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How does capital affect bank performance during financial crises?
Berger, Allen N.; Bouwman, Christa H.S. - In: Journal of Financial Economics 109 (2013) 1, pp. 146-176
This paper empirically examines how capital affects a bank’s performance (survival and market share) and how this …. We have two main results. First, capital helps small banks to increase their probability of survival and market share at … large banks primarily during banking crises. Additional tests explore channels through which capital generates these effects …
Persistent link: https://www.econbiz.de/10010665556
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Does PIN affect equity prices around the world?
Lai, Sandy; Ng, Lilian; Zhang, Bohui - In: Journal of Financial Economics 114 (2014) 1, pp. 178-195
This study examines the empirical controversy over the pricing effect of the Easley, Hvidkjaer, and O׳Hara (2002) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical evidence of Easley, Hvidkjaer, and O׳Hara, but...
Persistent link: https://www.econbiz.de/10011039199
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The role of institutional investors in propagating the crisis of 2007–2008
Manconi, Alberto; Massa, Massimo; Yasuda, Ayako - In: Journal of Financial Economics 104 (2012) 3, pp. 491-518
Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...
Persistent link: https://www.econbiz.de/10011039258
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Macroeconomic linkages between monetary policy and the term structure of interest rates
Kung, Howard - In: Journal of Financial Economics 115 (2015) 1, pp. 42-57
This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive...
Persistent link: https://www.econbiz.de/10011115774
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Government spending, political cycles, and the cross section of stock returns
Belo, Frederico; Gala, Vito D.; Li, Jun - In: Journal of Financial Economics 107 (2013) 2, pp. 305-324
Using a novel measure of industry exposure to government spending, we show predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite pattern...
Persistent link: https://www.econbiz.de/10010616820
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Macroeconomic effects of corporate default crisis: A long-term perspective
Giesecke, Kay; Longstaff, Francis A.; Schaefer, Stephen; … - In: Journal of Financial Economics 111 (2014) 2, pp. 297-310
the unique role that banks and the credit and collateral channels play in amplifying macroeconomic shocks. …
Persistent link: https://www.econbiz.de/10010737668
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Vulnerable banks
Greenwood, Robin; Landier, Augustin; Thesmar, David - In: Journal of Financial Economics 115 (2015) 3, pp. 471-485
asset sales depress prices, in which case one bank׳s sales impact other banks with common exposures. We show how this … bank exposures to system-wide deleveraging, as well as the spillovers induced by individual banks. Applying the model to … European banks, we evaluate a variety of interventions to reduce their vulnerability to fire sales during the sovereign debt …
Persistent link: https://www.econbiz.de/10011208258
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Neglected risks, financial innovation, and financial fragility
Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert - In: Journal of Financial Economics 104 (2012) 3, pp. 452-468
We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash...
Persistent link: https://www.econbiz.de/10010571688
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Price support by bank-affiliated mutual funds
Golez, Benjamin; Marin, Jose M. - In: Journal of Financial Economics 115 (2015) 3, pp. 614-638
Fund managers are double agents; they serve both fund investors and owners of management firms. This conflict of interest may result in trading to support securities prices. Tests of this hypothesis in the Spanish mutual fund industry indicate that bank-affiliated mutual funds systematically...
Persistent link: https://www.econbiz.de/10011208268
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The price of liquidity: The effects of market conditions and bank characteristics
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - In: Journal of Financial Economics 102 (2011) 2, pp. 344-362
We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank …-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across …
Persistent link: https://www.econbiz.de/10011039213