haku: @author Hirota, S. / yhteensä: 2
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| Tekijä: | Hirota, S. Tsutsui, Y. |
| Otsikko: | Do banks diversify portfolio risk? A test of the risk-cost hypothesis |
| Lehti: | Japan and the World Economy
1999 : JAN, VOL. 11:1, p. 29-39 |
| Asiasana: | JAPAN ECONOMIC CONDITIONS RISK |
| Kieli: | eng |
| Tiivistelmä: | Baltensperger (1972a,b) proposes the risk-cost hypothesis that banks decide the number of loans by considering the costs a rising from diversifiable portfolio risk. Thus, the banks do not minimize operation costs, but total costs including risk costs. This paper examines empirically whether the risk-cost hypothesis is valid, using financial panel data from Japanese banks from 1981 to 1994. estimating the first-order condition of total cost minimization together with an operation cost function, the authors find that the hypothesis is supported. |
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