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HOW DOES CREDIT PORTFOLIO DIVERSIFICATION AFFECT BANKS' RETURN AND RISK? EVIDENCE FROM CHINESE LISTED COMMERCIAL BANKS
2014
Technological and Economic Development of Economy
Does diversification of credit portfolio indeed lead to increased performance and reduced risk of banks as traditional portfolio theory suggests? This paper investigates empirically the effects of diversification on the Chinese banks' return and risk from the aspect of sector. Panel data on 16 Chinese listed commercial banks during the 2007–2011 period is used for the study. We construct a new diversification measure, taking systematic risk of different sectors into consideration by weighting
doi:10.3846/20294913.2014.915246
fatcat:pqabo6eeifavpk6pz7jgxrwlza