Book-to-Market Equity, Asset Correlations and the Basel Capital Requirement

Material TypeArticleLanguageEnglish
TitleBook-to-Market Equity, Asset Correlations and the Basel Capital Requirement Author(S)Shih-Cheng Lee (Author)
Abstract  This paper examines the effect of book-to-market equity (BE/ME) on asset correlations under the Basel capital requirement. We find that BE/ME captures variations in asset correlations after controlling for firm size,.... ...Paginationp 991–1008
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Business Finance & Accounting  
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