Eichner, KorbinianKorbinianEichner2023-05-022023-05-02https://www.alexandria.unisg.ch/handle/20.500.14171/116467When applying the capital asset pricing model (CAPM) for determining the cost of equity of banks, beta factors represent a key input parameter. The following study analyses which bank specific factors influence the observable level of beta factors for European banks. Based on a sample of 315 observations, it is found out that returns of equity, their variability, balance sheet risks, liquidity and regulatory capital levels, as well as size materially influence the levels of observable beta factors. The effects are found out to be highly statistically significant across various multivariate regressions. The results suggest that when creating peer groups of comparable companies, attention should be paid to these influencing factors to avoid including banks that substantially deviate in terms of these factors from those of the valuation subject.enworking paper