We exploit exogenous variation in the amount of public information available to banks about a firm to empirically evaluate the importance of adverse selection in the credit market. A 2006 reform introduced by the State Bank of Pakistan (SBP) reduced the amount of public information available to...

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...

Using firm-level data from surveys and financial statements, this paper presents an analysis of credit standards, capital allocation and financial conditions of non-financial enterprises in Denmark since the beginning of the financial crisis. The analysis indicates that low interest rates and...

Does enhancing banks' information sets and understanding of credit risks improve loan loss recognition? We study this question using a global dataset of staggered initiations and coverage increases of public credit registries (PCRs). Mandated by national regulators, PCRs collect borrower and...

Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to academics and regulators with the FASB and IASB issuing new regulations for loan impairment. We develop a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL)...

This study develops a timely and unbiased measure of expected credit losses. The expected rate of credit losses (ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL performs substantially better than net charge-offs,...

We show that mutual funds use information acquired by participating in the equity lending market to make portfolio allocation decisions. Using data from German mutual funds on their stock-level lending decisions, we find that funds lending shares are more likely to exit positions relative both...

Do rating announcements reduce information asymmetries? We investigate the effect of rating disclosures on the volatility and liquidity of the US bond market. Although rating agencies' decisions often are anticipated by credit spread changes, we show that in the case of no regulatory change...

Market design matters when heterogeneous borrowers roll over loans, facing funding shocks. Borrower anonymity is a key feature of various financial markets, such as short term, interbank lending markets. We show that anonymous markets experience systemic runs for large shocks, but provide...