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Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - Federal Reserve Bank of Chicago - 2001

Persistent link: https://www.econbiz.de/10010724588

The pitfalls in inferring risk from financial market data

Bliss, Robert R. - Federal Reserve Bank of Chicago - 2000

This paper examines two qualitative rules of thumb, frequently invoked in discussions of bank regulatory policy. The first, that equity holders prefer more risk to less, derives from a result in option pricing theory, that an option's value increases monotonically with the riskiness of the...

Persistent link: https://www.econbiz.de/10005419915

Market discipline in the governance of U.S. Bank Holding Companies: monitoring vs. influencing

Bliss, Robert R.; Flannery, Mark J. - Federal Reserve Bank of Chicago - 2000

Market discipline is an article of faith among financial economists, and the use of market discipline as a regulatory tool is gaining credibility. Effective market discipline involves two distinct components: security holders' ability to accurately assess the condition of a firm ("monitoring")...

Persistent link: https://www.econbiz.de/10005726323

The crime of 1873 : back to the scene

Velde, François R. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001761385

Using stock returns to identify government spending shocks

Fisher, Jonas D. M.; Peters, Ryan - Federal Reserve Bank of Chicago - 2009

This paper explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors....

Persistent link: https://www.econbiz.de/10005078417

Bank capital and stock returns during the financial crisis

Demirguc-Kunt, Asli; Detragiache, Enrica - Federal Reserve Bank of Chicago - 2011

Persistent link: https://www.econbiz.de/10010723812

Consequences of going private buyouts for public debt and preferred stock: 1974-1985

Marais, Laurentius; Schipper, Katherine; Smith, Abbie - Federal Reserve Bank of Chicago - 1989

Persistent link: https://www.econbiz.de/10010724116

Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies

Elijah Brewer, III; William E. Jackson, III - Federal Reserve Bank of Chicago - 2002

Contagion usually refers to the spillover of the effects of shocks from one or more firms to other firms. Most studies of contagion limit their analysis to how shock affect firms in the same industry, or "intra-industry" contagion. The purpose of this paper is to explore and document the likely...

Persistent link: https://www.econbiz.de/10005419883

Testing the stability of implied probability density functions

Bliss, Robert R.; Panigirtzoglou, Nikolaos - Federal Reserve Bank of Chicago - 1999

--both trading on the London International Financial Futures Exchange. Our test show that the smoothed implied volatility smile …

Persistent link: https://www.econbiz.de/10005419930

When is inter-transaction time informative?

Furfine, Craig - Federal Reserve Bank of Chicago - 2003

We investigate the information content of inter-transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude … of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general …

Persistent link: https://www.econbiz.de/10005419964