relationship is not significant.9
It is interesting to examine the empirical evidence of financial structure to bank profitability. Here, Bourke (1989,[14]), Demirg
uc-Kunt and Huizinga (1999,[22]), Abreu and
Mendes (2002,[1]), Goddard et.al.(2004,[42]), Naceur and Goaied (2005,[69]), Molyneux and
Thornton (1992,[67]) and Pasiouras and Kosmidou (2007,[73]) observe positive relationship
between the level of equity and a banks performance. It is worth to mention the study
of van Binsbergen et. al. (2008,[88]) here, which estimates firm-specific cost of corporate
debt functions for many companies from 1980 to 2006. The finding reveals that the net
benefit of debt is about 3% of asset value, whereas the cost of debt equals about 7% 10 .

The study is performed on 12 countries from European, North American and Australian areas
The study includes eighteen European countries for the time period between 1986 and 1989
6
The study uses a panel of Greek banks, covering the period 1985 - 2001
7
The study includes a sample of 181 large banks from 15 European countries over the 1999 - 2004
period and evaluate the impact of alternative ownership models and the degree of ownership concentration
on profitability, cost efficiency and risk.
8
The paper examines 107 countries and assesses the link between specific regulatory and supervisory
practices, banking-sector development, efficiency, and fragility.
9
see Dietrich and Wanzenried (2010,[30]) and for more analysis of empirical evidence.
10
Possible benefits of debt include, for example: tax savings (see Kraus and Litzenberger (1973,[60])),
management efficiency (see Jensen (1986,[49])), lenders monitoring (see Jensen and Meckling (1976,[50])).
Possible costs: financial distress (see Scott, (1976,[80])), personal taxes (see Miller (1977,[64])), debt overhang (see Myers, (1977,[68])) and agency conflicts (J. van Binsbergen (2008,[88])).
5

48

3.2

The Model

Selection of Variables
Profitability Parameters
Return on Assets (ROA)
ROA is a widely used criterion to measure performance. It is defined as the ratio of
bank annual earnings to its total assets and shows the efficiency of the management
in generating income from invested capital.
Return on Equity (ROE)
ROE denotes the rate of return on shareholders equity and it indicates the managements ability to generate profit with the money shareholders have invested. It
is often but sometimes inappropriately (or insufficiently) used performance measure,
since it does not adjust for the scale of risk (see, for example, Admati (2010,[3])).
Price to Book Ratio (P/B)
It is the ratio of the market value of the stock to book value per share, expected
to yield if the liquidation would take place. In other words, it is the measure of
shareholders equity in a bank balance sheet. In connection with ROE it contributes
to the misperception of performance, since the high ROE ratios are often linked with
the overvaluation of equity.
Excess Return (Alpha)
Shows how much on average the stock price moved while the market index was unchanged. Alpha is defined as a measure of performance on a risk-adjusted basis. It
is also called the abnormal rate of return on a security in excess of what would be
predicted by equilibrium model like CAPM.

Predictors
Total Capital Ratio Tier I (Capital Ratio)
This ratio is taken as a proxy for the bank leverage and is defined by Basel Committee
as the ratio of a banks core equity (shareholder equity and disclosed reserves) to its
total risk-weighted assets (RWA). This is a key predictor parameter in the model,
whose effect on Return we are most interested in. Currently this ratio is the target
measure for regulators, assessing a banks financial strength and capacity to act in
distressed circumstances. Loosely speaking, rising the ratio among other initiatives

49

means increased stability for the bank and financial system as a whole, simultaneously
credit contraction and sinking profitability of the banks.
Risk Beta (Raw Beta)11 Beta measures stock volatility in comparison with the market
index, it tells how much extra the stock price moved for each 1% change in the market
index. Raw beta is a historical beta, obtained from linear regression of the observed
relationship between the security return and the return on an index.
Bank Size (Assets)
Usually assets-under-management are taken as an indicator for the size of a bank.
The book value of bank total assets is as well a control variable, indicating if the
categorization according to the volumes might be necessary.

Country (Country D)
Country dummy is defined as 1 in case the bank belongs to the category of Northern Countries, which include Belgium, Finland, Germany, Ireland, Luxembourg and
the Netherlands. It is defined as 2 if the bank comes from the category of Southern Countries containing Austria, France, Italy, Portugal and Spain. In the case of
non-Eurozone block, 1 stands for Liechtenstein and Switzerland, whereas 2 - for
Denmark, Norway, Sweden and the UK.

Auxiliary source: Brealey (2008,[15])

Relationship Expectations
Before the regression analysis starts, it could be useful to examine the relationships between
variables and to make suggestions about the model, which later could be confirmed or
refuted. First, the return on equity will probably decline with the growing proportion of
equity. This straightforward observation comes directly from the equation ROE equation:
ROE = ROA +

D
(ROA rd )
E

(3.1)

Source: Admati et.al.(2010 [3])

More equity leads to a smaller D
ratio and so reduces return on equity. That is what
E
comprises bankers argument, that the profit will decrease (see chapter 2 of the Thesis).
11

As opposed to Adjusted Beta, which is an estimate of a security future beta, as defined by Bloomberg.
Based on the historical data of the stock it is assumed to move toward the market average over time.

50

There seems to be a similar consideration about the ROA:

ROA = ROE

E
D
+r
A
A

(3.2)

But now one can see the problem. On one hand, the ROA should go up with the increased
equity, on the other hand go down because ROE declines. It is not a straightforward conclusion about which effect will overweigh. It is also not clear then whether ROE would
just decline if equity grows. This ambiguous effect comes from the interconnection between
these two profitability measures. One can imagine this as a linear dependence, which becomes more elastic the bigger the share of equity in the balance sheet is. This points at
the cushion-property of equity, meaning that above some point, ROE will be lower with
additional equity and below that point - ROE will be higher with higher equity. The point
is where the banks ROE is equal to the after-tax rate of interest on debt. As the banks
usually operate above the point, earning more than return on their debt, the effect on
ROE is typically negative. In times of trouble the relation would change, also affecting
ROE and making equity cushion a vital possession. That is why it could be interesting to
look at the empirical evidence, before, during and after the crisis. Here is the graphical
representation of the effect:
Source: Admati et.al.,2010 [3]

Figure 3.1: The Effect of Increased Equity on ROE

51

According to CAPM estimation Beta equity is connected with the ROE in the following
way:
ROE 12 = rf + e (rm rf )
(3.3)
Thus, one can expect positive correlation between these parameters. It is however not
obvious to which extent beta will affect the return on equity and if the intensity changes
during the crisis. The same concerns ROA, whereas the relationship is less clear.
The size seems to be an important factor, whose influence could be interpreted in both
ways. Intuitively one could assume growing profitability with increasing size of a bank, due
to the economies of scale and further advantages of size. But bigger institutions also tend
to involve themselves in riskier operations, which leads to a big variance in profitability
and may have other consequences. The relation would supposedly be positive before the
crisis and could turn negative during it.
Measuring if there is a proper return for the given level of risk, we get the Jensens Alpha
equation, which indicates the connection between risk and excess returns.
= ROE (rf + e (rm rf ))

(3.4)

According to this interdependence, Alpha should rise with ROE and sink with beta. It
would be interesting to observe how the quality of this relationship changed over the last
years. P/B ratio has clearly a positive correlation with ROE and besides can not be taken
as a standalone variable to assess performance. It could be expected, that during the crisis
there is a bigger mismatch between price-to-book and return-on-equity ratios, indicating
under- or overvaluation of particular stocks.

Data
The analysis is based on data extracted from the Bloomberg database. The sample is
taken from the banks of European countries and divided into two sets: Eurozone and
non-Eurozone countries. The first data set consists of Austria, Belgium, Finland, France,
Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The second
set considers Denmark, Liechtenstein, Switzerland, Norway, Sweden and the UK. The sets
contain 42 and 52 banks respectively. Within each set there is a categorization according to
the size and Tier 1- capital ratio. Both classifications yield three subsets of small, middle
and big banks. The data provided by the Bloomberg database comes from the end-of-year
12

Here ROE is an expected return, whereas in the alpha equation it is realised return. For the purpose
of simplicity it is written equally

52

balance sheets of publicly traded banks from 2002 to 2010.

The data was cleaned in the following way. First the banks have been filtered according to
the completeness of the available data. The banks with insufficient information about the
parameters of interest for this Thesis were excluded from the sample. Then, the remaining
data was checked for outliers (no data points were left out based on this criteria) and
organized in a way that allowed sorting and categorization. Now this panel data showed
the evolution of the banks performances through time. Each year from 2002 to 2010 the
panel sample contains the same banks, chosen in accordance with the bank unique ticker
symbol. Once yearly clean data was prepared, the numbers have been sorted by size and
capital (as stated earlier). The final set thus contains four ordered data files for Euroand non-Eurozone countries respectively. In the next step the clean data in each subset
has been divided into three groups dependent on the size or capital sorting. The group
of the smallest and the biggest banks contains 30% each of the total sample and 40% has
been set for the middle-sized/capitalized banks. Hence a 30% - 40% - 30% proportion was
chosen for every subset of bank data, resulting in overall twelve data files, six for each group
of countries. The data was checked for asymptotical normality of error-terms, checked for
heteroscedasticity and adjusted for autocorrelation with Cochrane-Orcutt estimator. Hence
it was ready for the analysis.

Data Analysis
Table 4.1 provides descriptive statistics for banks from the Eurozone, ordered by size and
by capital. Table 4.2 summarizes bank characteristics for non-eurozone countries.
Comparing these two tables one can make following observations. Eurozone- and nonEurozone banks are hardly comparable according to their size. Particularly smallest
and middle categories differ substantially. The numbers (in euros) indicate much larger
banking institutions in the Euro-area. For example, the mean values for the smallest and
middle-sized Euro-banks are 10.7 billion and 78.3 billion, whereas for non-Euro only 280
million and 6 billion respectively.
Analyzing the tables combining both size- and capital-sort one can see, that the biggest
banks in the Eurozone are also the ones with the highest capital ratio (by size: 710.8 billion with 27.23% and 10.7 billion with 8.64%, by capital: 286.1 billion with 10.4% and 172
billion with 7.03%). Non-Euro members, on the contrary, capitalize themselves with the
highest proportion of own capital, possessing the lowest amount of assets on average (by

53

size: 553.6 billion with 10.18% and 276 million with 13.59%, by capital: 53.23 billion with
16.91% and 305.7 billion with 8.65%). This inverse order of size-capital relation among
banks, depending on the geographical and economical area is worth mentioning, particularly with respect of the later regression analysis.
Raw Beta as a measure of risk or relative volatility reveals that the biggest Eurozone banks
are the riskiest ones, having returns that change on average 1.31 times the magnitude of
the overall markets returns, compared to beta of 0.44 for the smallest banks (by size-sort,
less distinctive but not contradictory by capital-sort). In the non-Eurozone area the same
pattern can be observed: the biggest banks have an average beta of 1.19 and the smallest
ones have 0.47 (by size sort, confirmed by capital-sort).
Its interesting to look at the profitability measures across various groups of banks. In particular worth examining are the ROA and ROE parameters. A clear pattern can be seen
in the group of non-Eurozone banks. The smallest banks by assets have the highest ROA
(1.31%) and lowest ROE (9.5%) on average, while the biggest banks have the opposite lowest ROA (0.56%) and highest ROE (12.02%). Ordered by capital, the best capitalized
banks (they are the smallest) are the most profitable measured by ROA, with 1.26% on
average. The least capitalized banks, which are the biggest, have the lowest profitability of
0.64% ROA but the highest ROE of 11.36%. The middle and the best capitalized banks
have slightly lower ROE of 10.22% and 10.62%. The observation of ROE across banks
reveals that, although the biggest ratio of return on equity is to be found by the least
capitalized banks, the distinction according to this criteria (capital ratio, which is a proxy
for leverage) is not significant and the pattern is not straightforward. At the same time,
the tendency of the ROE ratio to decline with decreasing size of the bank is much stronger.
ROA shows a clear pattern of falling with the size and rising with the proportion of equity. This statistics are not in line with the bankers argument, who argue that with the
increased capitalization their profit will drastically decrease. ROE is frequently mentioned
as an important measure of profitability. If to base the claim on the other yardstick (e.g.
ROA), the conclusion might be quite different.
In the case of Eurozone-group of banks, the behavior of ROA parameter is the same as with
non-Eurozone-group, but the numbers are lower (0.6% the highest average ROA, compared
to 1.31% of non-Euro banks). Sorting by capital is also consistent with these observations,
showing that ROA ratio rise with an increased amount of equity. The dynamic of ROE is
again less clear, which gives no ground to establish dependent relationship between ROE
and leverage.

54

Another remarkable observation concerns Price-to-Book ratio which, taken on average from
the different groups, does not reveal a particular correlation between bank size, capitalization and leverage. It does not fluctuate extremely across differently categorized banks and
apparently is affected by different parameters, not examined here. It is as well not possible
to base bankers argument on this profitability measure.
The last here considered profitability variable is alpha. Interpreted as an excess return it
tends to decline with an increased amount of assets under management and rise with higher
capitalization. The pattern is similar to the one of ROA and reveals itself for all groups in
Euro- and non-Euro areas.
So far, the main conclusions from bank descriptive characteristics are the absence of clear
correlation between ROE and Price-to-Book ratios to leverage (as reverse to capitalization),
an apparently positive correlation between amount of capital (equity) and ROA (the same
for alpha) and the opposite structure of size-capital relationship for Euro- and non-Euro
groups.

Regression Analysis
After the data is cleaned and preliminary analyzed, the next step is to empirically check the
arguments described above in the thesis. Such a test can be made stating the null hypothesis
as a M&M Proposition of capital structure irrelevance and the alternative hypothesis that
it does not hold.
H0 : 1 = 0; HA : 1 6= 0;

(3.5)

Although the collected data might be insufficient to make strong empirical conclusions13 ,
for the sake of scientific curiosity two approaches were used for the regression analysis. The
first is the traditional panel regression, based on OLS estimators. Another makes use of
Fama-MacBeth estimators (FM henceforth). Both methods, though grounded on the same
idea, show important differences in the ways they operate. In particular, the FM procedure
gives standard errors corrected for cross-sectional and serial correlation of the residuals14 .
Referring to Cochrane (2005 [18]), if to assume that the regressors are time-invariant, the
13

The study is based on the data, provided by Bloomberg database, which contains consistent information
about publicly listed banks from Euro- and non-Eurozone only since 2002. After eliminating datasets with
missing values, only 42 and 51 banks forn Euro- and non-Euro area respectively were left for the analysis.
14
For more details about the Fama-Macbeth approach see Fama and MacBeth (1973,[35]), Cochrane
(2005,[18]) and Campbell (1996, [17])

55

results from two approaches should be equivalent. This rather impractical assumption leads
to the unprejudiced state of mind before the results have been obtained.
The formal model for the regression analysis is the following:
yj = 0 + i

n
X

xi + e i

(3.6)

i=1

where yj can be interpreted as a vector of profitability parameters with j= {ROA, ROE,

price-to-book, alpha}; i is a parameter vector of regression coefficients, xi is a vector of
regressors and ei is an error term with i = {capital ratio, ln(assets), raw beta, country
dummy15 } and n is a number of regressors.
The results for the plain panel regression are represented in the Tables 4.3 - 4.4 for the Eurozone banks and in the Tables 4.5-4.6 for the Non-Euro banks, sorted by size and capital
accordingly. Average values, used for the regressions are given further in the Appendix.
FM regression was carried out in two steps. First the cross-sectional regressions for each
point of time produced the time-series of i estimators. Then the resulting yearly coefficients were averaged:
T
1X

i
(3.7)
i =
T t=1
The significance of the obtained estimates are based on the time-series standard deviations
of the yearly coefficients:
i
ti =
(3.8)

i
where

2i

X
1
=
(i i )2
T (T 1) t=1

(3.9)

are standard errors of estimates.

Tables 4.7- 4.10 summarize the results, ordered by region, size and capital.
Remarkably, the outcomes of both methods do not confirm each other. Statistically though,
they do not contradict either. But the discrepancy deserves some attention. Starting from
the point of null-hypothesis, which states that the capital structure is independent of profitability, one looks for the indication of i coefficients significantly different than zero.
According to FM regression results, we can not reject the null-hypothesis in the majority
15

only in case of FM regression

56

of cases. Assuming empirical validity of tests, it would not be correct to exclude the possibility that leverage has no effect on bank profitability, which is consistent with the M&M
Proposition.
The panel regression reveals another picture, where the coefficients on capital ratio are
negative and significant, but only for the Euro-group, particularly for middle- and smallsized banks. For these banks, better capitalization is associated with worse performance in
terms of ROA, ROE and price-to-book ratios. These are the banks with a low proportion of
equity. That may lead to the conclusion, that better capitalized banks are more robust to
changes in capital, in particular reduction of leverage. The banks with the highest stakes of
equity seem to be insensible to the variation in capital structure. The fact, that the capitalprofitability relationship is inverse with the non-Euro banks may affect the (in)significance
of estimators in this case.
Worth mentioning are the relations between other parameters. For example, panel regression suggests negative and significant dependency between risk parameter beta and various
profitability measures, predominantly for middle and big banks, also in the non-Euro area.
Knowing that in one case it is about the most capitalized banks (Eurozone) and in the
other case the least (non-Eurozone), one cannot directly connect this with leverage. It
allows though to conclude, that mostly for the banks with the largest amount of assets,
beta factor, measuring risk is not irrelevant for profitability, but rather negatively related
to it.
Another observation from panel regression analysis shows that Euro-banks with the lowest
amount of equity and assets as well as non-Euro-banks with the highest amount of equity
have significant coefficients for alpha, excess return. In the first case it is possible to link
higher capitalization and risk with reduced excess returns, in the other case - higher capitalized banks are more profitable in terms of alpha. The result is not inconsistent if to
recall, that small Euro-banks are the least capitalized and more sensitive to the changes in
capital structure. On the contrary, best capitalized non-Euro banks may even profit from
an additional amount of equity. This is in line with the theoretical argument, that the less
equity the bank possesses, the more expensive it is to raise it.
Both samples from Euro- and non-Euro areas show that there is a positive and significant
relationship amount of bank assets and profitability, mostly for the big banks, for which it
is apparently easier to improve the rate of returns through expansion.

57

Coming back to the major point of the Thesis and the discussion concerning the capital
structure, cost of capital and profitability one can conclude the following. The regressions
of parameters of interest (leverage proxy and profitability) by both methods revealed the
possibility of M&M irrelevance proposition to be right, i.e. to hold for banks. In cases where
the null-hypothesis was rejected we can suppose a negative association between amount of
equity and profitability variables. Cases, where it was not rejected allow us to assume
both, that the connection may or may not take place. In some cases we can observe, that
comparably better capitalized banks find it easier to get additional returns as the ones with
the lowest stock of equity.
Due to the relatively small sample size in both, time and quantity dimensions, one cannot
make any definite statements concerning the causal relationships between amount of capital
and profitability of banks. However the absence of strong proof against the null-hypothesis
should not be underestimated. Improved statistical instruments can be used in quest for
further empirical evidence related to this issue, which would bring new pieces of information and maybe allow to draw new conclusions.

58

4
Evaluation
4.1

Proposals to Capital Regulation

At this place, thinking about the future of bank regulation, the lecture of Ch. Goodhart
at the LSE in summer 2010, comes to mind: So, what are we going to do? Well, let me
start by saying that anybody, any fool, anyone of you in five minutes, if you really wanted
to and if you were a dictator, could make banks much much safer. All you gonna do is put
much more capital, a lot less leverage, more liquidity, tighter margin controls and maximum
loan-to-value ratio of 50%. We can all do it. Why dont we, why dont we just make banks
safer?1
This is a good question, which is now being asked by a large group of individuals, coming
from financial as well as non-financial areas. In this case it is not a rhetorical question.
Following the line of argument of this leading economist one can learn some facts, which
make it easier to at least partly answer the question.
The economical situation in the last years was such, where a trend of bank credit has grown
faster than the retail deposits. Banks adjusted their activity to this trend by substituting
relatively safe public-sector debt with private-sector assets that are much riskier. In addition they looked for wholesale funding with a very short-maturity and involved themselves
in securitization on a large scale to increase proportion of new lending. Such behavior
causes a regulative response to reverse such practices, which bears substantial costs for
banks. This is what the argument is about - the cost of additional equity, that takes banks
into a less profitable, less preferred position in their activities as intermediaries, how
Goddhart (2010) puts it. The argument goes on by concluding that, independently of the
circumstances that make the previous position comfortable, the removal of these benefits
by government will turn bank intermediation into a less profitable business. That would
mean, that the banks will charge more for their services, driving up bid-ask spreads and
less deals will take place. Credit expansion will be curbed and probably even reversed.
This is what bankers threaten with when they talk about credit crunch. This is the point,
where Miles (2010) says, that one has to carefully weigh the costs of such a crunch opposed
1

This citation in a slightly different form appears in the article by Ch. Goodhart How Should We
Regulate the Financial Sector in the LSE Report The Future of Finance (2010, [87])

59

to the potential profits of avoiding systemic crises, where the probability of such disasters
is not easy to calculate precisely.
As Goodhart (2010) states it, there is a trade-off between the extent and degree of regulation on banks, to make them safer, and their capacity to intermediate between lenders
and borrowers, particularly their ability to generate credit flows on acceptable terms to
potential borrowers. It is by far not clear yet how the problem is going to be solved.
Another problem is that pushing banks into the framework of tighter regulation makes the
alternative of operating in the unregulated field more attractive. Different countries have
different regulative practices as well as legal bases. The quest for opportunities in order to
outplay the system may lead to new distortions and imbalances in the globalized world.
There are not just problems stated, but also a range of solution proposals. Leading schools
of economics joined their forces in order to stabilize the financial system and banking industry as a part of it. The result of this collaborative thought often is an insightful guidance
for financial regulators and politicians. As an example, The Squam Lake Group, consisting
of 15 academics, issued a distilled report, which attempted to provide a revelatory, unified,
and coherent voice for fixing our troubled and damaged financial markets. As an alternative to the patchwork solutions and ideologically charged proposals that have dominated
other discussions, the Squam Lake Group sets forth a clear nonpartisan plan of action to
transform the regulation of financial markets - not just for the current climate, but for
generations to come.[40]
Regarding the reform for capital requirements they propose the following steps, summarized
below:
to make capital ratios higher for larger banks
to connect capital requirements with the liquidity of the assets held by the bank
to make the proportion of equity held by financial institution an increasing function
of its short-term debt
The economists rightfully doubt that these measures would be endorsed by banks, because
in case of implementation, they would bear the major costs, receiving only a small part of
societal benefits.
Dewatripont, Rochet and Tirole (2010[23]) provide a comprehensive overview of what happened in the last financial crisis and which lessons have to be learned. Among other valuable
suggestions they advocate for a powerful and independent banking supervisor and absolute prohibition against the injection of public funds into banking sector during normal

60

periods, allowing market discipline to dominate. They point out that the critical issue is
the definition of a rule for the sharing of the costs of intervention among the central bank,
the deposit insurance fund, and the Treasury.
Coming back to Ch. Goodhart and following his line of argument, one can think of capital
requirements as a desired levels of equity, which were transformed by markets and rating
agencies into minimum capital ratios and if they are minimal, they cannot act as a buffer.
This oxymoron is another way to think about bank capital and its regulation.
In his article Goodhart (2010, [87]) stresses the need of a fundamental change in the way
we, but supervisors in particular, used to think about the way financial regulation operates. Hence the paradigm shift is necessary as a part of the solution. The now prevalent
idea of the purpose of regulation is that it has to curb bankers excessive risk taking and
to encourage them to comply with best practices, requiring them more capital to hold.
He argues, that the regulation should not intend to limit the risks as long as they are
properly internalized. Goodhart reverts the attention to externalities, the grade by which
the malfunctioning in one institution may spread and affect the other and consequently the
whole system might be damaged.
Analyzing the causes and the lessons from the last financial crisis, H. Davies ([20]) from
the London School of Economics concludes the discussion Few would contest that stronger
capitalization of banks is a lesson from the crisis. The financial markets themselves are
likely to penalize weakly capitalized institutions, even if regulators do not do so. But the
sums of new equity required to recapitalize the system will be huge. The impact on credit
availability and the cost of capital is uncertain.

4.2

Is Debt Expensive?

Getting an idea about the history of capital regulation, the complexity of equity-debt relationship and the strong intentions of the Basel Committee to reform the current system,
one can think about what is to come. Where does this analysis of financial structure leave
us? For the bank, is it better to drastically de-lever and pile up equity, taking advantage
of its loss-absorbing qualities to reduce the probability of default? Or is the risk worth it
and banks should invest resources in figuring out how to outplay the new requirements in
order to profit from the positive effects of debt-financing? For regulators, should they push
the requirements higher and demand banks to fully comply with the strict rules on capital
to protect the tax-payers? Or should the government be rather moderate and cautious of

61

a credit-crunch, lowering GDP and undesirable behavior of bankers? I think, the answer is
it depends. It depends on the perspective: private or social. It depends on the present
period in economics: one tends to have different ideas and incentives at the peak and at
the bottom of the cycle waves. It depends on the incumbent regulators, who contingent
on how they set the play-field, get different responses. It would be incorrect and rather
narrow-minded to say that one source of financing is definitely better than the other. Under
the multiplicity of circumstances it may well be that for one group of market participants
the cost of debt will be lower, whereas at the same time it will be higher for another group.
The same applies to equity. One tends to seek for clarity and definiteness and to make
statements, but these statements also serve as justifications and often come from incentives
of particular interest group. It may be better to be aware of the limitations of assertive
statements and to turn the focus on the motives that lie behind. Analyzing what drives
a certain line of argument may help in figuring out the most appropriate response in a
particular situation.
The way I look at the Miller & Modigiliani Propositions is not the one that allows to take a
side in the argument. It serves as the holding point one should refer to in order to make a
sound, logical reasoning under any set of circumstances and economical environment. That
was the genius of M&M, who made their Proposition so long-lasting and resistant to the
legion of critics. It is its inherent fundamentality, which allows to go in any direction once
one established the current location.
The analytical part of the thesis showed that equity is not more expensive than debt per
definition, but can be so under a particular set of circumstances. This additional cost
might however be offset by the comparable benefits of equity, which differ for the various
participants. There has not been a question whether the regulation should take place at
all and require higher ratios of own capital. It better should, otherwise it will not keep up
the pace with the evolution in banking industry. The question is rather how to handle it
correctly and to find an appropriate reaction, justified and not exaggerated.
Empirical analysis gave an indication that the Irrelevance Proposition should not be dismissed. In fact, it is possible that M&M holds and the factors that may prevent its
fulfillment in other times are now offset by the series of counter-balancing factors. This
particular setup might give rise the M&M in its purest form. Assuming the empirical tests
are valid, this is not an unthinkable outcome.
As it seems, the world is full of imperfections and M&M may give a guidance how to deal
with it, because as Miller pointed out showing what doesnt matter can also show, by
implication, what does (1988, [65]).

62

Appendix
Table 4.1: Risk-weight of assets (Basel I)
%

Item

Cash
Claims on OECD central governments
Claims on other central governments if they are denominated and
funded in the national currency

20

Claims on OECD banks and multilateral development banks

Claims on banks outside OECD with residual maturity less than
1 year
Claims on public sector entities (PSE) or OECD countries

50

Mortgage loans

100

All other claims: claims on corporate, claims on banks outside

OECD with a maturity longer than 1 year, fixed assets, all other
assets, etc.

Source: Balthazar, 2006,[7]

Table 4.2: RWA in the Standardized Approach (Basel II)

Sovereign
Bank option 1
Banks option 2
(Short-term claims)
Corporate
Retail
Residential Property
Commercial Real Estate
Source: Balthazar, 2006,[7]

AAA to
AA (%)

A+ to A
(%)

BBB+ to
BBB (%)

BB+ to B
(%)

20

50

20
20
(20)
20

50

Below B
(%)

Unrated
(%)

100

150

100

50

100

150

100

50
(20)

100
(50)

150
(150)

50
(20)

100

B+ to B
(%)

150
75
35
100

100

Table 4.3: Comparing Basel I, II and III

Basel I

Basel II

Basel II.5

Basel III

New capital definition

New capital buffers
New leverage ratio
Higher minimum ratios
Systemic add-on

Capital Ratios
and Targets

Pillar-3 Disclosure
Pillar-2 ICAAP
Pillar-1 Operational Risk

RWA
Requirements
Pillar-1 Market risk
Pillar-1 Credit risk

New Pillar-1 Credit risk

Counterparty risk
Incremental risk
Trading book revisions
Securitization revision

Coverage ratio
Net stable funding ratio

Liquidity
Standards
Tier 1 & 2 definition
Source: PWC, 2010,[75], BIS, 2011[12]

Table 4.4: Basel III Introduction Timeline

2011

Leverage Ratio

Minimum Common Equity Capital Ratio

2012

Supervisory
monitoring

2013

2014

2015

2017

Parallel run
1 Jan 2013 - 1 Jan 2017
Disclosure starts 1 Jan 2015
3.5%

4.0%

4.5%

Capital Conservation Buffer

Minimum common equity
plus capital
conservation buffer
Phase-in of deductions from CET1
(including amounts exceeding the
limit for DTAs, MSRs and financials)

2016

3.5%

2018

As of
1 January
2019

Migration
to
Pillar 1

4.5%

4.5%

4.5%

4.5%

0.625%

1.25%

1.875%

2.5%

4.0%

4.5%

5.125%

5.75%

6.375%

7.0%

20%

40%

60%

80%

100%

100%

Minimum Tier 1 Capital

4.5%

5.5%

6.0%

6.0%

6.0%

6.0%

6.0%

Minimum Total Capital

8.0%

8.0%

8.0%

8.0%

8.0%

8.0%

8.0%

Minimum Total Capital

plus conservation buffer

8.0%

8.0%

8.0%

8.625%

9.25%

9.875%

10.5%

Capital instruments that no longer

qualify as non-core Tier 1 capital
or Tier 2 capital
Source: PWC, 2010,[75], BIS, 2011[12]

Phased out over 10 year horizon beginning 2013

Table 4.5: Bank characteristics: Eurozone

Size-Sort
Mean

Median

Std.Dev.

Std.Error Minimum Maximum

Sample

Smallest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

10.70
8.64
0.44
0.60
9.28
1.45
0.59

10.40
8.14
0.50
0.51
8.78
1.61
0.47

2.60
0.91
0.15
0.20
3.05
0.34
0.35

0.90
0.30
0.05
0.07
1.02
0.11
0.12

7.10
7.10
0.28
0.35
4.81
0.87
0.24

14.30
14.30
0.64
0.95
13.84
1.82
1.05

42
42
42
42
42
42
42

Middle
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

78.30
8.48
0.89
0.57
10.41
1.95
0.23

82.20
8.25
0.91
0.63
11.91
2.20
-0.03

19.20
0.69
0.19
0.33
7.43
0.67
0.43

6.40
0.23
0.06
0.11
2.48
0.22
0.14

52.10
7.85
0.67
-0.06
-2.96
0.95
-0.25

99.10
9.87
1.11
0.89
17.50
2.77
0.75

42
42
42
42
42
42
42

Biggest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

710.80
27.23
1.31
0.40
9.05
1.23
0.03

780.30
27.38
1.32
0.35
8.51
1.40
-0.19

242.90
0.38
0.23
0.21
6.39
0.40
0.57

81.00
0.13
0.08
0.07
2.13
0.13
0.19

377.20
26.66
1.07
0.09
-1.12
0.65
-0.73

983.10
27.61
1.60
0.65
16.85
1.70
0.67

42
42
42
42
42
42
42

Smallest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

172.00
7.03
0.81
0.41
8.03
1.47
0.28

146.70
6.82
0.82
0.42
8.75
1.63
0.20

106.90
0.60
0.19
0.27
6.36
0.39
0.51

35.60
0.20
0.06
0.09
2.12
0.13
0.17

71.80
6.52
0.55
-0.21
-7.09
0.81
-0.27

337.50
8.10
1.11
0.68
13.75
1.91
1.23

42
42
42
42
42
42
42

Middle
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

289.20
8.29
0.91
0.55
10.84
1.69
0.21

331.80
7.73
0.90
0.54
9.88
1.77
0.15

98.70
0.96
0.16
0.22
6.06
0.67
0.47

32.90
0.32
0.05
0.07
2.02
0.22
0.16

138.10
7.68
0.73
0.23
0.79
0.84
-0.39

403.20
10.17
1.20
0.84
19.26
2.73
0.87

42
42
42
42
42
42
42

Biggest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

286.10
10.40
0.94
0.60
9.64
1.55
0.35

295.00
9.92
0.93
0.57
10.35
1.66
0.14

104.60
0.95
0.27
0.27
5.36
0.51
0.41

34.90
0.32
0.09
0.09
1.79
0.17
-0.10

149.60
9.68
0.66
0.16
0.56
0.86
0.90

496.20
12.33
1.41
0.92
15.12
2.13
42

42
42
42
42
42
42

Capital-Sort

Table 4.6: Bank characteristics: nonEurozone

Size-Sort
Mean

Median

Std.Dev.

