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Shareholder Return Ranking (Annual)
About the ranking

The Asian Banker Shareholder Return Ranking is an annual assessment of the relative total shareholder return (RTSR) of listed Asian banks with market cap more than $100 million, and the top 25 largest banks (by market cap) in other parts of the world.

Total shareholder return (TSR) is the theoretical growth in value of a shareholding over a specified period, assuming that dividends are re-invested to purchase additional shares at the closing price applicable on the ex-dividend date. RTSR is the total shareholder return of a stock relative to the local market. As RTSR accounts for the impact of the local stock market, it is the value that we use to rank each stock.

Ex post alpha measures the excess return of a security over the theoretical expected return predicted by capital asset pricing model. Risk measures the volatility of a stock compared with the domestic market.

The ranks are grouped into the following categories
  • Rankings of Five-Year Return: Large Cap Banks in Asia
  • Rankings of Five-Year Return: Mid Cap Banks in Asia
  • Rankings of Five-Year Return: Small Cap Banks in Asia
  • Rankings of Five-Year Return: Large Cap Global Banks
  • Rankings of One-Year Return: Large Cap Banks in Asia
  • Rankings of One-Year Return: Mid Cap Banks in Asia
  • Rankings of One-Year Return: Small Cap Banks in Asia
  • Rankings of One-Year Return: Large Cap Global Banks

Notes to our Back Testing:
  • Capital market data were obtained from Thomson Reuters Datastream.
  • Large cap: stocks with market cap over $10 billion.
  • Mid cap: stocks with market cap over $1 billion but less than $10 billion.
  • Small cap: stocks with market cap over $100 million but less than $1 billion
  • Volume: average monthly trading volume (in thousands) 2005-2009
  • Total shareholder return (TSR): the theoretical growth in value of a shareholding over a specified period, assuming that dividends are re-invested to purchase additional shares at the closing price applicable on the ex-dividend date.
  • Relative total shareholder return (RTSR): the total shareholder return of stock S relative to the local market M. Defined as (1+TSR(S))/(1+TSR(M))-1
  • RTSR Capital gain (Cap Gains): the price return (i.e. capital gain) of stock S
  • RTSR - dividend (Div): RTSR minus capital gain component, i.e. the RTSR contribution from dividends.
  • Ex post alpha: The actual return minus the contemporaneous required return, defined as Rs-(Rf+Beta*(Rm-Rf)) where Rs means the realized return of stock S, Rf - risk free rate, Beta - the volatility of stock S compared with local market, and Rm - the return of local market.
  • Rank within market: rank of ex post alpha of stock S among all stocks under our study in the same market regardless of their market cap.
  • Risk: +++++ means high volatility and high risk and ----- represents low volatility and low risk, comparing with local market


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