Huizinga, Harry P.; Laeven, L. - Tilburg University, Center for Economic Research - 2009
particular, we show that the stock market applies far greater discounts to a bank’s real estate loans and mortgage …-backed securities than are implicit in the book values of these assets, especially following the onset of the U.S. mortgage crisis. This … impairment. We also find that bank share prices, especially for banks with large exposures to mortgage-backed securities, react …