Std.Error Minimum Maximum Sample

Smallest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

0.276
13.59
0.47
1.31
9.50
1.32
1.04

0.281
12.93
0.68
1.52
11.40
1.26
-0.16

0.08
1.37
0.28
0.77
5.88
0.47
1,52

0.03
0.46
0.09
0.26
1.96
0.16
0.51

0.17
11.50
0.16
0.31
1.58
0.81
-0.30

0.379
15.46
0.72
2.27
17.36
2.17
2.73

51
51
51
51
51
51
51

Middle
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio (%)
Alpha (%)

6.02
12.71
0.49
0.96
10.54
1.17
0.59

5.69
12.77
0.65
1.13
12.58
1.08
-0.12

1.63
0.97
0.26
0.43
4.82
0.42
0.88

0.54
0.32
0.09
0.14
1.61
0.14
0.29

4.21
11.10
0.22
0.34
3.66
0.66
-0.20

8.78
14.21
0.76
1.49
15.76
1.99
1.53

51
51
51
51
51
51
51

Biggest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

553.59
10.18
1.19
0.56
12.02
1.59
0.02

573.93
9.26
1.22
0.66
14.86
1.78
-0.34

163.30
2.12
0.24
0.29
7.59
0.47
0.61

54.40
0.71
0.08
0.10
2.53
0.16
0.20

328.90
7.85
0.97
0.19
0.69
0.75
-0.68

743.57
14.20
1.48
0.87
20.59
2.15
0.65

51
51
51
51
51
51
51

Smallest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

305.67
8.65
0.83
0.64
11.36
1.38
0.21

278.10
8.05
0.87
0.69
13.37
1.42
-0.17

95.30
1.40
0,16
0.35
7.08
0.48
0.74

31.77
0.47
0.05
0.12
2.36
0.16
0.25

177.40
7.42
0.63
0.12
1.44
0.51
-0.69

484.59
11.23
1.08
1.10
20.19
1.97
1.08

51
51
51
51
51
51
51

Middle
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

145.28
11.43
0.68
0.93
10.22
1.30
0.57

140.89
11.05
0.74
1.07
13.62
1.24
-0.32

68.09
1.54
0.36
0.53
5.79
0.48
1.19

22.70
0.51
0.12
0.18
1.93
0.16
0.40

43.39
9.73
0.24
0.26
0.28
0.78
-0.51

230.35
14.17
1.12
1.57
15.70
2.04
2.20

51
51
51
51
51
51
51

Biggest
Total Assets (e, bn)
Capital Ratio Tier 1(%)
Raw Beta
Return on Assets (%)
Return on Equity (%)
PricetoBook Ratio
Alpha (%)

53.23
16.91
0.58
1.26
10.62
1.35
0.88

56.91
16.98
0.71
1.40
11.02
1.31
0.16

54.13
1.33
0.24
0.58
4.66
0.34
1.00

18.04
0.44
0.08
0.19
1.55
0.11
0.33

2.29
14.53
0.28
0.52
3.65
0.99
-0.09

145.68
18.49
0.83
2.07
15.37
1.89
2.12

51
51
51
51
51
51
51

Capital-Sort

Table 4.7: Panel regressions of performance variables on bank characteristics: Eurozone

Size-Sort

Smallest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Biggest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

-12.960
(-0.99)
-0.318c
(-2.31)
0.696
(-1.12)
0.577
(-1.07)

161.697
(-0.83)
-4.881c
(-2.38)
9.124
(0.99)
6.264
(0.78)

10.708
(1.45)
-0.342a
(-4.41)
-0.288
(0.82)
0.764c
(2.51)

-25.840b
(-3.76)
-0.532a
(-7.38)
1.381 a
(4.24)
-1.857a
(-6.58)

0.562
42

0.572
42

0.950
42

0.959
42

-0.020b
(-2.67)
-0.411 a
(-13.20)
0.556 a
(4.00)
-0.943a
(-1.07)

-164.201c
(-2.13)
-8.821a
(-12.38)
10.704b
(3.37)
-21.073a
(-4.16)

-14.434
(-0.73)
-0.580 b
(-3.18)
0.945
(1.17)
-2.676c
(-2.07)

10.457
(0.63)
-0.293
(1.90)
0.437
(-0.64)
-1.991
(-1.82)

0.981
42

0.980
42

0.837
42

0.712
42

-22.422b
(-3.08)
0.059
(0.83)
0.914b
(3.25)
1.977b
(-3.29)

-711.751b
(-3.12)
2.620
(1.18)
28.755b
(3.25)
-64.684b
(-3.42)

-23.642
(-1.80)
-0.001
(-0.01)
1.051c
(2.07
-2.839 b
(-2.61)

37.741
(1.80)
0.159
(0.77)
-1.429
(-1.76)
- 0.131
(-0.08)

0.635
42

0.624
42

0.695 ).592
42

42

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.8: Panel regressions of performance variables on bank characteristics: Eurozone

Capital-Sort

Smallest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Biggest
Constant
Capital ratio tier 1 (% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

-8.805b
(-2.62)
-0.190
(-1.90)
0.440b
(3.52)
-0.950c
(-2.12)

-192.13c
(-2.18)
-4.663
(-1.78)
9.745b
(2.97)
-21.719
(-1.85)

-2.351
(-0.37)
-0.434c
(-2.28)
0.293
(1.23)
-0.809
(-0.95)

-2.546
(-0.22)
0.127
(0.37)
0.158
(0.37)
-2.620
(-1.71)

0.808
42

0.761
42

0.664
42

0.372
42

-5.805
(-1.20)
-0.248 a
(-4.32)
0.325
(1.61)
-0.157
(0.74)

-168.402
(-1.16)
-6.834b
(-3.95)
9.117
(1.50)
-3.368
(0.82)

-24.065
(-1.40)
-0.659b
(-3.2)
1.257
(1.75)
-2.061
(-1.27)

21.200
(1.31)
0.057
(0.30)
-0.81
(-1.19)
-0297
(-0.19)

0.674
42

0.621
42

0.65
42

0.218
42

-8.007
(-0.84)
-0.259c
(-2.16)
0.443
(1.17)
-0.376
(-0.63)

-173.584
(-0.74)
-3.838
(-1.31)
8.854
(+0.96)
-10.571
(-0.72)

19.922
(1.54)
-0.235
(-1.458)
-0.598
-1.16
-0.214
(-0.26)

13.935
(0.89)
0.187
(0.95)
-0.555
(-0.89)
-0.985
(-1.00)

0.510
42

0.256
42

0.745
42

0.432
42

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.9: Panel regressions of performance variables on bank characteristics: non-Eurozone

Size-Sort

Smallest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Biggest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

51.516
(1.23)
-0.064
(-0.32)
-2.569
(-1.14)
1.049
(0.41)

426.271
(1.39)
-0.436
(-0.30)
- 21.41
(-1.29)
9.342
(0.50)

19.071
(0.61)
-0.134
(-0.90)
-0.843
(-0.50)
0.874
(0.45)

13.721b
(2.68)
-0.043
(-1.75)
-0.503
(1.82)
-5.001a
(-15.87)

0.170
51

0.248
51

-0.205
51

0.997
51

5.340
(0.13)
-0.168
(-0.78)
-0.090
(-0.05)
-0.453
(-0.22)

29.086
(0.06)
-2.030
(-0.85)
0.467
(0.02)
-6.593
(0.02)

8.773
(0.21)
-0.068
(-0.32)
-0.290
(-0.15)
-0.468
(-0.23)

-11.327
(-1.04)
0.081
(1.46)
0.569
(1.10)
-3.875a
(-7.34)

-0.211
51

-0.191
51

-0.212
51

0.981
51

-27.685c
(-2.35)
0.053
(0.93)
1.128c
(2.40)
-2.293b
(-2.90)

-722.853c
(-2.23)
1.681
(1.08)
29.296c
(2.32)
-61.126b
(-2.80)

-21.312
(-1.17)
0.034
(0.38)
0.963
(1.35)
-2.866c
(2.33)

26.628
(1.31)
0.113
(1.16)
-0.952
(-1.20)
-1.714
(-1.26)

0.468
51

0.422
51

0.513
51

0.648
51

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.10: Panel regressions of performance variables on bank characteristics: non-Eurozone

Capital-Sort

Smallest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations
Biggest
Constant
Capital ratio tier 1 (% )
Ln (assets) [ln(bn)]
Raw beta
Adjusted R2
Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

-10.894
(-0.73)
-0.0.37
(-0.31)
0.447
(0.78)
0.058
(0.05)

-240.718
(-0.87)
-1.629
(-0.75)
10.104
(0.95)
-0.737
(-0.03)

0.900
(0.04)
-0.154
(-0.96)
0.071
(0.09)
-0.067
(-0.04)

-13.292
(1.21)
-0.068
(-0.79)
-0.354
(-0.84)
-3.818a
-4.29

-0.271
51

-0.062
51

-0.255
51

0.848
51

19.917
(1.33)
-0.074
(0.82)
-0.709
(-1.17)
0.002
(0.00)

135.923
(0.69)
-0.516
(-0.44)
-4.564
(-0.58)
-4.517
(-0.36)

9.580
(0.47)
-0.046
(-0.38)
-0.296
(-0.36)
-0.248
(-0.19)

4.284
(0.25)
0.155
(1.47)
-0.129
(-0.18)
-3.241b
(-2.92)

0.540
51

0.434
51

-0.040
51

0.877
51

6.862
(1.57)
-0.166
(-0.84)
-0.096
(-0.57)
-0.913
(-0.65)

42.761
(1.09)
-1.357
(-0.77)
-0.220
(-0.15)
-6.901
(-0.55)

5.263c
(2.19)
0.179
(-1.57)
-0.030
(-0.33)
-0.300
(-0.39)

3.540a
(6.31)
0.081b
(3.20)
-0.087b
(-4.07)
-3.409a
(-18.87)

-0.078
51

-0.337
51

0.049
51

0.994
51

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.11: Fama-Macbeth regressions of performance variables on bank characteristics: Eurozone

Size-Sort

Smallest
Constant
Capital ratio tier 1(%)
Ln (assets) [ln(bn)]
Raw beta
Country dummy

Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Country dummy

Observations
Biggest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta (%)
Country Dummy

Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

-1.100
(-0.37)
0.084c
(1.91)
0.042
(0.34)
-0.143
(0.44)
-0.020
(-0.10)

-10.507
(-0.22)
0.497
(0.84)
0.619
(0.31)
3.611
(0.68)
1.785
(0.54)

2.737
(0.78)
0.023
(0.45)
-0.070
(-0.42)
-0.221
(-0.45)
0.944a
(3.30)

-2.148
(-0.49)
0.093
(1.00)
0.071
(0.36)
1.339
(1.11)
-0.388
(-0.81)

42

42

42

42

1.040
(0.52)
0.120
(0.90)
-0.065
(-0.59)
0.201
(0.64)
-0.271
(-0.38)

8.324
(0.20)
0.661
(0.18)
-0.369
(-0.14)
5.821
(0.96)
-3.553
(-0.23)

-1.740
(-0.35)
-0.017
(-0.12)
0.215
(0.80)
-1.758a
(-2.77)
0.047
(0.07)

4.173
(1.07)
0.046
(0.70)
-0.162
(-1.12)
-0.630
(-0.73)
0.473
(0.96)

(42)

(42)

(42 )

(42)

4.018
(0.91)
0.081
(0.59)
-0.150
(-0.82)
-0.088
(-0.28)
-0.364
(-1.53)

37.716
(0.35)
3.836
(0.79)
-1.976
(-0.41)
-4.902
(-0.64)
-9.491
(-0.84)

3.721
(0.81)
0.000
(0.00)
-0.103
(-0.56)
-0.015
(-0.03)
-0.126
(-0.33)

1.202
(0.17)
-0.276c
(-1.86)
0.054
(0.19)
-0.550
(-1.32)
0.176
(0.44)

(42)

(42)

(42)

(42)

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.12: Fama-Macbeth regressions of performance variables on bank characteristics: Eurozone

Capital-Sort

Smallest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Country Dummy

Observations
Middle
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Country Dummy

Observations
Biggest
Constant
Capital ratio tier 1(% )
Ln (assets) [ln(bn)]
Raw beta
Country Dummy

Observations

ROA (%)

ROE (% )

P/B

Alpha (% )

-1.485
(-0.55)
0.276
(0.88)
0.007
(0.12)
-0.253
(-0.32)
-0.108
(-0.39)

-38.585
(-0.64)
6.898
(1.09)
0.023
(0.02)
-2.981
(-0.17)
-2.884
(-0.51)

0.616
(0.17)
0.156
(0.33)
0.005
(0.03)
-0.374
(-0.28)
0.623
(0.60)

0.374
(0.05)
0.161
(0.59)
-0.044
(-0.17)
-0.172
(-0.25)
-0.185
(-0.34)

(42)

(42)

(42)

(42)

1.605
(0.68)
-0.015
(-0.05)
-0.036
(-0.62)
0.122
(0.43)
-0.162
(-0.74)

30.771
(0.59)
-2.687
(-0.41)
0.023
(0.03)
3.601
(0.68)
-0.818
(-0.15)

3.021
(0.37)
-0.200
(-0.19)
0.037
(0.22)
-0.967
(-0.97)
0.333
(0.50)

0.846
(0.12)
0.120
(0.17)
-0.057
(-0.49)
-0.316
(-0.56)
0.378
(0.41)

(42)

(42)

(42)

(42)

2.228
(1.07)
0.052
(0.59)
-0.083
(-1.08)
0.004
(0.01)
-0.126
(-0.47)

29.615
(0.72)
-0.264
(-0.17)
-0.745
(-0.55)
1.350
(0.24)
0.244
(0.06)

-0.816
(-0.23)
0.071
(0.79)
0.099
(0.47)
-1.096
(-0.95)
0.017
(0.08)

3.580
(0.82)
0.066
(0.46)
-0.149
(-0.64)
-0.262
(-0.24)
-0.233
(-0.07)

(42)

(42)

(42)

(42)

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.13:

Fama-Macbeth regressions of performance variables on bank characteristics: nonEurozone

Size-Sort

Smallest
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta
Country D

Observations
Middle
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta
Country D

Observations
Biggest
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta

Observations

ROA (%)

ROE (% )

P/B (%)

Alpha

-2.616
(-0.73)
0.080
(1.39)
0.144
(0.73)
0.225
(0.25)
0.000
(0.00)

-23.456
(-0.64)
0.146
(0.23)
1.541
(0.67)
4.114
(0.76)
0.000
(0.00)

8.399
(1.40)
0.030
(0.92)
-0.431
(-1.22)
1.867b
(1.97)
0.000
(0.00)

9.907
(1.49)
0.013
(0.22)
-0.282
(-0.59)
1.795
(0.74)
0.000
(0.00)

(51)

(51)

(51)

(51)

4.682
(0.67)
0.023
(0.45)
-0.189
(-0.63)
-0.031
(-0.02)
-0.127
(-0.29)

-17.235
(-0.28)
0.0273
(0.46)
1.118
(0.44)
-1.877
(-0.12)
-3.605
(-0.63)

-3.290
(-0.27)
0.037
(0.76)
0.169
(0.29)
0.776
(0.70)
-0.165
(-0.10)

0.592
(0.11)
-0.014
(-0.20)
0.005
(0.03)
0.075
(0.24)
-0.041
(-0.05)

(51)

(51)

(51)

(51)

1.144
(0.27)
0.090
(0.61)
-0.70
(-0.34)
-0.151
(-0.60)

-19.446
(-0.19)
2.000
(0.48)
0.945
(0.34)
-5.001
(-0.68)

0.360
(0.99)
0.025
(0.31)
0.037
(0.26)
0.127
(-0.31)

7.003b
(1.96)
0.040
(0.45)
-0.224
(-1.59)
-1.168a
(-2.97)

(51)

(51)

(51)

(51)

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.14: Fama-Macbeth regressions of performance variables on bank characteristics:non-Eurozone

Capital-Sort

Smallest
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta
CountryD

Observations
Middle
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta
CountryD

Observations
Biggest
Constant
Capital ratio tier 1
Ln (assets) [ln(bn)]
Raw beta
CountryD

Observations

ROA (%)

ROE (% )

P/B (%)

Alpha

0.466
(0.13)
0.079
(0.79)
-0.021
(-0.15)
0.051
(0.16)
0.000
(0.00)

-14.077
(-0.37)
0.551
(0.46)
0.868
(0.75)
0.511
(0.16)
0.000
(0.00)

0.260
(0.10)
0.093
(0.46)
-0.015
(-0.20)
0.861c
(1.75)
0.000
(0.00)

1.120
(0.24)
0.121
(0.40)
-0.050
(-0.49)
-0.706
(-1.42)
0.000
(0.00)

(51)

(51)

(51)

(51)

1.521
(0.44)
0.071
(0.48)
-0.071
(-0.64)
0.571
(0.57)
-1.212
(-0.66)

-4.752
(0.20)
-0.009
(-0.01)
0.750
(1.28)
2.114
(0.29)
-14.302
(-0.65)

0.688
(0.26)
-0.062
(-0.16)
0.033
(0.14)
1.260
(1.03)
-1.333
(-0.61)

2.087
(0.53)
0.027
(0.13)
-0.087
(-0.79)
0.050
(0.04)
-0.751
(-0.31)

(51)

(51)

(51)

(51)

2.121
(0.50)
0.066
(0.71)
-0.082
(-0.59)
-0.342
(-0.19)
-0.496
(-0.77)

-6.735
(-0.12)
0.216
(0.24)
0.757
(0.32)
-5.255
(-0.31)
-2.383
(-0.26)

-0.665
(-0.35)
0.048
(0.81)
0.049
(0.64)
0.245
(0.33)
0.065
(0.14)

3.527
(0.73)
-0.002
(-0.03)
-0.114
(-0.68)
-0.245
(-0.39)
-0.062
(-0.05)

(51)

(51)

(51)

(51)

Each column presents separate regression, t-statistics are in brackets, letters (a,b,c) stand for two-tailed
statistical significance at the 1%, 5% and 10% respectively. Sample period covers years 2002 - 2010 (endyear balance sheet data).

Table 4.15: Clean Data. Eurozone. Size-sort.

Number

Year

Short Name
2002 DEUTSCHE BANK-RG
BNP PARIBAS
CREDIT AGRICOLE
SOC GENERALE
COMMERZBANK
DEXIA SA
BANCO SANTANDER
INTESA SANPAOLO
BBVA
KBC GROEP
UNICREDIT SPA
LANDESBANK BERLI
CIC
NATIXIS
BANCA MONTE DEI
ERSTE GROUP BANK
BANK IRELAND
ALLIED IRISH BK
BANCO COM PORT-R
BANCO POPULAR
BANCO ESPIRITO-R
MEDIOBANCA
BANCO SABADELL
BANCO BPI SA-REG
BANKINTER
CREDITO EMILIANO
OEST VOLKSBANKEN
BANCA CARIGE
POHJOLA BANK-A
BANCO SARDEG-RSP
VAN LANSCHOT-CVA
CREDITO BERGAMAS
BANCA POP SONDRI
OBERBANK AG
CREDITO VALTELLI
BANCO PASTOR
OLDENBURG LANDES
BANIF-REG
CREDITO ARTIGIAN
BANCO DESIO
ALANDSBANKEN-A
BANCA POP SPOLET
Year
Short Name
1
2003 DEUTSCHE BANK-RG
2
CREDIT AGRICOLE
3
BNP PARIBAS
4
SOC GENERALE
5
COMMERZBANK
6
BANCO SANTANDER
7
DEXIA SA
8
BBVA
9
INTESA SANPAOLO
10
UNICREDIT SPA
11
KBC GROEP
12
CIC
13
LANDESBANK BERLI
14
NATIXIS
15
ERSTE GROUP BANK
16
BANCA MONTE DEI
17
BANK IRELAND
18
ALLIED IRISH BK
19
BANCO COM PORT-R
20
BANCO POPULAR
21
BANCO ESPIRITO-R
22
MEDIOBANCA
23
BANCO SABADELL
24
BANCO BPI SA-REG
25
BANKINTER
26
OEST VOLKSBANKEN
27
CREDITO EMILIANO
28
BANCA CARIGE
29
POHJOLA BANK-A
30
BANCO SARDEG-RSP
31
VAN LANSCHOT-CVA
32
CREDITO BERGAMAS
33
BANCA POP SONDRI
34
OBERBANK AG
35
BANCO PASTOR
36
CREDITO VALTELLI
37
OLDENBURG LANDES
38
BANIF-REG
39
CREDITO ARTIGIAN
40
BANCO DESIO
41
ALANDSBANKEN-A
42
BANCA POP SPOLET
Year
Short Name
1
2004 BNP PARIBAS
2
DEUTSCHE BANK-RG
3
CREDIT AGRICOLE
4
BANCO SANTANDER
5
SOC GENERALE
6
COMMERZBANK
7
DEXIA SA
8
BBVA
9
KBC GROEP
10
INTESA SANPAOLO
11
UNICREDIT SPA
12
CIC
13
BANCA MONTE DEI
14
NATIXIS
15
ERSTE GROUP BANK
16
LANDESBANK BERLI
17
BANK IRELAND
18
ALLIED IRISH BK
19
BANCO COM PORT-R
20
BANCO POPULAR
21
BANCO SABADELL
22
BANCO ESPIRITO-R
23
MEDIOBANCA
24
BANKINTER
25
BANCO BPI SA-REG
26
OEST VOLKSBANKEN
27
BANCA CARIGE
28
CREDITO EMILIANO
29
POHJOLA BANK-A
30
VAN LANSCHOT-CVA
31
BANCO PASTOR
32
BANCA POP SONDRI
33
BANCO SARDEG-RSP
34
CREDITO VALTELLI
35
OBERBANK AG
36
CREDITO BERGAMAS
37
OLDENBURG LANDES
38
BANIF-REG
39
CREDITO ARTIGIAN
40
BANCO DESIO
41
ALANDSBANKEN-A
42
BANCA POP SPOLET
Year
Short Name
1
2005 BNP PARIBAS
2
CREDIT AGRICOLE
3
DEUTSCHE BANK-RG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

Tot Assets:2002C
758355001344
710304989184
505718013952
501265006592
422133989376
350692016128
324208099328
279752015872
279444520960
221730504704
213349302272
173669089280
162785001472
133327003648
128872603648
121222299648
87297998848
85820997632
61851574272
42005123072
41233821696
30503999488
27211225088
25666099200
22638188544
19087259648
18886699008
15363319808
12709000192
11536480256
11288860672
10444983296
10187244544
9689099264
9430503424
8869684224
8220900352
6066775040
4340764160
3715785984
1812635008
1593699968
Tot Assets:2003C
803614031872
785731026944
782996013056
539224014848
381584998400
351780405248
349462986752
287083757568
260214996992
238255587328
225586790400
155838005248
152047403008
135782998016
128575299584
122973200384
89302999040
80959995904
67687985152
52611149824
43283349504
32887898112
30506350592
26165600256
23917830144
21561600000
20382799872
15918249984
14753999872
12486980608
11578370048
11056892928
10937561088
10493100032
10411809792
10239960064
8343799808
5711558144
4941704192
4283709952
1851476992
1714104960
Tot Assets:2004C
1002503012352
840067973120
817402019840
664486281216
601354993664
424876998656
388787011584
329441148928
285162995712
276134985728
265406218240
172653002752
142757527552
140033998848
139811913728
130302001152
106430996480
101108998144
71320363008
63576084480
45709234176
43051798528
37779521536
31270199296
25755760640
23771035648
20786315264
19582595072
16879900672
16577778688
15844462592
12610888704
11817326592
11595014144
11293391872
10586728448
8352700416
7272748032
5301101056
4657143296
1995326080
1855004032
Tot Assets:2005C
1258078994432
1061443010560
992160972800

ROA:2002C
0.05
0.43
0.21
0.25
-0.06
0.37
0.66
0.07
0.49
0.46
0.85
-0.38
0.24
0.09
0.47
0.25
1.08
1.18
0.44
1.60
0.56
0.87
0.82
0.56
0.50
0.61
0.24
0.45
0.49
0.52
0.85
0.85
0.52
0.38
0.16
0.89
0.41
0.35
0.36
0.40
0.55
0.44
ROA:2003C
0.17
0.16
0.50
0.46
-0.58
0.77
0.41
0.79
0.45
0.87
0.50
0.29
-0.26
0.20
0.28
0.35
0.94
0.81
0.68
1.51
0.59
0.17
0.81
0.63
0.57
0.28
0.49
0.54
0.92
0.29
0.90
0.89
0.60
0.38
0.64
0.16
0.44
0.43
0.33
0.50
0.58
0.25
ROA:2004C
0.55
0.30
0.34
0.71
0.55
0.09
0.49
0.95
0.63
0.69
0.82
0.34
0.45
0.35
0.39
0.07
0.96
1.24
0.85
1.12
0.98
0.35
1.52
0.63
0.61
0.39
0.61
0.72
0.68
0.72
0.45
0.70
0.31
0.46
0.38
1.06
0.36
0.41
0.36
0.70
0.55
0.45
ROA:2005C
0.52
0.41
0.39

ROE:2002C
1.13
12.91
6.99
8.04
-2.90
15.11
9.79
1.49
8.05
12.96
16.68
-16.99
10.17
2.96
11.14
11.64
22.45
22.83
12.49
22.96
13.07
5.84
9.14
13.52
12.61
13.43
5.99
4.95
9.98
7.55
16.51
11.74
6.43
7.74
3.89
13.31
8.76
7.26
5.81
7.26
11.09
6.95
ROE:2003C
4.69
5.30
13.76
14.62
-25.92
10.66
15.71
12.45
8.74
15.68
12.73
11.40
-11.73
7.09
13.40
7.88
20.16
14.84
17.38
21.38
12.21
1.18
10.05
13.86
13.95
6.93
11.05
5.78
18.49
4.25
16.26
12.75
7.95
7.87
9.49
4.07
9.10
7.81
5.39
9.85
11.25
3.61
ROE:2004C
16.31
9.14
11.00
12.13
17.86
3.84
16.52
18.87
15.04
12.13
15.46
11.37
9.00
11.65
16.76
3.42
22.53
21.05
21.23
17.31
13.39
7.57
11.07
14.91
14.54
10.08
6.48
14.56
14.20
11.87
7.34
8.45
4.48
9.57
7.70
13.76
7.19
8.33
5.81
14.52
10.10
6.59
ROE:2005C
16.58
14.45
12.64

Country
GE
FR
FR
FR
GE
BE
SP
IT
SP
BE
IT
GE
FR
FR
IT
AS
IR
IR
PO
SP
PO
IT
SP
PO
SP
IT
AS
IT
FI
IT
NE
IT
IT
AS
IT
SP
GE
PO
IT
IT
FI
IT
Country
GE
FR
FR
FR
GE
SP
BE
SP
IT
IT
BE
FR
GE
FR
AS
IT
IR
IR
PO
SP
PO
IT
SP
PO
SP
AS
IT
IT
FI
IT
NE
IT
IT
AS
SP
IT
GE
PO
IT
IT
FI
IT
Country
FR
GE
FR
SP
FR
GE
BE
SP
BE
IT
IT
FR
IT
FR
AS
GE
IR
IR
PO
SP
SP
PO
IT
SP
PO
AS
IT
IT
FI
NE
SP
IT
IT
IT
AS
IT
GE
PO
IT
IT
FI
IT
Country
FR
FR
GE

Country Dummy
1
0
0
0
1
1
0
0
0
1
0
1
0
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
1
0
0
0
1
0
Country Dummy
1
0
0
0
1
0
1
0
0
0
1
0
1
0
0
0
1
1
0
0
0
0
0
0
0
0
0
0
1
0
1
0
0
0
0
0
1
0
0
0
1
0
Country Dummy
0
1
0
0
0
1
1
0
1
0
0
0
0
0
0
1
1
1
0
0
0
0
0
0
0
0
0
0
1
1
0
0
0
0
0
0
1
0
0
0
1
0
Country Dummy
0
0
1

Tier 1 Capital Ratio:2002C

P/B:2002C
9.60
0.91
8.10
1.27
8.80
0.90
8.14
1.45
7.30
0.46
9.30
1.55
8.01
1.30
6.76
1.00
8.40
1.63
8.83
1.07
7.21
1.98
5.60
0.53
6.29
1.09
7.20
1.00
6.05
1.14
6.30
1.43
7.60
3.00
6.90
2.76
6.60
2.42
8.88
2.90
7.01
1.87
16.54
1.60
8.16
1.24
7.40
1.42
8.04
1.95
7.23
1.69
9.47
9.13
7.13
1.53
7.00
1.07
12.79
0.42
8.40
2.00
9.67
1.16
9.65
1.86
6.83
1.20
6.15
1.20
8.20
1.50
7.00
3.90
7.05
0.62
7.81
1.52
9.89
1.58
8.34
1.97
8.07
1.00
Tier 1 Capital Ratio:2003C
P/B:2003C
10.00
1.36
7.90
1.18
9.40
1.51
8.66
1.72
7.30
1.02
8.26
1.79
9.90
1.67
8.50
1.95
7.84
1.35
6.96
2.10
9.54
1.23
6.80
1.13
6.10
0.57
8.10
1.09
6.30
1.98
6.50
1.25
8.00
2.40
7.10
2.18
7.10
2.02
8.36
2.86
7.76
1.86
16.72
1.51
7.57
1.44
6.80
1.83
8.01
2.42
8.91
8.78
6.60
1.77
8.14
1.95
7.00
1.19
9.83
0.81
8.70
1.75
8.44
1.41
8.82
2.04
7.08
1.21
6.54
2.02
5.79
1.29
7.20
3.78
6.82
0.73
7.64
1.30
7.99
2.11
9.27
2.02
6.96
1.05
Tier 1 Capital Ratio:2004C
P/B:2004C
7.50
1.37
8.60
1.30
8.00
1.22
7.16
1.66
7.69
1.64
7.50
0.92
10.00
1.47
7.90
3.38
10.07
1.64
6.70
1.55
7.94
1.92
7.20
1.15
6.24
0.89
8.30
1.02
6.70
2.60
7.50
1.02
7.20
2.24
8.20
2.32
8.10
2.27
7.94
2.92
8.72
1.66
6.41
2.03
16.97
1.50
8.63
2.26
6.50
2.28
10.57
8.37
7.38
1.78
7.60
1.85
7.60
1.32
9.20
1.52
6.92
1.68
10.92
1.84
9.77
0.84
6.17
0.95
6.82
1.15
9.06
1.32
7.00
3.59
7.92
0.88
7.87
1.26
8.04
3.22
7.79
2.01
6.79
1.00
Tier 1 Capital Ratio:2005C
P/B:2005C
7.60
1.48
8.20
1.42
8.70
1.38

Alpha:20020101:20050101
0.31
0.94
1.27
1.28
1.53
0.19
-0.18
1.30
-0.32
1.08
-0.03
0.10
1.23
0.41
0.17
0.50
0.36
0.33
-1.69
0.73
0.44
0.06
0.68
0.99
0.39
1.00
0.91
1.37
1.00
1.69
0.80
0.94
0.73
-0.02
0.38
1.43
-0.46
0.39
-0.32
2.48
0.55
0.57
Alpha:20020101:20070101
0.39
0.84
0.62
0.97
1.03
-0.46
-0.57
-0.64
0.87
0.40
0.93
1.46
2.41
1.18
0.39
0.59
0.21
0.30
-1.32
0.71
0.42
0.27
1.32
1.33
0.21
0.95
0.76
1.43
0.79
1.17
1.14
1.22
1.12
0.50
2.00
0.70
-0.67
2.67
0.16
2.02
0.44
1.21
Alpha:20020101:20070101
0.62
0.39
0.84
-0.46
0.97
1.04
-0.57
-0.64
0.93
0.87
0.40
1.46
0.59
1.18
0.39
2.41
0.21
0.30
-1.32
0.71
1.32
0.42
0.27
0.21
1.33
0.95
1.43
0.77
0.79
1.14
2.00
1.12
1.17
0.70
0.50
1.22
-0.67
2.67
0.16
2.02
0.44
1.21
Alpha:20020101:20070101
0.62
0.84
0.39

Raw Beta:20020101:20070101
0.90
1.12
0.93
1.18
1.56
1.54
1.48
1.59
1.40
0.85
0.74
0.34
0.22
0.75
1.20
0.87
0.88
0.80
1.51
0.42
0.46
1.01
0.35
0.73
1.02
1.06
0.09
0.02
0.74
0.67
0.25
0.29
0.09
0.06
0.13
0.51
0.04
0.57
-0.08
0.59
0.52
0.40
Raw Beta:20020101:20070101
0.90
0.93
1.12
1.18
1.56
1.48
1.54
1.40
1.59
0.74
0.85
0.22
0.34
0.75
0.87
1.20
0.88
0.80
1.51
0.42
0.46
1.01
0.35
0.73
1.02
0.09
1.06
0.02
0.74
0.67
0.25
0.29
0.09
0.06
0.51
0.13
0.04
0.57
-0.08
0.59
0.52
0.40
Raw Beta:20020101:20070101
1.13
0.90
0.93
1.48
1.18
1.56
1.54
1.40
0.85
1.59
0.74
0.22
1.20
0.75
0.87
0.34
0.88
0.80
1.51
0.42
0.35
0.46
1.01
1.02
0.73
0.09
0.02
1.06
0.74
0.25
0.51
0.09
0.67
0.13
0.06
0.29
0.04
0.57
-0.08
0.59
0.52
0.40
Raw Beta:20020101:20070101
1.13
0.93
0.90

Table 4.15: Clean Data. Eurozone. Size-sort.

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

SOC GENERALE
BANCO SANTANDER
UNICREDIT SPA
DEXIA SA
COMMERZBANK
BBVA
KBC GROEP
INTESA SANPAOLO
CIC
NATIXIS
BANCA MONTE DEI
ERSTE GROUP BANK
LANDESBANK BERLI
ALLIED IRISH BK
BANK IRELAND
BANCO POPULAR
BANCO COM PORT-R
OEST VOLKSBANKEN
BANCO SABADELL
BANCO ESPIRITO-R
BANKINTER
MEDIOBANCA
BANCO BPI SA-REG
BANCA CARIGE
POHJOLA BANK-A
CREDITO EMILIANO
BANCO PASTOR
VAN LANSCHOT-CVA
BANCA POP SONDRI
BANCO SARDEG-RSP
CREDITO VALTELLI
OBERBANK AG
CREDITO BERGAMAS
OLDENBURG LANDES
BANIF-REG
BANCO DESIO
CREDITO ARTIGIAN
ALANDSBANKEN-A
BANCA POP SPOLET
Year
Short Name
1
2006 DEUTSCHE BANK-RG
2
BNP PARIBAS
3
CREDIT AGRICOLE
4
SOC GENERALE
5
BANCO SANTANDER
6
UNICREDIT SPA
7
COMMERZBANK
8
INTESA SANPAOLO
9
DEXIA SA
10
NATIXIS
11
BBVA
12
KBC GROEP
13
CIC
14
ERSTE GROUP BANK
15
BANK IRELAND
16
BANCA MONTE DEI
17
ALLIED IRISH BK
18
LANDESBANK BERLI
19
BANCO POPULAR
20
BANCO COM PORT-R
21
BANCO SABADELL
22
OEST VOLKSBANKEN
23
BANCO ESPIRITO-R
24
MEDIOBANCA
25
BANKINTER
26
BANCO BPI SA-REG
27
BANCA CARIGE
28
CREDITO EMILIANO
29
POHJOLA BANK-A
30
BANCO PASTOR
31
VAN LANSCHOT-CVA
32
BANCA POP SONDRI
33
CREDITO VALTELLI
34
CREDITO BERGAMAS
35
OBERBANK AG
36
BANCO SARDEG-RSP
37
BANIF-REG
38
OLDENBURG LANDES
39
BANCO DESIO
40
CREDITO ARTIGIAN
41
BANCA POP SPOLET
42
ALANDSBANKEN-A
Year
Short Name
1
2007 DEUTSCHE BANK-RG
2
BNP PARIBAS
3
CREDIT AGRICOLE
4
SOC GENERALE
5
UNICREDIT SPA
6
BANCO SANTANDER
7
COMMERZBANK
8
DEXIA SA
9
INTESA SANPAOLO
10
NATIXIS
11
BBVA
12
KBC GROEP
13
CIC
14
ERSTE GROUP BANK
15
BANK IRELAND
16
ALLIED IRISH BK
17
BANCA MONTE DEI
18
LANDESBANK BERLI
19
BANCO POPULAR
20
BANCO COM PORT-R
21
OEST VOLKSBANKEN
22
BANCO SABADELL
23
BANCO ESPIRITO-R
24
MEDIOBANCA
25
BANKINTER
26
BANCO BPI SA-REG
27
BANCA CARIGE
28
CREDITO EMILIANO
29
POHJOLA BANK-A
30
BANCO PASTOR
31
VAN LANSCHOT-CVA
32
BANCA POP SONDRI
33
CREDITO VALTELLI
34
CREDITO BERGAMAS
35
OBERBANK AG
36
BANCO SARDEG-RSP
37
BANIF-REG
38
OLDENBURG LANDES
39
BANCO DESIO
40
CREDITO ARTIGIAN
41
ALANDSBANKEN-A
42
BANCA POP SPOLET
Year
Short Name
1
2008 DEUTSCHE BANK-RG
2
BNP PARIBAS
3
CREDIT AGRICOLE
4
SOC GENERALE
5
BANCO SANTANDER
6
UNICREDIT SPA
7
DEXIA SA
8
INTESA SANPAOLO

835134029824
0.61
21.23 FR
0
7.57
1.84
0.97
1.18
818236555264
0.84
16.77 SP
0
7.88
1.75
-0.46
1.48
787000197120
0.47
10.06 IT
0
6.89
1.72
0.40
0.74
508761014272
0.45
14.98 BE
1
10.30
1.46
-0.57
1.54
444860989440
0.27
10.38 GE
1
8.10
1.34
1.04
1.56
392389492736
1.06
25.90 SP
0
7.50
3.12
-0.64
1.40
351616008192
0.71
16.02 BE
1
9.40
1.79
0.93
0.85
273534992384
1.10
18.71 IT
0
7.10
1.85
0.87
1.59
195835002880
0.31
10.04 FR
0
6.90
0.90
1.46
0.22
168118992896
0.45
13.97 FR
0
8.30
1.24
1.18
0.75
153749094400
0.53
10.89 IT
0
6.51
1.32
0.59
1.20
152680759296
0.49
19.14 AS
0
6.80
2.82
0.39
0.87
144403005440
0.20
14.39 GE
1
8.10
1.56
2.41
0.34
133214003200
1.15
21.63 IR
1
7.20
2.37
0.30
0.80
127780003840
0.90
24.70 IR
1
7.90
2.68
0.21
0.88
77697744896
1.24
20.01 SP
0
8.09
2.50
0.71
0.42
76849602560
0.97
24.19 PO
0
7.40
2.58
-1.32
1.51
54799515648
0.41
14.16 AS
0
7.33
7.49
0.95
0.09
52320395264
0.93
13.62 SP
0
7.96
1.94
1.32
0.35
50221842432
0.53
11.67 PO
0
7.71
1.71
0.42
0.46
40786010112
0.52
13.58 SP
0
7.32
2.49
0.21
1.02
38225199104
1.88
13.02 IT
0
15.69
2.14
0.27
1.01
30158706688
0.90
23.06 PO
0
7.30
2.45
1.33
0.73
23066390528
0.60
6.39 IT
0
7.02
1.62
1.43
0.02
22871900160
1.34
21.05 FI
1
9.60
1.35
0.79
0.74
21129084928
1.23
21.18 IT
0
7.70
2.07
0.77
1.06
19523018752
0.71
12.58 SP
0
7.74
2.56
2.00
0.51
17971611648
0.88
13.31 NE
1
9.40
1.61
1.14
0.25
14261526528
0.71
7.98 IT
0
10.23
2.15
1.12
0.09
13334559744
0.43
6.02 IT
0
9.28
0.88
1.17
0.67
12981639168
0.45
7.91 IT
0
5.95
1.17
0.70
0.13
12251617280
0.59
10.87 AS
0
6.81
1.03
0.50
0.06
11968686080
1.12
13.35 IT
0
8.60
1.60
1.22
0.29
8440799744
0.87
16.16 GE
1
7.30
2.46
-0.67
0.04
8355603456
0.74
16.95 PO
0
6.89
1.75
2.67
0.57
6358876160
1.88
30.39 IT
0
9.50
1.78
2.02
0.59
5828297216
0.50
7.38 IT
0
7.12
1.11
0.16
-0.08
2170388992
0.65
12.36 FI
1
7.02
2.35
0.44
0.52
2033816832
0.71
9.61 IT
0
9.36
1.47
1.21
0.40
Tot Assets:2006C ROA:2006C ROE:2006C Country Country Dummy Tier 1 Capital Ratio:2006C
P/B:2006C Alpha:20040101:20090101
Raw Beta:20040101:20090101
1584492969984
0.47
19.36 GE
1
8.50
1.55
-1.25
1.43
1440342999040
0.54
17.53 FR
0
7.40
1.61
-0.45
1.01
1261296025600
0.42
16.44 FR
0
8.20
1.47
-0.88
1.22
956841000960
0.58
20.04 FR
0
7.82
1.94
-0.47
1.59
875584815104
0.90
17.95 SP
0
7.42
1.97
-0.69
1.23
823284203520
0.68
14.79 IT
0
6.96
1.79
-0.58
1.40
608278020096
0.31
11.91 GE
1
6.70
1.33
-1.06
1.66
576783974400
0.95
11.16 IT
0
8.80
1.34
0.40
1.11
566743007232
0.51
17.61 BE
1
9.80
1.44
-1.62
1.59
458632986624
0.30
8.26 FR
0
10.50
1.49
-1.75
1.85
411915943936
1.18
25.00 SP
0
7.80
3.00
-0.66
1.12
365343014912
0.96
20.24 BE
1
8.70
1.78
-0.29
1.32
214312992768
0.62
18.82 FR
0
8.90
1.34
-0.22
0.57
181702737920
0.56
15.48 AS
0
6.60
2.30
-0.73
1.03
162212003840
0.85
26.02 IR
1
7.50
2.81
-1.89
1.46
158555668480
0.58
12.10 IT
0
6.53
1.91
0.08
0.86
158525997056
1.50
29.57 IR
1
8.20
2.55
-1.19
1.42
141624999936
0.46
30.15 GE
1
7.20
3.14
0.94
0.72
91650433024
1.21
19.44 SP
0
8.02
3.01
-0.83
0.72
79258746880
0.94
20.62 PO
0
7.30
2.63
-0.76
1.32
72779833344
1.45
23.69 SP
0
7.33
2.48
0.33
0.64
67429318656
0.25
10.82 AS
0
7.71
8.41
-0.35
0.34
59138805760
0.71
11.99 PO
0
7.00
1.63
-0.50
0.87
46116552704
2.04
13.72 IT
0
14.14
1.85
0.29
0.92
46075768832
0.48
13.75 SP
0
6.86
2.96
0.09
0.80
35565486080
0.94
23.46 PO
0
7.40
3.05
-0.40
1.25
25287094272
0.57
5.56 IT
0
8.43
1.84
0.04
0.73
24250912768
1.02
17.54 IT
0
7.85
2.19
0.01
1.07
24195999744
0.77
10.08 FI
1
8.20
1.41
0.71
0.79
23782246400
0.72
13.44 SP
0
7.26
2.98
-0.14
0.45
18739275776
0.95
15.04 NE
1
10.00
2.23
0.60
0.41
16042418176
0.81
9.21 IT
0
9.46
2.28
0.25
0.43
14901452800
0.49
8.38 IT
0
6.27
1.26
0.30
0.47
13595166720
1.89
22.50 IT
0
9.65
1.60
0.98
0.64
13221821440
0.65
10.93 AS
0
7.08
1.13
0.98
0.11
11905436672
0.48
5.98 IT
0
8.64
0.90
-0.13
1.12
9151013888
0.89
18.21 PO
0
6.90
2.73
0.99
1.17
9051200512
0.86
14.99 GE
1
7.00
2.29
-0.50
0.27
7473956864
1.00
14.25 IT
0
9.40
2.14
1.35
1.11
6656538624
0.55
7.78 IT
0
6.82
1.19
-0.04
0.64
2277279744
0.57
7.49 IT
0
9.37
1.60
0.09
0.78
2188615936
0.67
12.64 FI
1
7.10
2.48
0.74
0.52
Tot Assets:2007C ROA:2007C ROE:2007C Country Country Dummy Tier 1 Capital Ratio:2007C
P/B:2007C Alpha:20040101:20090101
Raw Beta:20040101:20090101
2020349050880
0.36
18.55 GE
1
8.60
1.21
-1.25
1.43
1694453989376
0.50
16.98 FR
0
7.30
1.41
-0.45
1.01
1414222970880
0.30
11.52 FR
0
8.10
1.01
-0.88
1.22
1071761981440
0.09
3.36 FR
0
6.62
1.56
-0.47
1.59
1021835476992
0.64
12.27 IT
0
6.55
1.31
-0.58
1.40
976073850880
0.98
18.11 SP
0
7.71
1.68
-0.69
1.23
616474017792
0.31
13.05 GE
1
7.00
1.14
-1.06
1.66
604564029440
0.43
16.15 BE
1
9.10
1.38
-1.62
1.59
572959031296
1.26
13.49 IT
0
6.50
1.30
0.40
1.11
520006008832
0.23
6.41 FR
0
10.30
0.95
-1.75
1.85
501725986816
1.34
25.20 SP
0
7.30
2.31
-0.66
1.12
355596992512
0.91
18.49 BE
1
8.70
1.88
-0.29
1.32
250908999680
0.49
14.29 FR
0
8.20
1.05
-0.22
0.57
200518844416
0.62
14.30 AS
0
7.00
1.69
-0.73
1.03
188813000704
0.94
27.73 IR
1
8.20
2.30
-1.89
1.46
177862000640
1.16
22.35 IR
1
7.50
1.54
-1.19
1.42
162076393472
0.90
17.51 IT
0
8.88
1.28
0.08
0.86
142163001344
0.15
8.51 GE
1
11.80
2.62
0.94
0.72
107169349632
1.27
21.45 SP
0
7.92
2.28
-0.83
0.72
88166162432
0.62
13.79 PO
0
5.50
2.92
-0.76
1.32
78640832512
0.30
14.10 AS
0
7.20
8.79
-0.35
0.34
76776005632
1.05
17.86 SP
0
7.22
1.97
0.33
0.64
68354711552
0.90
13.02 PO
0
7.50
1.59
-0.50
0.87
57839702016
1.83
13.12 IT
0
12.28
1.77
0.29
0.92
49648680960
0.76
21.73 SP
0
6.32
2.82
0.09
0.80
40545947648
0.93
23.02 PO
0
6.20
2.47
-0.40
1.25
27463675904
0.78
7.42 IT
0
7.82
1.72
0.04
0.73
26232528896
0.99
17.07 IT
0
8.05
1.73
0.01
1.07
25922000896
0.84
11.36 FI
1
7.50
1.42
0.71
0.79
25326456832
0.82
14.53 SP
0
7.18
1.86
-0.14
0.45
21718833152
1.01
16.97 NE
1
9.00
1.88
0.60
0.41
18941786112
0.84
9.64 IT
0
10.41
1.88
0.25
0.43
17228261376
0.53
6.98 IT
0
10.28
0.92
0.30
0.47
14755080192
1.50
17.05 IT
0
9.89
1.37
0.98
0.64
14330769408
0.74
11.92 AS
0
7.15
1.51
0.98
0.11
12639723520
0.73
8.22 IT
0
8.41
0.75
-0.13
1.12
10760960000
1.02
18.37 PO
0
7.70
1.63
0.99
1.17
9783300096
0.80
14.29 GE
1
6.30
2.09
-0.50
0.27
8079121920
2.36
31.17 IT
0
9.94
1.40
1.35
1.11
7152700416
0.61
9.21 IT
0
5.86
1.12
-0.04
0.64
2592037120
0.85
15.97 FI
1
8.60
3.21
0.74
0.52
2540034304
0.44
6.33 IT
0
8.38
1.20
0.09
0.78
Tot Assets:2008C ROA:2008C ROE:2008C Country Country Dummy Tier 1 Capital Ratio:2008C
P/B:2008C Alpha:20050101:20100101
Raw Beta:20050101:20100101
2202423001088
-0.18
-11.32 GE
1
10.10
0.52
-0.42
1.55
2075550941184
0.16
6.73 FR
0
7.80
0.64
0.36
1.22
1653220048896
0.07
2.66 FR
0
8.60
0.46
-0.54
1.34
1130003038208
0.18
7.03 FR
0
8.80
0.67
-0.19
1.81
1056336117760
0.87
15.74 SP
0
9.10
0.96
-0.07
1.49
1045611544576
0.39
7.12 IT
0
6.66
0.42
0.44
1.82
651005984768
-0.53
-35.85 BE
1
10.60
1.44
-0.90
1.86
636132982784
0.42
5.08 IT
0
7.10
0.66
0.50
1.11

Table 4.15: Clean Data. Eurozone. Size-sort.

