Narrow search
Showing 1 - 10 of 279
Cover Image
Bank liquidity provision and Basel liquidity regulations
Roberts, Daniel; Sarkar, Asani; Shachar, Or - 2018
We examine liquidity creation per unit of assets by banks subject to the Liquidity Coverage Ratio (LCR) using the … liquidity measures Liquidity Mismatch Index (LMI) (Bai et al., 2018) and BB (Berger and Bouwman, 2009). We identify the LCR …. We find that, since 2013, there has been reduced liquidity creation by LCR banks compared to non-LCR banks, occurring …
Persistent link: https://www.econbiz.de/10011868438
Cover Image
Bank capital and value in the cross section
Mehran, Hamid; Thakor, Anjan V. - 2009
We address two questions: (i) Are bank capital structure and value correlated in the cross section, and if so, how? (ii) If bank capital does affect bank value, how are the components of bank value affected by capital? We first develop a dynamic model with a dissipative cost of bank capital that...
Persistent link: https://www.econbiz.de/10003947552
Cover Image
MBS ratings and the mortgage credit boom
Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...
Persistent link: https://www.econbiz.de/10008657284
Cover Image
Rollover risk as market discipline : a two-sided inefficiency
Eisenbach, Thomas M. - 2013
Why does the market discipline that banks face seem too weak during good times and too strong during bad times? This paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk. However, if banks' assets are correlated, a two-sided...
Persistent link: https://www.econbiz.de/10009709345
Cover Image
Liquidity hoarding
Gale, Douglas; Yorulmazer, Tanja - 2011
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in … the market equilibrium is constrained inefficient, with too little liquidity and inefficient hoarding. Our model features … a precautionary as well as a speculative motive for hoarding liquidity, but the inefficiency of liquidity provision can …
Persistent link: https://www.econbiz.de/10008936422
Cover Image
The cost of capital of the financial sector
Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015
Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...
Persistent link: https://www.econbiz.de/10011410520
Cover Image
The Primary Dealer Credit Facility
Martin, Antoine; MacLaughlin, Susan - 2021
The Federal Reserve established a new Primary Dealer Credit Facility (PDCF) in March 2020, to allow primary dealers to support smooth market functioning and facilitate the availability of credit to businesses and households, in the face of deteriorating conditions in the market for triparty repo...
Persistent link: https://www.econbiz.de/10012625889
Cover Image
The myth of the lead arranger's share
Brickle, Kristian; Fleckenstein, Quirin; Hillenbrand, … - 2020
We make use of Shared National Credit Program (SNC) data to examine syndicated loans in which the lead arranger retains no stake. We find that the lead arranger sells its entire loan share for 27 percent of term loans and 48 percent of Term B loans, typically shortly after syndication. In...
Persistent link: https://www.econbiz.de/10012211170
Cover Image
The effect of state pension cut legislation on bank values
Cohen, Lee; Cornett, Marcia Millon; Mehran, Hamid; … - 2014
This study provides an empirical analysis of the impact of Wisconsin and Ohio pension cut legislation on values of banks operating in Wisconsin and Ohio, banks operating in other states in which pension cut legislation was being considered as Wisconsin and Ohio went through its legislative...
Persistent link: https://www.econbiz.de/10010404068
Cover Image
Money, liquidity, and monetary policy
Adrian, Tobias (contributor); Shin, Hyun Song (contributor) - 2009
In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are … closely tied to fluctuations in the leverage of market-based financial intermediaries. Offering a window on liquidity, the …
Persistent link: https://www.econbiz.de/10003812553