We analyze the effect of bank capital, regulation, and supervision on the annual stock performance of global banks during the period of 1999-2012. We study a large comprehensive panel of international banks and find that higher Tier 1 capital decreases a bank's stock performance over the whole...

Using search volume data on crisis-related queries from Google Trends, we estimate three different measures of market-level and individual crisis sentiment. We find that the stock performance of international banks during the period Q1 2004 to Q4 2012 was significantly driven by investors'...

This paper analyzes the systemic risk effects of bank mergers to test the "concentration-fragility" hypothesis. We use the marginal expected shortfall as well as the lower tail dependence between a bank's stock returns and a relevant bank sector index to capture the merger-related change in an...

Abstract: Using a unique sample of 425 bank mergers in the US announced between 2000 and 2008 this paper provides clear evidence supporting the collusion and productive efficiency hypotheses. By analyzing 425 bank mergers and a total of 1112 possible rivals, our analysis shows that the majority...

We show that the information on derivatives usage and securitization activities of U.S. banks as disclosed in their pre-crisis 10-K filings predicts their systemic equity risk during the financial crisis. Investors predominantly exited stocks of banks that had previously disclosed a more...