The recent wave of bank mergers has raised concern with its effect on competition. This paper examines the influence of concentration and merger activity on consumer loan interest rates. It uses Bank Rate Monitor, Inc. survey data on loan rates quoted weekly by large commercial banks in ten...

Traditional explanations of market crashes rely on the collapse of an asset price bubble or the exacerbation of an information asymmetry sufficient to cause less-informed participants to withdraw from the market. We show that markets can crash even though asset prices have not deviated from...

The role of the insurance industry in the retirement assets market is examined. The popular image of the industry as one in decline is scrutinized by drawing upon various governmental and industry data sources.<p> <p>Our examination begins with the traditional area of corporate pensions, specifically,...</p></p>

We study the relation between market returns and aggregate flow into U.S. equity funds, using daily flow data. The concurrent daily relation is positive. Our tests show that this concurrent relation reflects flow and institutional trading affecting returns. This daily relation is similar in...

Improvements in the technological infra-structure have freed financial institutions from many of the constraints of geography. Yet when courts are asked to determine liability after some event interferes with the payment of an international bank deposit, they often fall back on the notion of...

This study examines how interest rates and interest-rate exposures affect the level of acquisition activity, the identities of targets and acquirers, and the pricing of acquisitions in the banking industry. Using a sample of 477 large mergers from 1980 to 1994, we find that the level of...

Financial services comprise over 4 percent of the gross domestic product of the United States and employ over 5.4 million people. By offering vehicles for investment of savings, extension of credit and risk management, they fuel the modern capitalistic society.<p> <p>While the essential functions...</p></p>

Credit migration or transition matrices, which characterize the expected changes in credit quality of obligors, are cardinal inputs to applications such as asset pricing and risk management. We propose a new metric for comparing these matrices (a mobility index) by first subtracting the identity...

Insurers increasingly offer policies that converge with the products of the capital markets, and they face a need for integrative asset and liability management strategies. In this paper we show that an integrative approach -- based on scenario optimization modeling -- adds value to the risk...

In 1993 and early 1994, Freeport McMoRan Copper and Gold (FCX), a mining company, issued two series of gold-denominated depositary shares to raise 430 million dollars expanding their mining capacity in Indonesia. We price the depositary shares using a term structure model for the forward rates...