9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

COMMERZBANK
NATIXIS
BBVA
KBC GROEP
CIC
BANCA MONTE DEI
ERSTE GROUP BANK
BANK IRELAND
ALLIED IRISH BK
LANDESBANK BERLI
BANCO POPULAR
BANCO COM PORT-R
BANCO SABADELL
BANCO ESPIRITO-R
MEDIOBANCA
OEST VOLKSBANKEN
BANKINTER
BANCO BPI SA-REG
POHJOLA BANK-A
BANCA CARIGE
CREDITO EMILIANO
BANCO PASTOR
CREDITO VALTELLI
BANCA POP SONDRI
VAN LANSCHOT-CVA
OBERBANK AG
CREDITO BERGAMAS
BANCO SARDEG-RSP
BANIF-REG
OLDENBURG LANDES
CREDITO ARTIGIAN
BANCO DESIO
ALANDSBANKEN-A
BANCA POP SPOLET
Year
Short Name
1
2009 BNP PARIBAS
2
CREDIT AGRICOLE
3
DEUTSCHE BANK-RG
4
BANCO SANTANDER
5
SOC GENERALE
6
UNICREDIT SPA
7
COMMERZBANK
8
INTESA SANPAOLO
9
DEXIA SA
10
BBVA
11
NATIXIS
12
KBC GROEP
13
CIC
14
BANCA MONTE DEI
15
ERSTE GROUP BANK
16
BANK IRELAND
17
ALLIED IRISH BK
18
LANDESBANK BERLI
19
BANCO POPULAR
20
BANCO COM PORT-R
21
BANCO SABADELL
22
BANCO ESPIRITO-R
23
MEDIOBANCA
24
BANKINTER
25
OEST VOLKSBANKEN
26
BANCO BPI SA-REG
27
BANCA CARIGE
28
POHJOLA BANK-A
29
BANCO PASTOR
30
CREDITO EMILIANO
31
CREDITO VALTELLI
32
BANCA POP SONDRI
33
VAN LANSCHOT-CVA
34
OBERBANK AG
35
CREDITO BERGAMAS
36
BANIF-REG
37
BANCO SARDEG-RSP
38
OLDENBURG LANDES
39
CREDITO ARTIGIAN
40
BANCO DESIO
41
ALANDSBANKEN-A
42
BANCA POP SPOLET
Year
Short Name
1
2010 BNP PARIBAS
2
DEUTSCHE BANK-RG
3
CREDIT AGRICOLE
4
BANCO SANTANDER
5
SOC GENERALE
6
UNICREDIT SPA
7
COMMERZBANK
8
INTESA SANPAOLO
9
DEXIA SA
10
BBVA
11
NATIXIS
12
KBC GROEP
13
BANCA MONTE DEI
14
CIC
15
ERSTE GROUP BANK
16
BANK IRELAND
17
ALLIED IRISH BK
18
LANDESBANK BERLI
19
BANCO POPULAR
20
BANCO COM PORT-R
21
BANCO SABADELL
22
BANCO ESPIRITO-R
23
MEDIOBANCA
24
BANKINTER
25
OEST VOLKSBANKEN
26
BANCO BPI SA-REG
27
BANCA CARIGE
28
POHJOLA BANK-A
29
BANCO PASTOR
30
CREDITO EMILIANO
31
CREDITO VALTELLI
32
BANCA POP SONDRI
33
VAN LANSCHOT-CVA
34
OBERBANK AG
35
BANIF-REG
36
CREDITO BERGAMAS
37
BANCO SARDEG-RSP
38
OLDENBURG LANDES
39
CREDITO ARTIGIAN
40
BANCO DESIO
41
ALANDSBANKEN-A
42
BANCA POP SPOLET

625196007424
0.00
0.02 GE
1
10.10
0.49
-1.17
2.05
555760025600
-0.52
-17.26 FR
0
8.20
0.23
-0.18
2.17
542650007552
0.96
19.04 SP
0
7.90
1.24
-0.53
1.48
355316989952
-0.70
-15.74 BE
1
8.90
0.51
0.46
1.97
251666006016
0.07
2.21 FR
0
9.00
0.53
-0.35
0.87
213795979264
0.49
7.86 IT
0
9.32
0.69
-0.29
0.92
201441148928
0.43
10.40 AS
0
7.20
0.58
-0.24
1.39
197433999360
0.88
25.73 IR
1
8.10
1.43
2.84
2.48
182174007296
0.43
8.67 IR
1
7.40
0.19
0.30
2.15
145387995136
0.02
1.48 GE
1
11.00
1.50
0.98
0.91
110376050688
0.97
16.18 SP
0
8.12
1.10
-1.24
1.08
94423719936
0.17
3.55 PO
0
7.10
0.77
-1.15
1.40
80378068992
0.86
14.95 SP
0
7.28
1.31
-0.39
0.83
75186724864
0.51
8.61 PO
0
6.60
0.85
-0.57
0.98
64468086784
1.66
13.97 IT
0
10.29
1.29
0.16
0.99
55814909952
-0.23
-10.74 AS
0
7.56
5.82
-0.70
0.29
53469630464
0.49
13.60 SP
0
7.39
1.29
0.09
0.66
43025100800
0.36
9.59 PO
0
8.80
1.04
-0.49
1.33
32448000000
0.30
5.02 FI
1
12.00
1.21
0.31
1.07
31986444288
0.69
6.45 IT
0
7.92
0.86
-0.04
0.44
30136094720
0.55
9.45 IT
0
9.62
0.70
0.41
1.21
27121301504
0.63
11.04 SP
0
7.46
0.87
-0.44
0.80
23579412480
0.49
6.11 IT
0
9.98
0.77
-0.24
0.37
21819463680
0.21
2.68 IT
0
8.93
1.25
0.20
0.49
20691896320
0.09
1.49 NE
1
10.00
1.38
-0.16
0.36
15313988608
0.71
11.79 AS
0
8.27
1.34
0.83
0.08
14041613312
0.83
9.09 IT
0
16.54
1.12
0.77
0.48
12967676928
0.51
5.65 IT
0
8.22
0.35
0.15
0.80
12876616704
0.50
9.89 PO
0
7.85
0.65
0.95
1.21
9987800064
0.22
4.12 GE
1
9.90
2.22
-0.48
0.20
8548529152
0.62
7.81 IT
0
10.69
0.72
-0.33
0.35
7521231872
0.81
9.27 IT
0
9.81
0.86
0.29
0.66
2769731072
0.52
10.39 FI
1
8.60
2.24
1.00
0.39
2742088960
0.40
6.34 IT
0
7.35
0.66
-0.14
0.64
Tot Assets:2009C ROA:2009C ROE:2009C Country Country Dummy Tier 1 Capital Ratio:2009C
P/B:2009C Alpha:20050101:20100101
Raw Beta:20050101:20100101
2057698017280
0.27
10.57 FR
0
10.10
1.08
0.36
1.22
1557342060544
0.07
2.75 FR
0
9.50
0.67
-0.54
1.34
1500664037376
0.27
14.77 GE
1
12.60
0.84
-0.42
1.55
1117573349376
0.82
14.17 SP
0
10.10
1.38
-0.07
1.49
1023701024768
0.06
2.06 FR
0
10.70
0.99
-0.19
1.81
928759676928
0.17
2.97 IT
0
8.63
0.66
0.44
1.82
844103024640
-0.62
-48.64 GE
1
10.50
0.79
-1.17
2.05
624844013568
0.45
5.52 IT
0
8.40
0.76
0.50
1.11
577629978624
0.16
14.33 BE
1
12.30
0.77
-0.90
1.86
535065001984
0.78
15.32 SP
0
9.40
1.62
-0.53
1.48
449217986560
-0.34
-9.36 FR
0
9.70
0.49
-0.18
2.17
324231004160
-0.73
-20.66 BE
1
10.80
1.07
0.46
1.97
235597004800
0.33
10.31 FR
0
10.20
0.52
-0.35
0.87
224814972928
0.10
1.38 IT
0
7.52
0.48
-0.29
0.92
201710174208
0.45
8.69 AS
0
10.80
0.73
-0.24
1.39
194115993600
0.04
1.04 IR
1
12.00
0.08
2.84
2.48
174313996288
-1.35
-25.68 IR
1
7.20
0.11
0.30
2.15
143835004928
0.18
11.54 GE
1
8.50
1.31
0.98
0.91
129290149888
0.64
10.99 SP
0
9.13
0.94
-1.24
1.08
95550406656
0.24
4.16 PO
0
9.30
0.68
-1.15
1.40
82822889472
0.64
10.77 SP
0
9.10
0.86
-0.39
0.83
82297200640
0.62
9.82 PO
0
8.30
0.88
-0.57
0.98
73890480128
0.00
0.04 IT
0
10.30
1.22
0.16
0.99
54467465216
0.43
10.08 SP
0
7.37
1.31
0.09
0.66
49145593856
-2.07
-90.03 AS
0
10.00
4.63
-0.70
0.29
47449178112
0.39
10.47 PO
0
8.60
1.03
-0.49
1.33
36299374592
0.60
5.59 IT
0
7.87
0.88
-0.04
0.44
35510001664
0.57
9.93 FI
1
11.80
1.06
0.31
1.07
32325234688
0.34
6.92 SP
0
10.55
0.88
-0.44
0.80
26439041024
0.31
4.93 IT
0
11.09
0.97
0.41
1.21
24895770624
0.31
4.19 IT
0
9.27
0.61
-0.24
0.37
23454554112
0.89
11.85 IT
0
9.60
1.21
0.20
0.49
21264838656
-0.12
-2.12 NE
1
9.50
1.05
-0.16
0.36
16031440896
0.49
8.02 AS
0
9.58
1.19
0.83
0.08
14534722560
0.60
6.48 IT
0
15.89
1.09
0.77
0.48
14442205184
0.40
7.09 PO
0
8.93
0.65
0.95
1.21
13579846656
0.41
4.58 IT
0
10.25
0.45
0.15
0.80
12248900608
0.30
6.21 GE
1
8.00
1.92
-0.48
0.20
9140595712
0.27
3.11 IT
0
9.06
0.69
-0.33
0.35
8308780032
0.68
7.36 IT
0
10.40
0.72
0.29
0.66
3379308032
0.85
17.55 FI
1
7.90
2.43
1.00
0.39
2851597824
0.29
4.22 IT
0
9.79
0.68
-0.14
0.64
Tot Assets:2010C ROA:2010C ROE:2010C Country Country Dummy Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
1998158036992
0.37
11.76 FR
0
11.40
0.86
0.36
1.22
1905629986816
0.14
5.40 GE
1
12.30
0.74
-0.42
1.55
1593528942592
0.08
2.95 FR
0
10.60
0.53
-0.54
1.34
1217500676096
0.70
11.39 SP
0
10.00
0.88
-0.07
1.49
1132072009728
0.36
10.37 FR
0
10.60
0.73
-0.19
1.81
929487585280
0.14
2.14 IT
0
9.46
0.47
0.44
1.82
754298978304
0.18
14.65 GE
1
11.90
0.61
-1.17
2.05
658756993024
0.42
5.09 IT
0
9.40
0.49
0.50
1.11
566735011840
0.13
7.56 BE
1
13.10
0.54
-0.90
1.86
552738029568
0.85
14.13 SP
0
10.50
0.93
-0.53
1.48
458008985600
0.30
7.27 FR
0
11.40
0.63
-0.18
2.17
320823001088
0.39
12.16 BE
1
12.60
0.78
0.46
1.97
244278935552
0.42
5.74 IT
0
8.37
0.33
-0.29
0.92
242035998720
0.47
12.27 FR
0
10.83
0.53
-0.35
0.87
205938016256
0.50
7.72 AS
0
11.80
0.94
-0.24
1.39
167473004544
-0.34
-8.65 IR
1
9.70
0.27
2.84
2.48
145221992448
-6.40
-148.94 IR
1
4.30
0.16
0.30
2.15
131476996096
0.19
10.11 GE
1
15.24
1.62
0.98
0.91
130139848704
0.46
7.67 SP
0
9.63
0.63
-1.24
1.08
100009738240
0.21
3.46 PO
0
9.20
0.48
-1.15
1.40
97099210752
0.42
6.96 SP
0
9.36
0.66
-0.39
0.83
83655426048
0.58
7.70 PO
0
8.80
0.53
-0.57
0.98
76501180416
0.53
6.44 IT
0
11.09
0.77
0.16
0.99
54151979008
0.28
5.84 SP
0
7.31
0.76
0.09
0.66
46464843776
0.12
4.68 AS
0
10.30
4.50
-0.70
0.29
45659811840
0.40
11.22 PO
0
9.10
0.86
-0.49
1.33
40009957376
0.47
4.72 IT
0
6.70
0.76
-0.04
0.44
36183998464
0.64
9.86 FI
1
12.50
1.21
0.31
1.07
31134697472
0.20
4.32 SP
0
10.63
0.69
-0.44
0.80
29998233600
0.28
4.27 IT
0
11.28
0.85
0.41
1.21
26760794112
0.27
3.53 IT
0
9.52
0.39
-0.24
0.37
26282383360
0.54
7.41 IT
0
8.07
1.02
0.20
0.49
20325117952
0.27
4.19 NE
1
11.90
0.84
-0.16
0.36
16768363520
0.60
8.97 AS
0
10.50
1.12
0.83
0.08
15710692352
0.22
3.38 PO
0
10.76
0.48
0.95
1.21
15488814080
0.65
7.29 IT
0
13.75
0.93
0.77
0.48
13929971712
0.09
1.03 IT
0
9.99
0.42
0.15
0.80
13351000064
0.41
9.04 GE
1
7.80
1.48
-0.48
0.20
8829604864
0.27
3.24 IT
0
8.66
0.48
-0.33
0.35
8163010048
0.64
6.83 IT
0
11.10
0.68
0.29
0.66
3475429888
-0.07
-1.44 FI
1
7.30
2.20
1.00
0.39
3029300224
0.31
4.28 IT
0
9.44
0.47
-0.14
0.64

Table 4.16: Clean Data. Eurozone. Capital-sort.

Number

Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1

Short Name
2002 MEDIOBANCA
BANCO SARDEG-RSP
BANCO DESIO
CREDITO BERGAMAS
BANCA POP SONDRI
DEUTSCHE BANK-RG
OEST VOLKSBANKEN
DEXIA SA
BANCO POPULAR
KBC GROEP
CREDIT AGRICOLE
BBVA
VAN LANSCHOT-CVA
ALANDSBANKEN-A
BANCO PASTOR
BANCO SABADELL
SOC GENERALE
BNP PARIBAS
BANCA POP SPOLET
BANKINTER
BANCO SANTANDER
CREDITO ARTIGIAN
BANK IRELAND
BANCO BPI SA-REG
COMMERZBANK
CREDITO EMILIANO
UNICREDIT SPA
NATIXIS
BANCA CARIGE
BANIF-REG
BANCO ESPIRITO-R
POHJOLA BANK-A
OLDENBURG LANDES
ALLIED IRISH BK
OBERBANK AG
INTESA SANPAOLO
BANCO COM PORT-R
ERSTE GROUP BANK
CIC
CREDITO VALTELLI
BANCA MONTE DEI
LANDESBANK BERLI
Short Name
2003 MEDIOBANCA
DEUTSCHE BANK-RG
DEXIA SA
BANCO SARDEG-RSP
KBC GROEP
BNP PARIBAS
ALANDSBANKEN-A
OEST VOLKSBANKEN
BANCA POP SONDRI
VAN LANSCHOT-CVA
SOC GENERALE
BBVA
CREDITO BERGAMAS
BANCO POPULAR
BANCO SANTANDER
BANCA CARIGE
NATIXIS
BANKINTER
BANK IRELAND
BANCO DESIO
CREDIT AGRICOLE
INTESA SANPAOLO
BANCO ESPIRITO-R
CREDITO ARTIGIAN
BANCO SABADELL
COMMERZBANK
OLDENBURG LANDES
ALLIED IRISH BK
BANCO COM PORT-R
OBERBANK AG
POHJOLA BANK-A
UNICREDIT SPA
BANCA POP SPOLET
BANIF-REG
CIC
BANCO BPI SA-REG
CREDITO EMILIANO
BANCO PASTOR
BANCA MONTE DEI
ERSTE GROUP BANK
LANDESBANK BERLI
CREDITO VALTELLI
Short Name
2004 MEDIOBANCA
BANCA POP SONDRI
OEST VOLKSBANKEN
KBC GROEP
DEXIA SA
BANCO SARDEG-RSP
VAN LANSCHOT-CVA
CREDITO BERGAMAS
BANCO SABADELL
BANKINTER
DEUTSCHE BANK-RG
NATIXIS
ALLIED IRISH BK
BANCO COM PORT-R
BANCO DESIO
CREDIT AGRICOLE
UNICREDIT SPA
BANCO POPULAR
BANIF-REG
BBVA
CREDITO ARTIGIAN
ALANDSBANKEN-A
SOC GENERALE
CREDITO EMILIANO
POHJOLA BANK-A
BNP PARIBAS
COMMERZBANK
LANDESBANK BERLI
BANCA CARIGE
CIC
BANK IRELAND
BANCO SANTANDER
OLDENBURG LANDES
BANCO PASTOR
OBERBANK AG
BANCA POP SPOLET
INTESA SANPAOLO
ERSTE GROUP BANK
BANCO BPI SA-REG
BANCO ESPIRITO-R
BANCA MONTE DEI
CREDITO VALTELLI
Short Name
2005 MEDIOBANCA

Tot Assets:2002C
30'503'999'488
11'536'480'256
3'715'785'984
10'444'983'296
10'187'244'544
758'355'001'344
18'886'699'008
350'692'016'128
42'005'123'072
221'730'504'704
505'718'013'952
279'444'520'960
11'288'860'672
1'812'635'008
8'869'684'224
27'211'225'088
501'265'006'592
710'304'989'184
1'593'699'968
22'638'188'544
324'208'099'328
4'340'764'160
87'297'998'848
25'666'099'200
422'133'989'376
19'087'259'648
213'349'302'272
133'327'003'648
15'363'319'808
6'066'775'040
41'233'821'696
12'709'000'192
8'220'900'352
85'820'997'632
9'689'099'264
279'752'015'872
61'851'574'272
121'222'299'648
162'785'001'472
9'430'503'424
128'872'603'648
173'669'089'280
Tot Assets:2003C
32'887'898'112
803'614'031'872
349'462'986'752
12'486'980'608
225'586'790'400
782'996'013'056
1'851'476'992
21'561'600'000
10'937'561'088
11'578'370'048
539'224'014'848
287'083'757'568
11'056'892'928
52'611'149'824
351'780'405'248
15'918'249'984
135'782'998'016
23'917'830'144
89'302'999'040
4'283'709'952
785'731'026'944
260'214'996'992
43'283'349'504
4'941'704'192
30'506'350'592
381'584'998'400
8'343'799'808
80'959'995'904
67'687'985'152
10'493'100'032
14'753'999'872
238'255'587'328
1'714'104'960
5'711'558'144
155'838'005'248
26'165'600'256
20'382'799'872
10'411'809'792
122'973'200'384
128'575'299'584
152'047'403'008
10'239'960'064
Tot Assets:2004C
37'779'521'536
12'610'888'704
23'771'035'648
285'162'995'712
388'787'011'584
11'817'326'592
16'577'778'688
10'586'728'448
45'709'234'176
31'270'199'296
840'067'973'120
140'033'998'848
101'108'998'144
71'320'363'008
4'657'143'296
817'402'019'840
265'406'218'240
63'576'084'480
7'272'748'032
329'441'148'928
5'301'101'056
1'995'326'080
601'354'993'664
19'582'595'072
16'879'900'672
1'002'503'012'352
424'876'998'656
130'302'001'152
20'786'315'264
172'653'002'752
106'430'996'480
664'486'281'216
8'352'700'416
15'844'462'592
11'293'391'872
1'855'004'032
276'134'985'728
139'811'913'728
25'755'760'640
43'051'798'528
142'757'527'552
11'595'014'144
Tot Assets:2005C
38'225'199'104

ROA:2002C
0.866
0.522
0.399
0.850
0.521
0.047
0.244
0.370
1.596
0.460
0.213
0.490
0.855
0.555
0.888
0.820
0.250
0.429
0.442
0.501
0.659
0.357
1.077
0.555
-0.065
0.614
0.854
0.089
0.452
0.354
0.558
0.491
0.410
1.181
0.375
0.067
0.437
0.246
0.244
0.161
0.473
-0.383
ROA:2003C
0.169
0.175
0.409
0.289
0.500
0.504
0.579
0.279
0.605
0.903
0.456
0.786
0.888
1.510
0.772
0.542
0.197
0.572
0.935
0.503
0.159
0.450
0.592
0.333
0.814
-0.577
0.444
0.812
0.676
0.380
0.918
0.868
0.245
0.431
0.290
0.632
0.486
0.640
0.351
0.283
-0.260
0.161
ROA:2004C
1.518
0.703
0.389
0.632
0.494
0.306
0.716
1.056
0.979
0.628
0.301
0.354
1.236
0.85
0.704
0.34
0.822
1.121
0.414
0.948
0.357
0.546
0.55
0.721
0.677
0.553
0.09
0.065
0.606
0.335
0.955
0.71
0.356
0.449
0.383
0.446
0.692
0.388
0.614
0.351
0.451
0.458
ROA:2005C
1.879

ROE:2002C
5.843
7.551
7.257
11.738
6.426
1.131
5.986
15.109
22.964
12.957
6.994
8.051
16.513
11.094
13.310
9.145
8.042
12.913
6.948
12.614
9.786
5.814
22.445
13.517
-2.898
13.431
16.684
2.956
4.953
7.260
13.068
9.976
8.757
22.833
7.742
1.488
12.491
11.640
10.174
3.890
11.140
-16.990
ROE:2003C
1.185
4.691
15.705
4.248
12.733
13.758
11.250
6.927
7.948
16.260
14.620
12.448
12.747
21.382
10.658
5.784
7.091
13.946
20.164
9.854
5.296
8.736
12.212
5.386
10.049
-25.923
9.098
14.843
17.378
7.867
18.489
15.683
3.610
7.806
11.402
13.861
11.051
9.495
7.883
13.403
-11.730
4.070
ROE:2004C
11.074
8.451
10.081
15.04
16.515
4.48
11.871
13.764
13.388
14.91
9.138
11.651
21.054
21.23
14.521
10.997
15.456
17.309
8.325
18.866
5.808
10.095
17.855
14.556
14.2
16.313
3.842
3.419
6.476
11.374
22.527
12.128
7.193
7.343
7.704
6.591
12.13
16.763
14.539
7.57
9
9.568
ROE:2005C
13.022

Country
IT
IT
IT
IT
IT
GE
AS
BE
SP
BE
FR
SP
NE
FI
SP
SP
FR
FR
IT
SP
SP
IT
IR
PO
GE
IT
IT
FR
IT
PO
PO
FI
GE
IR
AS
IT
PO
AS
FR
IT
IT
GE
Country
IT
GE
BE
IT
BE
FR
FI
AS
IT
NE
FR
SP
IT
SP
SP
IT
FR
SP
IR
IT
FR
IT
PO
IT
SP
GE
GE
IR
PO
AS
FI
IT
IT
PO
FR
PO
IT
SP
IT
AS
GE
IT
Country
IT
IT
AS
BE
BE
IT
NE
IT
SP
SP
GE
FR
IR
PO
IT
FR
IT
SP
PO
SP
IT
FI
FR
IT
FI
FR
GE
GE
IT
FR
IR
SP
GE
SP
AS
IT
IT
AS
PO
PO
IT
IT
Country
IT

Tier 1 Capital Ratio:2002C

16.540
12.790
9.890
9.670
9.650
9.600
9.470
9.300
8.880
8.830
8.800
8.400
8.400
8.340
8.200
8.160
8.140
8.100
8.070
8.040
8.010
7.810
7.600
7.400
7.300
7.230
7.210
7.200
7.130
7.050
7.010
7.000
7.000
6.900
6.830
6.760
6.600
6.300
6.290
6.150
6.050
5.600
Tier 1 Capital Ratio:2003C
16.720
10.000
9.900
9.830
9.540
9.400
9.270
8.910
8.820
8.700
8.660
8.500
8.440
8.360
8.260
8.140
8.100
8.010
8.000
7.990
7.900
7.840
7.760
7.640
7.570
7.300
7.200
7.100
7.100
7.080
7.000
6.960
6.960
6.820
6.800
6.800
6.600
6.540
6.500
6.300
6.100
5.790
Tier 1 Capital Ratio:2004C
16.97
10.92
10.57
10.07
10
9.77
9.2
9.06
8.72
8.63
8.6
8.3
8.2
8.1
8.04
8
7.94
7.94
7.92
7.9
7.87
7.79
7.69
7.6
7.6
7.5
7.5
7.5
7.38
7.2
7.2
7.16
7
6.92
6.82
6.79
6.7
6.7
6.5
6.41
6.24
6.17
Tier 1 Capital Ratio:2005C
15.69

P/B:2002C
1.596
0.421
1.580
1.156
1.861
0.910
9.127
1.551
2.897
1.070
0.901
1.626
1.998
1.968
1.498
1.236
1.445
1.274
1.002
1.955
1.303
1.518
3.001
1.418
0.459
1.692
1.979
1.003
1.531
0.619
1.874
1.070
3.902
2.761
1.197
0.998
2.424
1.433
1.085
1.204
1.136
0.531
P/B:2003C
1.506
1.356
1.667
0.805
1.234
1.514
2.022
8.780
2.036
1.747
1.724
1.949
1.405
2.861
1.786
1.955
1.090
2.416
2.403
2.110
1.184
1.352
1.861
1.301
1.435
1.023
3.776
2.176
2.023
1.208
1.190
2.099
1.054
0.731
1.131
1.828
1.768
2.015
1.245
1.976
0.568
1.290
P/B:2004C
1.498
1.844
8.365
1.635
1.473
0.844
1.524
1.32
1.664
2.258
1.304
1.024
2.323
2.267
3.219
1.223
1.923
2.922
0.879
3.383
1.257
2.009
1.64
1.846
1.318
1.374
0.924
1.017
1.784
1.148
2.24
1.655
3.592
1.679
1.147
1.001
1.55
2.595
2.279
2.033
0.89
0.946
P/B:2005C
2.14

Alpha:20020101:20050101
0.063
1.686
2.478
0.941
0.727
0.306
0.913
0.188
0.727
1.081
1.273
-0.317
0.800
0.548
1.431
0.681
1.284
0.938
0.570
0.387
-0.184
-0.321
0.356
0.994
1.532
0.996
-0.028
0.415
1.370
0.390
0.439
0.995
-0.457
0.325
-0.020
1.301
-1.687
0.497
1.233
0.384
0.166
0.096
Alpha:20020101:20070101
0.274
0.387
-0.566
1.173
0.928
0.620
0.444
0.946
1.123
1.139
0.968
-0.640
1.218
0.710
-0.458
1.425
1.178
0.212
0.214
2.019
0.836
0.870
0.420
0.163
1.323
1.035
-0.671
0.298
-1.319
0.496
0.790
0.396
1.214
2.673
1.460
1.328
0.765
2.000
0.593
0.394
2.414
0.704
Alpha:20020101:20070101
0.274
1.123
0.946
0.928
-0.566
1.173
1.139
1.218
1.323
0.212
0.387
1.178
0.298
-1.319
2.019
0.836
0.396
0.71
2.673
-0.64
0.163
0.444
0.968
0.765
0.79
0.62
1.035
2.414
1.425
1.46
0.214
-0.458
-0.671
2
0.496
1.214
0.87
0.394
1.328
0.42
0.593
0.704
Alpha:20020101:20070101
0.274

Raw Beta:20020101:20070101
1.006
0.673
0.589
0.293
0.092
0.901
0.094
1.539
0.421
0.852
0.933
1.399
0.248
0.523
0.514
0.350
1.181
1.125
0.402
1.023
1.482
-0.080
0.877
0.734
1.564
1.059
0.740
0.746
0.018
0.567
0.462
0.739
0.039
0.799
0.057
1.593
1.513
0.873
0.220
0.134
1.202
0.344
Raw Beta:20020101:20070101
1.006
0.901
1.539
0.673
0.852
1.125
0.523
0.094
0.092
0.248
1.181
1.399
0.293
0.421
1.482
0.018
0.746
1.023
0.877
0.589
0.933
1.593
0.462
-0.080
0.350
1.564
0.039
0.799
1.513
0.057
0.739
0.740
0.402
0.567
0.220
0.734
1.059
0.514
1.202
0.873
0.344
0.134
Raw Beta:20020101:20070101
1.006
0.092
0.094
0.852
1.539
0.673
0.248
0.293
0.35
1.023
0.901
0.746
0.799
1.513
0.589
0.933
0.74
0.421
0.567
1.399
-0.08
0.523
1.181
1.059
0.739
1.125
1.564
0.344
0.018
0.22
0.877
1.482
0.039
0.514
0.057
0.402
1.593
0.873
0.734
0.462
1.202
0.134
Raw Beta:20020101:20070101
1.006

Table 4.16: Clean Data. Eurozone. Capital-sort.

