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Asset Price Bubbles and Systemic Risk
Brunnermeier, Markus K.; Rother, Simon C.; Schnabel, Isabel - 2021
We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty … differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble … median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build …
Persistent link: https://www.econbiz.de/10013224874
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Asset Price Bubbles and Systemic Risk
Brunnermeier, Markus K. - 2019
We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty … differs strongly across banks and bubble episodes. It depends on bank characteristics (especially bank size) and bubble … median for banks with unfavorable characteristics. These results emphasize the importance of bank-level factors for the build …
Persistent link: https://www.econbiz.de/10012479725
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-Cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10013077962
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10012459371
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Is Bank-Centered Corporate Governance Worth It? A Cross-Sectional Analysis of the Performance of Japanese Firms during the Asset Price Deflation
Kang, Jun-Koo - 1997
shocks. We show that firms whose debt" had a higher fraction of bank loans in 1989 performed worse from 1990 to 1993. This … affect performance during this period of time. We find that firms that were more" bank-dependent also invested less during … this period than other firms. This evidence points to an" adverse effect of bank-centered corporate governance, namely that …
Persistent link: https://www.econbiz.de/10012472574
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Identifying Shocks to Systematic Risk in Times of Crisis
Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024
We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...
Persistent link: https://www.econbiz.de/10014635656
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Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion
Poulsen, Annette B. - 2010
We argue that management sells assets when doing so provides the cheapest funds to pursue its objectives rather than for operating efficiency reasons alone. This hypothesis suggests that (1) firms selling assets have high leverage and/or poor performance, (2) a successful asset sale is good news...
Persistent link: https://www.econbiz.de/10012763250
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External Equity Financing Shocks, Financial Flows, and Asset Prices
Belo, Frederico - 2014
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10013052506
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Asset Sales, Firm Performance, and the Agency Costs of Managerial Discretion
Lang, Larry - 1994
We argue that management sells assets when doing so provides the cheapest funds to pursue its objectives rather than for operating efficiency reasons alone. This hypothesis suggests that (1) firms selling assets have high leverage and/or poor performance, (2) a successful asset sale is good news...
Persistent link: https://www.econbiz.de/10012474282
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External Equity Financing Shocks, Financial Flows, and Asset Prices
Belo, Frederico - 2014
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10012458455