Volume 18, No. 6, 2021
Bank Risk Assessment Via An Econometric Model – A Case Of Acb Bank In Vietnam
Doan Thi Thu Huong, PhD , To Hien Tha, PhD , Tran Nhu Quoc Bao, PhD
Abstract
Our paper objective is to analyze and measure effects of multi factors (internal and external ) on both beta CAPM and cost of equity of CB commercial bank in Vietnam market. We also add market return, market risk premium an tax rate into this econometric model. By using OLS regression which is a reliable method, our research results tell that firstly, Because 3 factors beta, Rf and MRPremium have positive corr with cost of equity: A reduction of Rf and beta will reduce cost of equity and expected return. Next, because R, IM and Rf have positive impact on beta ACB while G and MRPremium have positive corr in pre L inflation time but negative corr in post L inflation stage: we suggest increasing industrial manufacturing (IM) and Rf to reduce market risk (beta) during post Low inflation stage. Therefore, our study can be expanded for other markets.
Pages: 9788-9802
Keywords: effects, risk policies, Vietnam banks, beta CAPM.