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Replication data for: Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly

Version
1
Resource Type
Dataset
Creator
  • Baker, Malcolm
  • Wurgler, Jeffrey
Publication Date
2015-05-01
Description
  • Abstract

    Traditional capital structure theory predicts that reducing banks' leverage reduces the risk and cost of equity but does not change the weighted average cost of capital, and thus the rates for borrowers. We confirm that the equity of better-capitalized banks has lower beta and idiosyncratic risk. However, over the last 40 years, lower risk banks have not had lower costs of equity (lower stock returns), consistent with a stock market anomaly previously documented in other samples. A calibration suggests that a binding ten percentage point increase in Tier 1 capital to risk-weighted assets could double banks' risk premia over Treasury bills.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.p20151092 (Text)
Publications
  • Baker, Malcolm, and Jeffrey Wurgler. “Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly.” American Economic Review 105, no. 5 (May 2015): 315–20. https://doi.org/10.1257/aer.p20151092.
    • ID: 10.1257/aer.p20151092 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Baker, Malcolm; Wurgler, Jeffrey (2015): Replication data for: Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation, Capital Structure, and the Low-Risk Anomaly. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116308V1