In most countries, equity is a cheap source of funding for a country's largest financial institutions. On average, the stocks of the top 10% financial companies in a country account for over a quarter of total market capitalization, but these stocks earn returns that are significantly lower than...

This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a...

We question the impact of government guarantees on the pricing of default risk in credit and stock markets and, using a Merton-type credit model, provide evidence of a structural break in the valuation of U.S. bank debt in the course of the 2007-2009 financial crisis, manifesting in a lowered...

The purpose of this paper is to assess whether listed banks in Ghana realised higher risk adjusted return than the Ghana Stock Exchange (GSE) All Share Index and also investigate whether listed banks offer portfolio diversification as part of investment portfolio. The study provides an insight...

This study examines whether the flow volatility experienced by institutional investors affects firms' financing costs. Using Greenwood and Thesmar's (2011) stock price fragility, a proxy for firm exposure to its institutional investors' flow volatility, we find that firms with high stock price...

The objective of this study is to analyze how financial connectedness impacts equity markets and potentially raises the cost of equity for firms that are more dependent on the financial sector. We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S....

On the first of January 2016 the European bank recovery and resolution directive (BRRD) started to enter into force. Before the BRRD, governments often performed "bail-out" of distressed banks. Instead after the BRRD, the Single Resolution Fund and governments intervene only after the...

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

Despite the increased number of stock exchanges in Africa, this segment of the financial market remains underdeveloped with low market capitalization, volume and illiquidity. Furthermore, the aftershock of the 2008 financial crisis exacerbates the poor market condition with the attendant...

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...