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3

DEXIA SA
BANCA POP SONDRI
POHJOLA BANK-A
BANCO DESIO
KBC GROEP
VAN LANSCHOT-CVA
BANCA POP SPOLET
BANCO SARDEG-RSP
DEUTSCHE BANK-RG
CREDITO BERGAMAS
NATIXIS
CREDIT AGRICOLE
COMMERZBANK
LANDESBANK BERLI
BANCO POPULAR
BANCO SABADELL
BANK IRELAND
BANCO SANTANDER
BANCO PASTOR
BANCO ESPIRITO-R
CREDITO EMILIANO
BNP PARIBAS
SOC GENERALE
BBVA
BANCO COM PORT-R
OEST VOLKSBANKEN
BANKINTER
BANCO BPI SA-REG
OLDENBURG LANDES
ALLIED IRISH BK
CREDITO ARTIGIAN
INTESA SANPAOLO
BANCA CARIGE
ALANDSBANKEN-A
CIC
UNICREDIT SPA
BANIF-REG
OBERBANK AG
ERSTE GROUP BANK
BANCA MONTE DEI
CREDITO VALTELLI
Short Name
2006 MEDIOBANCA
NATIXIS
VAN LANSCHOT-CVA
DEXIA SA
CREDITO BERGAMAS
BANCA POP SONDRI
BANCO DESIO
BANCA POP SPOLET
CIC
INTESA SANPAOLO
KBC GROEP
BANCO SARDEG-RSP
DEUTSCHE BANK-RG
BANCA CARIGE
CREDIT AGRICOLE
ALLIED IRISH BK
POHJOLA BANK-A
BANCO POPULAR
CREDITO EMILIANO
SOC GENERALE
BBVA
OEST VOLKSBANKEN
BANK IRELAND
BANCO SANTANDER
BNP PARIBAS
BANCO BPI SA-REG
BANCO SABADELL
BANCO COM PORT-R
BANCO PASTOR
LANDESBANK BERLI
ALANDSBANKEN-A
OBERBANK AG
BANCO ESPIRITO-R
OLDENBURG LANDES
UNICREDIT SPA
BANIF-REG
BANKINTER
CREDITO ARTIGIAN
COMMERZBANK
ERSTE GROUP BANK
BANCA MONTE DEI
CREDITO VALTELLI
Short Name
2007 MEDIOBANCA
LANDESBANK BERLI
BANCA POP SONDRI
NATIXIS
CREDITO VALTELLI
BANCO DESIO
CREDITO BERGAMAS
DEXIA SA
VAN LANSCHOT-CVA
BANCA MONTE DEI
KBC GROEP
DEUTSCHE BANK-RG
ALANDSBANKEN-A
BANCO SARDEG-RSP
BANCA POP SPOLET
CIC
BANK IRELAND
CREDIT AGRICOLE
CREDITO EMILIANO
BANCO POPULAR
BANCA CARIGE
BANCO SANTANDER
BANIF-REG
ALLIED IRISH BK
BANCO ESPIRITO-R
POHJOLA BANK-A
BNP PARIBAS
BBVA
BANCO SABADELL
OEST VOLKSBANKEN
BANCO PASTOR
OBERBANK AG
COMMERZBANK
ERSTE GROUP BANK
SOC GENERALE
UNICREDIT SPA
INTESA SANPAOLO
BANKINTER
OLDENBURG LANDES
BANCO BPI SA-REG
CREDITO ARTIGIAN
BANCO COM PORT-R
Short Name
2008 CREDITO BERGAMAS
POHJOLA BANK-A
LANDESBANK BERLI

508'761'014'272
0.454
14.976 BE
14'261'526'528
0.711
7.981 IT
22'871'900'160
1.343
21.049 FI
6'358'876'160
1.883
30.39 IT
351'616'008'192
0.706
16.019 BE
17'971'611'648
0.882
13.312 NE
2'033'816'832
0.709
9.606 IT
13'334'559'744
0.432
6.019 IT
992'160'972'800
0.385
12.64 GE
11'968'686'080
1.118
13.347 IT
168'118'992'896
0.451
13.974 FR
1'061'443'010'560
0.414
14.447 FR
444'860'989'440
0.268
10.375 GE
144'403'005'440
0.199
14.387 GE
77'697'744'896
1.243
20.014 SP
52'320'395'264
0.925
13.621 SP
127'780'003'840
0.901
24.696 IR
818'236'555'264
0.839
16.767 SP
19'523'018'752
0.705
12.578 SP
50'221'842'432
0.53
11.667 PO
21'129'084'928
1.226
21.178 IT
1'258'078'994'432
0.518
16.577 FR
835'134'029'824
0.613
21.231 FR
392'389'492'736
1.055
25.896 SP
76'849'602'560
0.973
24.187 PO
54'799'515'648
0.408
14.161 AS
40'786'010'112
0.521
13.582 SP
30'158'706'688
0.897
23.063 PO
8'440'799'744
0.866
16.159 GE
133'214'003'200
1.146
21.632 IR
5'828'297'216
0.503
7.375 IT
273'534'992'384
1.101
18.708 IT
23'066'390'528
0.599
6.39 IT
2'170'388'992
0.652
12.361 FI
195'835'002'880
0.314
10.037 FR
787'000'197'120
0.469
10.063 IT
8'355'603'456
0.742
16.947 PO
12'251'617'280
0.588
10.873 AS
152'680'759'296
0.49
19.142 AS
153'749'094'400
0.533
10.885 IT
12'981'639'168
0.452
7.905 IT
Tot Assets:2006C ROA:2006C ROE:2006C Country
46'116'552'704
2.036
13.722 IT
458'632'986'624
0.301
8.26 FR
18'739'275'776
0.952
15.038 NE
566'743'007'232
0.511
17.605 BE
13'595'166'720
1.891
22.502 IT
16'042'418'176
0.807
9.213 IT
7'473'956'864
1.003
14.254 IT
2'277'279'744
0.573
7.486 IT
214'312'992'768
0.621
18.817 FR
576'783'974'400
0.954
11.162 IT
365'343'014'912
0.957
20.237 BE
11'905'436'672
0.475
5.982 IT
1'584'492'969'984
0.471
19.364 GE
25'287'094'272
0.57
5.56 IT
1'261'296'025'600
0.424
16.437 FR
158'525'997'056
1.498
29.567 IR
24'195'999'744
0.769
10.084 FI
91'650'433'024
1.212
19.436 SP
24'250'912'768
1.023
17.539 IT
956'841'000'960
0.583
20.043 FR
411'915'943'936
1.178
25.004 SP
67'429'318'656
0.254
10.824 AS
162'212'003'840
0.848
26.015 IR
875'584'815'104
0.897
17.951 SP
1'440'342'999'040
0.542
17.534 FR
35'565'486'080
0.94
23.462 PO
72'779'833'344
1.452
23.691 SP
79'258'746'880
0.937
20.622 PO
23'782'246'400
0.721
13.439 SP
141'624'999'936
0.463
30.146 GE
2'188'615'936
0.674
12.638 FI
13'221'821'440
0.653
10.925 AS
59'138'805'760
0.708
11.989 PO
9'051'200'512
0.856
14.992 GE
823'284'203'520
0.677
14.789 IT
9'151'013'888
0.892
18.208 PO
46'075'768'832
0.48
13.751 SP
6'656'538'624
0.547
7.784 IT
608'278'020'096
0.305
11.909 GE
181'702'737'920
0.558
15.481 AS
158'555'668'480
0.583
12.1 IT
14'901'452'800
0.492
8.378 IT
Tot Assets:2007C ROA:2007C ROE:2007C Country
57'839'702'016
1.834
13.123 IT
142'163'001'344
0.149
8.508 GE
18'941'786'112
0.842
9.635 IT
520'006'008'832
0.225
6.408 FR
17'228'261'376
0.534
6.978 IT
8'079'121'920
2.361
31.17 IT
14'755'080'192
1.498
17.052 IT
604'564'029'440
0.433
16.152 BE
21'718'833'152
1.012
16.969 NE
162'076'393'472
0.897
17.505 IT
355'596'992'512
0.91
18.487 BE
2'020'349'050'880
0.359
18.55 GE
2'592'037'120
0.846
15.971 FI
12'639'723'520
0.73
8.219 IT
2'540'034'304
0.439
6.326 IT
250'908'999'680
0.49
14.294 FR
188'813'000'704
0.941
27.725 IR
1'414'222'970'880
0.302
11.518 FR
26'232'528'896
0.988
17.066 IT
107'169'349'632
1.273
21.448 SP
27'463'675'904
0.777
7.421 IT
976'073'850'880
0.979
18.111 SP
10'760'960'000
1.015
18.367 PO
177'862'000'640
1.159
22.354 IR
68'354'711'552
0.9
13.024 PO
25'922'000'896
0.838
11.361 FI
1'694'453'989'376
0.499
16.982 FR
501'725'986'816
1.341
25.203 SP
76'776'005'632
1.046
17.859 SP
78'640'832'512
0.301
14.095 AS
25'326'456'832
0.823
14.534 SP
14'330'769'408
0.744
11.923 AS
616'474'017'792
0.313
13.054 GE
200'518'844'416
0.615
14.299 AS
1'071'761'981'440
0.093
3.364 FR
1'021'835'476'992
0.64
12.274 IT
572'959'031'296
1.261
13.485 IT
49'648'680'960
0.756
21.733 SP
9'783'300'096
0.8
14.29 GE
40'545'947'648
0.933
23.017 PO
7'152'700'416
0.607
9.213 IT
88'166'162'432
0.615
13.791 PO
Tot Assets:2008C ROA:2008C ROE:2008C Country
14'041'613'312
0.83
9.09 IT
32'448'000'000
0.302
5.016 FI
145'387'995'136
0.022
1.483 GE

10.3
1.459
-0.566
1.539
10.23
2.149
1.123
0.092
9.6
1.354
0.79
0.739
9.5
1.775
2.019
0.589
9.4
1.785
0.928
0.852
9.4
1.61
1.139
0.248
9.36
1.465
1.214
0.402
9.28
0.877
1.173
0.673
8.7
1.383
0.387
0.901
8.6
1.601
1.218
0.293
8.3
1.243
1.178
0.746
8.2
1.416
0.836
0.933
8.1
1.343
1.035
1.564
8.1
1.558
2.414
0.344
8.09
2.502
0.71
0.421
7.96
1.943
1.323
0.35
7.9
2.683
0.214
0.877
7.88
1.752
-0.458
1.482
7.74
2.557
2
0.514
7.71
1.711
0.42
0.462
7.7
2.074
0.765
1.059
7.6
1.48
0.62
1.125
7.57
1.837
0.968
1.181
7.5
3.124
-0.64
1.399
7.4
2.575
-1.319
1.513
7.33
7.492
0.946
0.094
7.32
2.493
0.212
1.023
7.3
2.446
1.328
0.734
7.3
2.456
-0.671
0.039
7.2
2.367
0.298
0.799
7.12
1.108
0.163
-0.08
7.1
1.853
0.87
1.593
7.02
1.618
1.425
0.018
7.02
2.345
0.444
0.523
6.9
0.904
1.46
0.22
6.89
1.717
0.396
0.74
6.89
1.752
2.673
0.567
6.81
1.026
0.496
0.057
6.8
2.815
0.394
0.873
6.51
1.321
0.593
1.202
5.95
1.165
0.704
0.134
Tier 1 Capital Ratio:2006C
P/B:2006C Alpha:20040101:20090101
Raw Beta:20040101:20090101
14.14
1.851
0.294
0.921
10.5
1.485
-1.749
1.847
10
2.234
0.603
0.413
9.8
1.443
-1.624
1.593
9.65
1.603
0.98
0.644
9.46
2.283
0.254
0.431
9.4
2.144
1.347
1.11
9.37
1.601
0.094
0.781
8.9
1.344
-0.223
0.569
8.8
1.336
0.402
1.106
8.7
1.778
-0.286
1.323
8.64
0.898
-0.132
1.121
8.5
1.548
-1.245
1.432
8.43
1.839
0.038
0.732
8.2
1.466
-0.875
1.223
8.2
2.548
-1.186
1.42
8.2
1.413
0.705
0.791
8.02
3.005
-0.827
0.723
7.85
2.19
0.008
1.071
7.82
1.941
-0.469
1.592
7.8
2.999
-0.656
1.123
7.71
8.413
-0.352
0.339
7.5
2.806
-1.886
1.461
7.42
1.969
-0.69
1.232
7.4
1.612
-0.447
1.01
7.4
3.046
-0.396
1.253
7.33
2.483
0.327
0.638
7.3
2.632
-0.764
1.321
7.26
2.984
-0.143
0.454
7.2
3.144
0.937
0.72
7.1
2.477
0.735
0.522
7.08
1.133
0.983
0.109
7
1.628
-0.497
0.867
7
2.286
-0.503
0.274
6.96
1.787
-0.576
1.398
6.9
2.728
0.993
1.172
6.86
2.955
0.09
0.799
6.82
1.188
-0.038
0.64
6.7
1.327
-1.063
1.655
6.6
2.296
-0.731
1.031
6.53
1.906
0.078
0.857
6.27
1.261
0.299
0.466
Tier 1 Capital Ratio:2007C
P/B:2007C Alpha:20040101:20090101
Raw Beta:20040101:20090101
12.28
1.771
0.294
0.921
11.8
2.616
0.937
0.72
10.41
1.882
0.254
0.431
10.3
0.945
-1.749
1.847
10.28
0.916
0.299
0.466
9.94
1.395
1.347
1.11
9.89
1.366
0.98
0.644
9.1
1.377
-1.624
1.593
9
1.878
0.603
0.413
8.88
1.283
0.078
0.857
8.7
1.884
-0.286
1.323
8.6
1.21
-1.245
1.432
8.6
3.206
0.735
0.522
8.41
0.753
-0.132
1.121
8.38
1.197
0.094
0.781
8.2
1.051
-0.223
0.569
8.2
2.295
-1.886
1.461
8.1
1.006
-0.875
1.223
8.05
1.728
0.008
1.071
7.92
2.277
-0.827
0.723
7.82
1.719
0.038
0.732
7.71
1.676
-0.69
1.232
7.7
1.626
0.993
1.172
7.5
1.542
-1.186
1.42
7.5
1.594
-0.497
0.867
7.5
1.42
0.705
0.791
7.3
1.414
-0.447
1.01
7.3
2.311
-0.656
1.123
7.22
1.973
0.327
0.638
7.2
8.793
-0.352
0.339
7.18
1.859
-0.143
0.454
7.15
1.508
0.983
0.109
7
1.141
-1.063
1.655
7
1.691
-0.731
1.031
6.62
1.557
-0.469
1.592
6.55
1.307
-0.576
1.398
6.5
1.299
0.402
1.106
6.32
2.824
0.09
0.799
6.3
2.093
-0.503
0.274
6.2
2.468
-0.396
1.253
5.86
1.118
-0.038
0.64
5.5
2.915
-0.764
1.321
Tier 1 Capital Ratio:2008C
P/B:2008C Alpha:20050101:20100101
Raw Beta:20050101:20100101
16.54
1.117
0.771
0.478
12
1.207
0.309
1.067
11
1.503
0.982
0.907

Table 4.16: Clean Data. Eurozone. Capital-sort.

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

CREDITO ARTIGIAN
DEXIA SA
MEDIOBANCA
DEUTSCHE BANK-RG
COMMERZBANK
VAN LANSCHOT-CVA
CREDITO VALTELLI
OLDENBURG LANDES
BANCO DESIO
CREDITO EMILIANO
BANCA MONTE DEI
BANCO SANTANDER
CIC
BANCA POP SONDRI
KBC GROEP
SOC GENERALE
BANCO BPI SA-REG
CREDIT AGRICOLE
ALANDSBANKEN-A
OBERBANK AG
BANCO SARDEG-RSP
NATIXIS
BANCO POPULAR
BANK IRELAND
BANCA CARIGE
BBVA
BANIF-REG
BNP PARIBAS
OEST VOLKSBANKEN
BANCO PASTOR
ALLIED IRISH BK
BANKINTER
BANCA POP SPOLET
BANCO SABADELL
ERSTE GROUP BANK
INTESA SANPAOLO
BANCO COM PORT-R
UNICREDIT SPA
BANCO ESPIRITO-R
Short Name
2009 CREDITO BERGAMAS
DEUTSCHE BANK-RG
DEXIA SA
BANK IRELAND
POHJOLA BANK-A
CREDITO EMILIANO
KBC GROEP
ERSTE GROUP BANK
SOC GENERALE
BANCO PASTOR
COMMERZBANK
BANCO DESIO
MEDIOBANCA
BANCO SARDEG-RSP
CIC
BNP PARIBAS
BANCO SANTANDER
OEST VOLKSBANKEN
BANCA POP SPOLET
NATIXIS
BANCA POP SONDRI
OBERBANK AG
CREDIT AGRICOLE
VAN LANSCHOT-CVA
BBVA
BANCO COM PORT-R
CREDITO VALTELLI
BANCO POPULAR
BANCO SABADELL
CREDITO ARTIGIAN
BANIF-REG
UNICREDIT SPA
BANCO BPI SA-REG
LANDESBANK BERLI
INTESA SANPAOLO
BANCO ESPIRITO-R
OLDENBURG LANDES
ALANDSBANKEN-A
BANCA CARIGE
BANCA MONTE DEI
BANKINTER
ALLIED IRISH BK
Short Name
2010 LANDESBANK BERLI
CREDITO BERGAMAS
DEXIA SA
KBC GROEP
POHJOLA BANK-A
DEUTSCHE BANK-RG
COMMERZBANK
VAN LANSCHOT-CVA
ERSTE GROUP BANK
BNP PARIBAS
NATIXIS
CREDITO EMILIANO
BANCO DESIO
MEDIOBANCA
CIC
BANIF-REG
BANCO PASTOR
CREDIT AGRICOLE
SOC GENERALE
BBVA
OBERBANK AG
OEST VOLKSBANKEN
BANCO SANTANDER
BANCO SARDEG-RSP
BANK IRELAND
BANCO POPULAR
CREDITO VALTELLI
UNICREDIT SPA
BANCA POP SPOLET
INTESA SANPAOLO
BANCO SABADELL
BANCO COM PORT-R
BANCO BPI SA-REG
BANCO ESPIRITO-R
CREDITO ARTIGIAN
BANCA MONTE DEI
BANCA POP SONDRI
OLDENBURG LANDES
BANKINTER
ALANDSBANKEN-A
BANCA CARIGE
ALLIED IRISH BK

8'548'529'152
0.618
7.805 IT
651'005'984'768
-0.53
-35.848 BE
64'468'086'784
1.66
13.972 IT
2'202'423'001'088
-0.182
-11.322 GE
625'196'007'424
0.001
0.024 GE
20'691'896'320
0.091
1.486 NE
23'579'412'480
0.492
6.114 IT
9'987'800'064
0.219
4.124 GE
7'521'231'872
0.808
9.267 IT
30'136'094'720
0.553
9.454 IT
213'795'979'264
0.491
7.862 IT
1'056'336'117'760
0.874
15.74 SP
251'666'006'016
0.068
2.207 FR
21'819'463'680
0.214
2.684 IT
355'316'989'952
-0.699
-15.742 BE
1'130'003'038'208
0.183
7.025 FR
43'025'100'800
0.36
9.594 PO
1'653'220'048'896
0.067
2.661 FR
2'769'731'072
0.523
10.388 FI
15'313'988'608
0.709
11.792 AS
12'967'676'928
0.511
5.651 IT
555'760'025'600
-0.52
-17.258 FR
110'376'050'688
0.967
16.177 SP
197'433'999'360
0.88
25.727 IR
31'986'444'288
0.691
6.453 IT
542'650'007'552
0.961
19.044 SP
12'876'616'704
0.501
9.886 PO
2'075'550'941'184
0.16
6.731 FR
55'814'909'952
-0.226
-10.739 AS
27'121'301'504
0.626
11.039 SP
182'174'007'296
0.429
8.673 IR
53'469'630'464
0.489
13.599 SP
2'742'088'960
0.402
6.344 IT
80'378'068'992
0.858
14.946 SP
201'441'148'928
0.428
10.4 AS
636'132'982'784
0.422
5.08 IT
94'423'719'936
0.167
3.55 PO
1'045'611'544'576
0.388
7.12 IT
75'186'724'864
0.514
8.605 PO
Tot Assets:2009C ROA:2009C ROE:2009C Country
14'534'722'560
0.597
6.482 IT
1'500'664'037'376
0.269
14.768 GE
577'629'978'624
0.164
14.328 BE
194'115'993'600
0.035
1.035 IR
35'510'001'664
0.571
9.931 FI
26'439'041'024
0.314
4.931 IT
324'231'004'160
-0.726
-20.659 BE
201'710'174'208
0.448
8.692 AS
1'023'701'024'768
0.063
2.064 FR
32'325'234'688
0.34
6.924 SP
844'103'024'640
-0.618
-48.641 GE
8'308'780'032
0.676
7.359 IT
73'890'480'128
0.004
0.039 IT
13'579'846'656
0.41
4.58 IT
235'597'004'800
0.329
10.308 FR
2'057'698'017'280
0.266
10.568 FR
1'117'573'349'376
0.823
14.166 SP
49'145'593'856
-2.066
-90.031 AS
2'851'597'824
0.286
4.215 IT
449'217'986'560
-0.34
-9.361 FR
23'454'554'112
0.888
11.853 IT
16'031'440'896
0.493
8.022 AS
1'557'342'060'544
0.07
2.754 FR
21'264'838'656
-0.124
-2.115 NE
535'065'001'984
0.781
15.321 SP
95'550'406'656
0.237
4.157 PO
24'895'770'624
0.314
4.193 IT
129'290'149'888
0.639
10.986 SP
82'822'889'472
0.64
10.769 SP
9'140'595'712
0.27
3.106 IT
14'442'205'184
0.396
7.091 PO
928'759'676'928
0.172
2.969 IT
47'449'178'112
0.387
10.465 PO
143'835'004'928
0.178
11.535 GE
624'844'013'568
0.445
5.52 IT
82'297'200'640
0.621
9.817 PO
12'248'900'608
0.3
6.207 GE
3'379'308'032
0.851
17.552 FI
36'299'374'592
0.602
5.586 IT
224'814'972'928
0.1
1.376 IT
54'467'465'216
0.425
10.083 SP
174'313'996'288
-1.354
-25.681 IR
Tot Assets:2010C ROA:2010C ROE:2010C Country
131'476'996'096
0.194
10.106 GE
15'488'814'080
0.651
7.288 IT
566'735'011'840
0.126
7.56 BE
320'823'001'088
0.392
12.158 BE
36'183'998'464
0.639
9.862 FI
1'905'629'986'816
0.136
5.404 GE
754'298'978'304
0.179
14.649 GE
20'325'117'952
0.272
4.188 NE
205'938'016'256
0.498
7.724 AS
1'998'158'036'992
0.371
11.762 FR
458'008'985'600
0.298
7.265 FR
29'998'233'600
0.276
4.268 IT
8'163'010'048
0.639
6.831 IT
76'501'180'416
0.533
6.439 IT
242'035'998'720
0.467
12.266 FR
15'710'692'352
0.222
3.382 PO
31'134'697'472
0.196
4.318 SP
1'593'528'942'592
0.08
2.952 FR
1'132'072'009'728
0.363
10.373 FR
552'738'029'568
0.847
14.125 SP
16'768'363'520
0.6
8.966 AS
46'464'843'776
0.116
4.675 AS
1'217'500'676'096
0.701
11.387 SP
13'929'971'712
0.09
1.034 IT
167'473'004'544
-0.34
-8.646 IR
130'139'848'704
0.455
7.672 SP
26'760'794'112
0.268
3.528 IT
929'487'585'280
0.142
2.136 IT
3'029'300'224
0.31
4.281 IT
658'756'993'024
0.422
5.094 IT
97'099'210'752
0.422
6.958 SP
100'009'738'240
0.206
3.462 PO
45'659'811'840
0.397
11.222 PO
83'655'426'048
0.575
7.7 PO
8'829'604'864
0.274
3.243 IT
244'278'935'552
0.42
5.741 IT
26'282'383'360
0.544
7.413 IT
13'351'000'064
0.41
9.042 GE
54'151'979'008
0.278
5.839 SP
3'475'429'888
-0.066
-1.437 FI
40'009'957'376
0.465
4.723 IT
145'221'992'448
-6.404
-148.937 IR

10.69
0.724
-0.33
0.348
10.6
1.44
-0.897
1.856
10.29
1.287
0.157
0.989
10.1
0.517
-0.418
1.551
10.1
0.488
-1.165
2.052
10
1.377
-0.157
0.362
9.98
0.768
-0.241
0.367
9.9
2.223
-0.477
0.197
9.81
0.862
0.288
0.657
9.62
0.703
0.408
1.211
9.32
0.687
-0.287
0.924
9.1
0.957
-0.067
1.49
9
0.526
-0.345
0.871
8.93
1.253
0.2
0.493
8.9
0.513
0.456
1.966
8.8
0.669
-0.189
1.814
8.8
1.044
-0.486
1.331
8.6
0.455
-0.54
1.343
8.6
2.241
1.003
0.39
8.27
1.341
0.825
0.081
8.22
0.352
0.148
0.797
8.2
0.233
-0.183
2.173
8.12
1.102
-1.238
1.082
8.1
1.425
2.84
2.483
7.92
0.859
-0.037
0.435
7.9
1.244
-0.527
1.478
7.85
0.653
0.949
1.205
7.8
0.643
0.361
1.216
7.56
5.82
-0.698
0.292
7.46
0.873
-0.435
0.797
7.4
0.188
0.299
2.149
7.39
1.292
0.086
0.664
7.35
0.664
-0.138
0.639
7.28
1.313
-0.388
0.834
7.2
0.58
-0.244
1.387
7.1
0.662
0.502
1.113
7.1
0.771
-1.147
1.401
6.66
0.424
0.442
1.823
6.6
0.854
-0.572
0.98
Tier 1 Capital Ratio:2009C
P/B:2009C Alpha:20050101:20100101
Raw Beta:20050101:20100101
15.89
1.087
0.771
0.478
12.6
0.836
-0.418
1.551
12.3
0.772
-0.897
1.856
12
0.075
2.84
2.483
11.8
1.064
0.309
1.067
11.09
0.969
0.408
1.211
10.8
1.068
0.456
1.966
10.8
0.728
-0.244
1.387
10.7
0.986
-0.189
1.814
10.55
0.883
-0.435
0.797
10.5
0.787
-1.165
2.052
10.4
0.722
0.288
0.657
10.3
1.219
0.157
0.989
10.25
0.45
0.148
0.797
10.2
0.516
-0.345
0.871
10.1
1.077
0.361
1.216
10.1
1.384
-0.067
1.49
10
4.625
-0.698
0.292
9.79
0.683
-0.138
0.639
9.7
0.491
-0.183
2.173
9.6
1.205
0.2
0.493
9.58
1.188
0.825
0.081
9.5
0.668
-0.54
1.343
9.5
1.047
-0.157
0.362
9.4
1.621
-0.527
1.478
9.3
0.675
-1.147
1.401
9.27
0.605
-0.241
0.367
9.13
0.936
-1.238
1.082
9.1
0.856
-0.388
0.834
9.06
0.692
-0.33
0.348
8.93
0.649
0.949
1.205
8.63
0.659
0.442
1.823
8.6
1.025
-0.486
1.331
8.5
1.312
0.982
0.907
8.4
0.764
0.502
1.113
8.3
0.88
-0.572
0.98
8
1.919
-0.477
0.197
7.9
2.426
1.003
0.39
7.87
0.876
-0.037
0.435
7.52
0.479
-0.287
0.924
7.37
1.31
0.086
0.664
7.2
0.107
0.299
2.149
Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
15.24
1.623
0.982
0.907
13.75
0.928
0.771
0.478
13.1
0.537
-0.897
1.856
12.6
0.777
0.456
1.966
12.5
1.206
0.309
1.067
12.3
0.736
-0.418
1.551
11.9
0.609
-1.165
2.052
11.9
0.843
-0.157
0.362
11.8
0.936
-0.244
1.387
11.4
0.856
0.361
1.216
11.4
0.625
-0.183
2.173
11.28
0.853
0.408
1.211
11.1
0.675
0.288
0.657
11.09
0.771
0.157
0.989
10.83
0.525
-0.345
0.871
10.76
0.478
0.949
1.205
10.63
0.688
-0.435
0.797
10.6
0.532
-0.54
1.343
10.6
0.725
-0.189
1.814
10.5
0.933
-0.527
1.478
10.5
1.115
0.825
0.081
10.3
4.5
-0.698
0.292
10
0.878
-0.067
1.49
9.99
0.416
0.148
0.797
9.7
0.27
2.84
2.483
9.63
0.632
-1.238
1.082
9.52
0.387
-0.241
0.367
9.46
0.465
0.442
1.823
9.44
0.471
-0.138
0.639
9.4
0.485
0.502
1.113
9.36
0.655
-0.388
0.834
9.2
0.475
-1.147
1.401
9.1
0.855
-0.486
1.331
8.8
0.53
-0.572
0.98
8.66
0.48
-0.33
0.348
8.37
0.332
-0.287
0.924
8.07
1.015
0.2
0.493
7.8
1.476
-0.477
0.197
7.31
0.762
0.086
0.664
7.3
2.204
1.003
0.39
6.7
0.76
-0.037
0.435
4.3
0.157
0.299
2.149

Table 4.17: Average Values. Eurozone. Size-sort.

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
7'138'411'328
7'630'337'333
8'598'486'272
9'663'118'571
10'433'681'429
11'710'217'301
12'738'337'429
13'677'713'408
14'342'873'515
10'659'241'843
10'433'681'429
2'621'255'982
873'751'994
7'138'411'328
14'342'873'515

ln(assets)
22.69
22.76
22.87
22.99
23.07
23.18
23.27
23.34
23.39
23.06
23.07
0.25
0.08
22.69
23.39

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
52'072'570'217
54'103'428'638
60'808'735'021
71'733'898'662
82'244'270'923
90'795'252'676
96'415'721'352
99'075'126'935
97'832'643'162
78'342'405'287
82'244'270'923
19'155'260'416
6'385'086'805
52'072'570'217
99'075'126'935

ln(assets)
24.68
24.71
24.83
25.00
25.13
25.23
25.29
25.32
25.31
25.06
25.13
0.26
0.09
24.68
25.32

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
377'185'196'190
408'724'616'743
477'771'859'180
622'090'019'446
780'296'304'167
893'917'875'909
983'144'053'524
905'878'936'970
948'616'705'575
710'847'285'301
780'296'304'167
242'864'592'621
80'954'864'207
377'185'196'190
983'144'053'524

ln(assets)
26.66
26.74
26.89
27.16
27.38
27.52
27.61
27.53
27.58
27.23
27.38
0.38
0.13
26.66
27.61

ROA

Tier 1 Capital Ratio

8.09
7.60
7.92
8.12
8.14
8.49
9.68
9.85
9.90
8.64
8.14
0.91
0.30
7.60
9.90

P/B

0.51
0.51
0.51
0.79
0.82
0.95
0.49
0.45
0.35
0.60
0.51
0.20
0.07
0.35
0.95

The Smallest
ROE
8.90
8.78
8.65
12.69
12.28
13.84
7.05
6.55
4.81
9.28
8.78
3.05
1.02
4.81
13.84

Tier 1 Capital Ratio

8.25
8.16
8.44
8.08
7.85
7.89
8.42
9.38
9.87
8.48
8.25
0.69
0.23
7.85
9.87

P/B

0.63
0.59
0.72
0.85
0.89
0.87
0.54
0.12
-0.06
0.57
0.63
0.33
0.11
-0.06
0.89

Middle
ROE
11.91
11.76
13.68
16.78
17.50
16.40
9.17
-0.55
-2.96
10.41
11.91
7.43
2.48
-2.96
17.50

Tier 1 Capital Ratio

7.87
8.24
7.88
8.03
8.27
7.84
8.68
10.23
10.89
8.66
8.24
1.12
0.37
7.84
10.89

P/B

0.28
0.35
0.53
0.58
0.65
0.60
0.09
0.13
0.34
0.40
0.35
0.21
0.07
0.09
0.65

The Biggest
ROE
6.42
6.78
12.97
15.52
16.85
14.45
-1.12
1.09
8.51
9.05
8.51
6.39
2.13
-1.12
16.85

1.63
1.72
1.64
1.61
1.82
1.58
1.13
1.06
0.87
1.45
1.61
0.34
0.11
0.87
1.82

Alpha
0.62
1.04
1.05
0.97
0.47
0.47
0.24
0.24
0.24
0.59
0.47
0.35
0.12
0.24
1.05

Raw Beta
0.28
0.28
0.32
0.29
0.64
0.64
0.50
0.50
0.50
0.44
0.50
0.15
0.05
0.28
0.64

2.15
2.20
2.29
2.45
2.77
2.40
1.27
1.06
0.95
1.95
2.20
0.67
0.22
0.95
2.77

Alpha
0.55
0.63
0.74
0.75
-0.25
-0.25
-0.03
-0.03
-0.03
0.23
-0.03
0.43
0.14
-0.25
0.75

Raw Beta
0.74
0.74
0.67
0.71
0.91
0.91
1.11
1.11
1.11
0.89
0.91
0.19
0.06
0.67
1.11

1.16
1.43
1.55
1.64
1.70
1.40
0.67
0.89
0.65
1.23
1.40
0.40
0.13
0.65
1.70

Alpha
0.67
0.63
0.49
0.54
-0.73
-0.73
-0.20
-0.20
-0.19
0.03
-0.19
0.57
0.19
-0.73
0.67

Raw Beta
1.07
1.07
1.13
1.10
1.32
1.32
1.60
1.60
1.60
1.31
1.32
0.23
0.08
1.07
1.60

Table 4.18: Average Values. Eurozone. Capital-sort.

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
91'271'408'896
73'922'444'043
120'614'153'077
146'722'332'160
161'017'153'984
309'875'280'811
377'503'922'453
195'595'941'419
71'835'455'787
172'039'788'070
146'722'332'160
106'868'813'499
35'622'937'833
71'835'455'787
377'503'922'453

ln(assets)
25.24
25.03
25.52
25.71
25.80
26.46
26.66
26.00
25.00
25.71
25.71
0.59
0.20
25.00
26.66

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
148'502'119'996
138'079'097'043
232'665'351'326
261'929'987'765
344'267'285'685
331'797'683'637
365'136'310'904
377'677'712'053
403'178'407'755
289'248'217'352
331'797'683'637
98'745'819'389
32'915'273'130
138'079'097'043
403'178'407'755

ln(assets)
25.72
25.65
26.17
26.29
26.56
26.53
26.62
26.66
26.72
26.33
26.53
0.40
0.13
25.65
26.72

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
173'423'787'185
237'717'567'252
149'637'206'961
246'855'859'614
298'650'694'814
303'531'561'413
295'033'511'778
373'627'961'344
496'248'322'087
286'080'719'161
295'033'511'778
104'620'522'619
34'873'507'540
149'637'206'961
496'248'322'087

ln(assets)
25.88
26.19
25.73
26.23
26.42
26.44
26.41
26.65
26.93
26.32
26.41
0.37
0.12
25.73
26.93

ROA

0.36
0.42
0.52
0.63
0.62
0.68
0.39
0.26
-0.21
0.41
0.42
0.27
0.09
-0.21
0.68

The Smallest
ROE
Tier 1 Capital Ratio
8.02
6.54
8.75
6.60
11.09
6.72
12.69
6.85
12.75
6.82
13.75
6.52
7.11
7.24
5.21
8.10
-7.09
7.91
8.03
7.03
8.75
6.82
6.36
0.60
2.12
0.20
-7.09
6.52
13.75
8.10

0.52
0.54
0.57
0.75
0.84
0.82
0.40
0.23
0.32
0.55
0.54
0.22
0.07
0.23
0.84

Middle
ROE
Tier 1 Capital Ratio
9.88
7.71
9.05
7.73
12.39
7.73
17.66
7.68
19.26
7.71
15.96
7.77
7.05
8.51
0.79
9.62
5.53
10.17
10.84
8.29
9.88
7.73
6.06
0.96
2.02
0.32
0.79
7.68
19.26
10.17

0.57
0.50
0.72
0.87
0.89
0.92
0.38
0.16
0.36
0.60
0.57
0.27
0.09
0.16
0.92

The Biggest
ROE
Tier 1 Capital Ratio
9.89
10.02
10.35
9.75
12.42
9.92
14.37
9.74
14.13
9.68
15.12
9.83
1.59
10.82
0.56
11.52
8.39
12.33
9.64
10.40
10.35
9.92
5.36
0.95
1.79
0.32
0.56
9.68
15.12
12.33

P/B

Alpha
1.63
1.41
1.80
1.67
1.91
1.82
1.17
1.03
0.81
1.47
1.63
0.39
0.13
0.81
1.91

P/B

0.27
1.23
0.59
0.83
-0.02
-0.27
-0.16
0.20
-0.18
0.28
0.20
0.51
0.17
-0.27
1.23

Raw Beta
0.66
0.63
0.70
0.55
0.82
0.97
1.11
1.01
0.85
0.81
0.82
0.19
0.06
0.55
1.11

0.67
0.51
0.87
0.58
-0.39
-0.33
0.15
-0.26
0.09
0.21
0.15
0.47
0.16
-0.39
0.87

Raw Beta
0.75
0.73
0.76
0.83
1.01
0.96
1.20
0.90
1.10
0.91
0.90
0.16
0.05
0.73
1.20

0.84
0.62
0.74
0.90
-0.10
0.05
-0.06
0.14
0.04
0.35
0.14
0.41
0.14
-0.10
0.90

Raw Beta
0.70
0.76
0.66
0.69
1.02
0.94
0.93
1.41
1.30
0.94
0.93
0.27
0.09
0.66
1.41

Alpha
1.46
1.88
1.77
2.47
2.73
2.02
0.91
1.10
0.84
1.69
1.77
0.67
0.22
0.84
2.73

P/B

Alpha
2.05
2.13
2.08
1.56
1.66
1.67
1.09
0.86
0.86
1.55
1.66
0.51
0.17
0.86
2.13

Table 4.19: Clean Data. Non-Eurozone. Size-sort.

