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Stock market reaction to financial statement certification by bank holding company CEOs

Hirtle, Beverly - Federal Reserve Bank of New York - 2003

In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded …

Persistent link: https://www.econbiz.de/10005420532

Valuing the Treasury's Capital Assistance Program

Glasserman, Paul; Wang, Zhenyu - Federal Reserve Bank of New York - 2009

contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing … options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures …) launched together with the CAP. On average, we estimate that, compared to a market transaction, the CAP securities carry a net …

Persistent link: https://www.econbiz.de/10008636170

Financial intermediary balance sheet management

Adrian, Tobias; Shin, Hyun Song - Federal Reserve Bank of New York - 2011

Conventional discussions of balance sheet management by nonfinancial firms take the set of positive net present value (NPV) projects as given, which in turn determines the size of the firm’s assets. The focus is on the composition of equity and debt in funding such assets. In contrast, the...

Persistent link: https://www.econbiz.de/10009416057

The information value of the stress test and bank opacity

Morgan, Donald P.; Peristiani, Stavros; Savino, Vanessa - Federal Reserve Bank of New York - 2010

We investigate whether the “stress test,” the extraordinary examination of the nineteen largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced the information demanded by the market. Using standard event study techniques, we find that the market had...

Persistent link: https://www.econbiz.de/10008524108

Are bank holding companies a source of strength to their banking subsidiaries?

Ashcraft, Adam B. - Federal Reserve Bank of New York - 2004

I present evidence that the cross-guarantee authority granted to the FDIC by the Financial Institutions Reform, Recovery, and Enforcement Act of 1989 has unexpectedly strengthened the Federal Reserve's source-of-strength doctrine. In particular, I find that a bank affiliated with a multi-bank...

Persistent link: https://www.econbiz.de/10005420555

Public disclosure, risk, and performance at bank holding companies

Hirtle, Beverly - Federal Reserve Bank of New York - 2007

This paper examines the relationship between the amount of information disclosed by bank holding companies (BHCs) and their subsequent risk profile and performance. Using data from the annual reports of BHCs with large trading operations, we construct an index of publicly disclosed information...

Persistent link: https://www.econbiz.de/10005420560

How do stock repurchases affect bank holding company performance?

Hirtle, Beverly - Federal Reserve Bank of New York - 2001

Using data from bank holding company regulatory reports, we examine the relationship between stock repurchases and financial performance for a large sample of bank holding companies over the years 1987 to 1998. The primary result is that higher levels of repurchases in one year are associated...

Persistent link: https://www.econbiz.de/10005420585

Visible and hidden risk factors for banks

Schuermann, Til; Stiroh, Kevin J. - Federal Reserve Bank of New York - 2006

This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...

Persistent link: https://www.econbiz.de/10005420641

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas - Federal Reserve Bank of New York - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance-sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10011027210

Repo and securities lending

Adrian, Tobias; Begalle, Brian; Copeland, Adam; Martin, … - Federal Reserve Bank of New York - 2012

We provide an overview of data requirements necessary to monitor repurchase agreements (repos) and securities lending …

Persistent link: https://www.econbiz.de/10009421389