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Capital Regulation and Tail Risk
Perotti, Enrico C; Ratnovski, Lev; Vlahu, Razvan - C.E.P.R. Discussion Papers - 2011
The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an...
Persistent link: https://www.econbiz.de/10009246611
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The Effects of Focus and Diversification on Bank Risk and Return: Evidence from Individual Bank Loan Portfolios
Acharya, Viral V; Hasan, Iftekhar; Saunders, Anthony - C.E.P.R. Discussion Papers - 2002
We study empirically the effect of focus (specialization) versus diversification on the return and the risk of banks …) focus and diversification using a unique data set that is able to identify individual bank loan exposures to different … expansion into newer or competitive industries. We find that industrial loan diversification reduces bank return while …
Persistent link: https://www.econbiz.de/10005136462
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007
financial development has important consequences for the efficiency and specialization (or diversification) of investments, in a …
Persistent link: https://www.econbiz.de/10005504526
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V; Imbs, Jean; Sturgess, Jason - C.E.P.R. Discussion Papers - 2007
that financial development has important consequences for efficiency and specialization (or diversification) of investments …
Persistent link: https://www.econbiz.de/10005662195
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Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...
Persistent link: https://www.econbiz.de/10011083289
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The Dog that Did Not Bark: Insider Trading and Crashes
Vigueras, Marín; Maria, José; Olivier, Jacques - C.E.P.R. Discussion Papers - 2007
This paper documents that at the individual stock level insiders sales peak many months before a large drop in the stock price, while insiders purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric...
Persistent link: https://www.econbiz.de/10005666589
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Global Liquidity and Drivers of Cross-Border Bank Flows
Cerutti, Eugenio; Claessens, Stijn; Ratnovski, Lev - C.E.P.R. Discussion Papers - 2014
This paper studies the determinants of global liquidity using data on cross-border bank flows, with a longer time series and broader country sample than previous studies. We define global liquidity as non-price determinants of cross-border credit supply, consistent with its meaning as the...
Persistent link: https://www.econbiz.de/10011145399
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Bailouts And Moral Hazard: How Implicit Government Guarantees Affect Financial Stability
Mariathasan, Mike; Merrouche, Ouarda; Werger, Charlotte - C.E.P.R. Discussion Papers - 2014
The recent crisis has shown that banks in distress can often expect to benefit from (implicit) government guarantees. This paper analyzes a panel of 781 banks from 90 countries to test whether the expectation of individual and systemic government support induces moral hazard. It shows that banks...
Persistent link: https://www.econbiz.de/10011145454
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Uncertainty Aversion and Systemic Risk
Dicks, David L.; Fulghieri, Paolo - C.E.P.R. Discussion Papers - 2015
We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This...
Persistent link: https://www.econbiz.de/10011213303
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Insolvency After the 2005 Bankruptcy Reform
Albanesi, Stefania; Nosal, Jaromir - C.E.P.R. Discussion Papers - 2015
Using a comprehensive panel data set on U.S. households, we study the effects of the 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA), the most substantive reform of personal bankruptcy in the United States since the Bankruptcy Reform Act of 1978. The 2005 legislation...
Persistent link: https://www.econbiz.de/10011252618