Number

Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Short Name
2002 UBS AG-REG
HSBC HLDGS PLC
CREDIT SUISS-REG
ROYAL BK SCOTLAN
BARCLAYS PLC
LLOYDS BANKING
NORDEA BANK AB
DANSKE BANK A/S
SVENSKA HAN-A
SEB AB-A
STANDARD CHARTER
SWEDBANK AB-A
DNB NOR ASA
BANQUE CANTO-REG
JYSKE BANK-REG
BERNER KANTO-REG
ST GALLER KA-REG
SYDBANK
LIECHTENSTEIN-BR
SPAREBANK 1 SR B
VERWALTUNGS-U-BR
BANK SARASIN-B
SPAREBANK 1 NORD
SPAREBANK 1 SMN
SPAREBANKEN VEST
SPAR NORD BANK
SPAREBANKEN MORE
SPAREBANKEN OST
SANDNES SPAREBAN
LAN & SPAR BANK
RINGKJOEBING LND
SPAREBANK1 BUSKE
NORRESUNDBY
NORDJYSKE BANK A
GRONLANDSBANKEN
SPAREKASSEN FAAB
DJURSLANDS BANK
SKJERN BANK
OSTJYDSK BANK
SVENDBORG SPAREK
SALLING BANK
TONDER BANK
TOTALBANKEN
VESTFYNS BANK
KREDITBANKEN
LOLLANDS BANK
NORDFYNS BANK
DK COMPANY A/S
MONS BANK
VORDINGBORG BANK
HVIDBJERG BANK
Short Name
2003 UBS AG-REG
HSBC HLDGS PLC
ROYAL BK SCOTLAN
CREDIT SUISS-REG
BARCLAYS PLC
LLOYDS BANKING
NORDEA BANK AB
DANSKE BANK A/S
SEB AB-A
SVENSKA HAN-A
SWEDBANK AB-A
STANDARD CHARTER
DNB NOR ASA
BANQUE CANTO-REG
JYSKE BANK-REG
BERNER KANTO-REG
ST GALLER KA-REG
SYDBANK
LIECHTENSTEIN-BR
SPAREBANK 1 SR B
VERWALTUNGS-U-BR
SPAREBANK 1 NORD
BANK SARASIN-B
SPAREBANKEN VEST
SPAREBANK 1 SMN
SPAR NORD BANK
SPAREBANKEN MORE
SPAREBANKEN OST
SANDNES SPAREBAN
RINGKJOEBING LND
LAN & SPAR BANK
SPAREBANK1 BUSKE
NORRESUNDBY
NORDJYSKE BANK A
SPAREKASSEN FAAB
DJURSLANDS BANK
GRONLANDSBANKEN
OSTJYDSK BANK
SKJERN BANK
SVENDBORG SPAREK
SALLING BANK
TONDER BANK
TOTALBANKEN
VESTFYNS BANK
KREDITBANKEN
NORDFYNS BANK
LOLLANDS BANK
DK COMPANY A/S
MONS BANK
VORDINGBORG BANK
HVIDBJERG BANK
Short Name
2004 UBS AG-REG
HSBC HLDGS PLC
ROYAL BK SCOTLAN
BARCLAYS PLC
CREDIT SUISS-REG
LLOYDS BANKING
NORDEA BANK AB
DANSKE BANK A/S
SEB AB-A
SVENSKA HAN-A
SWEDBANK AB-A
DNB NOR ASA
STANDARD CHARTER
BANQUE CANTO-REG
JYSKE BANK-REG
BERNER KANTO-REG

Tot Assets:2002C ROA:2002C ROE:2002C Country Tier 1 Capital Ratio:2002C

P/B:2002C Alpha:20020101:20050101
Raw Beta:20020101:20070101
813'813'316'267
0.29
8.56 SZ
11.30
2.00
0.43
1.21
722'205'833'020
0.86
12.71 GB
9.00
2.02
-0.01
1.00
655'781'874'277
-0.34
-12.60 SZ
9.00
1.46
-0.31
2.02
631'688'862'440
0.50
8.60 GB
7.30
1.83
0.09
1.34
617'984'899'353
0.59
15.02 GB
8.20
1.67
0.21
1.38
387'232'942'124
0.73
19.56 GB
7.70
3.13
-0.60
1.50
249'619'005'440
0.36
7.48 SW
7.10
1.03
0.70
0.90
235'666'971'406
0.50
14.23 DE
7.60
1.40
0.70
0.47
140'158'293'627
0.59
14.52 SW
6.40
1.54
0.26
0.57
136'164'569'615
0.44
11.82 SW
7.88
1.12
1.07
0.72
107'533'318'569
0.68
11.60 GB
8.30
2.00
0.80
1.22
105'049'328'861
0.43
10.91 SW
7.10
1.41
0.76
0.73
87'756'588'559
0.47
7.12 NO
7.10
1.08
1.83
0.47
22'406'294'348
-3.60
-104.36 SZ
5.50
0.77
1.42
0.68
20'614'932'467
0.36
8.05 DE
8.20
1.04
2.39
0.33
12'875'017'782
0.38
7.22 SZ
13.50
1.25
0.69
-0.02
12'446'585'853
0.56
9.14 SZ
9.10
0.92
1.59
0.36
8'982'508'136
0.62
12.15 DE
8.30
1.03
3.02
0.23
7'673'954'805
0.97
12.74 LC
25.30
2.30
0.38
0.35
6'810'116'750
-0.07
-1.30 NO
7.24
0.53
1.54
0.00
6'028'691'418
0.13
1.49 LC
20.20
1.26
0.30
0.72
5'606'551'637
-5.47
-50.15 SZ
23.70
1.33
0.01
1.18
5'207'324'191
0.17
2.81 NO
7.87
0.38
1.40
0.06
4'947'775'669
0.02
0.33 NO
8.12
0.42
1.97
0.12
4'873'265'651
0.20
3.06 NO
8.63
0.12
1.08
0.00
4'287'786'004
0.38
6.80 DE
8.00
0.91
2.46
0.22
2'992'090'695
0.80
10.19 NO
10.25
0.58
0.76
0.16
2'141'093'005
0.30
4.79 NO
9.48
0.44
0.84
0.10
1'664'788'797
0.67
9.01 NO
8.70
0.55
1.15
0.17
999'257'577
0.46
6.02 DE
9.50
1.07
1.18
0.11
807'858'274
2.73
16.79 DE
14.60
1.02
3.43
0.06
759'126'623
0.88
13.84 NO
9.60
0.21
0.71
0.04
655'605'740
1.10
9.03 DE
13.60
0.95
2.24
0.07
579'533'814
1.56
11.63 DE
15.50
0.88
2.19
0.34
482'686'555
2.12
14.07 DE
28.80
1.04
1.31
0.16
481'938'702
1.96
12.21 DE
12.00
0.99
2.33
0.37
386'352'315
1.15
10.82 DE
10.50
0.75
2.91
0.00
248'748'850
1.22
10.48 DE
10.70
0.89
3.27
0.19
228'686'154
1.29
12.12 DE
8.80
0.82
2.27
0.11
224'251'908
2.21
12.60 DE
15.30
0.89
2.13
0.10
191'972'193
0.47
5.87 DE
8.90
0.80
1.99
0.18
173'333'342
1.37
11.60 DE
11.30
0.76
2.73
0.14
168'346'157
1.15
9.58 DE
12.30
0.88
2.47
0.20
163'329'061
0.69
6.95 DE
10.30
0.81
2.21
0.15
148'248'727
1.88
11.63 DE
20.90
0.89
2.73
0.25
130'210'901
1.01
6.98 DE
15.00
0.68
2.61
0.33
125'939'256
1.21
13.72 DE
10.60
0.91
1.75
0.29
114'278'269
1.10
9.35 DE
19.00
0.81
6.31
0.33
101'723'109
1.47
8.19 DE
14.10
0.67
2.53
0.13
86'235'336
1.18
9.33 DE
12.70
0.81
2.45
0.12
56'562'764
1.13
9.76 DE
12.20
0.74
2.52
-0.07
Tot Assets:2003C ROA:2003C ROE:2003C Country Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
888'098'751'139
0.49
16.76 SZ
11.80
2.56
0.43
1.21
823'158'217'767
0.98
13.90 GB
8.90
2.30
-0.01
1.00
645'020'835'225
0.52
9.65 GB
7.40
2.10
0.09
1.34
643'524'292'729
0.08
2.64 SZ
11.70
1.50
-0.31
2.02
629'312'197'564
0.65
17.33 GB
7.90
1.99
0.21
1.38
357'709'016'130
1.29
37.05 GB
9.50
2.60
-0.60
1.50
262'190'006'272
0.58
12.38 SW
7.30
1.43
0.70
0.90
244'781'562'384
0.52
15.60 DE
7.70
1.57
0.70
0.47
141'140'532'108
0.45
12.12 SW
7.97
1.51
1.07
0.72
139'051'214'268
0.64
14.89 SW
7.10
1.79
0.26
0.57
110'575'837'753
0.65
15.75 SW
7.20
1.78
0.76
0.73
95'543'181'171
0.86
14.21 GB
8.60
2.57
0.80
1.22
84'022'596'531
0.80
13.15 NO
6.80
1.38
1.83
0.47
20'567'495'452
0.48
9.72 SZ
13.40
1.35
1.42
0.68
15'613'383'878
0.95
17.74 DE
10.20
1.39
2.39
0.33
12'481'438'980
0.37
7.11 SZ
14.70
1.27
0.69
-0.02
11'978'183'153
0.57
9.12 SZ
9.80
0.99
1.59
0.36
9'824'400'436
0.96
17.58 DE
8.90
1.41
3.02
0.23
7'802'582'039
1.13
15.27 LC
25.90
2.19
0.38
0.35
6'267'906'993
0.80
15.21 NO
9.11
0.86
1.54
0.00
5'235'512'246
1.12
11.06 LC
14.30
1.59
0.30
0.72
4'868'873'469
0.53
9.15 NO
9.03
0.52
1.40
0.06
4'855'003'895
0.89
9.57 SZ
23.40
1.51
0.01
1.18
4'804'458'446
0.73
11.95 NO
8.38
0.17
1.08
0.00
4'390'702'146
0.61
10.32 NO
10.12
0.67
1.97
0.12
4'345'063'830
0.74
12.17 DE
9.00
1.27
2.46
0.22
2'755'916'857
0.80
10.24 NO
10.22
0.76
0.76
0.16
1'846'981'043
0.84
13.47 NO
11.26
0.62
0.84
0.10
1'814'873'510
0.74
10.66 NO
8.60
0.76
1.15
0.17
1'010'224'301
3.40
21.96 DE
15.10
1.69
3.43
0.06
995'496'998
0.40
5.15 DE
11.10
1.05
1.18
0.11
750'656'550
0.77
11.37 NO
11.42
0.43
0.71
0.04
746'268'820
2.18
17.64 DE
14.20
1.30
2.24
0.07
608'306'612
2.24
16.62 DE
18.20
1.32
2.19
0.34
554'798'883
2.42
15.73 DE
13.00
1.20
2.33
0.37
419'467'255
2.12
18.29 DE
12.40
1.18
2.91
0.00
392'711'382
1.98
12.14 DE
30.20
1.47
1.31
0.16
291'263'509
2.24
20.74 DE
10.40
1.28
2.27
0.11
287'012'156
2.83
23.49 DE
12.30
1.58
3.27
0.19
255'605'800
2.73
15.85 DE
17.40
1.29
2.13
0.10
188'629'596
1.50
16.76 DE
10.90
1.12
1.99
0.18
185'323'776
1.69
13.39 DE
12.43
1.24
2.73
0.14
178'942'806
1.91
15.45 DE
13.80
1.07
2.47
0.20
171'733'279
1.79
17.80 DE
12.50
1.12
2.21
0.15
164'528'953
2.97
17.83 DE
20.70
1.36
2.73
0.25
147'852'029
2.70
25.84 DE
12.40
1.53
1.75
0.29
138'884'367
2.63
17.53 DE
16.50
1.07
2.61
0.33
123'630'824
1.77
14.59 DE
17.70
1.65
6.31
0.33
116'752'677
3.27
18.34 DE
15.50
1.06
2.53
0.13
97'099'724
1.57
11.13 DE
13.50
1.02
2.45
0.12
63'127'603
2.44
19.54 DE
15.70
1.04
2.52
-0.07
Tot Assets:2003C ROA:2003C ROE:2003C Country Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
1'123'568'237'558
0.51
23.11 SZ
11.90
2.82
0.43
1.21
944'246'983'355
1.12
16.15 GB
8.90
2.20
-0.01
1.00
831'171'643'887
0.93
17.01 GB
7.00
1.64
0.09
1.34
760'591'801'394
0.66
20.12 GB
7.60
2.38
0.21
1.38
704'679'081'165
0.54
16.02 SZ
12.30
1.46
-0.31
2.02
401'963'368'063
0.89
23.14 GB
8.20
2.40
-0.60
1.50
280'073'994'240
0.77
16.71 SW
7.30
1.60
0.70
0.90
275'975'024'255
0.48
14.72 DE
7.70
1.58
0.70
0.47
178'164'081'580
0.51
14.71 SW
7.76
1.66
1.07
0.72
146'029'920'938
0.77
16.68 SW
7.60
1.89
0.26
0.57
113'369'423'052
0.90
21.27 SW
8.20
1.92
0.76
0.73
111'839'995'773
0.96
17.28 NO
7.60
1.63
1.83
0.47
108'534'535'015
1.15
18.97 GB
8.60
2.51
0.80
1.22
19'751'465'610
1.07
13.77 SZ
16.50
0.67
1.42
0.68
16'830'486'123
1.16
17.96 DE
20.50
1.67
2.39
0.33
12'712'080'951
0.38
6.98 SZ
15.80
1.35
0.69
-0.02

Table 4.19: Clean Data. Non-Eurozone. Size-sort.

17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51

ST GALLER KA-REG
SYDBANK
LIECHTENSTEIN-BR
SPAREBANK 1 SR B
SPAREBANK 1 SMN
SPAREBANKEN VEST
SPAREBANK 1 NORD
VERWALTUNGS-U-BR
SPAR NORD BANK
BANK SARASIN-B
SPAREBANKEN MORE
SPAREBANKEN OST
SANDNES SPAREBAN
RINGKJOEBING LND
LAN & SPAR BANK
SPAREBANK1 BUSKE
NORRESUNDBY
NORDJYSKE BANK A
SPAREKASSEN FAAB
DJURSLANDS BANK
GRONLANDSBANKEN
OSTJYDSK BANK
SKJERN BANK
SVENDBORG SPAREK
TONDER BANK
SALLING BANK
KREDITBANKEN
TOTALBANKEN
VESTFYNS BANK
NORDFYNS BANK
LOLLANDS BANK
DK COMPANY A/S
MONS BANK
VORDINGBORG BANK
HVIDBJERG BANK
Short Name
1
2005 BARCLAYS PLC
2
UBS AG-REG
3
HSBC HLDGS PLC
4
ROYAL BK SCOTLAN
5
CREDIT SUISS-REG
6
LLOYDS BANKING
7
DANSKE BANK A/S
8
NORDEA BANK AB
9
SEB AB-A
10
STANDARD CHARTER
11
SVENSKA HAN-A
12
DNB NOR ASA
13
SWEDBANK AB-A
14
BANQUE CANTO-REG
15
JYSKE BANK-REG
16
SYDBANK
17
BERNER KANTO-REG
18
ST GALLER KA-REG
19
SPAREBANK 1 SMN
20
LIECHTENSTEIN-BR
21
SPAREBANK 1 SR B
22
SPAREBANKEN VEST
23
SPAR NORD BANK
24
SPAREBANK 1 NORD
25
BANK SARASIN-B
26
VERWALTUNGS-U-BR
27
SPAREBANKEN MORE
28
SANDNES SPAREBAN
29
SPAREBANKEN OST
30
RINGKJOEBING LND
31
LAN & SPAR BANK
32
SPAREBANK1 BUSKE
33
NORRESUNDBY
34
NORDJYSKE BANK A
35
SPAREKASSEN FAAB
36
DJURSLANDS BANK
37
GRONLANDSBANKEN
38
OSTJYDSK BANK
39
SKJERN BANK
40
SVENDBORG SPAREK
41
TOTALBANKEN
42
KREDITBANKEN
43
SALLING BANK
44
TONDER BANK
45
VESTFYNS BANK
46
LOLLANDS BANK
47
NORDFYNS BANK
48
MONS BANK
49
DK COMPANY A/S
50
VORDINGBORG BANK
51
HVIDBJERG BANK
Year
Short Name
1
2006 UBS AG-REG
2
BARCLAYS PLC
3
HSBC HLDGS PLC
4
ROYAL BK SCOTLAN
5
CREDIT SUISS-REG
6
LLOYDS BANKING
7
DANSKE BANK A/S
8
NORDEA BANK AB
9
SEB AB-A
10
STANDARD CHARTER
11
SVENSKA HAN-A
12
DNB NOR ASA
13
SWEDBANK AB-A
14
JYSKE BANK-REG
15
BANQUE CANTO-REG
16
SYDBANK
17
BERNER KANTO-REG
18
ST GALLER KA-REG
19
SPAREBANK 1 SR B
20
LIECHTENSTEIN-BR
21
SPAR NORD BANK
22
SPAREBANK 1 SMN
23
SPAREBANKEN VEST
24
SPAREBANK 1 NORD
25
BANK SARASIN-B
26
VERWALTUNGS-U-BR
27
SPAREBANKEN MORE
28
SANDNES SPAREBAN
29
SPAREBANKEN OST
30
RINGKJOEBING LND
31
SPAREBANK1 BUSKE
32
NORRESUNDBY
33
LAN & SPAR BANK
34
NORDJYSKE BANK A
35
SPAREKASSEN FAAB

11'868'200'182
0.62
9.35 SZ
11.30
1.14
1.59
0.36
10'565'134'904
0.99
17.53 DE
9.30
16.98
3.02
0.23
7'398'499'699
1.18
11.51 LC
27.20
1.32
0.38
0.35
7'181'334'854
1.10
11.66 NO
9.08
2.10
1.54
0.00
6'222'042'574
1.03
19.32 NO
10.90
0.84
1.97
0.12
5'641'245'566
0.71
11.97 NO
9.56
0.17
1.08
0.00
5'131'606'480
0.96
16.49 NO
9.24
0.73
1.40
0.06
5'102'494'491
1.12
11.70 LC
15.40
1.38
0.30
0.72
4'931'479'664
0.94
14.63 DE
8.50
1.60
2.46
0.22
4'896'895'079
1.09
10.03 SZ
23.00
1.30
0.01
1.18
3'000'277'551
0.92
11.67 NO
10.75
0.79
0.76
0.16
2'233'038'349
1.10
16.96 NO
7.97
1.60
0.84
0.10
2'113'186'188
0.68
10.09 NO
12.30
0.74
1.15
0.17
1'272'092'515
2.52
17.28 DE
12.20
2.09
3.43
0.06
1'023'523'373
0.29
3.49 DE
13.10
1.27
1.18
0.11
916'694'055
0.87
12.35 NO
11.78
0.91
0.71
0.04
784'338'876
1.66
13.06 DE
13.30
1.37
2.24
0.07
651'517'591
1.18
8.36 DE
18.10
1.37
2.19
0.34
606'135'606
3.14
19.34 DE
12.80
1.49
2.33
0.37
462'569'800
1.27
10.46 DE
12.00
1.36
2.91
0.00
423'815'775
1.34
7.09 DE
28.00
1.16
1.31
0.16
335'447'620
1.60
15.20 DE
9.40
1.34
2.27
0.11
327'813'805
1.73
13.98 DE
12.00
1.61
3.27
0.19
263'184'353
2.16
12.10 DE
17.20
1.39
2.13
0.10
200'679'888
1.68
13.00 DE
11.80
1.29
2.73
0.14
193'074'815
1.21
12.22 DE
11.50
1.19
1.99
0.18
189'593'445
2.22
13.12 DE
21.00
1.45
2.73
0.25
180'468'749
1.96
14.37 DE
12.80
1.29
2.47
0.20
174'101'649
1.18
10.74 DE
11.80
1.21
2.21
0.15
156'429'911
1.59
14.46 DE
12.10
1.48
1.75
0.29
151'288'651
1.89
12.17 DE
16.90
1.25
2.61
0.33
132'398'440
1.19
9.62 DE
14.30
1.84
6.31
0.33
122'267'071
2.62
14.29 DE
15.00
1.24
2.53
0.13
108'790'400
1.34
8.85 DE
14.20
1.16
2.45
0.12
66'991'043
1.03
7.77 DE
14.20
1.12
2.52
-0.07
Tot Assets:2003C ROA:2003C ROE:2003C Country Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
1'342'594'654'523
0.47
20.71 GB
7.00
2.28
0.21
1.38
1'322'661'178'538
0.74
35.99 SZ
12.80
2.80
0.43
1.21
1'269'306'174'281
1.08
16.93 GB
9.00
1.97
-0.01
1.00
1'128'312'745'141
0.77
15.24 GB
7.60
1.58
0.09
1.34
860'453'185'061
0.48
14.93 SZ
11.30
1.79
-0.31
2.02
449'906'349'443
0.84
23.47 GB
7.90
2.68
-0.60
1.50
325'944'288'954
0.57
18.16 DE
7.30
1.87
0.70
0.47
325'548'998'656
0.75
17.69 SW
6.80
1.76
0.70
0.90
200'890'198'380
0.48
15.51 SW
7.53
1.98
1.07
0.72
181'776'383'325
1.06
18.60 GB
7.70
2.47
0.80
1.22
168'041'161'516
0.78
17.89 SW
7.60
1.97
0.26
0.57
138'280'116'723
1.00
19.12 NO
7.40
1.68
1.83
0.47
127'351'634'496
1.07
24.12 SW
6.50
2.05
0.76
0.73
22'410'305'654
1.39
16.99 SZ
17.80
1.16
1.42
0.68
18'941'104'945
1.27
20.00 DE
10.60
2.10
2.39
0.33
13'256'386'852
1.05
19.88 DE
8.10
2.07
3.02
0.23
12'913'513'700
0.43
7.89 SZ
14.70
1.60
0.69
-0.02
12'284'487'734
0.90
12.13 SZ
13.50
1.44
1.59
0.36
8'837'107'830
1.18
23.22 NO
8.80
1.08
1.97
0.12
8'454'954'169
1.73
13.31 LC
20.30
1.56
0.38
0.35
8'419'137'553
1.35
13.10 NO
8.98
1.36
1.54
0.00
6'846'802'120
0.94
15.87 NO
9.95
0.30
1.08
0.00
6'159'822'736
1.16
17.75 DE
9.90
1.74
2.46
0.22
6'089'246'669
1.22
20.33 NO
9.99
0.84
1.40
0.06
5'456'332'637
1.39
12.04 SZ
23.90
1.68
0.01
1.18
5'293'446'906
1.48
14.05 LC
15.30
1.43
0.30
0.72
3'361'168'986
1.03
13.05 NO
11.43
0.86
0.76
0.16
2'550'048'177
0.97
15.13 NO
10.80
0.96
1.15
0.17
2'387'098'745
1.68
24.89 NO
15.22
0.74
0.84
0.10
1'790'597'138
2.32
18.33 DE
11.60
2.61
3.43
0.06
1'064'672'152
0.55
6.44 DE
12.80
1.37
1.18
0.11
1'053'650'363
0.97
14.08 NO
11.82
0.92
0.71
0.04
930'282'793
1.65
12.91 DE
12.20
1.54
2.24
0.07
711'138'779
1.57
11.06 DE
16.80
1.53
2.19
0.34
702'212'187
3.71
21.36 DE
12.00
1.91
2.33
0.37
590'880'662
1.53
13.39 DE
9.80
1.61
2.91
0.00
463'629'352
1.70
8.97 DE
22.00
1.49
1.31
0.16
415'425'895
1.70
15.54 DE
8.50
1.48
2.27
0.11
368'243'791
2.33
17.60 DE
11.30
1.58
3.27
0.19
286'301'399
2.36
12.41 DE
17.30
1.86
2.13
0.10
232'422'791
2.81
20.06 DE
9.40
1.49
2.47
0.20
208'736'925
2.47
14.43 DE
15.40
1.76
2.73
0.25
204'781'990
1.10
10.63 DE
10.60
1.51
1.99
0.18
201'742'513
2.16
15.83 DE
11.60
1.93
2.73
0.14
182'645'652
1.52
12.86 DE
11.10
1.43
2.21
0.15
178'296'538
2.28
14.60 DE
16.10
1.38
2.61
0.33
174'829'841
1.79
15.47 DE
10.30
1.46
1.75
0.29
152'452'532
2.37
13.27 DE
14.10
1.54
2.53
0.13
149'797'988
1.87
14.41 DE
11.60
3.87
6.31
0.33
132'367'264
1.11
8.07 DE
12.40
1.31
2.45
0.12
71'141'526
1.07
7.64 DE
12.30
1.25
2.52
-0.07
Tot Assets:2008C ROA:2008C ROE:2008C Country Tier 1 Capital Ratio:2008C
P/B:2008C Alpha:20050101:20100101
Raw Beta:20050101:20100101
1'489'448'628'129
0.55
26.16 SZ
11.90
2.89
-1.32
2.02
1'463'362'549'540
0.48
24.56 GB
7.70
2.41
-1.29
1.41
1'410'840'902'095
0.93
15.64 GB
9.40
1.95
-0.44
0.87
1'279'331'402'544
0.73
15.89 GB
7.50
1.56
-2.46
1.93
780'585'594'807
0.87
26.43 SZ
13.90
2.08
-0.67
1.58
504'429'171'295
0.86
26.26 GB
8.20
2.89
-1.61
1.45
367'390'289'435
0.52
15.99 DE
8.63
1.81
-1.49
1.06
346'890'010'624
0.94
22.31 SW
7.10
1.98
0.08
1.11
214'315'065'707
0.66
20.36 SW
8.19
2.20
-0.76
1.26
201'718'859'794
0.94
15.68 GB
8.40
2.40
0.44
1.25
198'313'447'902
0.78
19.91 SW
6.80
1.98
-0.33
0.75
160'294'874'787
0.96
19.18 NO
6.70
1.84
-0.35
0.73
149'896'492'968
0.85
19.04 SW
6.50
2.14
-1.68
1.25
21'546'481'802
1.40
22.50 DE
9.70
2.38
-0.20
1.04
20'528'753'126
1.56
18.89 SZ
18.30
1.77
1.85
0.52
15'390'806'371
1.42
26.71 DE
9.00
2.93
-0.05
1.20
12'711'075'947
0.45
8.46 SZ
17.20
1.69
0.89
0.13
12'305'829'605
1.17
14.47 SZ
13.50
1.71
0.93
0.91
10'324'375'967
1.20
11.94 NO
7.39
1.00
-0.11
0.40
9'303'801'270
1.75
15.84 LC
15.10
2.09
-0.16
0.94
7'854'502'533
1.59
24.78 DE
9.70
2.09
-0.05
0.69
7'670'646'312
1.34
22.87 NO
8.64
0.99
0.02
0.46
7'310'413'306
1.05
18.65 NO
9.51
0.17
-0.98
0.26
6'673'115'209
1.47
7.67 NO
9.77
0.67
-0.50
0.56
6'172'750'843
1.04
9.64 SZ
18.80
2.28
1.02
1.44
5'934'008'742
1.49
13.81 LC
15.50
1.91
-0.39
0.74
3'855'720'769
0.93
12.67 NO
10.28
0.70
-0.64
0.31
3'160'703'535
0.83
14.54 NO
10.40
0.82
-1.69
0.64
2'590'368'053
0.47
6.86 NO
13.61
0.46
-1.47
0.48
2'316'085'613
2.82
26.81 DE
10.40
3.26
-0.06
1.01
1'184'944'242
0.75
11.01 NO
10.88
0.39
-1.00
0.33
1'139'122'632
2.43
19.45 DE
13.10
1.53
-0.43
0.62
1'121'799'310
0.38
4.55 DE
11.20
1.68
0.55
0.31
901'580'181
2.61
18.82 DE
17.00
1.87
-0.24
0.75
865'844'477
4.31
25.24 DE
12.10
1.92
0.20
0.99

Table 4.19: Clean Data. Non-Eurozone. Size-sort.

36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51

DJURSLANDS BANK
OSTJYDSK BANK
SKJERN BANK
GRONLANDSBANKEN
TOTALBANKEN
SVENDBORG SPAREK
TONDER BANK
KREDITBANKEN
SALLING BANK
NORDFYNS BANK
DK COMPANY A/S
VESTFYNS BANK
LOLLANDS BANK
MONS BANK
VORDINGBORG BANK
HVIDBJERG BANK
Year
Short Name
1
2007 ROYAL BK SCOTLAN
2
BARCLAYS PLC
3
HSBC HLDGS PLC
4
UBS AG-REG
5
CREDIT SUISS-REG
6
LLOYDS BANKING
7
DANSKE BANK A/S
8
NORDEA BANK AB
9
SEB AB-A
10
STANDARD CHARTER
11
SVENSKA HAN-A
12
DNB NOR ASA
13
SWEDBANK AB-A
14
JYSKE BANK-REG
15
BANQUE CANTO-REG
16
SYDBANK
17
LIECHTENSTEIN-BR
18
SPAREBANK 1 SR B
19
BERNER KANTO-REG
20
ST GALLER KA-REG
21
SPAREBANKEN VEST
22
SPAREBANK 1 SMN
23
SPAR NORD BANK
24
SPAREBANK 1 NORD
25
BANK SARASIN-B
26
VERWALTUNGS-U-BR
27
SPAREBANKEN MORE
28
SANDNES SPAREBAN
29
SPAREBANKEN OST
30
RINGKJOEBING LND
31
SPAREBANK1 BUSKE
32
NORRESUNDBY
33
LAN & SPAR BANK
34
NORDJYSKE BANK A
35
SPAREKASSEN FAAB
36
DJURSLANDS BANK
37
OSTJYDSK BANK
38
SKJERN BANK
39
GRONLANDSBANKEN
40
TOTALBANKEN
41
SVENDBORG SPAREK
42
TONDER BANK
43
KREDITBANKEN
44
SALLING BANK
45
DK COMPANY A/S
46
NORDFYNS BANK
47
VESTFYNS BANK
48
LOLLANDS BANK
49
MONS BANK
50
VORDINGBORG BANK
51
HVIDBJERG BANK
Year
Short Name
1
2008 ROYAL BK SCOTLAN
2
BARCLAYS PLC
3
HSBC HLDGS PLC
4
UBS AG-REG
5
CREDIT SUISS-REG
6
DANSKE BANK A/S
7
NORDEA BANK AB
8
LLOYDS BANKING
9
STANDARD CHARTER
10
SEB AB-A
11
SVENSKA HAN-A
12
DNB NOR ASA
13
SWEDBANK AB-A
14
JYSKE BANK-REG
15
BANQUE CANTO-REG
16
SYDBANK
17
LIECHTENSTEIN-BR
18
BERNER KANTO-REG
19
ST GALLER KA-REG
20
SPAREBANK 1 SR B
21
SPAREBANKEN VEST
22
SPAR NORD BANK
23
SPAREBANK 1 SMN
24
BANK SARASIN-B
25
VERWALTUNGS-U-BR
26
SPAREBANK 1 NORD
27
SPAREBANKEN MORE
28
SANDNES SPAREBAN
29
SPAREBANKEN OST
30
RINGKJOEBING LND
31
SPAREBANK1 BUSKE
32
NORRESUNDBY
33
LAN & SPAR BANK
34
NORDJYSKE BANK A
35
SPAREKASSEN FAAB
36
DJURSLANDS BANK
37
OSTJYDSK BANK
38
SKJERN BANK
39
GRONLANDSBANKEN
40
TOTALBANKEN
41
SVENDBORG SPAREK
42
KREDITBANKEN
43
TONDER BANK
44
SALLING BANK
45
NORDFYNS BANK
46
DK COMPANY A/S
47
VESTFYNS BANK
48
LOLLANDS BANK
49
MONS BANK
50
VORDINGBORG BANK
51
HVIDBJERG BANK
Year
Short Name
1
2009 ROYAL BK SCOTLAN
2
HSBC HLDGS PLC

727'267'581
1.69
16.10 DE
10.40
1.69
0.03
0.51
571'281'494
1.83
16.49 DE
9.00
1.58
-0.46
0.86
556'421'156
1.95
16.78 DE
11.10
1.90
-1.54
0.96
489'016'279
1.89
10.46 DE
19.90
1.97
-0.22
0.65
364'402'209
3.05
25.72 DE
9.30
1.80
-0.30
1.03
320'351'853
2.77
14.30 DE
17.40
1.83
0.16
0.43
253'802'379
1.76
13.22 DE
11.00
1.93
0.56
0.59
250'556'384
2.67
15.68 DE
14.80
2.23
0.56
0.45
210'699'336
1.17
11.15 DE
10.10
1.63
-0.03
0.43
208'502'385
1.87
16.31 DE
9.60
1.58
-0.84
0.74
203'499'219
1.35
9.62 DE
12.10
7.13
-0.45
2.06
202'649'327
1.93
15.65 DE
10.70
1.69
0.11
0.58
198'913'273
2.98
18.70 DE
16.90
1.83
0.16
0.77
169'584'668
2.92
16.95 DE
14.10
1.60
-0.38
0.57
137'617'205
1.32
10.04 DE
10.90
2.12
0.40
0.37
73'600'344
1.47
10.68 DE
11.70
1.73
-0.08
0.31
Tot Assets:2010C ROA:2010C ROE:2010C Country Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
2'502'768'023'405
0.54
15.66 GB
7.30
0.84
-2.46
1.93
1'668'704'535'156
0.40
20.50 GB
7.80
1.43
-1.29
1.41
1'614'379'679'430
0.90
16.27 GB
8.70
1.57
-0.44
0.87
1'373'195'511'829
-0.22
-12.12 SZ
9.10
2.72
-1.32
2.02
821'349'177'898
0.59
17.88 SZ
10.00
1.61
-0.67
1.58
480'404'773'243
0.94
28.24 GB
9.50
2.20
-1.61
1.45
449'263'031'518
0.49
14.86 DE
6.42
1.31
-1.49
1.06
389'054'005'248
0.85
19.29 SW
8.30
1.74
0.08
1.11
248'399'942'295
0.64
18.96 SW
9.90
1.49
-0.76
1.26
226'200'880'794
0.94
14.92 GB
8.80
3.32
0.44
1.25
197'004'845'745
0.85
22.04 SW
10.60
1.73
-0.33
0.75
185'746'705'017
1.06
21.49 NO
7.60
1.51
-0.35
0.73
170'368'772'061
0.81
18.75 SW
8.50
1.39
-1.68
1.25
28'740'601'122
0.92
17.84 DE
8.10
2.19
-0.20
1.04
21'330'461'981
1.38
17.71 SZ
16.30
1.72
1.85
0.52
17'748'111'510
1.38
26.21 DE
8.90
2.10
-0.05
1.20
13'065'501'450
1.31
15.92 LC
9.70
1.80
-0.16
0.94
12'995'422'435
1.06
10.95 NO
7.51
0.82
-0.11
0.40
12'893'880'840
1.13
20.32 SZ
18.40
1.58
0.89
0.13
12'111'222'865
1.14
13.45 SZ
13.90
1.61
0.93
0.91
9'457'723'563
0.96
17.28 NO
8.33
0.11
-0.98
0.26
9'010'974'690
1.25
18.71 NO
8.30
0.80
0.02
0.46
8'502'809'425
1.12
17.47 DE
9.40
1.55
-0.05
0.69
7'664'551'891
1.21
6.31 NO
8.92
0.52
-0.50
0.56
7'053'647'246
2.72
26.05 SZ
17.00
2.61
1.02
1.44
6'336'298'439
1.57
15.30 LC
16.00
1.56
-0.39
0.74
4'488'284'883
0.99
14.49 NO
9.34
0.58
-0.64
0.31
4'364'216'651
0.75
14.58 NO
10.50
0.66
-1.69
0.64
2'776'712'895
0.95
13.92 NO
13.13
0.35
-1.47
0.48
2'633'416'594
1.89
19.96 DE
11.20
2.43
-0.06
1.01
1'364'881'662
0.69
10.60 NO
9.66
0.28
-1.00
0.33
1'289'337'527
1.60
12.97 DE
12.40
1.43
-0.43
0.62
1'128'871'660
0.33
3.98 DE
8.60
1.51
0.55
0.31
1'014'735'770
1.95
14.29 DE
10.10
1.39
-0.24
0.75
986'680'741
3.18
19.50 DE
11.80
2.18
0.20
0.99
847'337'489
1.36
13.29 DE
10.10
1.64
0.03
0.51
798'468'393
1.54
14.94 DE
8.00
1.20
-0.46
0.86
718'671'877
0.91
9.01 DE
11.10
1.19
-1.54
0.96
563'361'405
2.00
12.03 DE
16.80
2.56
-0.22
0.65
396'778'102
2.37
20.92 DE
9.20
1.81
-0.30
1.03
350'187'718
2.25
11.69 DE
17.30
1.59
0.16
0.43
324'477'532
1.77
15.06 DE
9.10
1.55
0.56
0.59
300'349'919
2.42
15.07 DE
15.60
1.67
0.56
0.45
249'641'413
1.01
10.33 DE
8.10
1.57
-0.03
0.43
248'985'259
1.03
7.80 DE
11.60
4.38
-0.45
2.06
236'055'261
1.28
11.42 DE
10.00
1.70
-0.84
0.74
227'361'124
1.43
11.59 DE
9.80
1.45
0.11
0.58
212'010'004
1.93
11.74 DE
13.80
1.46
0.16
0.77
171'220'729
1.71
9.44 DE
12.70
1.19
-0.38
0.57
142'094'065
0.51
4.04 DE
9.90
1.93
0.40
0.37
104'559'381
0.68
5.88 DE
9.50
1.61
-0.08
0.31
Tot Assets:2010C ROA:2010C ROE:2010C Country Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
2'508'803'121'307
-1.15
-43.44 GB
10.00
0.33
-3.02
2.09
2'144'574'935'871
0.27
14.63 GB
8.60
0.35
-0.06
2.01
1'811'478'081'349
0.23
5.06 GB
8.30
1.25
-0.18
1.18
1'351'097'504'449
-0.99
-61.35 SZ
11.00
1.31
-1.70
2.30
784'814'951'651
-0.65
-21.77 SZ
13.30
1.03
0.06
1.27
476'110'894'394
0.03
1.00 DE
9.20
0.37
-0.44
1.48
474'073'989'120
0.62
15.35 SW
9.30
0.73
0.28
1.44
455'486'880'517
0.20
7.17 GB
8.00
0.80
-1.66
1.89
311'820'796'949
0.82
14.57 GB
9.90
1.09
1.15
1.55
229'070'547'331
0.41
12.55 SW
10.10
0.50
-0.67
1.45
196'962'379'422
0.60
16.23 SW
10.50
1.05
0.10
0.98
188'581'553'609
0.56
12.25 NO
6.70
0.47
0.18
0.90
165'294'339'550
0.64
14.12 SW
10.60
0.27
-0.93
1.86
31'819'016'374
0.43
9.57 DE
11.00
0.61
0.21
1.10
23'630'281'540
1.01
14.35 SZ
16.40
1.11
1.60
0.69
20'955'693'149
0.42
8.79 DE
10.80
0.57
0.40
1.40
15'559'148'870
0.65
9.19 LC
13.50
0.92
0.17
1.17
15'242'334'715
0.51
9.55 SZ
17.10
1.74
0.72
0.08
15'139'943'180
0.80
9.91 SZ
13.70
1.22
0.66
0.89
12'959'597'190
0.41
4.56 NO
6.44
0.41
0.30
0.54
9'769'656'226
0.24
4.74 NO
7.73
0.05
-0.88
0.32
9'305'678'839
0.14
2.33 DE
9.70
0.58
-0.43
0.87
8'718'079'647
0.79
11.93 NO
8.10
0.32
0.45
0.59
8'521'001'162
0.78
7.96 SZ
14.50
1.68
1.05
1.24
7'651'885'780
-0.76
-8.83 LC
13.60
0.97
-0.97
1.43
6'744'237'010
0.55
2.79 NO
9.10
0.18
0.02
0.76
4'200'129'657
0.88
13.45 NO
9.12
0.36
-0.34
0.43
3'264'138'906
-0.26
-5.10 NO
10.80
0.18
-0.71
0.89
2'592'485'783
-1.63
-29.01 NO
8.39
0.19
-1.47
0.67
2'418'423'563
1.28
13.47 DE
13.00
0.88
0.09
1.26
2'202'699'995
0.33
5.44 NO
10.58
0.13
-0.92
0.41
1'319'717'849
0.25
2.05 DE
14.10
0.52
-0.24
0.53
1'173'388'789
-0.01
-0.13 DE
19.00
1.16
-0.10
0.14
1'081'441'063
0.72
5.40 DE
14.30
0.57
0.07
0.74
987'907'797
0.86
5.55 DE
13.10
0.65
-0.01
0.72
875'751'257
0.28
2.91 DE
9.50
0.65
-0.53
0.55
792'958'066
0.65
6.43 DE
9.50
0.45
-0.49
0.82
754'826'337
-1.06
-11.63 DE
10.20
0.32
-1.44
1.04
552'198'762
1.17
7.62 DE
17.30
0.93
-0.04
0.75
413'140'586
-0.64
-5.81 DE
9.00
0.34
-0.42
1.29
369'767'550
1.32
7.37 DE
19.30
0.86
-0.03
0.26
325'186'666
1.18
7.68 DE
17.40
1.01
0.02
0.41
311'280'189
-0.59
-5.46 DE
9.30
1.07
0.02
0.40
279'250'222
-0.08
-1.00 DE
8.60
0.82
-0.17
0.22
268'251'227
-0.42
-4.23 DE
9.40
0.53
-1.03
0.54
248'985'259
1.03
7.80 DE
11.60
4.38
0.25
2.47
240'296'439
0.64
5.38 DE
11.30
0.70
-0.35
0.64
211'454'165
0.20
1.22 DE
16.20
0.59
-0.19
0.56
175'027'936
0.58
3.15 DE
17.50
0.50
-0.47
0.50
142'746'323
0.51
4.24 DE
11.70
0.99
-0.13
0.22
110'644'607
0.23
2.33 DE
12.00
0.57
-0.06
0.37
Tot Assets:2010C ROA:2010C ROE:2010C Country Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
1'911'553'404'269
-0.18
-5.28 GB
14.10
0.40
-3.02
2.09
1'649'863'337'450
0.23
5.08 GB
10.80
1.59
-0.18
1.18

Table 4.19: Clean Data. Non-Eurozone. Size-sort.

