Showing 1 - 10 of 12
We investigate whether bank performance during the recent credit crisis is related to chief executive officer (CEO) incentives before the crisis. We find some evidence that banks with CEOs whose incentives were better aligned with the interests of shareholders performed worse and no evidence...
Persistent link: https://www.econbiz.de/10003970468
We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We propose a model that gives upper and lower bounds for option prices in the absence of arbitrage in an incomplete market with differential borrowing and lending rates. We show that...
Persistent link: https://www.econbiz.de/10009375107
Ending the dependence on rating agencies is a top priority for the Financial Stability Board, which coordinates the G20 financial policies. Rating agencies have been accused of contributing to the recent financial crisis by misjudging the creditworthiness of mortgage-backed securities. Their...
Persistent link: https://www.econbiz.de/10009558401
We investigate whether a bank’s performance during the 1998 crisis, which was viewed at the time as the most dramatic crisis since the Great Depression, predicts its performance during the recent financial crisis. One hypothesis is that a bank that has an especially poor experience in a crisis...
Persistent link: https://www.econbiz.de/10009240510
In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...
Persistent link: https://www.econbiz.de/10011515871
From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperforms the common stock of banks with loan growth in the bottom quartile over the next three years. The benchmark-adjusted cumulative difference in...
Persistent link: https://www.econbiz.de/10011516043
U.S. banks have increasingly diversified into activities traditionally considered as non-core for the banking sector. This paper investigates whether diversification influences banks' investment (credit) policy and profitability. Diversified banks appear to benefit from “coinsurance,” supply...
Persistent link: https://www.econbiz.de/10011518813
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our...
Persistent link: https://www.econbiz.de/10011293508
In the build-up to and especially in the weeks after the Russian invasion of Ukraine, stocks strongly exposed to the regulatory risks of the transition to a low-carbon economy did well, suggesting an expected slow-down of that transition. Analysts increased their earnings estimates for these...
Persistent link: https://www.econbiz.de/10013192064
We show that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core EU countries, characterized by strong fiscal capacity. For peripheral countries with lower budgetary slackness, the pandemic had essentially no impact on...
Persistent link: https://www.econbiz.de/10012502146