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Evaluating the information in the Federal Reserve stress tests
Flannery, Mark; Hirtle, Beverly J.; Kovner, Anna - 2015
We find evidence that the Federal Reserve stress tests (CCAR and DFAST) produce information about the stress-tested firms as well as other, non-stress-tested banking companies. Although standard event studies do not always show abnormal returns for the stress-tested sample on average, we argue...
Persistent link: https://www.econbiz.de/10011342852
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The Credit Crunch : A Forced Outcome, an Overreaction, or a Rational Response?
Park, Sangkyun - 2010
To infer whether banks really over-tighten lending standards during a credit crunch, this paper examines how future loan performance was related to loan growth and capital ratios during the credit crunch of the early 1990s. The main finding is poorer future loan performance for banks that...
Persistent link: https://www.econbiz.de/10013136307
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Opaque Banks, Price Discovery, and Financial Instability
Jones, Jeffrey S. - 2012
Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial instability. We find that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period...
Persistent link: https://www.econbiz.de/10013116850
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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 … through public credit registries is negatively associated with future crash risk after controlling for other predictors of … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …
Persistent link: https://www.econbiz.de/10012926760
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The Impact of Government Intervention in Banks on Corporate Borrowers’ Stock Returns
Norden, Lars - 2017
Moving into and out of a financial and banking crisis is likely to be associated with spillover effects from the banking sector to the corporate sector. We investigate whether and how government interventions in the U.S. banking sector influence the stock market performance of corporate...
Persistent link: https://www.econbiz.de/10012975392
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The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?
Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022
What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress...
Persistent link: https://www.econbiz.de/10013342212
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Bank Branch Density and Bank Runs
Benmelech, Efraim; Yang, Jun; Zator, Michal - National Bureau of Economic Research - 2023
Bank branch density, defined as the number of bank branches to total deposits, has significantly declined over the past decade, fueled by a confluence of branch closings and the almost doubling of deposits between 2016 and 2022. During this period, banks with low branch density benefited from...
Persistent link: https://www.econbiz.de/10014322849
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The performance and risk of banks in the U.S., Europe and Japan post-financial crisis
Weigand, Robert A. - In: Investment management and financial innovations 13 (2016) 4, pp. 75-93
Persistent link: https://www.econbiz.de/10011667555
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …
Persistent link: https://www.econbiz.de/10003806732
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Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10010298782