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51

BARCLAYS PLC
LLOYDS BANKING
UBS AG-REG
CREDIT SUISS-REG
NORDEA BANK AB
DANSKE BANK A/S
STANDARD CHARTER
SEB AB-A
DNB NOR ASA
SVENSKA HAN-A
SWEDBANK AB-A
JYSKE BANK-REG
BANQUE CANTO-REG
SYDBANK
BERNER KANTO-REG
ST GALLER KA-REG
LIECHTENSTEIN-BR
SPAREBANK 1 SR B
SPAREBANKEN VEST
BANK SARASIN-B
SPAREBANK 1 SMN
SPAR NORD BANK
VERWALTUNGS-U-BR
SPAREBANK 1 NORD
SPAREBANKEN MORE
SANDNES SPAREBAN
SPAREBANKEN OST
SPAREBANK1 BUSKE
RINGKJOEBING LND
NORRESUNDBY
LAN & SPAR BANK
NORDJYSKE BANK A
SPAREKASSEN FAAB
DJURSLANDS BANK
OSTJYDSK BANK
SKJERN BANK
GRONLANDSBANKEN
TOTALBANKEN
SVENDBORG SPAREK
TONDER BANK
KREDITBANKEN
SALLING BANK
NORDFYNS BANK
VESTFYNS BANK
DK COMPANY A/S
LOLLANDS BANK
MONS BANK
VORDINGBORG BANK
HVIDBJERG BANK
Year
Short Name
1
2010 HSBC HLDGS PLC
2
BARCLAYS PLC
3
ROYAL BK SCOTLAN
4
LLOYDS BANKING
5
UBS AG-REG
6
CREDIT SUISS-REG
7
NORDEA BANK AB
8
DANSKE BANK A/S
9
STANDARD CHARTER
10
SEB AB-A
11
SVENSKA HAN-A
12
DNB NOR ASA
13
SWEDBANK AB-A
14
JYSKE BANK-REG
15
BANQUE CANTO-REG
16
SYDBANK
17
BERNER KANTO-REG
18
ST GALLER KA-REG
19
LIECHTENSTEIN-BR
20
SPAREBANK 1 SR B
21
BANK SARASIN-B
22
SPAREBANKEN VEST
23
SPAREBANK 1 SMN
24
SPAR NORD BANK
25
SPAREBANK 1 NORD
26
VERWALTUNGS-U-BR
27
SPAREBANKEN MORE
28
SANDNES SPAREBAN
29
SPAREBANKEN OST
30
SPAREBANK1 BUSKE
31
RINGKJOEBING LND
32
NORRESUNDBY
33
NORDJYSKE BANK A
34
LAN & SPAR BANK
35
SPAREKASSEN FAAB
36
OSTJYDSK BANK
37
DJURSLANDS BANK
38
SKJERN BANK
39
GRONLANDSBANKEN
40
TOTALBANKEN
41
SVENDBORG SPAREK
42
TONDER BANK
43
SALLING BANK
44
NORDFYNS BANK
45
KREDITBANKEN
46
VESTFYNS BANK
47
DK COMPANY A/S
48
LOLLANDS BANK
49
VORDINGBORG BANK
50
MONS BANK
51
HVIDBJERG BANK

1'553'738'924'626
0.57
23.12 GB
13.00
0.67
-0.06
2.01
1'157'482'436'656
0.39
10.73 GB
9.60
0.75
-1.66
1.89
904'015'377'378
-0.16
-7.44 SZ
15.40
1.38
-1.70
2.30
695'560'956'248
0.61
18.70 SZ
16.30
1.51
0.06
1.27
507'544'010'752
0.47
11.55 SW
11.40
1.28
0.28
1.44
416'435'533'984
0.05
1.74 DE
14.10
0.80
-0.44
1.48
304'686'980'346
0.75
13.25 GB
11.50
1.88
1.15
1.55
225'063'124'969
0.05
1.22 SW
13.90
0.98
-0.67
1.45
219'757'637'763
0.47
9.77 NO
9.30
1.04
0.18
0.90
206'987'310'289
0.48
12.96 SW
14.20
1.53
0.10
0.98
174'990'531'476
-0.58
-11.95 SW
13.50
0.92
-0.93
1.86
30'174'157'604
0.20
4.01 DE
13.50
1.05
0.21
1.10
24'097'177'818
0.85
12.11 SZ
17.80
1.41
1.60
0.69
21'211'152'534
0.50
9.64 DE
13.10
1.09
0.40
1.40
16'280'248'618
0.51
9.83 SZ
17.20
1.63
0.72
0.08
15'850'468'122
0.73
9.51 SZ
13.00
1.43
0.66
0.89
15'449'476'756
0.76
10.76 LC
13.70
1.18
0.17
1.17
15'053'696'511
0.88
9.95 NO
9.60
0.75
0.30
0.54
11'769'840'832
0.38
7.82 NO
10.54
0.08
-0.88
0.32
10'318'375'960
0.27
3.17 SZ
16.30
1.95
1.05
1.24
10'188'653'284
1.10
8.77 NO
10.45
0.61
0.45
0.59
8'672'728'858
0.18
2.88 DE
13.20
0.76
-0.43
0.87
7'841'149'635
0.50
6.59 LC
17.10
0.64
-0.97
1.43
7'741'911'415
1.32
6.17 NO
11.90
0.38
0.02
0.76
4'988'332'007
0.82
12.04 NO
11.55
0.51
-0.34
0.43
3'404'531'381
0.27
5.01 NO
15.00
0.33
-0.71
0.89
2'647'427'796
1.25
21.82 NO
14.15
0.43
-1.47
0.67
2'557'490'246
0.73
11.24 NO
12.89
0.16
-0.92
0.41
2'409'518'601
1.29
12.09 DE
16.60
1.49
0.09
1.26
1'350'896'569
0.31
2.55 DE
14.60
0.68
-0.24
0.53
1'299'498'198
0.35
4.60 DE
15.10
1.13
-0.10
0.14
1'204'454'872
0.78
6.19 DE
16.40
0.83
0.07
0.74
1'069'613'712
0.18
1.31 DE
15.00
0.94
-0.01
0.72
846'034'203
0.62
6.53 DE
11.70
0.65
-0.53
0.55
824'353'618
0.31
2.93 DE
12.00
0.48
-0.49
0.82
670'427'975
-1.71
-21.71 DE
10.40
0.50
-1.44
1.04
557'017'747
1.66
10.38 DE
18.90
0.99
-0.04
0.75
422'808'495
0.25
2.37 DE
14.20
0.45
-0.42
1.29
414'356'765
0.72
4.44 DE
18.10
0.87
-0.03
0.26
366'048'400
0.64
6.33 DE
11.70
0.92
0.02
0.40
311'436'572
0.14
0.91 DE
17.60
0.95
0.02
0.41
299'191'879
0.11
1.40 DE
11.70
0.80
-0.17
0.22
269'557'218
0.25
2.82 DE
13.50
0.54
-1.03
0.54
255'937'386
0.07
0.65 DE
14.40
0.69
-0.35
0.64
248'985'259
1.03
7.80 DE
11.60
4.38
0.25
2.47
235'650'640
0.74
4.70 DE
18.00
0.65
-0.19
0.56
189'741'709
0.97
5.38 DE
18.90
0.60
-0.47
0.50
161'023'498
-0.69
-6.19 DE
14.00
1.03
-0.13
0.22
121'661'369
0.15
1.55 DE
12.00
0.15
-0.06
0.37
Tot Assets:2010C ROA:2010C ROE:2010C Country Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
1'836'462'011'108
0.54
9.53 GB
12.10
1.24
-0.18
1.18
1'737'541'864'892
0.25
7.26 GB
13.50
0.63
-0.06
2.01
1'695'470'595'538
-0.07
-1.47 GB
12.90
0.57
-3.02
2.09
1'156'585'264'642
-0.03
-0.72 GB
11.60
0.97
-1.66
1.89
1'055'242'739'013
0.57
17.16 SZ
17.80
1.24
-1.70
2.30
826'736'228'200
0.49
13.59 SZ
17.20
1.25
0.06
1.27
580'839'014'400
0.49
11.36 SW
11.40
1.34
0.28
1.44
431'175'697'917
0.12
3.57 DE
14.80
0.94
-0.44
1.48
386'448'064'072
0.89
12.91 GB
14.00
1.65
1.15
1.55
242'501'275'901
0.30
6.79 SW
14.20
1.24
-0.67
1.45
239'576'454'037
0.52
12.86 SW
16.50
1.52
0.10
0.98
238'778'783'208
0.80
14.12 NO
10.10
1.20
0.18
0.90
190'866'513'521
0.42
8.07 SW
15.20
1.15
-0.93
1.86
32'750'422'216
0.32
5.87 DE
14.10
1.26
0.21
1.10
28'506'800'130
0.88
12.39 SZ
17.60
1.65
1.60
0.69
20'237'132'244
0.27
4.40 DE
14.30
1.18
0.40
1.40
19'536'266'517
0.52
9.48 SZ
18.20
1.61
0.72
0.08
19'532'666'938
0.61
8.07 SZ
12.80
1.42
0.66
0.89
17'757'099'853
0.46
6.16 LC
13.90
1.24
0.17
1.17
17'287'163'160
1.01
9.35 NO
10.20
0.77
0.30
0.54
14'023'581'536
0.66
8.73 SZ
15.30
2.18
1.05
1.24
13'502'990'354
0.60
2.05 NO
10.80
0.17
-0.88
0.32
12'568'843'877
1.11
14.64 NO
10.90
0.66
0.45
0.59
9'047'189'425
0.16
2.47 DE
13.20
0.79
-0.43
0.87
8'821'996'456
1.23
15.08 NO
10.89
0.38
0.02
0.76
8'484'857'847
0.14
1.67 LC
19.00
0.74
-0.97
1.43
5'700'179'796
1.07
6.80 NO
12.03
0.50
-0.34
0.43
3'454'593'431
-0.06
-0.54 NO
12.60
0.39
-0.71
0.89
3'185'025'412
1.30
8.68 NO
15.39
0.44
-1.47
0.67
2'713'542'224
1.01
2.92 NO
14.69
0.19
-0.92
0.41
2'448'049'302
1.42
11.76 DE
18.60
1.58
0.09
1.26
1'328'611'970
0.59
4.80 DE
15.82
0.66
-0.24
0.53
1'294'166'799
1.00
8.03 DE
17.40
0.78
0.07
0.74
1'290'074'521
0.45
6.17 DE
15.60
0.94
-0.10
0.14
1'129'421'911
-0.93
-7.58 DE
14.30
0.94
-0.01
0.72
936'293'542
0.14
1.39 DE
12.50
0.42
-0.49
0.82
878'757'322
0.57
5.59 DE
14.90
0.66
-0.53
0.55
737'149'987
0.15
2.03 DE
11.40
0.45
-1.44
1.04
608'273'389
1.54
9.19 DE
19.10
1.12
-0.04
0.75
428'960'030
0.31
2.96 DE
15.20
0.39
-0.42
1.29
426'042'318
0.95
5.64 DE
19.90
0.83
-0.03
0.26
376'011'034
0.28
2.91 DE
11.50
0.88
0.02
0.40
333'795'646
0.27
3.78 DE
11.60
0.63
-0.17
0.22
304'420'968
0.14
1.63 DE
12.30
0.49
-1.03
0.54
297'708'681
0.61
3.63 DE
21.40
0.87
0.02
0.41
272'895'606
0.25
2.28 DE
16.20
0.66
-0.35
0.64
248'985'259
1.03
7.80 DE
11.60
4.38
0.25
2.47
232'045'415
1.12
7.04 DE
18.10
0.61
-0.19
0.56
207'740'423
0.42
4.58 DE
14.20
0.60
-0.13
0.22
188'729'235
0.34
1.87 DE
18.40
0.59
-0.47
0.50
136'819'158
-0.82
-10.15 DE
10.00
0.73
-0.06
0.37

Table 4.20: Clean Data. Non-Eurozone. Capital-sort.

Number

Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51

Number
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26

Short Name
2002 GRONLANDSBANKEN
LIECHTENSTEIN-BR
BANK SARASIN-B
KREDITBANKEN
VERWALTUNGS-U-BR
DK COMPANY A/S
NORDJYSKE BANK A
SVENDBORG SPAREK
LOLLANDS BANK
RINGKJOEBING LND
MONS BANK
NORRESUNDBY
BERNER KANTO-REG
VORDINGBORG BANK
TOTALBANKEN
HVIDBJERG BANK
SPAREKASSEN FAAB
UBS AG-REG
TONDER BANK
SKJERN BANK
NORDFYNS BANK
DJURSLANDS BANK
VESTFYNS BANK
SPAREBANKEN MORE
SPAREBANK1 BUSKE
LAN & SPAR BANK
SPAREBANKEN OST
ST GALLER KA-REG
HSBC HLDGS PLC
CREDIT SUISS-REG
SALLING BANK
OSTJYDSK BANK
SANDNES SPAREBAN
SPAREBANKEN VEST
STANDARD CHARTER
SYDBANK
BARCLAYS PLC
JYSKE BANK-REG
SPAREBANK 1 SMN
SPAR NORD BANK
SEB AB-A
SPAREBANK 1 NORD
LLOYDS BANKING
DANSKE BANK A/S
ROYAL BK SCOTLAN
SPAREBANK 1 SR B
NORDEA BANK AB
SWEDBANK AB-A
DNB NOR ASA
SVENSKA HAN-A
BANQUE CANTO-REG
Short Name
2003 GRONLANDSBANKEN
LIECHTENSTEIN-BR
BANK SARASIN-B
KREDITBANKEN
NORDJYSKE BANK A
DK COMPANY A/S
SVENDBORG SPAREK
LOLLANDS BANK
HVIDBJERG BANK
MONS BANK
RINGKJOEBING LND
BERNER KANTO-REG
VERWALTUNGS-U-BR
NORRESUNDBY
TOTALBANKEN
VORDINGBORG BANK
BANQUE CANTO-REG
SPAREKASSEN FAAB
VESTFYNS BANK
TONDER BANK
DJURSLANDS BANK
NORDFYNS BANK
SKJERN BANK
UBS AG-REG
CREDIT SUISS-REG
SPAREBANK1 BUSKE
SPAREBANKEN OST
LAN & SPAR BANK
SALLING BANK
OSTJYDSK BANK
SPAREBANKEN MORE
JYSKE BANK-REG
SPAREBANK 1 SMN
ST GALLER KA-REG
LLOYDS BANKING
SPAREBANK 1 SR B
SPAREBANK 1 NORD
SPAR NORD BANK
HSBC HLDGS PLC
SYDBANK
STANDARD CHARTER
SANDNES SPAREBAN
SPAREBANKEN VEST
SEB AB-A
BARCLAYS PLC
DANSKE BANK A/S
ROYAL BK SCOTLAN
NORDEA BANK AB
SWEDBANK AB-A
SVENSKA HAN-A
DNB NOR ASA
Short Name
2004 GRONLANDSBANKEN
LIECHTENSTEIN-BR
BANK SARASIN-B
KREDITBANKEN
JYSKE BANK-REG
NORDJYSKE BANK A
SVENDBORG SPAREK
LOLLANDS BANK
BANQUE CANTO-REG
BERNER KANTO-REG
VERWALTUNGS-U-BR
MONS BANK
DK COMPANY A/S
VORDINGBORG BANK
HVIDBJERG BANK
NORRESUNDBY
LAN & SPAR BANK
SPAREKASSEN FAAB
TOTALBANKEN
CREDIT SUISS-REG
SANDNES SPAREBAN
RINGKJOEBING LND
NORDFYNS BANK
DJURSLANDS BANK
SKJERN BANK
UBS AG-REG

Tot Assets:2002C ROA:2002C ROE:2002C Country

482'686'555
2.12
14.07 DE
7'673'954'805
0.97
12.74 LC
5'606'551'637
-5.47
-50.15 SZ
148'248'727
1.88
11.63 DE
6'028'691'418
0.13
1.49 LC
114'278'269
1.10
9.35 DE
579'533'814
1.56
11.63 DE
224'251'908
2.21
12.60 DE
130'210'901
1.01
6.98 DE
807'858'274
2.73
16.79 DE
101'723'109
1.47
8.19 DE
655'605'740
1.10
9.03 DE
12'875'017'782
0.38
7.22 SZ
86'235'336
1.18
9.33 DE
168'346'157
1.15
9.58 DE
56'562'764
1.13
9.76 DE
481'938'702
1.96
12.21 DE
813'813'316'267
0.29
8.56 SZ
173'333'342
1.37
11.60 DE
248'748'850
1.22
10.48 DE
125'939'256
1.21
13.72 DE
386'352'315
1.15
10.82 DE
163'329'061
0.69
6.95 DE
2'992'090'695
0.80
10.19 NO
759'126'623
0.88
13.84 NO
999'257'577
0.46
6.02 DE
2'141'093'005
0.30
4.79 NO
12'446'585'853
0.56
9.14 SZ
722'205'833'020
0.86
12.71 GB
655'781'874'277
-0.34
-12.60 SZ
191'972'193
0.47
5.87 DE
228'686'154
1.29
12.12 DE
1'664'788'797
0.67
9.01 NO
4'873'265'651
0.20
3.06 NO
107'533'318'569
0.68
11.60 GB
8'982'508'136
0.62
12.15 DE
617'984'899'353
0.59
15.02 GB
20'614'932'467
0.36
8.05 DE
4'947'775'669
0.02
0.33 NO
4'287'786'004
0.38
6.80 DE
136'164'569'615
0.44
11.82 SW
5'207'324'191
0.17
2.81 NO
387'232'942'124
0.73
19.56 GB
235'666'971'406
0.50
14.23 DE
631'688'862'440
0.50
8.60 GB
6'810'116'750
-0.07
-1.30 NO
249'619'005'440
0.36
7.48 SW
105'049'328'861
0.43
10.91 SW
87'756'588'559
0.47
7.12 NO
140'158'293'627
0.59
14.52 SW
22'406'294'348
-3.60
-104.36 SZ
Tot Assets:2003C ROA:2003C ROE:2003C Country
392'711'382
1.98
12.14 DE
7'802'582'039
1.13
15.27 LC
4'855'003'895
0.89
9.57 SZ
164'528'953
2.97
17.83 DE
608'306'612
2.24
16.62 DE
123'630'824
1.77
14.59 DE
255'605'800
2.73
15.85 DE
138'884'367
2.63
17.53 DE
63'127'603
2.44
19.54 DE
116'752'677
3.27
18.34 DE
1'010'224'301
3.40
21.96 DE
12'481'438'980
0.37
7.11 SZ
5'235'512'246
1.12
11.06 LC
746'268'820
2.18
17.64 DE
178'942'806
1.91
15.45 DE
97'099'724
1.57
11.13 DE
20'567'495'452
0.48
9.72 SZ
554'798'883
2.42
15.73 DE
171'733'279
1.79
17.80 DE
185'323'776
1.69
13.39 DE
419'467'255
2.12
18.29 DE
147'852'029
2.70
25.84 DE
287'012'156
2.83
23.49 DE
888'098'751'139
0.49
16.76 SZ
643'524'292'729
0.08
2.64 SZ
750'656'550
0.77
11.37 NO
1'846'981'043
0.84
13.47 NO
995'496'998
0.40
5.15 DE
188'629'596
1.50
16.76 DE
291'263'509
2.24
20.74 DE
2'755'916'857
0.80
10.24 NO
15'613'383'878
0.95
17.74 DE
4'390'702'146
0.61
10.32 NO
11'978'183'153
0.57
9.12 SZ
357'709'016'130
1.29
37.05 GB
6'267'906'993
0.80
15.21 NO
4'868'873'469
0.53
9.15 NO
4'345'063'830
0.74
12.17 DE
823'158'217'767
0.98
13.90 GB
9'824'400'436
0.96
17.58 DE
95'543'181'171
0.86
14.21 GB
1'814'873'510
0.74
10.66 NO
4'804'458'446
0.73
11.95 NO
141'140'532'108
0.45
12.12 SW
629'312'197'564
0.65
17.33 GB
244'781'562'384
0.52
15.60 DE
645'020'835'225
0.52
9.65 GB
262'190'006'272
0.58
12.38 SW
110'575'837'753
0.65
15.75 SW
139'051'214'268
0.64
14.89 SW
84'022'596'531
0.80
13.15 NO
Tot Assets:2003C ROA:2003C ROE:2003C Country
423'815'775
1.34
7.09 DE
7'398'499'699
1.18
11.51 LC
4'896'895'079
1.09
10.03 SZ
189'593'445
2.22
13.12 DE
16'830'486'123
1.16
17.96 DE
651'517'591
1.18
8.36 DE
263'184'353
2.16
12.10 DE
151'288'651
1.89
12.17 DE
19'751'465'610
1.07
13.77 SZ
12'712'080'951
0.38
6.98 SZ
5'102'494'491
1.12
11.70 LC
122'267'071
2.62
14.29 DE
132'398'440
1.19
9.62 DE
108'790'400
1.34
8.85 DE
66'991'043
1.03
7.77 DE
784'338'876
1.66
13.06 DE
1'023'523'373
0.29
3.49 DE
606'135'606
3.14
19.34 DE
180'468'749
1.96
14.37 DE
704'679'081'165
0.54
16.02 SZ
2'113'186'188
0.68
10.09 NO
1'272'092'515
2.52
17.28 DE
156'429'911
1.59
14.46 DE
462'569'800
1.27
10.46 DE
327'813'805
1.73
13.98 DE
1'123'568'237'558
0.51
23.11 SZ

Tier 1 Capital Ratio:2002C

P/B:2002C Alpha:20020101:20050101
Raw Beta:20020101:20070101
28.80
1.04
1.31
0.16
25.30
2.30
0.38
0.35
23.70
1.33
0.01
1.18
20.90
0.89
2.73
0.25
20.20
1.26
0.30
0.72
19.00
0.81
6.31
0.33
15.50
0.88
2.19
0.34
15.30
0.89
2.13
0.10
15.00
0.68
2.61
0.33
14.60
1.02
3.43
0.06
14.10
0.67
2.53
0.13
13.60
0.95
2.24
0.07
13.50
1.25
0.69
-0.02
12.70
0.81
2.45
0.12
12.30
0.88
2.47
0.20
12.20
0.74
2.52
-0.07
12.00
0.99
2.33
0.37
11.30
2.00
0.43
1.21
11.30
0.76
2.73
0.14
10.70
0.89
3.27
0.19
10.60
0.91
1.75
0.29
10.50
0.75
2.91
0.00
10.30
0.81
2.21
0.15
10.25
0.58
0.76
0.16
9.60
0.21
0.71
0.04
9.50
1.07
1.18
0.11
9.48
0.44
0.84
0.10
9.10
0.92
1.59
0.36
9.00
2.02
-0.01
1.00
9.00
1.46
-0.31
2.02
8.90
0.80
1.99
0.18
8.80
0.82
2.27
0.11
8.70
0.55
1.15
0.17
8.63
0.12
1.08
0.00
8.30
2.00
0.80
1.22
8.30
1.03
3.02
0.23
8.20
1.67
0.21
1.38
8.20
1.04
2.39
0.33
8.12
0.42
1.97
0.12
8.00
0.91
2.46
0.22
7.88
1.12
1.07
0.72
7.87
0.38
1.40
0.06
7.70
3.13
-0.60
1.50
7.60
1.40
0.70
0.47
7.30
1.83
0.09
1.34
7.24
0.53
1.54
0.00
7.10
1.03
0.70
0.90
7.10
1.41
0.76
0.73
7.10
1.08
1.83
0.47
6.40
1.54
0.26
0.57
5.50
0.77
1.42
0.68
Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
30.20
1.47
1.31
0.16
25.90
2.19
0.38
0.35
23.40
1.51
0.01
1.18
20.70
1.36
2.73
0.25
18.20
1.32
2.19
0.34
17.70
1.65
6.31
0.33
17.40
1.29
2.13
0.10
16.50
1.07
2.61
0.33
15.70
1.04
2.52
-0.07
15.50
1.06
2.53
0.13
15.10
1.69
3.43
0.06
14.70
1.27
0.69
-0.02
14.30
1.59
0.30
0.72
14.20
1.30
2.24
0.07
13.80
1.07
2.47
0.20
13.50
1.02
2.45
0.12
13.40
1.35
1.42
0.68
13.00
1.20
2.33
0.37
12.50
1.12
2.21
0.15
12.43
1.24
2.73
0.14
12.40
1.18
2.91
0.00
12.40
1.53
1.75
0.29
12.30
1.58
3.27
0.19
11.80
2.56
0.43
1.21
11.70
1.50
-0.31
2.02
11.42
0.43
0.71
0.04
11.26
0.62
0.84
0.10
11.10
1.05
1.18
0.11
10.90
1.12
1.99
0.18
10.40
1.28
2.27
0.11
10.22
0.76
0.76
0.16
10.20
1.39
2.39
0.33
10.12
0.67
1.97
0.12
9.80
0.99
1.59
0.36
9.50
2.60
-0.60
1.50
9.11
0.86
1.54
0.00
9.03
0.52
1.40
0.06
9.00
1.27
2.46
0.22
8.90
2.30
-0.01
1.00
8.90
1.41
3.02
0.23
8.60
2.57
0.80
1.22
8.60
0.76
1.15
0.17
8.38
0.17
1.08
0.00
7.97
1.51
1.07
0.72
7.90
1.99
0.21
1.38
7.70
1.57
0.70
0.47
7.40
2.10
0.09
1.34
7.30
1.43
0.70
0.90
7.20
1.78
0.76
0.73
7.10
1.79
0.26
0.57
6.80
1.38
1.83
0.47
Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
28.00
1.16
1.31
0.16
27.20
1.32
0.38
0.35
23.00
1.30
0.01
1.18
21.00
1.45
2.73
0.25
20.50
1.67
2.39
0.33
18.10
1.37
2.19
0.34
17.20
1.39
2.13
0.10
16.90
1.25
2.61
0.33
16.50
0.67
1.42
0.68
15.80
1.35
0.69
-0.02
15.40
1.38
0.30
0.72
15.00
1.24
2.53
0.13
14.30
1.84
6.31
0.33
14.20
1.16
2.45
0.12
14.20
1.12
2.52
-0.07
13.30
1.37
2.24
0.07
13.10
1.27
1.18
0.11
12.80
1.49
2.33
0.37
12.80
1.29
2.47
0.20
12.30
1.46
-0.31
2.02
12.30
0.74
1.15
0.17
12.20
2.09
3.43
0.06
12.10
1.48
1.75
0.29
12.00
1.36
2.91
0.00
12.00
1.61
3.27
0.19
11.90
2.82
0.43
1.21

Table 4.20: Clean Data. Non-Eurozone. Capital-sort.

27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Year
1

TONDER BANK
VESTFYNS BANK
SPAREBANK1 BUSKE
SALLING BANK
ST GALLER KA-REG
SPAREBANK 1 SMN
SPAREBANKEN MORE
SPAREBANKEN VEST
OSTJYDSK BANK
SYDBANK
SPAREBANK 1 NORD
SPAREBANK 1 SR B
HSBC HLDGS PLC
STANDARD CHARTER
SPAR NORD BANK
LLOYDS BANKING
SWEDBANK AB-A
SPAREBANKEN OST
SEB AB-A
DANSKE BANK A/S
BARCLAYS PLC
SVENSKA HAN-A
DNB NOR ASA
NORDEA BANK AB
ROYAL BK SCOTLAN
Short Name
2005 BANK SARASIN-B
GRONLANDSBANKEN
LIECHTENSTEIN-BR
BANQUE CANTO-REG
SVENDBORG SPAREK
NORDJYSKE BANK A
LOLLANDS BANK
KREDITBANKEN
VERWALTUNGS-U-BR
SPAREBANKEN OST
BERNER KANTO-REG
MONS BANK
ST GALLER KA-REG
UBS AG-REG
LAN & SPAR BANK
VORDINGBORG BANK
HVIDBJERG BANK
NORRESUNDBY
SPAREKASSEN FAAB
SPAREBANK1 BUSKE
RINGKJOEBING LND
TONDER BANK
DK COMPANY A/S
SPAREBANKEN MORE
CREDIT SUISS-REG
SKJERN BANK
VESTFYNS BANK
SANDNES SPAREBAN
JYSKE BANK-REG
SALLING BANK
NORDFYNS BANK
SPAREBANK 1 NORD
SPAREBANKEN VEST
SPAR NORD BANK
DJURSLANDS BANK
TOTALBANKEN
HSBC HLDGS PLC
SPAREBANK 1 SR B
SPAREBANK 1 SMN
OSTJYDSK BANK
SYDBANK
LLOYDS BANKING
STANDARD CHARTER
ROYAL BK SCOTLAN
SVENSKA HAN-A
SEB AB-A
DNB NOR ASA
DANSKE BANK A/S
BARCLAYS PLC
NORDEA BANK AB
SWEDBANK AB-A
Short Name
2006 GRONLANDSBANKEN
BANK SARASIN-B
BANQUE CANTO-REG
SVENDBORG SPAREK
BERNER KANTO-REG
NORDJYSKE BANK A
LOLLANDS BANK
VERWALTUNGS-U-BR
LIECHTENSTEIN-BR
KREDITBANKEN
MONS BANK
CREDIT SUISS-REG
SPAREBANKEN OST
ST GALLER KA-REG
NORRESUNDBY
SPAREKASSEN FAAB
DK COMPANY A/S
UBS AG-REG
HVIDBJERG BANK
LAN & SPAR BANK
SKJERN BANK
TONDER BANK
VORDINGBORG BANK
SPAREBANK1 BUSKE
VESTFYNS BANK
SANDNES SPAREBAN
RINGKJOEBING LND
DJURSLANDS BANK
SPAREBANKEN MORE
SALLING BANK
SPAREBANK 1 NORD
JYSKE BANK-REG
SPAR NORD BANK
NORDFYNS BANK
SPAREBANKEN VEST
HSBC HLDGS PLC
TOTALBANKEN
SYDBANK
OSTJYDSK BANK
SPAREBANK 1 SMN
DANSKE BANK A/S
STANDARD CHARTER
LLOYDS BANKING
SEB AB-A
BARCLAYS PLC
ROYAL BK SCOTLAN
SPAREBANK 1 SR B
NORDEA BANK AB
SVENSKA HAN-A
DNB NOR ASA
SWEDBANK AB-A
Short Name
2007 BERNER KANTO-REG

200'679'888
1.68
13.00 DE
174'101'649
1.18
10.74 DE
916'694'055
0.87
12.35 NO
193'074'815
1.21
12.22 DE
11'868'200'182
0.62
9.35 SZ
6'222'042'574
1.03
19.32 NO
3'000'277'551
0.92
11.67 NO
5'641'245'566
0.71
11.97 NO
335'447'620
1.60
15.20 DE
10'565'134'904
0.99
17.53 DE
5'131'606'480
0.96
16.49 NO
7'181'334'854
1.10
11.66 NO
944'246'983'355
1.12
16.15 GB
108'534'535'015
1.15
18.97 GB
4'931'479'664
0.94
14.63 DE
401'963'368'063
0.89
23.14 GB
113'369'423'052
0.90
21.27 SW
2'233'038'349
1.10
16.96 NO
178'164'081'580
0.51
14.71 SW
275'975'024'255
0.48
14.72 DE
760'591'801'394
0.66
20.12 GB
146'029'920'938
0.77
16.68 SW
111'839'995'773
0.96
17.28 NO
280'073'994'240
0.77
16.71 SW
831'171'643'887
0.93
17.01 GB
Tot Assets:2003C ROA:2003C ROE:2003C Country
5'456'332'637
1.39
12.04 SZ
463'629'352
1.70
8.97 DE
8'454'954'169
1.73
13.31 LC
22'410'305'654
1.39
16.99 SZ
286'301'399
2.36
12.41 DE
711'138'779
1.57
11.06 DE
178'296'538
2.28
14.60 DE
208'736'925
2.47
14.43 DE
5'293'446'906
1.48
14.05 LC
2'387'098'745
1.68
24.89 NO
12'913'513'700
0.43
7.89 SZ
152'452'532
2.37
13.27 DE
12'284'487'734
0.90
12.13 SZ
1'322'661'178'538
0.74
35.99 SZ
1'064'672'152
0.55
6.44 DE
132'367'264
1.11
8.07 DE
71'141'526
1.07
7.64 DE
930'282'793
1.65
12.91 DE
702'212'187
3.71
21.36 DE
1'053'650'363
0.97
14.08 NO
1'790'597'138
2.32
18.33 DE
201'742'513
2.16
15.83 DE
149'797'988
1.87
14.41 DE
3'361'168'986
1.03
13.05 NO
860'453'185'061
0.48
14.93 SZ
368'243'791
2.33
17.60 DE
182'645'652
1.52
12.86 DE
2'550'048'177
0.97
15.13 NO
18'941'104'945
1.27
20.00 DE
204'781'990
1.10
10.63 DE
174'829'841
1.79
15.47 DE
6'089'246'669
1.22
20.33 NO
6'846'802'120
0.94
15.87 NO
6'159'822'736
1.16
17.75 DE
590'880'662
1.53
13.39 DE
232'422'791
2.81
20.06 DE
1'269'306'174'281
1.08
16.93 GB
8'419'137'553
1.35
13.10 NO
8'837'107'830
1.18
23.22 NO
415'425'895
1.70
15.54 DE
13'256'386'852
1.05
19.88 DE
449'906'349'443
0.84
23.47 GB
181'776'383'325
1.06
18.60 GB
1'128'312'745'141
0.77
15.24 GB
168'041'161'516
0.78
17.89 SW
200'890'198'380
0.48
15.51 SW
138'280'116'723
1.00
19.12 NO
325'944'288'954
0.57
18.16 DE
1'342'594'654'523
0.47
20.71 GB
325'548'998'656
0.75
17.69 SW
127'351'634'496
1.07
24.12 SW
Tot Assets:2008C ROA:2008C ROE:2008C Country
489'016'279
1.89
10.46 DE
6'172'750'843
1.04
9.64 SZ
20'528'753'126
1.56
18.89 SZ
320'351'853
2.77
14.30 DE
12'711'075'947
0.45
8.46 SZ
901'580'181
2.61
18.82 DE
198'913'273
2.98
18.70 DE
5'934'008'742
1.49
13.81 LC
9'303'801'270
1.75
15.84 LC
250'556'384
2.67
15.68 DE
169'584'668
2.92
16.95 DE
780'585'594'807
0.87
26.43 SZ
2'590'368'053
0.47
6.86 NO
12'305'829'605
1.17
14.47 SZ
1'139'122'632
2.43
19.45 DE
865'844'477
4.31
25.24 DE
203'499'219
1.35
9.62 DE
1'489'448'628'129
0.55
26.16 SZ
73'600'344
1.47
10.68 DE
1'121'799'310
0.38
4.55 DE
556'421'156
1.95
16.78 DE
253'802'379
1.76
13.22 DE
137'617'205
1.32
10.04 DE
1'184'944'242
0.75
11.01 NO
202'649'327
1.93
15.65 DE
3'160'703'535
0.83
14.54 NO
2'316'085'613
2.82
26.81 DE
727'267'581
1.69
16.10 DE
3'855'720'769
0.93
12.67 NO
210'699'336
1.17
11.15 DE
6'673'115'209
1.47
7.67 NO
21'546'481'802
1.40
22.50 DE
7'854'502'533
1.59
24.78 DE
208'502'385
1.87
16.31 DE
7'310'413'306
1.05
18.65 NO
1'410'840'902'095
0.93
15.64 GB
364'402'209
3.05
25.72 DE
15'390'806'371
1.42
26.71 DE
571'281'494
1.83
16.49 DE
7'670'646'312
1.34
22.87 NO
367'390'289'435
0.52
15.99 DE
201'718'859'794
0.94
15.68 GB
504'429'171'295
0.86
26.26 GB
214'315'065'707
0.66
20.36 SW
1'463'362'549'540
0.48
24.56 GB
1'279'331'402'544
0.73
15.89 GB
10'324'375'967
1.20
11.94 NO
346'890'010'624
0.94
22.31 SW
198'313'447'902
0.78
19.91 SW
160'294'874'787
0.96
19.18 NO
149'896'492'968
0.85
19.04 SW
Tot Assets:2010C ROA:2010C ROE:2010C Country
12'893'880'840
1.13
20.32 SZ

11.80
1.29
2.73
0.14
11.80
1.21
2.21
0.15
11.78
0.91
0.71
0.04
11.50
1.19
1.99
0.18
11.30
1.14
1.59
0.36
10.90
0.84
1.97
0.12
10.75
0.79
0.76
0.16
9.56
0.17
1.08
0.00
9.40
1.34
2.27
0.11
9.30
16.98
3.02
0.23
9.24
0.73
1.40
0.06
9.08
2.10
1.54
0.00
8.90
2.20
-0.01
1.00
8.60
2.51
0.80
1.22
8.50
1.60
2.46
0.22
8.20
2.40
-0.60
1.50
8.20
1.92
0.76
0.73
7.97
1.60
0.84
0.10
7.76
1.66
1.07
0.72
7.70
1.58
0.70
0.47
7.60
2.38
0.21
1.38
7.60
1.89
0.26
0.57
7.60
1.63
1.83
0.47
7.30
1.60
0.70
0.90
7.00
1.64
0.09
1.34
Tier 1 Capital Ratio:2003C
P/B:2003C Alpha:20020101:20070101
Raw Beta:20020101:20070101
23.90
1.68
0.01
1.18
22.00
1.49
1.31
0.16
20.30
1.56
0.38
0.35
17.80
1.16
1.42
0.68
17.30
1.86
2.13
0.10
16.80
1.53
2.19
0.34
16.10
1.38
2.61
0.33
15.40
1.76
2.73
0.25
15.30
1.43
0.30
0.72
15.22
0.74
0.84
0.10
14.70
1.60
0.69
-0.02
14.10
1.54
2.53
0.13
13.50
1.44
1.59
0.36
12.80
2.80
0.43
1.21
12.80
1.37
1.18
0.11
12.40
1.31
2.45
0.12
12.30
1.25
2.52
-0.07
12.20
1.54
2.24
0.07
12.00
1.91
2.33
0.37
11.82
0.92
0.71
0.04
11.60
2.61
3.43
0.06
11.60
1.93
2.73
0.14
11.60
3.87
6.31
0.33
11.43
0.86
0.76
0.16
11.30
1.79
-0.31
2.02
11.30
1.58
3.27
0.19
11.10
1.43
2.21
0.15
10.80
0.96
1.15
0.17
10.60
2.10
2.39
0.33
10.60
1.51
1.99
0.18
10.30
1.46
1.75
0.29
9.99
0.84
1.40
0.06
9.95
0.30
1.08
0.00
9.90
1.74
2.46
0.22
9.80
1.61
2.91
0.00
9.40
1.49
2.47
0.20
9.00
1.97
-0.01
1.00
8.98
1.36
1.54
0.00
8.80
1.08
1.97
0.12
8.50
1.48
2.27
0.11
8.10
2.07
3.02
0.23
7.90
2.68
-0.60
1.50
7.70
2.47
0.80
1.22
7.60
1.58
0.09
1.34
7.60
1.97
0.26
0.57
7.53
1.98
1.07
0.72
7.40
1.68
1.83
0.47
7.30
1.87
0.70
0.47
7.00
2.28
0.21
1.38
6.80
1.76
0.70
0.90
6.50
2.05
0.76
0.73
Tier 1 Capital Ratio:2008C
P/B:2008C Alpha:20050101:20100101
Raw Beta:20050101:20100101
19.90
1.97
-0.22
0.65
18.80
2.28
1.02
1.44
18.30
1.77
1.85
0.52
17.40
1.83
0.16
0.43
17.20
1.69
0.89
0.13
17.00
1.87
-0.24
0.75
16.90
1.83
0.16
0.77
15.50
1.91
-0.39
0.74
15.10
2.09
-0.16
0.94
14.80
2.23
0.56
0.45
14.10
1.60
-0.38
0.57
13.90
2.08
-0.67
1.58
13.61
0.46
-1.47
0.48
13.50
1.71
0.93
0.91
13.10
1.53
-0.43
0.62
12.10
1.92
0.20
0.99
12.10
7.13
-0.45
2.06
11.90
2.89
-1.32
2.02
11.70
1.73
-0.08
0.31
11.20
1.68
0.55
0.31
11.10
1.90
-1.54
0.96
11.00
1.93
0.56
0.59
10.90
2.12
0.40
0.37
10.88
0.39
-1.00
0.33
10.70
1.69
0.11
0.58
10.40
0.82
-1.69
0.64
10.40
3.26
-0.06
1.01
10.40
1.69
0.03
0.51
10.28
0.70
-0.64
0.31
10.10
1.63
-0.03
0.43
9.77
0.67
-0.50
0.56
9.70
2.38
-0.20
1.04
9.70
2.09
-0.05
0.69
9.60
1.58
-0.84
0.74
9.51
0.17
-0.98
0.26
9.40
1.95
-0.44
0.87
9.30
1.80
-0.30
1.03
9.00
2.93
-0.05
1.20
9.00
1.58
-0.46
0.86
8.64
0.99
0.02
0.46
8.63
1.81
-1.49
1.06
8.40
2.40
0.44
1.25
8.20
2.89
-1.61
1.45
8.19
2.20
-0.76
1.26
7.70
2.41
-1.29
1.41
7.50
1.56
-2.46
1.93
7.39
1.00
-0.11
0.40
7.10
1.98
0.08
1.11
6.80
1.98
-0.33
0.75
6.70
1.84
-0.35
0.73
6.50
2.14
-1.68
1.25
Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
18.40
1.58
0.89
0.13

Table 4.20: Clean Data. Non-Eurozone. Capital-sort.

