은행의 규모, 자산다각화 그리고 위험도에 관한 연구 : 국제분석을 중심으로 (Bank Size, Asset Diversification and Risk: International Evidence)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 9권 / 2호 / 81 ~ 114페이지
· 저자명 : 이태규

초록

Conventional wisdom says that bigger banks are better diversified than smaller banks, and that diversification can potentially reduce bank risk. This paper undertakes an empirical study to examine these presumptions using international banking data - individual bank's financial data from different countries. The data set consists of 527 banks from 28 countries. The analysis takes two steps. In the first step, I examine the relationship between bank size and asset diversification to see whether the size effect in bank diversification exists. In the second step of the analysis, I examine whether bank risk is reduced by asset diversification.
I find strong evidence that bigger banks are better diversified in their asset portfolios than smaller banks. I also find that better diversified banks show lower standard deviation of ROA, which implies that bigger banks enjoy diversification advantage in the stability of their asset returns. I do not find, however, the evidence that supports better diversified banks are less likely to fail. In other words, the empirical work fails to show that the probability of bank failure is decreased by enhanced bank diversification.
In summary, this paper shows that bigger banks are stable in terms of the variability of asset returns using their diversification advantage, but this does not necessarily imply that bigger banks are safe. These findings suggest that regulatory efforts on monitoring bank safety should not be loosened as banks grow in size.

영어초록

Conventional wisdom says that bigger banks are better diversified than smaller banks, and that diversification can potentially reduce bank risk. This paper undertakes an empirical study to examine these presumptions using international banking data - individual bank's financial data from different countries. The data set consists of 527 banks from 28 countries. The analysis takes two steps. In the first step, I examine the relationship between bank size and asset diversification to see whether the size effect in bank diversification exists. In the second step of the analysis, I examine whether bank risk is reduced by asset diversification.
I find strong evidence that bigger banks are better diversified in their asset portfolios than smaller banks. I also find that better diversified banks show lower standard deviation of ROA, which implies that bigger banks enjoy diversification advantage in the stability of their asset returns. I do not find, however, the evidence that supports better diversified banks are less likely to fail. In other words, the empirical work fails to show that the probability of bank failure is decreased by enhanced bank diversification.
In summary, this paper shows that bigger banks are stable in terms of the variability of asset returns using their diversification advantage, but this does not necessarily imply that bigger banks are safe. These findings suggest that regulatory efforts on monitoring bank safety should not be loosened as banks grow in size.

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