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How voluntary information sharing systems form: Evidence from a U.S. commercial credit bureau

Liberti, José; Sturgess, Jason; Sutherland, Andrew - 2021

We use the introduction of a U.S. commercial credit bureau to study when lenders adopt voluntary information sharing technology and the resulting consequences for competition and credit access. Our results suggest that lenders trade off access to new markets against heightened competition for...

Persistent link: https://www.econbiz.de/10013254714

Does the Reputation of a Private Equity Group Break the Bank-Dependence of its Portfolio Company?

Ivanovs, Glebs - 2013

We investigate the impact of the reputation of a private equity group (PEG) on financing costs in leveraged buyouts … (LBOs). PEGs with a strong reputation have superior selection abilities and may be able to obtain cheaper LBO loans due to …' reputation indeed lowers financing costs. The size of the effect depends crucially on the chosen syndicate structure. The effect …

Persistent link: https://www.econbiz.de/10013091830

Efficient Markets and the Law : A Predictable Past and an Uncertain Future

Hu, Henry T. C. - 2012

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Persistent link: https://www.econbiz.de/10013100915

A Dynamic Theory of Mutual Fund Runs and Liquidity Management

Zeng, Yao - 2017

I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t 1 after outflows at t to prevent future forced sales of illiquid...

Persistent link: https://www.econbiz.de/10012964425

Fire-sale Spillovers and Systemic Risk

Duarte, Fernando - 2019

We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific...

Persistent link: https://www.econbiz.de/10012905172

Limited Liability Leverage (L^3) : A New Measure of Leverage

Jorion, Philippe - 2019

Average leverage is often used as a measure of risk. However, average leverage in a limited liability context should not be computed as a simple arithmetic average of the underlying constituents. In fact, using a simple arithmetic average can give misleading results. For example, the simple...

Persistent link: https://www.econbiz.de/10012906046

Credit Supply and (In)organic Growth

Berg, Tobias - 2020

We document a major mechanism – inorganic growth – which drives a wedge between micro-study effects of credit supply shocks and aggregate effects. Exploiting a quasi-exogenous positive shock to credit supply, we document that affected firms borrow larger amounts and exhibit stronger asset,...

Persistent link: https://www.econbiz.de/10012855861

The Riskiness of Credit Allocation and Financial Stability

Brandao-Marques, Luis - 2019

We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...

Persistent link: https://www.econbiz.de/10012859862

Managing Counterparty Credit Risk Via BSDEs

Lesniewski, Andrew - 2016

We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE. Depending on...

Persistent link: https://www.econbiz.de/10012985088

A Dynamic Theory of Mutual Fund Runs and Liquidity Management

Zeng, Yao - 2021

I model an open-end mutual fund investing in illiquid assets and show that the fund’s endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...

Persistent link: https://www.econbiz.de/10013248951