The paper demonstrates that a real options structural model of borrower-creditor debt re-negotiations can help explain the cross-sectional variability of losses on defaulted debt securities. The explanatory power of this approach can be improved even further via a system of equations that...

Bank consolidation is a global phenomenon that may enhance stakeholders' value if managers do not sacrifice value to build empires. We find strong evidence of managerial entrenchment at U.S. bank holding companies that have higher levels of managerial ownership, better growth opportunities,...

Bank consolidation is a global phenomenon that may enhance stakeholders value if managers do not sacrifice value to build empires. We find strong evidence of managerial entrenchment at U.S. bank holding companies that have higher levels of managerial ownership, better growth opportunities,...

Electronic call auctions are used globally to open and close equity market trading; as such, they are a critically important facility that needs to be better understood. The paper focuses on the impact NASDAQ's calls (introduced in 2004) have had on bid-ask spreads, price volatility, and order...

The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January 2000 and September 2003. Such a broad sample, comprised of...

Literature to date has identified three main aspects of liquidation time: Firm size, asset specificity, and industry concentration. The present paper unifies the theory behind these three aspects of bankruptcy costs by treating them as components of a broader option valuation problem faced by...

This paper explores the motivations and desirability of off-balance sheet financing of credit card receivables by banks. We explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits...

The puzzle of underissuance of national bank notes disappears when one disaggregates data, takes account of regulatory limits, and considers differences in opportunity costs. Banks with poor lending opportunities maximized their issuance. Other banks chose to limit issuance. Redemption costs do...

This paper explores the motivations and desirability of off-balance-sheet financing of credit card receivables by banks. The authors explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization...