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A new approach to modelling banks' equity volatility : adding time-to-maturity jumps

Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017

We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that … changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors …' perception of the time-to-maturity of the firm's debt. For banks a shortening of the time-to-maturity can be interpreted as …

Persistent link: https://www.econbiz.de/10011740702

Rollover traps

Della Seta, Marco; Morellec, Erwan; Zucchi, Francesca - 2016

We model the joint effects of debt maturity and cash holdings on default risk. When firms have short-term debt … their debt, due to weaker fundamentals. This mechanism gets more pronounced as debt maturity decreases, increases default …

Persistent link: https://www.econbiz.de/10011516024

The impact of government debt supply on bond market liquidity : an empirical analysis of the Canadian market

Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018

there is a large increase in government debt supply. The result is both statistically and economically significant, stronger … duration risks brought by large debt issuance. The fact that the newly issued bonds are much less liquid may also contribute to … the impact of debt supply on market liquidity. …

Persistent link: https://www.econbiz.de/10011878695

What are the real effects of financial market liquidity? : evidence on bank lending from the euro area

Dombret, Andreas R.; Foos, Daniel; Pliszka, Kamil; … - 2018

negatively related to credit spreads. Particularly during the financial crisis of 2007-09 and the subsequent European debt crisis …

Persistent link: https://www.econbiz.de/10011897986

Economics of voluntary information sharing

Liberti, José; Sturgess, Jason; Sutherland, Andrew - 2018

We show that lenders join a U.S. commercial credit bureau when information asymmetries between incumbents and entrants create an adverse selection problem that hinders market entry. Lenders also delay joining when information asymmetries protect them from competition in existing markets,...

Persistent link: https://www.econbiz.de/10011960063

Corporate ownership and control in Victorian Britain

Acheson, Graeme G.; Campbell, Gareth; Turner, John D.; … - 2014

Using ownership and control data for 890 firm-years, this paper examines the concentration of capital and voting rights in British companies in the second half of the nineteenth century. We find that both capital and voting rights were diffuse by modern-day standards. This implies that ownership...

Persistent link: https://www.econbiz.de/10010235904

Financial markets and twentieth century industrialization : evidence from US and Canadian steel producers

Keay, Ian; Redish, Angela - 2002

Despite the diverse and developed nature of twentieth century U.S. and Canadian financial markets, the history of both economies is replete with claims of inefficiency and inadequacy among financial intermediaries, particularly the banking sectors. In Canada it has been argued that banks were...

Persistent link: https://www.econbiz.de/10001666697

Monopoly power limits hedging

Muermann, Alexander; Shore, Stephen H. - 2008

When a spot market monopolist participates in a derivatives market, she has an incentive to deviate from the spot market monopoly optimum to make her derivatives market position more profitable. When contracts can only be written contingent on the spot price, a risk-averse monopolist chooses to...

Persistent link: https://www.econbiz.de/10003831235

Corporate governance in Latin America

Chong, Alberto (contributor); … - 2007

This paper analyzes recent trends of Latin America's institutional development regarding investor protection. In spite of the underdevelopment of the region's financial markets, there is slow movement towards legal reforms intended to protect investors and make regional markets more attractive...

Persistent link: https://www.econbiz.de/10003775790

Financial constraints and the cash-holding behaviour of Canadian firms

McVanel, Darcey (contributor); Perevalov, Nikita (contributor) - 2008

The proportion of assets held by the average Canadian firm in the form of cash has increased steadily since the early 1990s, and is now roughly twice as large as in 1990. The literature has established that the cash-holding behaviour of firms is highly correlated with financial constraints and...

Persistent link: https://www.econbiz.de/10003775805