Prior to 2018, accounting rules required banks that recognize financial liabilities at fair value to record unrealized gains and losses on the liabilities attributable to changes in the banks' own credit risk, referred to as the debt valuation adjustment (DVA), in earnings each period. Using a...

We examine the relative timeliness with which asset write-downs incorporate adverse macroeconomic outcomes versus adverse firm-specific outcomes. We posit that, compared to adverse macroeconomic outcomes, adverse firm-specific outcomes exhibit high information asymmetry between firm managers and...

Complementing prior literature that examines determinants of the sensitivity of returns to losses, we provide evidence that the sensitivity of returns to gains increases with firms' real continuation call options, i.e., their discretionary ability to continue operations, to make new investments,...

Appendix available here: "https://ssrn.com/abstract=3312275" https://ssrn.com/abstract=3312275.We examine economic consequences of US bank regulators' phased removal of the prudential filter for accumulated other comprehensive income for advanced approaches banks beginning on January 1, 2014....

Prior research finds that commercial borrowers provide lenders with private information. This research generally does not identify how lenders obtain such information or the types of information obtained, however, limiting the directness and interpretability of tests of lenders' use of the...

Economic policymakers express concern that procyclical lending by banks imperils financial stability. Prior research finds that banks that record timelier loan loss provisions originate more loans during downturns, consistent with loan-loss-provision timeliness mitigating loan-origination...

Effective as of November 23, 2016, SEC Regulation (“Reg”) AB II requires issuers of certain types of asset-backed securities (“ABS”) to disclose information about the credit-risk attributes of each asset in the underlying pool. The prior Reg AB required issuers to disclose only...

To mitigate counterparty risks, derivatives dealers and their frequent counterparties typically engage in bilateral master netting agreements (MNAs) that cover many derivatives with largely offsetting gross fair values. MNAs specify the close out and net settlement of the covered derivatives...