Investor behavior around targeted liquidity announcements

IF 5.5 3区管理学 Q1 BUSINESS, FINANCE

British Accounting Review Pub Date : 2023-11-14 DOI:10.1016/j.bar.2023.101275

引用次数: 0

Abstract

We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). We find that banks with high derivative holdings and more exposed to sovereign credit risk respond better to the announcements, consistent with the view that lower funding costs benefit banks with higher asset encumbrance and located in more vulnerable Eurozone countries. The TLTRO announcements also elicit reductions in short positions on bank stocks relative to stocks of non-financial corporations without impairing their market liquidity. Robustness tests rule out that our results are driven by confounding events and anticipation effects. Placebo tests confirm that the TLTRO announcements are driving the estimated price reactions and changes in short positions.

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投资者围绕定向流动性公告的行为

我们利用与定向长期融资操作（TLTROs）相关的公告作为投资者看法的外生冲击，来检验最近关于银行资金流动性的理论（Ahnert 等，2019 年；Liu，2015 年）。我们发现，持有较多衍生品且更易受到主权信用风险影响的银行对公告的反应更好，这与较低的融资成本有利于资产负债率较高且位于更脆弱的欧元区国家的银行的观点一致。相对于非金融企业股票而言，TLTRO 的宣布也会导致银行股票的空头头寸减少，而不会损害其市场流动性。稳健性测试排除了我们的结果受干扰事件和预期效应影响的可能性。安慰剂测试证实，TLTRO 公告推动了估计的价格反应和空头头寸变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

British Accounting Review BUSINESS, FINANCE-

CiteScore

8.60

自引率

3.90%

发文量

审稿时长

76 days

期刊介绍： The British Accounting Review*is pleased to publish original scholarly papers across the whole spectrum of accounting and finance. The journal is eclectic and pluralistic and contributions are welcomed across a wide range of research methodologies (e.g. analytical, archival, experimental, survey and qualitative case methods) and topics (e.g. financial accounting, management accounting, finance and financial management, auditing, public sector accounting, social and environmental accounting; accounting education and accounting history), evidence from UK and non-UK sources are equally acceptable.