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Does Fair Value Accounting Contribute to Systemic Risk in the Banking Industry?

Khan, Urooj - 2011

Critics have blamed fair value accounting for amplifying the subprime crisis and for causing a financial meltdown. It has been alleged that fair value accounting has created a vicious circle of falling prices, thereby increasing the overall risk in the financial system. In this paper, I...

Persistent link: https://www.econbiz.de/10013121413

Fair Value versus Amortized Cost Measurement and the Timeliness of Other-than-Temporary Impairments : Evidence from the Insurance Industry

Khan, Urooj - 2019

We investigate the impact of recurring fair value versus amortized cost measurement for accounting recognition purposes on the timeliness of insurers' other-than-temporary (OTT) impairments of non-agency residential mortgage-backed securities (NAMBS) around the 2007–2009 financial crisis....

Persistent link: https://www.econbiz.de/10012900589

Market Reactions to Policy Deliberations on Fair Value Accounting and Impairment Rules During the Financial Crisis of 2008-2009

Bowen, Robert M. - 2013

Fair value accounting (FVA) has been blamed for amplifying the financial crisis of 2008-2009. We investigate investor and creditor reactions to policymaker deliberations, recommendations and decisions about FVA and impairment rules in the banking industry. If FVA was a key contributor to the...

Persistent link: https://www.econbiz.de/10013075922

Bond Convenience Yields in the Eurozone Currency Union

Jiang, Zhengyang; Lustig, Hanno N.; Van Nieuwerburgh, Stijn - 2021

This paper analyzes bond convenience yields in a currency union. The intertemporal government budget constraint requires member countries' bond convenience yields and default spreads to adjust in response to shocks to their government surpluses. In the data, adjustments to convenience yields...

Persistent link: https://www.econbiz.de/10013234177

Bank Credit Provision and Leverage Constraints : Evidence from the Supplementary Leverage Ratio

Koont, Naz; Walz, Stefan - 2021

We causally identify the implications of relaxing the Supplementary Leverage Ratio in April 2020 for bank balance sheet composition and credit provision. Our findings suggest that this risk-invariant leverage ratio was binding for banks, weakly affected bank liquidity provision in Treasury...

Persistent link: https://www.econbiz.de/10013234173

Financial Markets and Investments in the U.S. (Presentation Slides)

Namvar, Ethan - 2017

Persistent link: https://www.econbiz.de/10012968549

Investment under Uncertainty and the Value of Real and Financial Flexibility

Bolton, Patrick - 2014

We develop a model of investment under uncertainty for a nancially constrained firm. Facing external financing costs …, the firm prefers to fund its investment through internal funds, so that the firm's optimal investment policy and value now … as a substitute, to the real flexibility given by the optimal timing of investment. We show that: 1) the investment …

Persistent link: https://www.econbiz.de/10013061891

Steady-state Growth

Nissim, Doron - 2021

The starting point for estimating firm-specific steady-state growth, which is a critical assumption in implementing fundamental valuation, is the expected long-term growth rate of the economy in which the company operates. This study provides evidence that supports using the risk-free long-term...

Persistent link: https://www.econbiz.de/10013214292

Factor Investing

Ang, Andrew - 2013

management …

Persistent link: https://www.econbiz.de/10013080737

Accrual Quality, Skill, and the Cross-Section of Mutual Fund Returns

Nallareddy, Suresh - 2016

We use returns of actively managed mutual funds to document the link between accrual quality (AQ) and systematic (priced) risk. Despite compelling theoretical arguments, prior research finds no evidence that poor AQ commands a risk premium in the cross-section of realized stock returns. We argue...

Persistent link: https://www.econbiz.de/10013007196