This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which institutions contribute to systemic risk. In this investigation, ΔCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger-Causality Networks are considered as sophisticated...

We study retail deposit withdrawals from European commercial banks which incurred investment losses in the wake of the U.S. subprime crisis. We document a strong propensity of households to withdraw deposits from distressed banks, especially when a bank receives a public bailout. However, the...

The search for a market design that ensures stable bank funding is at the top of regulators' policy agenda. This paper empirically shows that an important part of the European money market features this quality, namely the central counterparty (CCP)-based euro interbank repo market. Using a...

This study examines the exposure of microfinance institutions to liquidity, interest rate and foreign exchange (FX) risk. It builds on a manually collected set of data on FX positions and the maturity structure of assets and liabilities of the largest microfinance institutions worldwide. The...

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...

We empirically investigate why issuers solicit and pay for multiple ratings not only at issuance but also during the monitoring phase of a debt instrument. Using a unique record of monthly credit rating migration data from Standard & Poor's, Moody's, and Fitch on all U.S. residential...

Using a sample of 384 shareholder meetings, we investigate whether shareholder votes on mergers and acquisitions in both target and acquirer firms relate to the announcement day abnormal returns and whether the voting outcome has implications for the short- and long-run merger performance. We...

Exploiting a unique feature of the Clayton Antitrust Act, we analyze how directors holding outside directorships at peer firms affect firm value and performance of financial firms. We find that directors serving simultaneously at horizontally-related firms have a negative impact on firm value...

The issue of optimum bank scope is central to many proposals for banking system reform. For example, a core component of the Dodd-Frank Act (2010) and regulatory proposals in the UK and the EU has been the concept of “ring-fencing” – i.e., restricting banks’ activities to their core...