Title

The evidence of modern portfolio theory on loan portfolio of Philippine Stock Exchange listed banks

Date of Publication

2014

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Reynalyn Punzalan

Defense Panel Chair

Rene B. Betita

Defense Panel Member

Maylene P. Paniza
Anthony Carlos T. Malvar

Abstract/Summary

This study investigates whether there is evidence of the modern portfolio theory (MPT) on loan portfolio of Philippine Stock Exchange (PSE) listed banks. To be able to determine if there is evidence of MPT in banks, the study examines the loan portfolio mix of a bank and how it affects the profitability and credit risk level. The indicators of bank profitability and credit risk level are net interest income ratio and non-performing loans ratio, respectively. The loan mix is composed of loans to five sectors: manufacturing real estate, renting, and business services financial intermediaries wholesale and retail trade and agriculture, hunting and forestry. The study uses the financial statements of PSE listed banks for net interest income form 1999 to 2013 and non-performing loans from 2002-2013.

The results of this study suggests that banks prefer to specialize their loan portfolio rather than using diversification. Therefore, this study concluded that there is no evidence of MPT on the loan portfolios of the PSE listed banks.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU17159

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

85 leaves

Keywords

Bank loans--Philippines; Banks and banking--Philippines; Stocks--Philippines

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