Showing 1 - 10 of 11,658
This paper examines how the stock market affects discrimination in mortgage lending. Comparing banks that went public … through initial public offering or acquisition with similar banks that failed to go public, we find that mortgage denial rates …
Persistent link: https://www.econbiz.de/10012862103
We investigate the impact of high-frequency trading (HFT) on market quality and investor welfare using a general limit order book model. We find that while the presence of HFT always improves market quality under symmetric information, under asymmetric information this is the case only if...
Persistent link: https://www.econbiz.de/10011412034
Various laws and policy proposals call for regulators to make use of the information reflected in market prices. We focus on a leading example of such a proposal, namely that bank supervision should make use of the market prices of traded bank securities. We study the theoretical underpinnings...
Persistent link: https://www.econbiz.de/10013096886
We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework …. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are … less pronounced when coinciding announcements concerning capital regulation are backed out, suggesting that markets do not …
Persistent link: https://www.econbiz.de/10012979746
It is assumed that the awarding of a "systemic importance" seal by the regulator has a positive effect on the equity value of its holder. By employing an event study analysis on a new set of regulatory announcements, we find that financial market participants react to these announcements which...
Persistent link: https://www.econbiz.de/10013034358
) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE …-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new … round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an …
Persistent link: https://www.econbiz.de/10012038419
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
We propose a model that links the conditional probability of bank failure to insolvency and liquidity risks, and show that liquidity risk affects bank failures through systematic and idiosyncratic channels. Empirical results based on U.S. bank data between 1985 and 2011 show that this model...
Persistent link: https://www.econbiz.de/10013097835
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
We study the tail distributions of multi-day index returns across a variety of asset classes. Fitting power laws to the tail distributions, we find tail indices in the range [2-4] for all underlyings, for returns up to 250 days. We also find that the power laws can not be statistically ruled out...
Persistent link: https://www.econbiz.de/10013249954