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ESG screening in the fixed-income universe

Alessandriniy, Fabio; Baptista Balula, David; Jondeau, Eric - 2021

This paper evaluates the impact of a screening process based on Environment, Social, and Governance (ESG) scores for an otherwise passive portfolio of investment-grade corporate bonds. The main result is that this filtering leads to a substantial improvement of the targeted ESG score without...

Persistent link: https://www.econbiz.de/10012800004

Municipal bond markets

Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory...

Persistent link: https://www.econbiz.de/10011938223

Are CoCo bonds a good substitute for equity? : evidence from European banks

Hau, Harald; Hrasko, Gabriela - 2018

CoCo bonds provides the same reduction in bank default risk as the corresponding issuance of common equity by analyzing the … premium reduction in (single name) credit default swaps (CDS) around the corresponding issuance announcement events. We find … that the default risk reduction associated with issuance crucially depends on the CoCo bond's design features: Only CoCo …

Persistent link: https://www.econbiz.de/10011937107

Distance effects in CMBS loan pricing : banks versus non-banks

Eichholtz, Piet; Ongena, Steven; Yönder, Erkan - 2019

granted to distant borrowers by both bank and non-bank lenders are more likely to default. Our results contribute to the …

Persistent link: https://www.econbiz.de/10012134672

Financing investment: the choice between bonds and bank loans

Morellec, Erwan; Valta, Philip; Zhdanov, Alexei - 2014

bargaining power in default, operating in more competitive product markets, and facing lower credit supply are more likely to …

Persistent link: https://www.econbiz.de/10010258730

Mortgage interest deductions and homeownership : an international survey

Bourassa, Steven C.; Haurin, Donald R.; Hendershott, … - 2012

The aim of this paper is to review the international evidence on the impacts of mortgage interest deductions on homeownership rates. The probability of becoming a homeowner is a function of the relative cost of owning and renting, borrowing constraints, permanent household income, and a set of...

Persistent link: https://www.econbiz.de/10009558474

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Persistent link: https://www.econbiz.de/10013168786

Asymmetric information and the securitization of SME loans

Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021

-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …

Persistent link: https://www.econbiz.de/10012487672

Climate change risk and the costs of mortgage credit

Nguyen, Duc Duy; Ongena, Steven; Qi, Shusen; Sila, Vathunyoo - 2020

default or creditworthiness. Further, the SLR premium is smaller when the consequences of climate change are less salient and …

Persistent link: https://www.econbiz.de/10012419646

(When) do banks react to anticipated capital reliefs?

Arnould, Guillaume; Guin, Benjamin; Ongena, Steven; … - 2020

We study how banks react to policy announcements during the representative policy cycle of consultation and policy publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk assessments of banks and their supervisory...

Persistent link: https://www.econbiz.de/10012421476