Similar Search Results

A false sense of security : why U.S. banks diversify and does it help?

Gandhi, Priyank; Kiefer, Patrick Christian; Plazzi, Alberto - 2016

. This paper investigates whether diversification influences banks' investment (credit) policy and profitability. Diversified … banks appear to benefit from “coinsurance,” supply more credit, and seem more profitable. However, diversification does not … diversification may impact banks' credit supply and therefore the real economy …

Persistent link: https://www.econbiz.de/10011518813

The euro interbank repo market

Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - 2014 - This version: March 2014

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that the central counterparty (CCP)-based euro interbank repo market features this stability. Using a unique and comprehensive data set, we show that the...

Persistent link: https://www.econbiz.de/10010410308

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Which is Worse : Heavy Tails or Volatility Clusters?

Traut, Joshua; Schadner, Wolfgang - 2023

diversification, and how an acknowledgment of volatility clustering can enhance the quality of risk models. The analysis is carried … diversification does not yield any protection from those risks. These findings have important implications for financial regulators …

Persistent link: https://www.econbiz.de/10014350927

Market efficiency and limits to arbitrage : evidence from the Volkswagen short squeeze

Allen, Franklin; Haas, Marlene; Nowak, Eric; Tengulov, Angel - 2018

On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen's stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the...

Persistent link: https://www.econbiz.de/10011875647

Municipal bond markets

Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...

Persistent link: https://www.econbiz.de/10011938223

The Credit Suisse CoCo Wipeout : Facts, Misperceptions, and Lessons for Financial Regulation

Bolton, Patrick; Kartasheva, Anastasia V.; Jiang, Wei - 2023

On March 19, 2023, the Swiss Financial Market Supervisory Authority (FINMA) announced that, as part of the Credit Suisse emergency package, the contingent convertible bonds that were part of the Credit Suisse Additional Tier 1 (AT1) regulatory capital, had been written off. We review the CoCo...

Persistent link: https://www.econbiz.de/10014354647

Economic Consequences of Banks’ Use of their Discretion over the Accounting and Regulatory Treatment of Investment Securities

Arnold, Marc; Dong, Minyue; Oberson, Romain - 2022

The current accounting and regulatory framework grants banks considerable discretion in the treatment of investment securities. We show that banks' use of this discretion increases the information asymmetry reflected in their equity prices. In addition, we find that this source of bank opacity...

Persistent link: https://www.econbiz.de/10014235928

The perennial challenge to abolish too-big-to-fail in banking : empirical evidence from the new international regulation dealing with global systemically important banks

Moenninghoff, Sebastian C.; Ongena, Steven; Wieandt, Axel - 2014

This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and...

Persistent link: https://www.econbiz.de/10010412297

Bank capital regulation with an opportunistic rating agency

Efing, Matthias - 2012

This paper models the strategic interaction between a rating agency, a banking sector and a bank regulator who lacks information about bank asset risk. The regulator can either (1) make bank capital requirements contingent on credit ratings; or (2) set rating independent capital requirements....

Persistent link: https://www.econbiz.de/10009558367