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28

SVENDBORG SPAREK
BANK SARASIN-B
GRONLANDSBANKEN
BANQUE CANTO-REG
VERWALTUNGS-U-BR
KREDITBANKEN
ST GALLER KA-REG
LOLLANDS BANK
SPAREBANKEN OST
MONS BANK
NORRESUNDBY
SPAREKASSEN FAAB
DK COMPANY A/S
RINGKJOEBING LND
SKJERN BANK
SVENSKA HAN-A
SANDNES SPAREBAN
NORDJYSKE BANK A
DJURSLANDS BANK
CREDIT SUISS-REG
NORDFYNS BANK
SEB AB-A
VORDINGBORG BANK
VESTFYNS BANK
LIECHTENSTEIN-BR
SPAREBANK1 BUSKE
LLOYDS BANKING
HVIDBJERG BANK
SPAR NORD BANK
SPAREBANKEN MORE
TOTALBANKEN
UBS AG-REG
TONDER BANK
SPAREBANK 1 NORD
SYDBANK
STANDARD CHARTER
HSBC HLDGS PLC
LAN & SPAR BANK
SWEDBANK AB-A
SPAREBANKEN VEST
NORDEA BANK AB
SPAREBANK 1 SMN
JYSKE BANK-REG
SALLING BANK
OSTJYDSK BANK
BARCLAYS PLC
DNB NOR ASA
SPAREBANK 1 SR B
ROYAL BK SCOTLAN
DANSKE BANK A/S
Short Name
2008 SVENDBORG SPAREK
LAN & SPAR BANK
MONS BANK
KREDITBANKEN
GRONLANDSBANKEN
BERNER KANTO-REG
BANQUE CANTO-REG
LOLLANDS BANK
BANK SARASIN-B
NORDJYSKE BANK A
NORRESUNDBY
ST GALLER KA-REG
VERWALTUNGS-U-BR
LIECHTENSTEIN-BR
CREDIT SUISS-REG
SPAREKASSEN FAAB
RINGKJOEBING LND
HVIDBJERG BANK
VORDINGBORG BANK
DK COMPANY A/S
VESTFYNS BANK
UBS AG-REG
JYSKE BANK-REG
SYDBANK
SANDNES SPAREBAN
SWEDBANK AB-A
SPAREBANK1 BUSKE
SVENSKA HAN-A
SKJERN BANK
SEB AB-A
ROYAL BK SCOTLAN
STANDARD CHARTER
SPAR NORD BANK
DJURSLANDS BANK
OSTJYDSK BANK
NORDFYNS BANK
NORDEA BANK AB
TONDER BANK
DANSKE BANK A/S
SPAREBANKEN MORE
SPAREBANK 1 NORD
TOTALBANKEN
BARCLAYS PLC
SALLING BANK
SPAREBANKEN OST
HSBC HLDGS PLC
SPAREBANK 1 SMN
LLOYDS BANKING
SPAREBANKEN VEST
DNB NOR ASA
SPAREBANK 1 SR B
Short Name
2009 GRONLANDSBANKEN
MONS BANK
SVENDBORG SPAREK
LOLLANDS BANK
BANQUE CANTO-REG
KREDITBANKEN
BERNER KANTO-REG
VERWALTUNGS-U-BR
RINGKJOEBING LND
NORDJYSKE BANK A
CREDIT SUISS-REG
BANK SARASIN-B
UBS AG-REG
LAN & SPAR BANK
SANDNES SPAREBAN
SPAREKASSEN FAAB
NORRESUNDBY
VESTFYNS BANK
SVENSKA HAN-A
TOTALBANKEN
SPAREBANKEN OST
ROYAL BK SCOTLAN
DANSKE BANK A/S
VORDINGBORG BANK
SEB AB-A
LIECHTENSTEIN-BR
SWEDBANK AB-A
JYSKE BANK-REG

350'187'718
2.25
11.69 DE
7'053'647'246
2.72
26.05 SZ
563'361'405
2.00
12.03 DE
21'330'461'981
1.38
17.71 SZ
6'336'298'439
1.57
15.30 LC
300'349'919
2.42
15.07 DE
12'111'222'865
1.14
13.45 SZ
212'010'004
1.93
11.74 DE
2'776'712'895
0.95
13.92 NO
171'220'729
1.71
9.44 DE
1'289'337'527
1.60
12.97 DE
986'680'741
3.18
19.50 DE
248'985'259
1.03
7.80 DE
2'633'416'594
1.89
19.96 DE
718'671'877
0.91
9.01 DE
197'004'845'745
0.85
22.04 SW
4'364'216'651
0.75
14.58 NO
1'014'735'770
1.95
14.29 DE
847'337'489
1.36
13.29 DE
821'349'177'898
0.59
17.88 SZ
236'055'261
1.28
11.42 DE
248'399'942'295
0.64
18.96 SW
142'094'065
0.51
4.04 DE
227'361'124
1.43
11.59 DE
13'065'501'450
1.31
15.92 LC
1'364'881'662
0.69
10.60 NO
480'404'773'243
0.94
28.24 GB
104'559'381
0.68
5.88 DE
8'502'809'425
1.12
17.47 DE
4'488'284'883
0.99
14.49 NO
396'778'102
2.37
20.92 DE
1'373'195'511'829
-0.22
-12.12 SZ
324'477'532
1.77
15.06 DE
7'664'551'891
1.21
6.31 NO
17'748'111'510
1.38
26.21 DE
226'200'880'794
0.94
14.92 GB
1'614'379'679'430
0.90
16.27 GB
1'128'871'660
0.33
3.98 DE
170'368'772'061
0.81
18.75 SW
9'457'723'563
0.96
17.28 NO
389'054'005'248
0.85
19.29 SW
9'010'974'690
1.25
18.71 NO
28'740'601'122
0.92
17.84 DE
249'641'413
1.01
10.33 DE
798'468'393
1.54
14.94 DE
1'668'704'535'156
0.40
20.50 GB
185'746'705'017
1.06
21.49 NO
12'995'422'435
1.06
10.95 NO
2'502'768'023'405
0.54
15.66 GB
449'263'031'518
0.49
14.86 DE
Tot Assets:2010C ROA:2010C ROE:2010C Country
369'767'550
1.32
7.37 DE
1'173'388'789
-0.01
-0.13 DE
175'027'936
0.58
3.15 DE
325'186'666
1.18
7.68 DE
552'198'762
1.17
7.62 DE
15'242'334'715
0.51
9.55 SZ
23'630'281'540
1.01
14.35 SZ
211'454'165
0.20
1.22 DE
8'521'001'162
0.78
7.96 SZ
1'081'441'063
0.72
5.40 DE
1'319'717'849
0.25
2.05 DE
15'139'943'180
0.80
9.91 SZ
7'651'885'780
-0.76
-8.83 LC
15'559'148'870
0.65
9.19 LC
784'814'951'651
-0.65
-21.77 SZ
987'907'797
0.86
5.55 DE
2'418'423'563
1.28
13.47 DE
110'644'607
0.23
2.33 DE
142'746'323
0.51
4.24 DE
248'985'259
1.03
7.80 DE
240'296'439
0.64
5.38 DE
1'351'097'504'449
-0.99
-61.35 SZ
31'819'016'374
0.43
9.57 DE
20'955'693'149
0.42
8.79 DE
3'264'138'906
-0.26
-5.10 NO
165'294'339'550
0.64
14.12 SW
2'202'699'995
0.33
5.44 NO
196'962'379'422
0.60
16.23 SW
754'826'337
-1.06
-11.63 DE
229'070'547'331
0.41
12.55 SW
2'508'803'121'307
-1.15
-43.44 GB
311'820'796'949
0.82
14.57 GB
9'305'678'839
0.14
2.33 DE
875'751'257
0.28
2.91 DE
792'958'066
0.65
6.43 DE
268'251'227
-0.42
-4.23 DE
474'073'989'120
0.62
15.35 SW
311'280'189
-0.59
-5.46 DE
476'110'894'394
0.03
1.00 DE
4'200'129'657
0.88
13.45 NO
6'744'237'010
0.55
2.79 NO
413'140'586
-0.64
-5.81 DE
2'144'574'935'871
0.27
14.63 GB
279'250'222
-0.08
-1.00 DE
2'592'485'783
-1.63
-29.01 NO
1'811'478'081'349
0.23
5.06 GB
8'718'079'647
0.79
11.93 NO
455'486'880'517
0.20
7.17 GB
9'769'656'226
0.24
4.74 NO
188'581'553'609
0.56
12.25 NO
12'959'597'190
0.41
4.56 NO
Tot Assets:2010C ROA:2010C ROE:2010C Country
557'017'747
1.66
10.38 DE
189'741'709
0.97
5.38 DE
414'356'765
0.72
4.44 DE
235'650'640
0.74
4.70 DE
24'097'177'818
0.85
12.11 SZ
311'436'572
0.14
0.91 DE
16'280'248'618
0.51
9.83 SZ
7'841'149'635
0.50
6.59 LC
2'409'518'601
1.29
12.09 DE
1'204'454'872
0.78
6.19 DE
695'560'956'248
0.61
18.70 SZ
10'318'375'960
0.27
3.17 SZ
904'015'377'378
-0.16
-7.44 SZ
1'299'498'198
0.35
4.60 DE
3'404'531'381
0.27
5.01 NO
1'069'613'712
0.18
1.31 DE
1'350'896'569
0.31
2.55 DE
255'937'386
0.07
0.65 DE
206'987'310'289
0.48
12.96 SW
422'808'495
0.25
2.37 DE
2'647'427'796
1.25
21.82 NO
1'911'553'404'269
-0.18
-5.28 GB
416'435'533'984
0.05
1.74 DE
161'023'498
-0.69
-6.19 DE
225'063'124'969
0.05
1.22 SW
15'449'476'756
0.76
10.76 LC
174'990'531'476
-0.58
-11.95 SW
30'174'157'604
0.20
4.01 DE

17.30
1.59
0.16
0.43
17.00
2.61
1.02
1.44
16.80
2.56
-0.22
0.65
16.30
1.72
1.85
0.52
16.00
1.56
-0.39
0.74
15.60
1.67
0.56
0.45
13.90
1.61
0.93
0.91
13.80
1.46
0.16
0.77
13.13
0.35
-1.47
0.48
12.70
1.19
-0.38
0.57
12.40
1.43
-0.43
0.62
11.80
2.18
0.20
0.99
11.60
4.38
-0.45
2.06
11.20
2.43
-0.06
1.01
11.10
1.19
-1.54
0.96
10.60
1.73
-0.33
0.75
10.50
0.66
-1.69
0.64
10.10
1.39
-0.24
0.75
10.10
1.64
0.03
0.51
10.00
1.61
-0.67
1.58
10.00
1.70
-0.84
0.74
9.90
1.49
-0.76
1.26
9.90
1.93
0.40
0.37
9.80
1.45
0.11
0.58
9.70
1.80
-0.16
0.94
9.66
0.28
-1.00
0.33
9.50
2.20
-1.61
1.45
9.50
1.61
-0.08
0.31
9.40
1.55
-0.05
0.69
9.34
0.58
-0.64
0.31
9.20
1.81
-0.30
1.03
9.10
2.72
-1.32
2.02
9.10
1.55
0.56
0.59
8.92
0.52
-0.50
0.56
8.90
2.10
-0.05
1.20
8.80
3.32
0.44
1.25
8.70
1.57
-0.44
0.87
8.60
1.51
0.55
0.31
8.50
1.39
-1.68
1.25
8.33
0.11
-0.98
0.26
8.30
1.74
0.08
1.11
8.30
0.80
0.02
0.46
8.10
2.19
-0.20
1.04
8.10
1.57
-0.03
0.43
8.00
1.20
-0.46
0.86
7.80
1.43
-1.29
1.41
7.60
1.51
-0.35
0.73
7.51
0.82
-0.11
0.40
7.30
0.84
-2.46
1.93
6.42
1.31
-1.49
1.06
Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
19.30
0.86
-0.03
0.26
19.00
1.16
-0.10
0.14
17.50
0.50
-0.47
0.50
17.40
1.01
0.02
0.41
17.30
0.93
-0.04
0.75
17.10
1.74
0.72
0.08
16.40
1.11
1.60
0.69
16.20
0.59
-0.19
0.56
14.50
1.68
1.05
1.24
14.30
0.57
0.07
0.74
14.10
0.52
-0.24
0.53
13.70
1.22
0.66
0.89
13.60
0.97
-0.97
1.43
13.50
0.92
0.17
1.17
13.30
1.03
0.06
1.27
13.10
0.65
-0.01
0.72
13.00
0.88
0.09
1.26
12.00
0.57
-0.06
0.37
11.70
0.99
-0.13
0.22
11.60
4.38
0.25
2.47
11.30
0.70
-0.35
0.64
11.00
1.31
-1.70
2.30
11.00
0.61
0.21
1.10
10.80
0.57
0.40
1.40
10.80
0.18
-0.71
0.89
10.60
0.27
-0.93
1.86
10.58
0.13
-0.92
0.41
10.50
1.05
0.10
0.98
10.20
0.32
-1.44
1.04
10.10
0.50
-0.67
1.45
10.00
0.33
-3.02
2.09
9.90
1.09
1.15
1.55
9.70
0.58
-0.43
0.87
9.50
0.65
-0.53
0.55
9.50
0.45
-0.49
0.82
9.40
0.53
-1.03
0.54
9.30
0.73
0.28
1.44
9.30
1.07
0.02
0.40
9.20
0.37
-0.44
1.48
9.12
0.36
-0.34
0.43
9.10
0.18
0.02
0.76
9.00
0.34
-0.42
1.29
8.60
0.35
-0.06
2.01
8.60
0.82
-0.17
0.22
8.39
0.19
-1.47
0.67
8.30
1.25
-0.18
1.18
8.10
0.32
0.45
0.59
8.00
0.80
-1.66
1.89
7.73
0.05
-0.88
0.32
6.70
0.47
0.18
0.90
6.44
0.41
0.30
0.54
Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
18.90
0.99
-0.04
0.75
18.90
0.60
-0.47
0.50
18.10
0.87
-0.03
0.26
18.00
0.65
-0.19
0.56
17.80
1.41
1.60
0.69
17.60
0.95
0.02
0.41
17.20
1.63
0.72
0.08
17.10
0.64
-0.97
1.43
16.60
1.49
0.09
1.26
16.40
0.83
0.07
0.74
16.30
1.51
0.06
1.27
16.30
1.95
1.05
1.24
15.40
1.38
-1.70
2.30
15.10
1.13
-0.10
0.14
15.00
0.33
-0.71
0.89
15.00
0.94
-0.01
0.72
14.60
0.68
-0.24
0.53
14.40
0.69
-0.35
0.64
14.20
1.53
0.10
0.98
14.20
0.45
-0.42
1.29
14.15
0.43
-1.47
0.67
14.10
0.40
-3.02
2.09
14.10
0.80
-0.44
1.48
14.00
1.03
-0.13
0.22
13.90
0.98
-0.67
1.45
13.70
1.18
0.17
1.17
13.50
0.92
-0.93
1.86
13.50
1.05
0.21
1.10

Table 4.20: Clean Data. Non-Eurozone. Capital-sort.

29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
Year
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51

NORDFYNS BANK
SPAR NORD BANK
SYDBANK
BARCLAYS PLC
ST GALLER KA-REG
SPAREBANK1 BUSKE
OSTJYDSK BANK
HVIDBJERG BANK
SPAREBANK 1 NORD
DJURSLANDS BANK
TONDER BANK
SALLING BANK
DK COMPANY A/S
SPAREBANKEN MORE
STANDARD CHARTER
NORDEA BANK AB
HSBC HLDGS PLC
SPAREBANKEN VEST
SPAREBANK 1 SMN
SKJERN BANK
LLOYDS BANKING
SPAREBANK 1 SR B
DNB NOR ASA
Short Name
2010 KREDITBANKEN
SVENDBORG SPAREK
GRONLANDSBANKEN
VERWALTUNGS-U-BR
RINGKJOEBING LND
MONS BANK
BERNER KANTO-REG
LOLLANDS BANK
UBS AG-REG
BANQUE CANTO-REG
NORDJYSKE BANK A
CREDIT SUISS-REG
SVENSKA HAN-A
VESTFYNS BANK
NORRESUNDBY
LAN & SPAR BANK
SPAREBANKEN OST
BANK SARASIN-B
SWEDBANK AB-A
TOTALBANKEN
DJURSLANDS BANK
DANSKE BANK A/S
SPAREBANK1 BUSKE
SYDBANK
SPAREKASSEN FAAB
SEB AB-A
VORDINGBORG BANK
JYSKE BANK-REG
STANDARD CHARTER
LIECHTENSTEIN-BR
BARCLAYS PLC
SPAR NORD BANK
ROYAL BK SCOTLAN
ST GALLER KA-REG
SANDNES SPAREBAN
OSTJYDSK BANK
NORDFYNS BANK
HSBC HLDGS PLC
SPAREBANKEN MORE
LLOYDS BANKING
SALLING BANK
DK COMPANY A/S
TONDER BANK
NORDEA BANK AB
SKJERN BANK
SPAREBANK 1 SMN
SPAREBANK 1 NORD
SPAREBANKEN VEST
SPAREBANK 1 SR B
DNB NOR ASA
HVIDBJERG BANK

269'557'218
0.25
2.82 DE
8'672'728'858
0.18
2.88 DE
21'211'152'534
0.50
9.64 DE
1'553'738'924'626
0.57
23.12 GB
15'850'468'122
0.73
9.51 SZ
2'557'490'246
0.73
11.24 NO
824'353'618
0.31
2.93 DE
121'661'369
0.15
1.55 DE
7'741'911'415
1.32
6.17 NO
846'034'203
0.62
6.53 DE
366'048'400
0.64
6.33 DE
299'191'879
0.11
1.40 DE
248'985'259
1.03
7.80 DE
4'988'332'007
0.82
12.04 NO
304'686'980'346
0.75
13.25 GB
507'544'010'752
0.47
11.55 SW
1'649'863'337'450
0.23
5.08 GB
11'769'840'832
0.38
7.82 NO
10'188'653'284
1.10
8.77 NO
670'427'975
-1.71
-21.71 DE
1'157'482'436'656
0.39
10.73 GB
15'053'696'511
0.88
9.95 NO
219'757'637'763
0.47
9.77 NO
Tot Assets:2010C ROA:2010C ROE:2010C Country
297'708'681
0.61
3.63 DE
426'042'318
0.95
5.64 DE
608'273'389
1.54
9.19 DE
8'484'857'847
0.14
1.67 LC
2'448'049'302
1.42
11.76 DE
188'729'235
0.34
1.87 DE
19'536'266'517
0.52
9.48 SZ
232'045'415
1.12
7.04 DE
1'055'242'739'013
0.57
17.16 SZ
28'506'800'130
0.88
12.39 SZ
1'294'166'799
1.00
8.03 DE
826'736'228'200
0.49
13.59 SZ
239'576'454'037
0.52
12.86 SW
272'895'606
0.25
2.28 DE
1'328'611'970
0.59
4.80 DE
1'290'074'521
0.45
6.17 DE
3'185'025'412
1.30
8.68 NO
14'023'581'536
0.66
8.73 SZ
190'866'513'521
0.42
8.07 SW
428'960'030
0.31
2.96 DE
878'757'322
0.57
5.59 DE
431'175'697'917
0.12
3.57 DE
2'713'542'224
1.01
2.92 NO
20'237'132'244
0.27
4.40 DE
1'129'421'911
-0.93
-7.58 DE
242'501'275'901
0.30
6.79 SW
207'740'423
0.42
4.58 DE
32'750'422'216
0.32
5.87 DE
386'448'064'072
0.89
12.91 GB
17'757'099'853
0.46
6.16 LC
1'737'541'864'892
0.25
7.26 GB
9'047'189'425
0.16
2.47 DE
1'695'470'595'538
-0.07
-1.47 GB
19'532'666'938
0.61
8.07 SZ
3'454'593'431
-0.06
-0.54 NO
936'293'542
0.14
1.39 DE
304'420'968
0.14
1.63 DE
1'836'462'011'108
0.54
9.53 GB
5'700'179'796
1.07
6.80 NO
1'156'585'264'642
-0.03
-0.72 GB
333'795'646
0.27
3.78 DE
248'985'259
1.03
7.80 DE
376'011'034
0.28
2.91 DE
580'839'014'400
0.49
11.36 SW
737'149'987
0.15
2.03 DE
12'568'843'877
1.11
14.64 NO
8'821'996'456
1.23
15.08 NO
13'502'990'354
0.60
2.05 NO
17'287'163'160
1.01
9.35 NO
238'778'783'208
0.80
14.12 NO
136'819'158
-0.82
-10.15 DE

13.50
0.54
-1.03
0.54
13.20
0.76
-0.43
0.87
13.10
1.09
0.40
1.40
13.00
0.67
-0.06
2.01
13.00
1.43
0.66
0.89
12.89
0.16
-0.92
0.41
12.00
0.48
-0.49
0.82
12.00
0.15
-0.06
0.37
11.90
0.38
0.02
0.76
11.70
0.65
-0.53
0.55
11.70
0.92
0.02
0.40
11.70
0.80
-0.17
0.22
11.60
4.38
0.25
2.47
11.55
0.51
-0.34
0.43
11.50
1.88
1.15
1.55
11.40
1.28
0.28
1.44
10.80
1.59
-0.18
1.18
10.54
0.08
-0.88
0.32
10.45
0.61
0.45
0.59
10.40
0.50
-1.44
1.04
9.60
0.75
-1.66
1.89
9.60
0.75
0.30
0.54
9.30
1.04
0.18
0.90
Tier 1 Capital Ratio:2010C
P/B:2010C Alpha:20050101:20100101
Raw Beta:20050101:20100101
21.40
0.87
0.02
0.41
19.90
0.83
-0.03
0.26
19.10
1.12
-0.04
0.75
19.00
0.74
-0.97
1.43
18.60
1.58
0.09
1.26
18.40
0.59
-0.47
0.50
18.20
1.61
0.72
0.08
18.10
0.61
-0.19
0.56
17.80
1.24
-1.70
2.30
17.60
1.65
1.60
0.69
17.40
0.78
0.07
0.74
17.20
1.25
0.06
1.27
16.50
1.52
0.10
0.98
16.20
0.66
-0.35
0.64
15.82
0.66
-0.24
0.53
15.60
0.94
-0.10
0.14
15.39
0.44
-1.47
0.67
15.30
2.18
1.05
1.24
15.20
1.15
-0.93
1.86
15.20
0.39
-0.42
1.29
14.90
0.66
-0.53
0.55
14.80
0.94
-0.44
1.48
14.69
0.19
-0.92
0.41
14.30
1.18
0.40
1.40
14.30
0.94
-0.01
0.72
14.20
1.24
-0.67
1.45
14.20
0.60
-0.13
0.22
14.10
1.26
0.21
1.10
14.00
1.65
1.15
1.55
13.90
1.24
0.17
1.17
13.50
0.63
-0.06
2.01
13.20
0.79
-0.43
0.87
12.90
0.57
-3.02
2.09
12.80
1.42
0.66
0.89
12.60
0.39
-0.71
0.89
12.50
0.42
-0.49
0.82
12.30
0.49
-1.03
0.54
12.10
1.24
-0.18
1.18
12.03
0.50
-0.34
0.43
11.60
0.97
-1.66
1.89
11.60
0.63
-0.17
0.22
11.60
4.38
0.25
2.47
11.50
0.88
0.02
0.40
11.40
1.34
0.28
1.44
11.40
0.45
-1.44
1.04
10.90
0.66
0.45
0.59
10.89
0.38
0.02
0.76
10.80
0.17
-0.88
0.32
10.20
0.77
0.30
0.54
10.10
1.20
0.18
0.90
10.00
0.73
-0.06
0.37

Table 4.21: Average Values. Non-Eurozone. Size-sort.

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
169'881'223
186'873'232
201'756'374
228'187'733
280'726'501
336'281'479
346'400'956
356'546'569
378'555'631
276'134'411
280'726'501
81'102'281
27'034'094
169'881'223
378'555'631

ln(assets)
18.95
19.05
19.12
19.25
19.45
19.63
19.66
19.69
19.75
19.44
19.45
0.31
0.10
18.95
19.75

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
4'347'788'461
4'207'481'736
4'510'208'969
5'197'761'376
5'691'179'166
6'558'791'439
7'175'397'163
7'721'690'481
8'775'226'053
6'020'613'872
5'691'179'166
1'630'085'844
543'361'948
4'207'481'736
8'775'226'053

ln(assets)
22.19
22.16
22.23
22.37
22.46
22.60
22.69
22.77
22.90
22.52
22.46
0.27
0.09
22.16
22.90

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
328'911'802'025
340'020'608'025
401'119'336'134
525'494'565'309
573'926'168'304
691'794'063'116
743'574'618'229
665'463'393'442
711'965'448'586
553'585'555'908
573'926'168'304
163'300'088'521
54'433'362'840
328'911'802'025
743'574'618'229

ln(assets)
26.52
26.55
26.72
26.99
27.08
27.26
27.33
27.22
27.29
27.04
27.08
0.32
0.11
26.52
27.33

ROA

The Smallest
ROE
1.23
9.93
2.27
17.36
1.65
11.93
1.91
13.45
2.06
14.78
1.52
11.40
0.32
1.67
0.31
1.58
0.48
3.39
1.31
9.50
1.52
11.40
0.77
5.88
0.26
1.96
0.31
1.58
2.27
17.36

Tier 1 Capital Ratio

12.84
15.46
14.81
12.93
12.57
11.50
12.69
14.47
15.05
13.59
12.93
1.37
0.46
11.50
15.46

P/B

Tier 1 Capital Ratio

12.95
12.77
13.03
12.76
12.07
11.10
11.72
13.77
14.21
12.71
12.77
0.97
0.32
11.10
14.21

P/B

5.33
12.84
12.58
15.25
15.76
15.50
3.66
8.02
5.93
10.54
12.58
4.82
1.61
3.66
15.76

The Biggest
ROE
0.19
2.22
0.66
14.86
0.83
17.84
0.85
19.69
0.87
20.59
0.74
16.82
0.20
0.69
0.28
6.64
0.43
8.88
0.56
12.02
0.66
14.86
0.29
7.59
0.10
2.53
0.19
0.69
0.87
20.59

Tier 1 Capital Ratio

7.85
8.90
9.84
8.99
9.26
9.13
10.19
13.23
14.20
10.18
9.26
2.12
0.71
7.85
14.20

P/B

Middle
ROE
0.50
1.16
1.13
1.37
1.49
1.36
0.34
0.65
0.61
0.96
1.13
0.43
0.14
0.34
1.49

0.81
1.26
1.33
1.69
2.17
1.79
0.94
0.93
0.93
1.32
1.26
0.47
0.16
0.81
2.17

Alpha
2.73
2.62
2.62
2.62
-0.16
-0.16
-0.30
-0.30
-0.30
1.04
-0.16
1.52
0.51
-0.30
2.73

Raw Beta
0.16
0.18
0.18
0.18
0.72
0.72
0.70
0.70
0.68
0.47
0.68
0.28
0.09
0.16
0.72

0.86
1.08
1.99
1.39
1.52
1.31
0.66
0.84
0.86
1.17
1.08
0.42
0.14
0.66
1.99

Alpha
Raw Beta
1.46
0.23
1.53
0.22
1.53
0.22
1.53
0.22
-0.20
0.65
-0.20
0.65
-0.13
0.74
-0.13
0.74
-0.12
0.76
0.59
0.49
-0.12
0.65
0.88
0.26
0.29
0.09
-0.20
0.22
1.53
0.76

1.57
1.86
1.87
2.01
2.15
1.78
0.75
1.15
1.19
1.59
1.78
0.47
0.16
0.75
2.15

Alpha
0.65
0.65
0.65
0.65
-0.68
-0.68
-0.34
-0.34
-0.34
0.02
-0.34
0.61
0.20
-0.68
0.65

Raw Beta
0.97
0.97
0.97
0.97
1.22
1.22
1.48
1.48
1.48
1.19
1.22
0.24
0.08
0.97
1.48

Table 4.22: Average Values. Non-Eurozone. Capital-sort.

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
177'039'712'724
213'363'590'049
278'095'882'060
379'258'717'571
328'017'578'463
484'591'155'727
373'086'279'425
259'433'834'982
258'178'895'270
305'673'960'697
278'095'882'060
95'323'260'711
31'774'420'237
177'039'712'724
484'591'155'727

ln(assets)
25.90
26.09
26.35
26.66
26.52
26.91
26.65
26.28
26.28
26.45
26.35
0.31
0.10
25.90
26.91

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
111'249'996'243
93'182'950'632
89'251'941'731
43'389'855'962
140'893'009'521
151'503'079'956
230'354'128'912
218'562'265'876
229'122'691'089
145'278'879'991
140'893'009'521
68'088'504'558
22'696'168'186
43'389'855'962
230'354'128'912

ln(assets)
25.44
25.26
25.21
24.49
25.67
25.74
26.16
26.11
26.16
25.70
25.67
0.55
0.18
24.49
26.16

ROA

Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average
Median
SD
SE
min
max

Tot Assets
2'378'879'629
2'278'234'754
4'586'784'581
92'995'103'051
56'906'753'844
4'617'184'944
58'384'515'312
111'209'299'476
145'678'657'897
53'226'157'054
56'906'753'844
54'130'619'071
18'043'539'690
2'278'234'754
145'678'657'897

ln(assets)
21.59
21.55
22.25
25.26
24.76
22.25
24.79
25.43
25.70
24.70
24.76
1.77
0.59
21.55
25.70

ROA

0.13
0.69
0.88
0.94
1.10
0.87
0.12
0.50
0.53
0.64
0.69
0.35
0.12
0.12
1.10

The Smallest
ROE
Tier 1 Capital Ratio
1.44
7.42
13.37
8.05
17.10
8.08
18.61
7.78
20.19
7.94
15.72
8.02
3.44
8.39
6.37
10.92
6.01
11.23
11.36
8.65
13.37
8.05
7.08
1.40
2.36
0.47
1.44
7.42
20.19
11.23

0.78
1.28
1.27
1.57
1.50
1.07
0.26
0.26
0.36
0.93
1.07
0.53
0.18
0.26
1.57

Middle
ROE
8.67
15.33
13.76
15.22
15.70
13.62
0.28
4.75
4.62
10.22
13.62
5.79
1.93
0.28
15.70

0.90
2.07
1.40
1.54
1.81
1.79
0.52
0.63
0.73
1.26
1.40
0.58
0.19
0.52
2.07

The Biggest
ROE
Tier 1 Capital Ratio
6.03
17.63
15.37
18.22
11.02
18.49
14.57
16.53
15.25
15.94
15.13
14.53
3.65
15.81
6.44
16.98
8.09
18.08
10.62
16.91
11.02
16.98
4.66
1.33
1.55
0.44
3.65
14.53
15.37
18.49

Tier 1 Capital Ratio

9.83
11.40
11.66
11.05
10.61
9.73
10.78
13.62
14.17
11.43
11.05
1.54
0.51
9.73
14.17

P/B

Alpha
1.22
1.50
1.83
1.89
1.97
1.42
0.51
1.07
0.99
1.38
1.42
0.48
0.16
0.51
1.97

P/B

Raw Beta
1.08
1.03
0.80
0.97
-0.69
-0.56
-0.29
-0.17
-0.28
0.21
-0.17
0.74
0.25
-0.69
1.08

Alpha
0.95
1.24
2.04
1.57
1.92
1.50
0.80
0.78
0.91
1.30
1.24
0.48
0.16
0.78
2.04

P/B

Raw Beta
1.58
1.61
1.87
2.20
-0.38
-0.51
-0.49
-0.43
-0.32
0.57
-0.32
1.19
0.40
-0.51
2.20

Alpha
1.04
1.39
1.31
1.56
1.79
1.89
0.99
1.09
1.05
1.35
1.31
0.34
0.11
0.99
1.89

0.63
0.63
0.71
0.72
1.08
0.89
0.94
0.95
0.87
0.83
0.87
0.16
0.05
0.63
1.08

0.38
0.39
0.29
0.24
0.74
0.84
1.12
1.02
1.09
0.68
0.74
0.36
0.12
0.24
1.12

Raw Beta
2.12
2.12
2.00
1.36
0.11
0.16
0.16
-0.04
-0.09
0.88
0.16
1.00
0.33
-0.09
2.12

0.29
0.28
0.33
0.40
0.73
0.78
0.71
0.83
0.83
0.58
0.71
0.24
0.08
0.28
0.83

Table 4.23: Fama-MacBeth Regression. Eurozone. Size-sort.

Eurozone: Size-Sort
Biggest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
9.039
9.782
1.996
2.993
5.731
7.6
-1.984
-2.62
3.625
4.02

Coefficients
CapRatio
Ln(assets)
0.226
-0.394
0.296
-0.434
0.196
-0.117
0.003
-0.104
-0.059
-0.157
-0.103
-0.21
-0.013
0.103
0.127
0.092
0.056
-0.13
0.08
-0.15

RawBeta
CountryD
0.056
-0.402
0.063
-0.698
0.26
-0.564
0.413
-0.255
-0.24
-0.048
-0.331
0.004
-0.299
-0.494
-0.558
-0.539
-0.154
-0.282
-0.09
-0.36

Constant
192.987
234.474
-7.638
9.896
19.308
1.739
-45.958
-91.815
26.452
37.72

Coefficients
CapRatio
Ln(assets)
7.078
-8.973
10.779
-11.269
4.744
-0.623
1.58
-0.438
-0.668
0.409
0.21
0.875
-2.036
2.903
11.146
0.632
1.691
-1.304
3.84
-1.98

RawBeta
CountryD
-0.175
-10.317
-8.789
-19.873
2.826
-10.827
6.108
-6.397
-6.724
2.564
-11.17
5.931
-7.989
-14.092
-18.176
-30.449
-0.032
-1.955
-4.90
-9.49

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
12.449
5.407
1.993
1.809
8.375
5.81
1.025
-1.582
-1.799
3.72

Coefficients
CapRatio
Ln(assets)
0.27
-0.5
0.191
-0.21
-0.406
0.041
-0.033
-0.021
-0.159
-0.205
-0.111
-0.128
0.116
-0.04
0.018
0.086
0.114
0.049
0.00
-0.10

RawBeta
CountryD
0.061
-0.532
0.235
-0.536
-1.082
0.729
0.671
-0.268
0.225
-0.274
-0.046
0.089
-0.146
-0.064
-0.021
-0.056
-0.03
-0.224
-0.01
-0.13

Constant
-14.764
-5.042
3.603
9.998
3.147
8.692
2.771
1.337
1.073
1.20

Coefficients
CapRatio
Ln(assets)
-0.238
0.654
-0.413
0.369
-0.406
0.041
-0.313
-0.231
-0.168
-0.154
-0.308
-0.218
-0.463
0.045
-0.187
0.021
0.01
-0.039
-0.28
0.05

RawBeta
CountryD
-0.058
0.05
-0.879
0.552
-1.082
0.729
-0.788
0.496
-0.931
-0.182
-0.78
-0.048
-0.206
0.47
-0.121
-0.039
-0.106
-0.441
-0.55
0.18

Constant
-2.724
0.724
5.27
-5.132
-8.175
-9.598
1.521
-1.542
3.997
-1.74

Coefficients
CapRatio
Ln(assets)
0.049
0.243
0.016
0.118
0.078
-0.102
-0.014
0.351
-0.051
0.541
-0.283
0.676
-0.185
0.111
0.172
0.1
0.061
-0.104
-0.02
0.21

RawBeta
CountryD
-2.043
0.326
-2.044
-0.174
-1.3
-0.903
-1.118
-0.824
-2.312
-0.1
-2.981
0.167
-1.551
1.088
-1.419
0.289
-1.057
0.558
-1.76
0.05

Constant
8.419
4.433
0.254
6.671
6.947
9.226
0.506
-1.61
2.709
4.17

Coefficients
CapRatio
Ln(assets)
0.003
-0.295
-0.024
-0.113
-0.012
0.062
-0.017
-0.197
0.05
-0.262
0.157
-0.397
0.067
-0.077
0.126
-0.009
0.06
-0.169
0.05
-0.16

RawBeta
CountryD
-0.999
0.17
-1.101
-0.15
-1.473
0.181
-1.38
0.316
-1.258
0.324
-0.913
0.116
0.529
1.046
0.326
1.177
0.602
1.076
-0.63
0.47

Constant
-0.748
-2.769
-1.956
4.798
1.041
7.898
3.19
5.291
4.401
2.74

Coefficients
CapRatio
Ln(assets)
0.106
0.068
-0.037
0.202
0.039
0.135
0.075
-0.172
0.03
-0.003
0.088
-0.309
0.016
-0.092
0.014
-0.186
-0.041
-0.132
0.02
-0.07

RawBeta
CountryD
-1.245
1.344
-0.233
1.127
-0.056
1.499
-0.134
0.684
0.591
0.877
-0.333
0.968
-0.651
0.902
-0.525
0.842
-0.428
0.652
-0.22
0.94

Constant
-8.112
-10.223
-0.618
-5.202
-0.894
-0.488
2.268
1.648
2.285
-2.15

Coefficients
CapRatio
Ln(assets)
0.316
0.251
0.085
0.438
-0.01
0.053
0.051
0.231
0.065
0.032
0.14
-0.014
0.035
-0.114
0.075
-0.105
0.079
-0.13
0.09
0.07

RawBeta
CountryD
2.151
-0.301
3.4
-0.947
2.369
-1.261
2.305
-0.757
0.214
-0.164
0.19
-0.095
0.532
-0.052
0.502
0.082
0.39
0.002
1.34
-0.39

Middle

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-1.798
1.255
0.788
3.538
-2.199
2.984
-0.117
1.567
3.344
1.04

Coefficients
CapRatio
Ln(assets)
0.048
0.085
-0.036
-0.013
0.08
-0.039
0.122
-0.159
0.19
0.048
0.103
-0.138
0.103
-0.022
0.038
-0.073
0.433
-0.278
0.12
-0.07

RawBeta
CountryD
-0.144
0.402
-0.149
0.342
0.286
0.113
0.343
0.136
0.468
-0.111
0.658
-0.345
0.44
-0.636
0.131
-0.429
-0.223
-1.922
0.20
-0.27

Constant
-17.881
9.365
2.222
31.386
-66.173
-27.883
12.077
79.458
52.349
8.32

Coefficients
CapRatio
Ln(assets)
-0.308
1.235
-1.127
0.373
-0.35
0.328
-0.481
-0.693
-0.222
3.134
-0.933
1.828
0.499
-0.72
-1.432
-3.22
10.305
-5.586
0.66
-0.37

RawBeta
CountryD
1.341
7.099
1.923
6.052
8.776
1.792
7.298
5.419
6.868
5.027
6.599
-0.114
11.277
-6.969
14.471
-8.042
-6.16
-42.244
5.82
-3.55

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Smallest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-3.952
-5.893
0.72
0.11
-3.05
-3.286
3.452
2.776
-0.777
-1.10

Coefficients
CapRatio
Ln(assets)
0.1
0.157
0.15
0.226
0.065
-0.031
0.101
-0.01
0.123
0.124
0.109
0.122
0.044
-0.141
0.012
-0.103
0.049
0.038
0.08
0.04

RawBeta
CountryD
0.303
0.166
0.456
0.066
-0.026
-0.054
0.311
0.045
0.025
0.07
0.709
0.243
-0.075
-0.341
-0.048
-0.154
-0.368
-0.218
0.14
-0.02

Constant
-55.347
-84.255
15.08
7.587
-40.591
-33.885
57.639
63.557
-24.352
-10.51

Coefficients
CapRatio
Ln(assets)
0.843
2.416
1.806
3.379
0.115
-0.345
0.218
0.001
0.409
2.023
0.762
1.43
0.191
-2.222
-0.238
-2.342
0.368
1.229
0.50
0.62

RawBeta
CountryD
6.446
4.865
7.589
3.385
1.65
-0.099
9.539
2.04
3.395
4.252
10.447
6.735
-0.73
-3.141
-0.721
-0.283
-5.12
-1.686
3.61
1.79

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Table 4.24: Fama-MacBeth Regression. Eurozone. Capital-sort.

