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Rollover risk and the maturity transformation function of banks

Paligorova, Teodora; Santos, João A. C. - 2014

This paper shows that banks that rely heavily on short-term funding engage less in maturity transformation in an attempt to decrease their exposure to rollover risk. These banks shorten both the maturity of their portfolio of loans as well as the maturity of newly issued loans. We find that the...

Persistent link: https://www.econbiz.de/10010254340

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - 2017

We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

Persistent link: https://www.econbiz.de/10011618038

Public/private transitions and firm financing

Huynh, Kim P.; Paligorova, Teodora; Petrunia, Robert - 2013

A large body of empirical literature investigates differences in financing structures across firms. Private firms' financing receives little attention due to the lack of data. Using administrative confidential data on the universe of Canadian corporate firms, we compare financing relationships...

Persistent link: https://www.econbiz.de/10010188178

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Corporate governance, product market competition and debt financing

Paligorova, Teodora; Yang, Jun - 2014

This paper examines the impact of product market competition and corporate governance on the cost of debt financing and the use of bond covenants. We find that more antitakeover provisions are associated with a lower cost of debt only in competitive industries. Because they are exposed to higher...

Persistent link: https://www.econbiz.de/10010238953

Testing linear factor pricing models with large cross-sections : a distribution-free approach

Gungor, Sermin; Luger, Richard - 2010

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...

Persistent link: https://www.econbiz.de/10008771577

Non-bank investors and loan renegotiations

Paligorova, Teodora; Santos, João A. C. - 2016

between these vehicles and lead banks. CLOs that have a relationship with the lead bank of the renegotiated loan are strong … fund not only their portion of the loan increase, but also the portion that was supposed to be funded by the lead bank. Our … findings highlight the previously unrecognized role of the growing presence of non-bank lenders in corporate lending. …

Persistent link: https://www.econbiz.de/10011576363

Cross-border bank flows and monetary policy : implications for Canada

Correa, Ricardo; Paligorova, Teodora; Sapriza, Horacio; … - 2017

Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from … 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source … country is an important determinant of cross-border bank flows. In addition, we find evidence in favor of a cross …

Persistent link: https://www.econbiz.de/10011777908