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:: Volume 11, Issue 41 (Quarterly Journal of Fiscal and Economic Policies 2023) ::
qjfep 2023, 11(41): 81-122 Back to browse issues page
The effect of asset quality on the relationship between banks leverage and Systematic risk
Reza Sarhangi *
Kharazmi University, Tehran, Iran.
Abstract:   (489 Views)
In this study, the effect of bank size, bank leverage and some capital structure ratios on systematic risk of banks listed on the Tehran Stock Exchange has been investigated. In this study, a sample of 10 companies is selected from the banks listed on the Tehran Stock Exchange in the period 2010 to 2019. This study has a main and a secondary objective, which are, respectively, "investigating the effect of leverage on systematic risk in banks listed on the Tehran Stock Exchange" and "investigating the role of bank asset quality on the relationship between systematic risk and banks' leverage". Econometric methods (pooled data method and estimated generalized least squares method) are used to examine the research questions. This research is an applied research, as its results can be used in the decision makings of managers, investors and analysts. The panel data method and library and documentary studies are used respectively to estimate the mode and gathering the needed information. In this regard, statistical indicators are derived using the financial statements of banks published in the Comprehensive Information System (Kodal). The results show that bank leverage affects the systematic risk of banks. Also, the findings show that adjusting the leverage doesn’t have any role in increasing the positive relationship between bank leverage and systematic risk of these banks by asset quality.
Keywords: risk, systematic risk, banks leverage, asset quality.
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Type of Study: Applicable | Subject: Special
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Sarhangi R. The effect of asset quality on the relationship between banks leverage and Systematic risk. qjfep 2023; 11 (41) :81-122
URL: http://qjfep.ir/article-1-1250-en.html


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Volume 11, Issue 41 (Quarterly Journal of Fiscal and Economic Policies 2023) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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