We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank's systematic risk, idiosyncratic risk, size or...

Please note that this paper has been replaced by "Pitfalls in the Use of Systemic Risk Measures," available via 'http://ssrn.com/abstract=2593257' http://ssrn.com/abstract=2593257.Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on...

We investigate whether the stock market impact of tone in Moody's rating reports depends on negative news. Reports convey negative news through negative rating actions (downgrades, reviews for downgrade or negative outlooks) or negative tone if there is no rating action. Using data from U.S....

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal expected shortfall, and option-based tail risk...

This paper shows that the stock price of the rating agency Moody's reacts negatively to rating actions that are perceived to indicate low rating quality. The reaction is economically significant. The cumulative effect corresponds to a 20% loss in market capitalization. This suggests that market...

I apply standard time series models to US housing prices. Forecasts made in 2005 or earlier would have produced stress scenarios that are worse than the subsequent actual change in housing prices. The probability of these scenarios is in the range that financial institutions should consider in...

We examine whether the magnitude of financial benefits derived from corporate green bond issuance is associated with the magnitude of future reductions in carbon emissions of non-financial corporates. We find a significantly negative relationship between the volume of issued green bonds and...

In this paper, we propose novel predictor variables for forecasting stock market returns. We investigate the predictive power of the demand for gold coins and bars as a proxy for the risk premium consistent with the safe haven property of gold. The gold demand variables reflect the behaviour of...

We investigate the effect of analyst distance in the credit rating industry and show that issuers with analysts located in more distant offices have lower default rates than issuers with closer analysts and the same rating. Our results are robust to an analyst home bias and suggest that more...