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Accounting Noise and the Pricing of Cocos
Derksen, Mike; Spreij, Peter; van Wijnbergen, Sweder - 2018
Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...
Persistent link: https://www.econbiz.de/10011819552
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Efficiency Gains of a European Banking Union
Schoenmaker, Dirk; Siegmann, Arjen - 2013
An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another … benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic … cross-border effects within Europe are incorporated. Using a model of recapitalising banks, this paper develops indicators …
Persistent link: https://www.econbiz.de/10010326204
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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011451517
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Recessions after Systemic Banking Crises: Does it matter how Governments intervene?
van Wijnbergen, Sweder; Homar, Timotej - 2013
restructuring provide banks with incentives to restructure bad loans and free up resources for new economic activity. Other … interventions lead banks to roll over bad loans, tying up resources in distressed firms. Our analysis suggests that zombie banks are …
Persistent link: https://www.econbiz.de/10010326217
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010325965
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Common Risk Factors in Equity Markets
Atanasov, Victoria - 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...
Persistent link: https://www.econbiz.de/10010377245
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Banking and Trading
Boot, Arnoud W.A.; Ratnovski, Lev - 2012
We study the effects of a bank’s engagement in trading. Traditional banking is relationship-based: not scalable, long … leads trading in banks to become increasingly risky, so that problems in managing and regulating trading in banks will …
Persistent link: https://www.econbiz.de/10010326206
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The Effects of Liquidity Regulation on Bank Assets and Liabilities
Duijm, Patty; Wierts, Peter - 2014
Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …
Persistent link: https://www.econbiz.de/10010377181
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - 2012
We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...
Persistent link: https://www.econbiz.de/10010326485
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...
Persistent link: https://www.econbiz.de/10010325910