Eurozone: Capital-Sort
Biggest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
2.167
2.669
2.345
2.426
-1.043
6.879
1.867
0.935
1.808
2.23

Coefficients
CapRatio
Ln(assets)
0.005
-0.065
-0.074
-0.063
0.081
-0.103
0.146
-0.124
0.217
0.014
0.014
-0.261
0.009
-0.048
0.07
-0.044
0
-0.053
0.05
-0.08

RawBeta
CountryD
-0.035
-0.073
0.157
-0.021
0.07
0.195
0.069
0.064
-0.488
-0.015
0.58
-0.308
-0.013
-0.73
-0.291
-0.112
-0.01
-0.132
0.00
-0.13

Constant
56.488
31.672
24.948
47.119
-12.639
81.503
83.265
-36.009
-9.815
29.61

Coefficients
CapRatio
Ln(assets)
-1.105
-1.564
-1.611
-0.402
-0.402
-0.487
-0.661
-1.311
0.156
1.165
-2.207
-2.08
-0.159
-2.995
3.039
0.633
0.577
0.339
-0.26
-0.74

RawBeta
CountryD
3.207
2.435
4.773
1.874
3.517
3.016
7.51
2.032
-5.126
4.641
7.304
0.609
-2.05
-7.475
-8.629
-5.335
1.647
0.401
1.35
0.24

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-3.201
-2.765
-7.869
-1.536
2.246
4.546
3.185
-0.92
-1.033
-0.82

Coefficients
CapRatio
Ln(assets)
-0.052
0.321
-0.015
0.293
0.135
0.425
0.157
0.083
0.087
-0.049
0.181
-0.206
0.021
-0.098
-0.028
0.112
0.152
0.011
0.07
0.10

RawBeta
CountryD
-2.699
-0.849
-2.57
-0.701
-2.57
-0.476
-0.702
0.039
-0.312
0.364
-0.001
1.069
-0.266
0.674
-0.562
0.068
-0.183
-0.033
-1.10
0.02

Constant
7.615
-0.88
0.643
4.456
5.051
6.046
-0.69
11.416
-1.434
3.58

Coefficients
CapRatio
Ln(assets)
-0.073
-0.247
0.003
0.101
-0.035
0.051
-0.111
-0.077
-0.014
-0.158
0.158
-0.278
0.127
-0.016
0.263
-0.671
0.274
-0.048
0.07
-0.15

RawBeta
CountryD
0.71
-0.052
-1.282
-0.154
-1.073
-0.268
-0.633
-0.336
-0.993
-0.23
-0.735
0.177
-0.258
-0.208
2.197
-0.486
-0.295
-0.536
-0.26
-0.23

Constant
-1.875
3.759
-3.365
15.259
9.26
14.991
2.437
-7.682
-5.598
3.02

Coefficients
CapRatio
Ln(assets)
0.251
0.068
0.641
-0.293
0.963
-0.099
-2.169
0.201
-0.582
-0.002
-1.453
0.03
-0.12
-0.008
0.447
0.217
0.22
0.22
-0.20
0.04

RawBeta
CountryD
-0.457
0.528
0.206
0.979
0.369
-0.51
-1.389
-0.32
-1.977
-0.046
-2.634
0.47
-0.372
0.767
-1.081
-0.294
-1.366
1.425
-0.97
0.33

Constant
0.58
-5.791
7.563
-11.782
2.957
11.258
6.426
-5.673
2.078
0.85

Coefficients
CapRatio
Ln(assets)
-0.04
0.011
0.693
0.052
-0.823
0.01
1.51
0.065
-0.119
-0.057
-0.604
-0.263
-0.189
-0.213
0.587
0.002
0.064
-0.124
0.12
-0.06

RawBeta
CountryD
0.135
0.139
-0.434
-0.063
-0.865
0.293
-0.988
-0.282
-1.012
0.157
-0.16
-0.521
0.46
1.168
-0.325
0.003
0.343
2.505
-0.32
0.38

Constant
-3.175
-0.631
-5.291
0.164
1.709
7.782
-1.043
1.488
4.543
0.62

Coefficients
CapRatio
Ln(assets)
1.004
-0.079
0.05
0.063
0.308
0.218
0.227
-0.019
0.481
-0.147
-0.418
-0.137
-0.587
0.405
0.235
-0.074
0.105
-0.184
0.16
0.01

RawBeta
CountryD
0.042
0.489
0.469
-0.616
-0.67
1.077
0.541
0.67
0.641
-0.018
0.255
-0.199
-3.706
3.048
-0.675
0.496
-0.267
0.656
-0.37
0.62

Constant
-14.199
2.676
10.958
1.73
5.514
-2.524
-4.718
-2.744
6.671
0.37

Coefficients
CapRatio
Ln(assets)
0.615
0.447
0.185
-0.089
-0.106
-0.418
0.358
-0.136
0.249
-0.296
-0.05
0.151
0.098
0.151
0.374
-0.018
-0.272
-0.187
0.16
-0.04

RawBeta
CountryD
-0.802
-0.109
-0.949
0.407
0.972
-0.799
0.22
-0.841
0.15
-0.577
-1.173
-0.583
-0.034
0.451
0.183
0.495
-0.115
-0.11
-0.17
-0.19

Middle

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-0.798
-0.943
-0.483
2.082
3.1
4.604
3.379
4.652
-1.151
1.60

Coefficients
CapRatio
Ln(assets)
0.158
0.009
0.384
-0.059
0.254
-0.039
0.251
-0.135
-0.031
-0.095
-0.373
-0.057
-0.408
0.033
-0.427
-0.02
0.056
0.039
-0.02
-0.04

RawBeta
CountryD
-0.158
0.04
-0.041
0.02
0.152
-0.281
0.26
-0.275
0.418
-0.015
0.583
-0.014
-0.294
-0.013
0.237
-0.322
-0.063
-0.597
0.12
-0.16

Constant
-10.421
9.435
-9.278
52.491
57.973
18.287
54.188
145.38
-41.114
30.77

Coefficients
CapRatio
Ln(assets)
2.357
0.089
5.891
-1.849
3.164
-0.231
-4.437
-0.157
-7.997
0.56
-4.291
0.931
-6.522
0.484
-14.547
-0.662
2.201
1.045
-2.69
0.02

RawBeta
CountryD
-0.102
0.301
0.383
-2.652
5.696
-5.743
3.844
-0.002
7.091
6.204
7.289
2.927
-3.615
2.095
13.334
1.648
-1.509
-12.142
3.60
-0.82

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Smallest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-3.408
-2.799
0.129
-0.465
-0.808
0.334
2.658
-1.772
-7.234
-1.49

Coefficients
CapRatio
Ln(assets)
0.521
0.012
0.511
-0.013
0.091
-0.018
0.242
-0.031
0.324
-0.032
-0.196
0.086
-0.157
-0.051
0.423
-0.021
0.727
0.132
0.28
0.01

RawBeta
CountryD
0.065
0.062
0.259
-0.047
0.279
0.197
0.302
0.173
0.021
-0.079
-0.535
-0.108
0.16
-0.084
-0.728
-0.403
-2.098
-0.684
-0.25
-0.11

Constant
-91.925
-72.437
-21.293
-8.594
-18.601
53.316
22.004
-56.276
-153.456
-38.58

Coefficients
CapRatio
Ln(assets)
13.96
0.368
10.478
0.38
0.063
1.234
2.748
-0.066
4.657
-0.122
1.22
-2.071
1.408
-1.34
9.9
-0.149
17.644
1.972
6.90
0.02

RawBeta
CountryD
1.342
-4.008
6.069
-5.417
1.397
5.302
6.353
3.418
3.207
-0.218
5.028
-0.677
8.775
-7.871
-13.733
-3.401
-45.263
-13.082
-2.98
-2.88

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Table 4.25: Fama-MacBeth Regressions. Non-Eurozone. Size-sort.

Non-Eurozone: Size-Sort
Biggest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-7.716
-1.621
3.098
2.053
3.75
1.874
7.494
-0.216
1.581
1.14

Coefficients
CapRatio
Ln(assets)
0.443
0.186
0.178
0.037
0.022
-0.1
0.101
-0.078
0.061
-0.127
0.074
-0.05
-0.007
-0.546
-0.046
0.071
-0.014
-0.022
0.09
-0.07

RawBeta
CountryD
0.031
-2.222
-0.047
-1.135
0.203
-0.324
0.059
-0.624
-0.034
-0.258
-0.336
-0.389
-0.375
-0.587
-0.579
0.37
-0.284
0.296
-0.15
-0.54

Constant
-224.467
-63.079
1.56
-10.968
35.254
-3.314
154.796
-57.805
-6.995
-19.45

Coefficients
CapRatio
Ln(assets)
12.43
5.459
4.073
1.827
0.17
0.497
-0.483
1.444
-0.758
-0.468
1.874
0.422
0.893
-4.771
-0.469
3.42
0.271
0.671
2.00
0.94

RawBeta
CountryD
-0.826
-60.253
-1.117
-23.636
2.076
-1.99
-4.944
8.655
2.453
8.688
-4.011
-16.613
-19.528
-36.137
-14.353
3.975
-4.756
5.663
-5.00
-12.41

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-0.885
-5.546
-5.417
0.891
3.49
6.809
-0.428
1.902
2.42
0.36

Coefficients
CapRatio
Ln(assets)
0.103
0.042
0.197
0.219
0.039
0.264
-0.03
0.046
-0.028
-0.064
-0.011
-0.212
-0.022
0.065
-0.054
0.017
0.028
-0.043
0.02
0.04

RawBeta
CountryD
0.694
-0.59
0.172
-1.016
0.122
-0.542
0.191
-0.01
0.462
0.214
0.551
0.168
-0.306
0.588
-0.409
0.556
-0.333
0.078
0.13
-0.06

Constant
12.983
11.081
5.959
9.137
3.615
3.458
4.336
8.635
3.819
7.00

Coefficients
CapRatio
Ln(assets)
0.211
-0.513
-0.048
-0.361
0.051
-0.19
-0.026
-0.285
0.092
-0.131
0.101
-0.134
0.025
-0.099
-0.085
-0.221
0.04
-0.086
0.04
-0.22

RawBeta
CountryD
-0.646
-0.011
-0.713
0.4
-0.867
-0.019
-0.853
0.367
-1.462
0.446
-1.346
0.691
-1.572
0.153
-1.401
0.541
-1.649
0.081
-1.17
0.29

Constant
0.372
-0.151
-35.542
5.574
2.826
3.489
-1.6
-2.003
-2.572
-3.29

Coefficients
CapRatio
Ln(assets)
0.039
-0.005
0.068
0.015
0.044
1.717
-0.054
-0.171
-0.027
-0.099
0.024
-0.158
0.087
0.052
0.088
0.068
0.068
0.099
0.04
0.17

RawBeta
CountryD
-0.121
0.494
0.008
0.098
3.13
-4.679
0.585
0.513
1.701
0.396
1.479
0.378
-0.027
0.473
0.036
0.401
0.189
0.437
0.78
-0.17

Constant
3.118
3.283
5.084
8.983
1.655
1.045
-9.426
-5.177
-3.235
0.59

Coefficients
CapRatio
Ln(assets)
-0.021
-0.054
0.005
-0.069
-0.03
-0.134
-0.162
-0.25
-0.04
-0.086
-0.014
-0.07
0.112
0.36
0.031
0.207
-0.01
0.141
-0.01
0.00

RawBeta
CountryD
-0.018
-0.894
-0.369
-1.022
-0.247
-0.741
0.574
-0.145
0.421
1.061
0.39
0.913
0.032
-0.267
-0.087
0.298
-0.019
0.431
0.08
-0.04

Constant
-0.153
-1.989
0.395
5.154
16.591
9.045
10.829
8.841
7.941
8.40

Coefficients
CapRatio
Ln(assets)
0.001
0.049
0.007
0.158
-0.009
0.047
-0.003
-0.206
0.082
-0.916
0.071
-0.473
0.038
-0.583
0.022
-0.472
0.01
-0.414
0.03
-0.43

RawBeta
CountryD
0.155
0
0.824
0
1.12
0
2.957
0
3.124
0
1.586
0
1.443
0
1.433
0
1.409
0
1.87
0.00

Constant
-2.001
17.955
15.879
16.227
6.269
6.437
5.272
4.79
6.425
9.91

Coefficients
CapRatio
Ln(assets)
0.147
0.14
-0.003
0.852
-0.037
-0.714
-0.056
-0.718
0.041
-0.344
0.034
-0.343
0.04
-0.317
0.043
-0.297
0.039
-0.377
0.01
-0.28

RawBeta
CountryD
1.271
0
4.89
0
4.952
0
4.919
0
-0.403
0
-0.421
0
0.155
0
0.145
0
0.126
0
1.80
0.00

Middle

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
15.088
9.181
6.868
8.032
10.097
2.47
-4.202
0.894
-6.291
4.68

Coefficients
CapRatio
Ln(assets)
0.026
-0.651
0.069
-0.406
0
-0.267
-0.024
-0.298
-0.043
-0.412
0.083
-0.127
0.064
0.173
-0.039
0.01
0.07
0.279
0.02
-0.19

RawBeta
CountryD
-4.509
0.955
-0.153
-0.244
0.577
-0.21
0.95
-0.11
1.588
-0.098
1.341
-0.324
0.051
-0.393
0.14
-0.097
-0.264
-0.62
-0.03
-0.13

Constant
110.114
9.192
-11.845
-25.011
6.724
-62.499
-104.201
-12.837
-64.751
-17.23

Coefficients
CapRatio
Ln(assets)
0.03
-4.518
0.533
-0.063
-0.136
1.219
-0.056
1.903
-0.576
0.422
1.151
2.755
1.111
4.376
-0.102
1.029
0.498
2.943
0.27
1.12

RawBeta
CountryD
-42.2
10.522
-2.05
-5.675
4.84
-5.989
5.718
-8.543
11.976
-4.663
8.941
-7.383
-1.326
-6.573
-0.652
-0.91
-2.142
-3.232
-1.88
-3.61

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Smallest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-4.924
3.425
-0.388
-4.541
-3.597
-6.774
0.653
-0.464
-6.936
-2.62

Coefficients
CapRatio
Ln(assets)
0.095
0.275
0.017
-0.077
0.011
0.092
0.011
0.313
0.072
0.251
0.102
0.372
0.145
-0.12
0.166
-0.099
0.101
0.287
0.08
0.14

RawBeta
CountryD
-1.531
0
0.209
0
0.661
0
1.878
0
-0.13
0
-0.157
0
0.25
0
0.459
0
0.382
0
0.22
0.00

Constant
-16.876
6.158
-22.592
-38.734
-40.171
-68.842
24.798
25.97
-74.233
-23.46

Coefficients
CapRatio
Ln(assets)
0.159
1.348
-0.366
0.849
-0.351
2.023
-0.53
2.95
-0.31
3.073
-0.084
4.199
0.974
-1.891
1.223
-2.265
0.613
3.388
0.15
1.54

RawBeta
CountryD
-3.91
0
4.43
0
7.181
0
14.806
0
-0.696
0
-0.829
0
2.031
0
3.202
0
2.786
0
4.11
0.00

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Table 4.26: Fama-MacBeth Regression. Non-Eurozone. Capital-sort.

Non-Eurozone: Capital-Sort
Biggest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
0.872
2.329
3.75
6.194
8.917
0.785
3.196
-5.837
-1.119
2.12

Coefficients
CapRatio
Ln(assets)
0.078
0.02
-0.012
0.018
0.015
-0.128
0.013
-0.234
-0.027
-0.326
0.107
-0.029
0.059
-0.169
0.28
0.088
0.08
0.023
0.07
-0.08

RawBeta
CountryD
-4.996
-1.146
0.139
-1.718
0.391
-0.386
0.656
-0.136
0.637
-0.153
0.301
-0.494
-0.259
0.572
0.007
-0.583
0.044
-0.422
-0.34
-0.50

Constant
22.812
17.399
-12.017
-41.078
0.888
-57.567
116.941
-72.049
-35.942
-6.73

Coefficients
CapRatio
Ln(assets)
0.617
-0.681
-0.106
0.084
-0.132
1.274
-0.333
2.921
-0.452
0.924
0.749
2.904
-0.881
-4.565
2.116
2.219
0.368
1.735
0.22
0.76

RawBeta
CountryD
-47.686
-0.669
-0.536
-6.173
3.477
-5.759
8.514
-11.92
4.948
-4.576
2.658
-5.174
-12.957
20.436
-5.772
-4.105
0.062
-3.508
-5.25
-2.38

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-0.52
-1.486
0.605
0.289
2.761
-3.465
-0.55
-0.554
-3.064
-0.66

Coefficients
CapRatio
Ln(assets)
0.031
0.049
0.026
0.12
-0.001
0.039
-0.018
0.068
0.061
-0.121
0.178
0.069
0.082
0.001
0.005
0.071
0.064
0.145
0.05
0.05

RawBeta
CountryD
-0.404
0.517
0.029
-0.126
0.091
-0.325
0.552
-0.287
0.602
0.512
1.971
-0.677
-0.171
0.74
-0.181
0.347
-0.286
-0.116
0.24
0.07

Constant
10.741
8.516
5.144
8.977
1.341
-0.098
-0.768
-0.292
-1.816
3.53

Coefficients
CapRatio
Ln(assets)
-0.019
-0.397
-0.06
-0.245
-0.113
-0.027
-0.108
-0.269
0.133
-0.173
0.068
-0.052
0.026
0.027
0.054
-0.01
0
0.123
0.00
-0.11

RawBeta
CountryD
-0.142
-0.905
0.215
-1.573
0.562
-2.096
0.386
-0.328
-0.397
1.452
0.047
1.026
-0.678
0.876
-0.926
0.865
-1.268
0.122
-0.24
-0.06

Constant
-1.799
-0.838
2.496
1.419
1.149
3.376
3.748
-2.711
-3.133
0.69

Coefficients
CapRatio
Ln(assets)
0.105
0.07
0.076
0.047
-1.072
0.582
0.144
-0.095
0.126
-0.125
-0.1
-0.087
0.041
-0.218
0.143
0.077
0.147
0.082
-0.06
0.03

RawBeta
CountryD
0.673
-0.397
0.673
-0.366
0.881
-4.242
3.273
-5.262
2.977
-2.277
1.249
0.027
1.373
0.052
-0.281
0.576
-0.062
0.829
1.26
-1.33

Constant
5.676
2.921
6.761
6.917
-1.982
5.443
-2.773
1.25
-1.841
2.09

Coefficients
CapRatio
Ln(assets)
0.075
-0.221
0.162
-0.133
-0.056
-0.193
0.076
-0.29
0.203
-0.015
-0.421
-0.066
0.256
-0.015
-0.11
0.008
0.107
0.005
0.03
-0.09

RawBeta
CountryD
-0.198
0.139
-0.885
0.286
-0.5
0.106
3.343
-6.873
-0.257
-0.813
-0.535
0.413
-0.08
-1.154
-0.446
0.904
-0.244
1.127
0.05
-0.75

Constant
3.088
-2.875
-0.043
2.964
-1.437
-2.545
-0.854
0.163
3.875
0.26

Coefficients
CapRatio
Ln(assets)
-0.162
-0.06
0.137
0.11
0.197
-0.009
-0.087
-0.035
0.149
0.064
0.489
-0.026
0.081
0.032
0.168
-0.096
-0.137
-0.115
0.09
-0.02

RawBeta
CountryD
1.393
0
0.869
0
0.698
0
0.668
0
0.586
0
0.757
0
-0.073
0
1.39
0
1.457
0
0.86
0.00

Constant
-0.379
5.696
4.811
8.207
-0.799
-3.53
-2.216
-5.438
3.724
1.12

Coefficients
CapRatio
Ln(assets)
0.479
-0.055
0.054
-0.193
-0.081
-0.109
-0.175
-0.204
0.2
0.001
0.544
-0.027
0.067
0.079
0.345
0.066
-0.347
-0.005
0.12
-0.05

RawBeta
CountryD
-1.295
0
-0.454
0
-0.835
0
-0.971
0
-1.397
0
-0.826
0
-0.549
0
-0.033
0
0.01
0
-0.71
0.00

Middle

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-0.577
6.027
3.858
3.57
-0.091
5.119
-2.745
0.185
-3.757
1.52

Coefficients
CapRatio
Ln(assets)
0.211
-0.03
0.062
-0.263
0.075
-0.167
0.017
-0.126
0.192
-0.037
-0.184
-0.113
0.284
-0.004
-0.06
0.054
0.181
0.085
0.07
-0.07

RawBeta
CountryD
0.064
-0.617
0.873
-0.604
0.542
-0.487
2.901
-5.691
0.584
-1.783
0.405
-0.433
0.079
-1.454
-0.378
0.48
-0.441
0.277
0.57
-1.21

Constant
-27.428
22.056
8.084
4.063
24.117
-18.605
-29.686
-4.573
-43.473
-4.75

Coefficients
CapRatio
Ln(assets)
1.585
1.123
-0.374
-0.138
-0.635
0.586
-1.085
1.028
-1.809
0.326
0.546
1.288
2.978
0.189
-1.531
1.676
1.836
1.046
-0.01
0.75

RawBeta
CountryD
-7.227
-6.912
7.588
-12.709
4.58
-5.177
14.032
-33.474
4.837
4.66
0.028
-13.222
-3.037
-62.715
-8.424
4.475
-2.692
3.747
2.11
-14.30

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Smallest

ROA
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

ROE
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Constant
-1.307
-0.09
1.377
3.098
8.109
1.437
-3.802
-4.051
-0.581
0.47

Coefficients
CapRatio
Ln(assets)
0.005
0.063
0.093
0.001
0.14
-0.072
0.132
-0.131
-0.063
-0.284
0.066
-0.044
0.036
0.178
0.285
0.064
0.017
0.039
0.08
-0.02

RawBeta
CountryD
0.132
0
0.025
0
0.26
0
0.199
0
0.553
0
-0.019
0
-0.667
0
-0.055
0
0.031
0
0.05
0.00

Constant
-56.788
-6.71
33.789
37.267
7.954
-9.934
-57.862
-60.999
-13.407
-14.08

Coefficients
CapRatio
Ln(assets)
1.291
2.212
0.313
0.741
-0.096
-0.815
-1.367
-0.37
1.315
-0.028
0.385
0.918
0.414
2.642
2.878
1.581
-0.175
0.931
0.55
0.87

RawBeta
CountryD
1.528
0
-1.371
0
6.56
0
1.951
0
2.317
0
-0.111
0
-5.485
0
-0.956
0
0.165
0
0.51
0.00

P/B
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

Alpha
2002
2003
2004
2005
2006
2007
2008
2009
2010
Average

References
[1] M. Abreu and V. Mendes. Commercial bank interest margins and profitability: evidence for some EU countries. Porto Working Paper Series, CISEP, Portugal, 2002.
[2] A.R. Admati. Rethinking how banks create value. Newspaper article in FS Focus,
published by ICAEW, 2011.
[3] A.R. Admati, P.M. DeMarzo, M.F. Hellwig, and P. Pfleiderer. Fallacies, irrelevant
facts, and myths in the discussion of capital regulation: why bank equity is not expensive. Working paper No. 86, Stanford Graduate School of Business, 2010.
[4] J.D. Akhavein, A.N. Berger, and D.B. Humphrey. The effects of megamergers on
efficiency and prices: evidence from a bank profit function. Review of Industrial
Organization, 12(1):95139, 1997.
[5] P.P. Athanasoglou, S.N. Brissimis, and M.D. Dells. Bank-specific, industry-specific
and macroeconomic determinants of bank profitability. Journal of International Financial Markets, Institutions and Money, 18(2):121136, 2008.
[6] P. Atkinson and A. Blundell-Wignall. Thinking beyond Basel III: nessecary solutions
for capital and liquidity. OECD Journal: Financial Market Trends, 2010(2):933,
2010.
[7] L. Balthazar. From Basel 1 to Basel 3. Palgrave McMillan, 2006.
[8] J.R. Barth, Jr. G.Capiro, and R. Levine. 2004. Bank regulation and supervision:
what works best?. Journal of Financial Intermediation, 13(2):205248.
[9] Basel Committee on Banking Supervision. International convergence of capital measurement and capital standards. BIS, 1988.
[10] Basel Committee on Banking Supervision. Background note on LGD quantification.
BIS, 2004.
[11] Basel Committee on Banking Supervision. Bank failures in mature economies. BIS,
2004.
[12] Basel Committee on Banking Supervision. Basel III: long-term impact on economic
performance and fluctuations. BIS, 2011.

[13] N.D. Baxter. Leverage, risk of run and the cost of capital. The Journal of Finance,
22(3):394403, 1967.
[14] Ph. Bourke. Concentration and other determinants of bank profitability in Europe,
North America and Australia. Journal of Banking and Finance, 13(1):6579, 1989.
[15] R.A. Brealey, S.C. Myers, and F. Allen. Principles of Corporate Finance. Mc Graw
Hill, 2008.
[16] Ch.W. Calomiris and Ch.M. Kahn. The role of demandable debt in structuring optimal banking arrangements. The American Economic Review, 81(3):497513, 1991.
[17] J.Y. Campbell, A.W. Lo, and A.C. MacKinlay. The Econometrics of Financial Markets. Princeton University Press, 1996.
[18] J.H. Cochrane. Asset Pricing. Princeton University Press, 2005.
[19] J. Danielsson, P. Embrechts, Ch. Goodhart, C. Keating, F. Muennich, O. Renault, and
H.S. Shin. An academic response to Basel II. Special paper No.130, LSE, Financial
Markets Group, 2001.
[20] H. Davies. The Financial Crisis. Who is to Blame?. Polity Press, 2010.
[21] H. DeAngelo and R.W. Masulis. Optimal capital structure under corporate and
personal taxation. Journal of Financial Economics, 8(1):329, 1980.
[22] A. Demirg
uc-Kunt and H. Huizinga. Determinants of commercial bank interest margins and profitability: Some international evidence. World Bank Economic Review,
13(2):379408, 1999.
[23] M. Dewatripont, J.-Ch. Rochet, and J. Tirole. Balancing the Banks. Princeton
University Press, 2010.
[24] M. Dewatripont and J. Tirole. A theory of debt and equity: diversity of securities and
manager-shareholder congruence. The Quarterly Journal of Economics, 109(4):1027
1054, 1994.
[25] D.W. Diamond. Financial intermediation and delegated monitoring. The Review of
Economic Studies, 51(3):393414, 1984.
[26] D.W. Diamond. Corporate capital structure: the control roles of bank and public
debt with taxes and costly bankruptcy. Economic Quarterly, 80(Spr):1137, 1994.

[27] D.W. Diamond. Banks and liquidity creation: a simple exposition of the Diamond
Dybvig model. Economic Quarterly, 93(2):189200, 2007.
[28] D.W. Diamond and Ph.H. Dybvig. Bank runs, deposit insurance, and liquidity.
Journal of Political Economy, 91(3):401419, 1983.
[29] D.W. Diamond and R.G. Rajan. Liquidity risk, liquidity creation and financial
fragility. Journal of Political Economy, 109(2):287327, 2001.
[30] A. Dietrich and G. Wanzenried. Determinants of bank profitability before and during
the crisis: evidence from Switzerland. Journal of International Financial Markets,
Institutions and Money, 21(3):307327, 2010.
[31] K.K. Donahoo and Sh. Shaffer. The impact of capital requirements on the securitization decision. Federal Reserve Bank of New York, 1988.
[32] Sh.C. Dow. Why the banking system should be regulated. The Economic Journal,
106(436):698707, 1996.
[33] K. Dowd. The case for financial laissez-faire. The Economic Journal, 106(436):679
687, 1996.
[34] E.F. Fama and K.R. French. Taxes, financing decisions, and firm value. The Journal
of Finance, 53(3):819843, 1998.
[35] E.F. Fama and J.D. MacBeth. Risk, return, and equilibrium: empirical tests. The
Journal of Political Economy, 81(3):607636, 1973.
[36] FDIC. History of the Eighties. Federal Deposit Insurance Corporation paper, 1997.
[37] FDIC. Basel and the evolution of capital regulation: moving forward, looking back.
Federal Deposit Insurance Corporation paper, 2003.
[38] A. Fight. Understanding International Bank Risk. John Wiley & Sons, Ltd, 2004.
[39] T.C.G. Fisher and J. Martel. On direct bankruptcy costs and the firms bankruptcy
decision. Unpublished working paper, Universite de Cergy-Pontoise, France, 2001.
[40] K.R. French, M.N. Baily, J.Y. Campbell, J.H. Cochrane, D.W. Diamond, D. Duffie,
A.K. Kashyap, F.S. Mishkin, R.G. Rajan, D.S. Scharfstein, R.J. Schiller, H.S. Shin,
M.J. Slaughter, J.C. Stein, and R.M. Stulz. The Squam Lake Report. Fixing the
Financial System.. Princeton University Press, 2010.

[41] R.A. Gilbert. Requiem for Regulation Q: what it did and why it passed away.
Review, (Feb):2237, 1986.
[42] J. Goddard, Ph. Molyneux, and J.O.S. Wilson. The profitability of european banks: a
cross-sectional and dynamic panel analysis. Manchester School, 72(3):363381, 2004.
[43] M.B. Gordy. Model foundations for the supervisory formula approach. Board of
Governors of the Federal Reserve System working paper, 2004.
[44] G. Gorton and A. Winton. Financial intermediation. NBER working paper, 2002.
[45] T. Harford. Adapt. Why Success Always Starts With Failure. Little, Brown, 2011.
[46] M. Hellwig. A model of borrowing and lending with bankruptcy. Econometrica,
45(8):18791906, 1977.
[47] G. Iannotta, G. Nocera, and A. Sironi. Ownership structure, risk and performance in
the european banking industry. Journal of Banking and Finance, 31(7):21272149,
2007.
[48] P. Jackson. Bank capital standards: the new Basel Accord. Bank of England
Quarterly Bulletin, 2001.
[49] M.J. Jensen. Agency costs of free cash flow, corporate finance, and takeovers. The
American Economic Review, 76(2):323329, 1986.
[50] M.J. Jensen and W.H. Meckling. Theory of the firm: managerial behavior, agency
costs and ownership structure. Journal of Financial Economics, 3(4):305360, 1976.
[51] M.J. Jensen and C.W. Smith. The Modern Theory of Corporate Finance, chapter
The theory of corporate finance: a historical overview, pages 220. McGraw Hill,
1984.
[52] D. Jones. Emerging problems with the Basel Capital Accord: regulatory capital
arbitrage and related issues. Journal of Banking and Finance, 24(1-2):3558, 2000.
[53] E.J. Kane. Basel II: a contracting perspective. Journal of Financial Services Research, 32(1-2):3953, 2007.
[54] A.K. Kashyap, R. Rajan, and J.C. Stein. Rethinking capital regulation. Working
paper, Federal Reserve Bank of Kansas City, 2008.

[55] A.K. Kashyap, J.C. Stein, and S. Hanson. An analysis of the impact of substantially
heightened capital requirements on large financial institutions. Unpublished working
paper, University of Chicago, Harvard University, 2010.
[56] D. Kemsley and D. Nissim. Valuation of the debt tax shield. The Journal of Finance,
57(5):20452073, 2002.
[57] M. Koehn and A.M. Santomero. Regulation of bank capital and portfolio risk. The
Journal of Finance, 35(5):12351244, 1980.
[58] KPMG. Basel II: a worldwide challenge for the banking business. Research Paper,
2003.
[59] KPMG. Basel III: Issues and implications. Research Paper, 2011.
[60] A. Kraus and R.H. Litzenberger. A state preference model of optimal financial leverage. Journal of Finance, 28(4):911922, 1973.
[61] McKinsey&Company. Basel III and european banking: its impact, how banks might
respond, and the challenges of implementation. Research Paper, 2010.
[62] A. Micco, U. Panizza, and M. Yanez. Bank ownership and performance does politics
matter?. Journal of Banking and Finance, 31(1):219241, 2007.
[63] D. Miles, J. Yang, and G. Marcheggiano. Optimal bank capital. Discussion Paper
No. 31, Bank of England, 2011.
[64] M.H. Miller. Debt and taxes. The Journal of Finance, 32(2):261275, 1977.
[65] M.H. Miller. The Modigliani-Miller propositions after thirty years. The Journal of
Economic Perspectives, 2(4):99120, 1988.
[66] F. Modigliani and M.H. Miller. The cost of capital, corporation finance and the
theory of investment. The American Economic Review, 48(3):655669, 1958.
[67] Ph. Molyneux and J. Thornton. Determinants of european bank profitability: a
note. Journal of Banking and Finance, 16(6):11731178, 1992.
[68] S.C. Myers. Determinants of corporate borrowing. Journal of Financial Economics,
5(2):147175, 1977.
[69] S.B. Naceur and M. Goaied. The determinants of commercial bank interest margin and profitability: evidence from Tunisia. Frontiers in Finance and Economics,
5(1):106130, 2005.

[70] Nomura. Basel II and banks. Research Paper, 2005.

[71] K.G. Nyborg. Advanced valuation course. University of Zurich, Spring 2011.
[72] BNP Paribas. Basel III: no Achilles spear. Research Paper, 2011.
[73] F. Pasiouras and K. Kosmidou. Factors influencing the profitability of domestic and
foreign commercial banks in the European Union. Research in International Business
and Finance, 21(2):222237, 2007.
[74] P. Pfleiderer. On the relevancy of Modigliani and Miller to banking: a parable and
some observations. Working paper No. 93, Stanford University, 2010.
[75] PriceWaterhouseCoopers. The new Basel III framework: navigating changes in bank
capital management. Research Paper, 2010.
[76] P. Van Roy. The impact of the 1988 Basel Accord on banks capital ratios and credit
risk-taking: an international study. Unpublished working paper, National Bank of
Belgium, 2005.
[77] Ch.E. Ruebling. The administration of Regulation Q. Review, (Feb):2940, 1970.
[78] Goldman Sachs. The Basel II Capital Accord. Research Paper, 2005.
[79] J.A.C. Santos. Bank capital regulation in contemporary banking theory: a review of
the literature. BIS working paper, 2000.
[80] Jr. J.H. Scott. A theory of optimal capital structure. The Bell Jounal of Economics,
7(1):3354, 1976.
[81] A. Shleifer and R.W. Vishny. Management entrenchment: the case of manager specific investment. Journal of Financial Economics, 25(1):123139, 1989.
[82] M. Smirlock. Evidence on the (non)relationship bewteen concentration and profitability in banking. Journal of Money, Credit and Banking, 17(1):6983, 1985.
[83] Standard&Poors. Basel III Proposal to increase capital requirements for counterparty
credit risk may significantly affect derivatives trading. Research Paper, 2010.
[84] J.E. Stiglitz. Some aspects of the pure theory of corporate finance: bankruptcies and
take-overs. The Bell Jounal of Economics and Management, 3(2):458482, 1972.

[85] N. Tarashev and Zhu Haibin. Specification and calibration errors in measures of
portfolio credit risk: the case of the ASRF model. International Journal of Central
Banking, 4(2):192173, 2008.
[86] D. Tarullo. Banking on Basel: The Future of International Financial Regulation.
Peterson Institute, 2004.
[87] A. Turner, A. Haldane, P. Woolley, S. Wadhwani, Ch. Goodhart, A. Smithers,
A. Large, J. Kay, M. Wolf, P. Boone, S. Johnson, and R. Layard. The Future of
Finance. LSE, 2010.
[88] J.H. van Binsbergen, J.R. Graham, and J. Yang. The Cost of Debt. Working paper,
Duke University, 2008.
[89] J.B. Warner. Bankruptcy costs: some evidence. The Journal of Finance, 32(2):337
347, 1977.
[90] A.J. Weichenrieder and T. Klautke. Taxes and the efficiency costs of capital distortions. Unpublished working paper, CESifo Group Munich, 2008.