主题：The Cost of Capital for Banks（银行资本成本分析）

主讲人：Jens Dick-Nielsen，哥本哈根商学院金融学副教授

日期：2019年11月20日（周三）

时间：上午10:00-11:30

地点：清华五道口金融学院4号楼101教室

语言：英文 

摘要:

We use analyst earnings forecasts to extract cost of capital measures for banks. Both the cost of equity and debt capital are decreasing in the tier 1 ratio, whereas total cost of capital is independent of the tier 1 ratio. Our findings suggest that investors adjust their expectations in accordance with the con-servation of risk principle (Modigliani and Miller, 1958), also around observed instances of equity issuance by banks. Extrapolating from our results; a 10 pp increase in the tier 1 ratio is associated with a 2-8 bps increase in customer borrowing rates due to a loss of tax shield. Finally, we find that off-balance sheet exposures and demand deposits lower total cost of capital.

主讲人简介:

Jens Dick-Nielsen is Associate Professor of Finance at Department of Finance, Copenhagen Business School, and Center for Financial Frictions (FRIC). He is a member of the Danish Finance Institute. He holds a M.Sc. in Mathematical Business Economics from Copenhagen Business School and a PhD in Finance from Department of Finance, Copenhagen Business School. He has been a visiting Ph.D. scholar at NYU Stern school of Business. His main research area is credit risk and liquidity risk and his work has appeared in Review of Financial Studies, Journal of Financial Economics, and Journal of Fixed Income and others.