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The persistence of bank profits : what the stock market implies

Levonian, Mark E. - 1993

Persistent link: https://www.econbiz.de/10000895528

Incorporating equity market information into supervisory monitoring models

Krainer, John (contributor); López, José A. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001625087

A comparison of discount rate models using international stock market data

Kasa, Kenneth - 1994 - Rev

Persistent link: https://www.econbiz.de/10000907530

The persistence of bank profits: what the stock market implies

Levonian, Mark E. - Federal Reserve Bank of San Francisco - 1993

This paper examines the speed with which abnormal economic profits (that is, profits greater than or less than required to compensate for the real opportunity cost of capital including risk) vanish in the U.S. banking industry. Positive economic profits arise from random "good luck," or from...

Persistent link: https://www.econbiz.de/10005078337

Using securities market information for bank supervisory monitoring

Krainer, John; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2004

Bank supervisors in the United States conduct comprehensive on-site inspections of bank holding companies (BHCs) and assign them a supervisory rating meant to summarize their overall condition. We develop an empirical forecasting model of these ratings that combines supervisory and securities...

Persistent link: https://www.econbiz.de/10005721464

Foreign stock holdings: the role of information

Nechio, Fernanda - Federal Reserve Bank of San Francisco - 2010

evidence points towards the role of information in determining agents' portfolio choices. I test these results into a model … that incorporates information on agents' portfolio allocation decision. In the model, consumers can invest in both domestic … portfolio only infrequently. In addition, to account for the initial costs of acquiring information about stock investments, a …

Persistent link: https://www.econbiz.de/10008676436

The 2007-09 financial crisis and bank opaqueness

Flannery, Mark J.; Kwan, Simon H.; Nimalendran, … - Federal Reserve Bank of San Francisco - 2010

the time. Although portfolio composition is significantly related to market microstructure variables, no specific asset …

Persistent link: https://www.econbiz.de/10008676440

Asymmetric cross-sectional dispersion in stock returns: evidence and implications

Duffee, Gregory R. - Federal Reserve Bank of San Francisco - 2001

This paper documents that daily stock returns of both firms and industries are more dispersed when the overall stock market rises than when it falls. This positive relation is conceptually distinct from - and appears unrelated to - asymmetric return correlations. I argue that the source of the...

Persistent link: https://www.econbiz.de/10005401543

Testing the strong-form of market discipline: the effects of public market signals on bank risk

Kwan, Simon H. - Federal Reserve Bank of San Francisco - 2004

Under the strong-form of market discipline, publicly traded banks that have constantly available public market signals from their stock (and bond) prices would take less risk than non-publicly traded banks because counterparties, borrowers, and regulators could react to adverse public market...

Persistent link: https://www.econbiz.de/10005401566

Asymmetric cross-sectional dispersion in stock returns: evidence and implications

Duffee, Gregory R. - Federal Reserve Bank of San Francisco - 2001

Persistent link: https://www.econbiz.de/10010702162