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Fuksa, Michel; Sornette, Didier - 2013

Sentiment analysis is applied to the Federal Reserve's documents relating to the Federal Open Market Committee (FOMC). A new method of rating the sentiment of texts is developed through the creation of a 100 000 word sentiment dictionary, and is used to estimate the sentiment of the Beige Book...

Persistent link: https://www.econbiz.de/10009721378

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

Finance and efficiency : do bank branching regulations matter?

Acharya, Viral V. (contributor); Imbs, Jean (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003548057

This time is the same : using bank performance in 1998 to explain bank performance during the recent financial crisis

Fahlenbrach, Rüdiger; Prilmeier, Robert; Stulz, René M. - 2011

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 …. Another hypothesis is that a bank’s poor experience in a crisis is tied to aspects of its business model that are persistent …

Persistent link: https://www.econbiz.de/10009240510

Why does fast loan growth predict poor performance for banks?

Fahlenbrach, Rüdiger; Prilmeier, Robert; Stulz, René M. - 2016

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

A false sense of security : why U.S. banks diversify and does it help?

Gandhi, Priyank; Kiefer, Patrick Christian; Plazzi, Alberto - 2016

contributes to the current debate on the optimal scope of bank activities, and highlights novel channels through which …

Persistent link: https://www.econbiz.de/10011518813

Bank ratings : what determines their quality?

Hau, Harald; Langfield, Sam; Marqués Ibáñez, David - 2012

This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...

Persistent link: https://www.econbiz.de/10009684283

Fear, anger, and credit : on bank robberies and loan conditions

Acevedo, Paola Morales; Ongena, Steven - 2019

granted immediately after a bank branch robbery. We find significant differences between the conditions of loans granted after …

Persistent link: https://www.econbiz.de/10012100894

Measuring the capital shortfall of large U.S. banks

Jondeau, Eric; Khalilzadeh, Amir - 2018

We develop a methodology to measure the capital shortfall of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the banks' market-sensitive assets. We...

Persistent link: https://www.econbiz.de/10011877252

Fuel the engine: bank credit and firm innovation

Qi, Shusen; Ongena, Steven - 2018

Persistent link: https://www.econbiz.de/10011900360

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