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Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia)

Abdul Rahman, Aisyah and Ibrahim, Mansor and Mydin Meera, Ahamed Kameel (2010) Lending structure and 3-factor CAPM risk exposures: the case of Malaysia (Struktur pinjaman dan pendedahan risiko bagi 3-Faktor CAPM: kajian kes di Malaysia). Jurnal Pengurusan, 31. pp. 29-41. ISSN 0127-2713

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Abstract

This study addresses the linkages between lending structure and bank risk exposures via the Capital Asset Pricing Model (CAPM). Based on the 3-factor CAPM, five risk measures are examined; namely, the market, interest rate, exchange rate, total and unsystematic risk exposure. The influence of lending structure is analysed via four measures, the real estate lending, the specialisation index, the short-term lending stability, and the medium-term lending stability. Our findings show that the lending structure affects the market, interest rate, and unsystematic risk exposures. The stability of lending structure in both the short-term and medium-term period positively influence the market and interest rate risk exposure. On the other hand, the medium-term lending structure stability negatively affects the unsystematic risk exposure. Thus, the policy makers, bankers, and investors should not ignore the significant role of the lending structure when developing a strategic risk management framework.

Item Type: Article (Journal)
Additional Information: 5208/16767
Uncontrolled Keywords: 3-factor CAPM
Subjects: H Social Sciences > HJ Public Finance
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Business Administration
Depositing User: farikah ika yusof
Date Deposited: 14 Feb 2012 08:26
Last Modified: 17 Apr 2012 08:28
URI: http://irep.iium.edu.my/id/eprint/16767

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