We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks' stock...

We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks.stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks.stock...

We study how debt market frictions that constrain the ability of firms to buffer a tightening in bank credit supply affect corporate yield spreads. We focus on the frictions driven by the regional availability of debt financing. We provide evidence of a strong regional segmentation in the debt...

The recent financial crisis has forced a rethink of banking regulation and supervision and the role of financial innovation. This paper develops a model where prudent banks may signal their type through high capital ratios. Capital regulation may ensure separation in equilibrium, but deposit...

We find evidence of a bank lending channel for the euro area operating via bank risk.Financial innovation and the new ways to transfer credit risk have tended to diminishthe informational content of standard bank balance-sheet indicators. We show thatbank risk conditions, as perceived by...