Financial Crises eJournal最新文献

Banks’ Equity Stakes in Firms: A Blessing or Curse in Credit Markets? 银行持有公司股权:信贷市场是福还是祸?

Financial Crises eJournal Pub Date : 2021-09-28 DOI: 10.2139/ssrn.3932233

Falko Fecht, J. Peydró, Gunseli Tumer-Alkan, Yuejuan Yu

{"title":"Banks’ Equity Stakes in Firms: A Blessing or Curse in Credit Markets?","authors":"Falko Fecht, J. Peydró, Gunseli Tumer-Alkan, Yuejuan Yu","doi":"10.2139/ssrn.3932233","DOIUrl":"https://doi.org/10.2139/ssrn.3932233","url":null,"abstract":"We analyze how banks’ equity stakes in firms influence their credit supply in crisis times. For identification, we exploit the 2008 Global Financial Crisis and merge unique supervisory data from the German credit register on individual bank-firm credit exposures with the security register data that include banks’ equity holdings. We find that a large and ex-ante persistent equity position held by a bank in a firm is associated with a larger credit provision from the respective bank to that firm. In crisis times, however, equity stakes only foster credit supply to ex-ante riskier firms especially from relatively weak banks. This ex-ante risk-taking may be due to better (insider) information by the bank, including a traditional lending relationship over the crisis. However, this ex-ante riskier lending translates also into higher ex-post loan defaults, worse firm-level stock market returns and even more firm bankruptcy or restructuring cases. Our results therefore suggest that banks’ equity stakes in their borrowers do not mitigate debt overhang problems of distressed firms in crisis times, but rather foster evergreening of banks’ outstanding credit to those (zombie) firms.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123031703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Interbank Markets and Central Bank Intervention during the COVID-19 Crisis 2019冠状病毒病危机期间银行间市场和央行干预

Financial Crises eJournal Pub Date : 2021-09-16 DOI: 10.2139/ssrn.3929369

Janika Bockmeyer, Arne Reichel

引用次数: 1

Too Old to Fail: Risk Perception and Market Discipline 太老而不能失败:风险感知和市场纪律

Financial Crises eJournal Pub Date : 2021-09-06 DOI: 10.2139/ssrn.3918081

Shinichi Kamiya, Martin Grace, George Zanjani

引用次数: 0

The Socio-Political Theory of Crises (SPTC) 危机的社会政治理论(SPTC)

Financial Crises eJournal Pub Date : 2021-08-09 DOI: 10.2139/ssrn.3902103

John Diamondopoulos

引用次数: 0

Opinions, Prices and Fibonacci Structures 意见，价格和斐波那契结构

Financial Crises eJournal Pub Date : 2021-08-05 DOI: 10.2139/ssrn.3899879

Nicolas Maloumian

引用次数: 0

Networks and Performance of Index-Benchmarked Mutual Funds 指数基准共同基金的网络和业绩

Financial Crises eJournal Pub Date : 2021-07-26 DOI: 10.2139/ssrn.3895583

Dan Xia Wong, Chia-Yi Yen

{"title":"Networks and Performance of Index-Benchmarked Mutual Funds","authors":"Dan Xia Wong, Chia-Yi Yen","doi":"10.2139/ssrn.3895583","DOIUrl":"https://doi.org/10.2139/ssrn.3895583","url":null,"abstract":"This paper establishes empirical evidence that network among mutual funds that share a similar benchmark plays an important role in changes in fund net asset value (NAV) and total net assets (TNA). Using a matrix that indicates the level of overlapped security holdings of funds, we obtain eigenvector centrality, which measures the `influence' of each fund. A fund that has high eigenvector centrality is one that has high fund holdings overlap with other peers, who themselves have high overlap with others. A panel VAR analysis shows significant positive relation of changes in lagged eigenvector centrality with changes in fund NAV and TNA. Changes in eigenvector centrality `Granger causes' changes in fund's NAV and TNA and vice versa. A shock in centrality leads to an increase in fund NAV and TNA. These results make eigenvector centrality a feasible indicator to measure the benchmark-induced herding of individual funds. High centrality funds that have the highest herding tendencies among their peers have the largest average total assets under management. In general, high centrality funds have the lowest tracking error, fund beta, expense and turnover ratios and management fees compared to their peers. To achieve these criteria, high centrality funds have larger exposure to the `low-beta' stock market segment compared to their peers, as well as small but nimble positions in the `high-beta' stock market segment.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133140933","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Business Model Contributions to Bank Profit Performance: A Machine Learning Approach 商业模式对银行利润表现的贡献:一种机器学习方法

Financial Crises eJournal Pub Date : 2021-06-28 DOI: 10.2139/ssrn.3875650

Fernando Bolívar, Miguel A. Duran, Ana Lozano-Vivas

引用次数: 2

Harnessing the Potential of Private Assets: A Framework for Institutional Portfolio Construction 利用私人资产的潜力:机构投资组合构建的框架

Financial Crises eJournal Pub Date : 2021-06-01 DOI: 10.2139/ssrn.3877588

Junying Shen, Michelle Teng, Ding Li, G. Qiu

{"title":"Harnessing the Potential of Private Assets: A Framework for Institutional Portfolio Construction","authors":"Junying Shen, Michelle Teng, Ding Li, G. Qiu","doi":"10.2139/ssrn.3877588","DOIUrl":"https://doi.org/10.2139/ssrn.3877588","url":null,"abstract":"Institutional portfolios are increasing allocations to illiquid private assets seeking better returns and diversification. However, as allocations increase, a portfolio’s liquidity structure changes, sometimes abruptly. How can a CIO increase their confidence with private asset allocations and unlock their potential? Using a corporate defined benefit pension plan as our example, we present and illustrate a practical framework (OASIS TM) that can help CIOs analyze how their top-down asset allocation and their bottom-up private investing activity interact to affect their portfolio’s ability to respond to liquidity demands in a multi-asset, multi-period setting. This is exactly what a CIO needs to know. Besides scheduled benefit payments, corporate pension plans have many unexpected liquidity demands which should be accounted for when evaluating liquidity risk. For example, a plan should be able to rebalance when market movements cause allocations to exceed risk limits. A plan also needs liquidity to meet unexpected capital calls and be prepared for exogenous cash flow events driven by corporate actions (e.g., pension risk transfers, corporate contributions, and merger and acquisition activities). Many plans also have asset allocation glide paths, conditional on the plan’s funding ratio, that present additional liquidity strains as it may be difficult to sell illiquid assets to satisfy new allocation targets. The CIO’s challenge is to maximize expected portfolio performance while keeping liquidity risk under control. By measuring the potential tradeoff between asset allocation, portfolio performance and multiple dimensions of liquidity risk, the OASIS framework can help CIOs make more informed portfolio management decisions.","PeriodicalId":123550,"journal":{"name":"Financial Crises eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123378176","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort 系统性风险与货币政策:最后贷款人的减记缺口渠道

Financial Crises eJournal Pub Date : 2021-05-31 DOI: 10.2139/ssrn.3857237

Martina Jašová, L. Laeven, Caterina Mendicino, J. Peydró, Dominik Supera

引用次数: 5

Housing Booms and Bank Growth 房地产繁荣和银行增长

Financial Crises eJournal Pub Date : 2021-05-15 DOI: 10.2139/ssrn.3749564

M. Flannery, Leming Lin, Luxi Wang

引用次数: 1