We identify, measure and compare the characteristics of Global Systemically Important Banks (G-SIBs) vis-à-vis banks not chosen by the Financial Stability Board (FSB) to be in the 2011 G-SIB group; investors' responses to banks being classified as a G-SIB and how these responses relate to...

We compare the write-off and loan loss provision practices of relationship versus transactional banks. Relationship banks provide both debt and equity financing to their clients, have long-lasting ties with them, serve on their boards of directors and in some cases serve as senior managers, and...

Do banks' responses to changes in deposit insurance vary across countries even if the countries have comparable institutions? If so, by how much? Using data on the financial performance of large banks in 15 financially and economically developed countries, we find that where deposit insurance...

In 2011 the Financial Stability Board designated 29 of the world's largest banks as global-systemically important banks (G-SIB), and imposed additional restrictions on their activities. After implementation of the G-SIB regulatory regime, we find that relative to other large banks, G-SIBs'...

This paper derives, estimates, and analyzes a multi-factor model of the monthly holding period returns on the stocks of exchange-traded financial institutions. In addition to bond and equity returns, the factors include default, liquidity, and term structure risk premiums plus variables that...

Existing studies of the term structure of interest rates often use spot Treasury rates to represent default-free interest rates. However, part of the premium in Treasury rates is compensation for the risk that short-sellers may default. Since Treasury bill futures are default-free they provide...

This paper derives, estimates, and analyzes a multi-factor model of the monthly holding period returns on the stocks of exchange-traded financial institutions. In addition to bond and equity returns, the factors include default, liquidity, and term structure risk premiums plus variables that...

This paper estimates short horizon exchange rate sensitivity with an event study methodology. We look at stock price reactions to very large, unexpected exchange rate changes: the decisions to allow the Mexican peso and Thai baht to float. For both events, we find evidence of a statistically and...

In July 2013, the Financial Stability Board classified nine global insurance firms as Global Systemically Important Financial Institutions (G-SIFI). From the AIG bailout in 2008 through this announcement, we document average abnormal stock returns of 9.6% for the designated firms. These equity...