Journal of Finance Vol. 45 No. 1 1990
Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms.
Abstract
Hidden capital exists whenever the accounting measure of a firm's net worth diverges from its economic value. Such unbooked capital has on-balance-sheet and off-balance-sheet sources. This paper develops a model to estimate both forms of hidden capital and to test hypotheses about their determinants. In effect, the analysis expands the two-index model by endogenizing the market and interest-rate sensitivities of any stock and decomposing each sensitivity into on-balance-sheet and off-balance-sheet elements. For a sample of banks during 1975-85, the model finds considerable variation in both forms of hidden capital.
- Volume
- 45
- Issue
- 1
- Pages
- 113-36
- Sources
- bibtex:phds-export.bib