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Investors' horizons and the Amplification of Market Shocks

Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010

After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...

Persistent link: https://www.econbiz.de/10008683532

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

Accounting discretion of banks during a financial crisis

Huizinga, Harry; Laeven, Luc - C.E.P.R. Discussion Papers - 2009

particular, we show that the stock market applies far greater discounts to a bank’s real estate loans and mortgage … suggests that bank balance sheets overvalue real estate related assets during economic slowdowns. Estimated discounts are … impairment. We also find that bank share prices, especially for banks with large exposures to mortgage-backed securities, react …

Persistent link: https://www.econbiz.de/10004973976

Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis

Beetsma, Roel; de Jong, Frank; Giuliodori, Massimo; … - C.E.P.R. Discussion Papers - 2013

Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements...

Persistent link: https://www.econbiz.de/10011083630

Uncertainty about Government Policy and Stock Prices

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2010

We analyze how changes in government policy affect stock prices. Our general equilibrium model features uncertainty about government policy and a government that has both economic and non-economic motives. The government tends to change its policy after performance downturns in the private...

Persistent link: https://www.econbiz.de/10008553062

Conflicts of Interest, Reputation, and the Interwar Debt Crisis: Banksters or Bad Luck?

Flandreau, Marc; Gaillard, Norbert; Panizza, Ugo - C.E.P.R. Discussion Papers - 2010

This paper builds a new dataset with detailed information on the universe of foreign government bonds issued in New York in the 1920s and uses these data to describe the behavior of the financial intermediaries which operated in the New York market during the period leading to the interwar debt...

Persistent link: https://www.econbiz.de/10008468539

Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured...

Persistent link: https://www.econbiz.de/10008474510

Financial Restraints and Liberalization in Postwar Europe

Wyplosz, Charles - C.E.P.R. Discussion Papers - 1999

In the real world of less than perfect markets, balancing the benefits and costs of financial liberalization is usually impossible ex ante. Having been slow to liberalize, postwar Europe offers a possible testing ground. Looking at the experience in Belgium, France and Italy, a number of...

Persistent link: https://www.econbiz.de/10005067433

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions’...

Persistent link: https://www.econbiz.de/10011186617

Asset Management Contracts and Equilibrium Prices

Buffa, Andrea; Vayanos, Dimitri; Woolley, Paul - C.E.P.R. Discussion Papers - 2014

We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and...

Persistent link: https://www.econbiz.de/10011084367

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