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Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models

Milidonis, Andreas - 2011

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

Persistent link: https://www.econbiz.de/10012756821

Momentum and asymmetric information

Liang, Tian - In: China Finance Review International 2 (2012) June, pp. 208-230

Purpose–The purpose of this paper is to examine the implications of asymmetric information for price evolution and investor behavior under a rational expectations framework. Design/methodology/approach–The author presents a simple asymmetric information-based asset-pricing model to show that...

Persistent link: https://www.econbiz.de/10010561549

Asset price manipulation with several traders

Walther, A. - Faculty of Economics, University of Cambridge - 2012

In financial markets with asymmetric information, traders may have an incentive to forgo profitable deals today in order to preserve their informational advantage for future deals. This sort of manipulative behaviour has been studied in markets with one informed trader (Kyle 1985, Chakraborty...

Persistent link: https://www.econbiz.de/10010699820

How public information affects asymmetrically informed lenders: evidence from credit registry reform

Choudhary, M. Ali; Jain, Anil - Volkswirtschaftliche Fakultät, … - 2014

We exploit exogenous variation in the amount of public information available to banks about a firm to empirically evaluate the importance of adverse selection in the credit market. A 2006 reform introduced by the State Bank of Pakistan (SBP) reduced the amount of public information available to...

Persistent link: https://www.econbiz.de/10011108966

Financing and Taxing New Firms under Asymmetric Information

Boadway, Robin; Keen, Michael - In: FinanzArchiv: Public Finance Analysis 62 (2006) 4, pp. 471-502

This paper uses a sequence of models to study the efficiency of credit-market equilibria, and the scope for welfare-improving policy interventions, when financial intermediaries cannot observe the riskiness or returns of potential investment projects by new firms. It is first shown that when...

Persistent link: https://www.econbiz.de/10005582218

Towards Transparency in Finance and Governance

Vishwanath, Tara; Kaufmann, Daniel - EconWPA - 2003

context debates concerning transparency; its desirability, contingency, complexity and regulation. Reviewing critiques of …

Persistent link: https://www.econbiz.de/10005561607

Rescue costs and financial risk

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

companies, and what are the criteria for regulation and rescue available to governments, institutions and citizens to control …

Persistent link: https://www.econbiz.de/10011108272

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - C.E.P.R. Discussion Papers - 2015

We provide new empirical evidence concerning the contentious debate over the use of historical cost (HCA) versus mark-to-market (MTM) accounting in regulating financial institutions. These accounting rules, through their interactions with capital regulations, alter financial institutions’...

Persistent link: https://www.econbiz.de/10011186617

Optimal design and consequences of financial disclosure regulation: a real options approach

Waters, James - Volkswirtschaftliche Fakultät, … - 2015

This paper examines the optimal design and consequences of financial disclosure regulation. Our model represents the … regulation as creating a real option for an investor to delay investment until information is disclosed. We find conditions on … investment opportunities that ensure that regulation raises or lowers investor profits. We also find that investment typically …

Persistent link: https://www.econbiz.de/10011234838

Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales

Dagostino, Ramona - In: Rivista di Politica Economica (2013) 4, pp. 47-77

During the Summer of 2011, securities regulators in France,Italy and Spain reintroduced a ban on short sales. This ban differed from previous restrictions: it was the first time regulators prohibited net short sales on selected financial stocks, and extended the ban widely to include synthetic...

Persistent link: https://www.econbiz.de/10010740024