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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | An ROE Decomposition Model for Banks |
Organization Unit | |
Authors |
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Supervisors |
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Institution | University of Zurich |
Faculty | Faculty of Economics, Business Administration and Information Technology |
Number of Pages | 40 |
Date | 2013 |
Abstract Text | Fundamental financial statement analysis often excludes banks, as their financial statements do not adhere to a standard industrial model. This thesis derives a framework to analyze banksâ financial statements analogously to ROE DuPont decomposition. The framework is evaluated regarding its ability to predict future profitability and future stock return using a fixed effect regression model. Significant improvements in estimating 12 and 24 month-ahead stock performance starting six month after annual closure can be shown by using components instead of ROE. Furthermore, a clear distinction in the importance of certain components for either stock investors or management is observed. |
PDF File | Download |
Export | BibTeX |