We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada in addition to the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada...

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposure in the subprime crisis. Evidence suggests that short sellers sold short stocks that had...

We analyze the optimal capital structure of a bank issuing countercyclical contingent capital, i.e., notes to be converted into common shares in poor macroeconomic conditions. A comparison of the main effects produced by the countercyclical asset with the simple equity-debt capital structure,...

This paper empirically investigates the role played by relatively small banks in the Japanese local credit market. We test the hypothesis that small banks enhance the recovery rate from the financial distress and reduce the bankruptcy ratio of small firms. Empirical evidence suggests that small...

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit risk. We use a sample of virtually all US commercial banks during the period 1998–2010 to analyze the relationship between these two risk sources on the bank...

This paper presents a flexible, lattice-based structural credit risk model that uses equity market information and a detailed depiction of a financial institution’s liability structure to analyze default risk. The model is applied to examine the term structure of default probabilities for...

This paper uses Bayesian Model Averaging to examine the driving factors of equity returns of US Bank Holding Companies. BMA has as an advantage over OLS that it accounts for the considerable uncertainty about the correct set (model) of bank risk factors. We find that out of a broad set of 12risk...

We examine the developments of depositor knowledge, attitudes, and behavior throughout the recent financial crisis and discuss their impact on bank run risk. Based on a self-collected data set surveying depositors before (2007), at (2008), and after the peak of the crisis (2009), we observe a...

Combined abnormal returns from U.S. bank holding company acquisitions during 2001–2011 suggest that diversification into investment banking, securities brokerage and insurance under the Gramm–Leach–Bliley Act of 1999 creates value. Exceptional returns depend on contributing factors; the...

We investigate whether or not market discipline on banking firms changed after the Dodd–Frank Wall Street Reform and Consumer Protection Act (DFA) of 2010. If market discipline is improved, we should see a lower discount for size on yield spreads, particularly for banks identified as...