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Asset Pricing and Bank Lending Equilibrium with Collateral

Xu, Liheng - 2012

collateral, because its value is associated with the conditional liquidation price. In the economy, all agents are endowed with a … used as collateral to borrow from banks to finance private investments. The collateral value and amount of borrowing are … theory has two advantages: to study explicitly the role of banks in the capital budgeting literature and to shed light on the …

Persistent link: https://www.econbiz.de/10013097041

Credit crunches, asset prices and technological change

Araujo, Luis; Cao, Qingqing; Minetti, Raoul; Murro, … - In: Review of economic dynamics 32 (2019), pp. 153-179

Persistent link: https://www.econbiz.de/10012230517

Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations

Teeranutranont, Chanon - 2018

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Persistent link: https://www.econbiz.de/10012926760

Unrecognized Expected Credit Losses and Bank Share Prices

Wheeler, Barrett - 2019

Accounting for credit losses under U.S. GAAP will soon transition from an incurred to an expected loss model. The new expected loss model was motivated by concerns that reporting only incurred losses does not provide investors with sufficient information about banks' true credit risk. In this...

Persistent link: https://www.econbiz.de/10012900884

Unrecognized Expected Credit Losses and Bank Share Prices

Wheeler, Barrett - 2021

Accounting for credit losses under U.S. GAAP is transitioning from an incurred to an expected loss model. The model change was motivated by concerns that reporting only incurred losses does not provide investors with sufficient and timely information about banks’ credit risk. In this paper, I...

Persistent link: https://www.econbiz.de/10013222103

Bank private information in CDS markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...