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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10001629622

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Persistent link: https://www.econbiz.de/10001752003

Are bank holding companies a source of strength to their banking subsidiaries?

Ashcraft, Adam B. (contributor) - 2004 - [Elektronische Ressource]

I present evidence that the cross-guarantee authority granted to the FDIC by the Financial Institutions Reform, Recovery, and Enforcement Act of 1989 has unexpectedly strengthened the Federal Reserve's source-of-strength doctrine. In particular, I find that a bank affiliated with a multi-bank...

Persistent link: https://www.econbiz.de/10002128532

The role of bank advisors in mergers and acquisitions

Allen, Linda (contributor) - 2002 - [Elektronische Ressource]

"This paper looks at the role of both commercial and investment banks in providing merger advisory services. In this area, unlike some areas of investment banking, commercial banks have always been allowed to compete directly with investment banks. In their dual role as lenders and advisors to...

Persistent link: https://www.econbiz.de/10001656388

Are bank shareholders enemies of regulators or a potential source of market discipline?

Park, Sangkyun (contributor); … - 2001 - [Elektronische Ressource]

In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk-taking incentive is outweighed by the possibility of losing...

Persistent link: https://www.econbiz.de/10001630859

Stock market reaction to financial statement certification by bank holding company CEOs

Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]

In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation...

Persistent link: https://www.econbiz.de/10001783071

How do stock repurchases affect bank holding company performance?

Hirtle, Beverly J. (contributor) - 2001 - [Elektronische Ressource], draft March 2001

financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that … traded on major exchanges. The finding that higher repurchases are followed by better financial performance is consistent … evidence suggesting that the repurchase-performance link may be driven by different factors for different types of bank holding …

Persistent link: https://www.econbiz.de/10001589572

Modelling the liquidity ratio as macroprudential instrument

End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Persistent link: https://www.econbiz.de/10010543516

Preferential regulatory treatment and banks' demand for government bonds

Bonner, Clemens - de Nederlandsche Bank - 2014

Government bonds receive preferential treatment in financial regulation. The purpose of this paper is to analyze the impact of this preferential treatment on banks' demand for government bonds. Using unique transaction-level data, our analysis suggests that preferential treatment in liquidity...

Persistent link: https://www.econbiz.de/10010812608

Liquidity Regulation, Funding Costs and Corporate Lending

Bonner, Clemens - de Nederlandsche Bank - 2012

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...

Persistent link: https://www.econbiz.de/10010757277