This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures...

Expanded public availability of U.S. banking data has prompted a need to reexamine end-of-quarter window dressing. We find substantial heterogeneity in the pattern of window dressing across banks and products, not all of which can be explained as customerinitiated, and some of which is...

Economic theory predicts that reciprocal brokered deposits, by facilitating an extension of deposit insurance coverage, may exacerbate moral hazard and reduce market discipline for banks, permitting them to take more risk in various dimensions. Using a newly available dataset, this note explores...

This paper examines foreign institutional investors' portfolio allocation and performance in U.S. securities. We test how information immobility, proxied by cultural and geographical distance between the investors' home markets and the U.S., influences portfolio strategies. Consistent with...

In this paper we study the impact of cooperative banks on local economic development. Working on Italian municipality data in the period 2001-2011, we find that this type of banks plays a distinct role in enhanced local economic performance – particularly income, employment and firms' birth...

The aggregate Lerner index is a popular composite measure of multi-product banks' market power, based on the assumption that banks' single aggregate output factor is total assets. This study identifies three limitations of the aggregate Lerner index that potentially distort its interpretation as...

This study investigates the effects of banking deregulation on county-level economic growth in the U.S. during the 1970–2000 period. Our main contribution to the literature is that we analyze both the direct and external effects of banking deregulation on local economic growth. For the regions...

This study provides new evidence regarding reciprocal brokered deposits (RBDs), regulatory responses, and bank risk, contributing to prior studies in four ways. First, using updated financial Call Report data and bank failure data through 2012, we reexamine the moral hazard hypothesis that banks...

The economic literature has largely ignored the existence of global common factors and local spatial dependence in the assessment of the real effects of U.S. banking deregulation. Motivated by consistency concerns, this study uses spatial econometric models with common factors to analyze the...

In this study we explore market power in 13 EU banking sectors for the years 2007 to 2019 by estimating a structural model with demand and supply equations, where the mark-up of price over marginal cost is parameterized as a measure of banks’ conduct that depends on selected factors. Our...