发布求助
文献互助 智能选刊 最新文献

Financial Markets, Institutions and Instruments最新文献

筛选
英文 中文
Were U.S. Banks Exposed to the Greek Debt Crisis? Evidence from Greek CDS Spreads 美国银行是否受到希腊债务危机的影响?希腊CDS息差就是证据
Financial Markets, Institutions and Instruments Pub Date : 2016-01-19 DOI: 10.1111/fmii.12036
Marcia Millon Cornett, Otgontsetseg Erhemjamts, Jim Musumeci
{"title":"Were U.S. Banks Exposed to the Greek Debt Crisis? Evidence from Greek CDS Spreads","authors":"Marcia Millon Cornett,&nbsp;Otgontsetseg Erhemjamts,&nbsp;Jim Musumeci","doi":"10.1111/fmii.12036","DOIUrl":"https://doi.org/10.1111/fmii.12036","url":null,"abstract":"<p>This study provides an empirical analysis of the impact of the Greek debt crisis on stock returns of U.S. commercial banks. We find that good (bad) news events pertaining to the Greek debt crisis, identified by large changes in the Greek CDS spread, produce insignificant positive (negative) abnormal stock returns. While banks were exposed to Greek debt, their exposure was such that it did not result in any abnormal fluctuations in bank values at the height of the crisis. When we measure the sensitivity of bank returns to changes in the Greek CDS spread in an effort to measure banks’ exposure to the crisis, we find that changes in the Greek CDS spread provide no additional explanatory power for bank returns beyond what a U.S. market index does. Finally, we find no bank characteristic that allows us to consistently predict the effect of the Greek crisis on specific banks.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"75-104"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12036","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849709","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: 3
The Role of Sovereign Ratings in M&A Markets: Empirical Evidence from Latin America and South East Asia 主权评级在并购市场中的作用:来自拉丁美洲和东南亚的经验证据
Financial Markets, Institutions and Instruments Pub Date : 2016-01-19 DOI: 10.1111/fmii.12034
Janna Mai Nguyen, Dodo zu Knyphausen-Aufseß
{"title":"The Role of Sovereign Ratings in M&A Markets: Empirical Evidence from Latin America and South East Asia","authors":"Janna Mai Nguyen,&nbsp;Dodo zu Knyphausen-Aufseß","doi":"10.1111/fmii.12034","DOIUrl":"https://doi.org/10.1111/fmii.12034","url":null,"abstract":"<p>Sovereign ratings have not only been regarded as an indicator of country risk for foreign investors, but also as a determining factor for capital market conditions of domestic firms. Although they have attracted growing interest in academic research, the extant literature has so far rendered only minor attention to their role in corporate strategic investment decisions. This paper focuses on the influence of sovereign ratings on domestic and cross-border M&amp;A decisions in a sample of Latin American and South East Asian countries. The empirical results lend support to the proposition that sovereign ratings condition the level of activity in domestic M&amp;A markets as well as the attractiveness of domestic M&amp;A targets for foreign acquirers. Moreover, the foreign bidders’ choice of ownership stakes in acquisitions appears to be affected. The paper thus highlights the relevance of sovereign ratings as a country-level factor to be considered in studies of corporate investment behavior.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"5-48"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849746","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
The Technology of Ratings Then and Now; Hiding in Plain Sight 评级技术的过去与现在隐藏在众目睽睽之下
Financial Markets, Institutions and Instruments Pub Date : 2016-01-19 DOI: 10.1111/fmii.12035
Berry K. Wilson, John T. Donnellan
{"title":"The Technology of Ratings Then and Now; Hiding in Plain Sight","authors":"Berry K. Wilson,&nbsp;John T. Donnellan","doi":"10.1111/fmii.12035","DOIUrl":"https://doi.org/10.1111/fmii.12035","url":null,"abstract":"The subprime crisis seriously undermined the credibility of the rating agencies and their approach to analyzing credit risk. Along with other identified problems with bond ratings, this study investigates the issue that the technology used by the ratings agencies is at best dated and little changed since John Moody published his first bond ratings in 1909. The study compares the predictive accuracy of Moody's bond ratings with the structural modeling approach of Vassalou and Xing (2004), using railroad data from the Great Depression. Study results show that the structural modeling approach outperforms the expert judgment incorporated in Moody's bond ratings from that period.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 1","pages":"49-74"},"PeriodicalIF":0.0,"publicationDate":"2016-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12035","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91849710","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
Understanding the Components of Bank Failure Resolution Costs 了解银行破产解决成本的组成部分
Financial Markets, Institutions and Instruments Pub Date : 2015-11-09 DOI: 10.1111/fmii.12031
Rosalind L. Bennett, Haluk Unal
{"title":"Understanding the Components of Bank Failure Resolution Costs","authors":"Rosalind L. Bennett,&nbsp;Haluk Unal","doi":"10.1111/fmii.12031","DOIUrl":"https://doi.org/10.1111/fmii.12031","url":null,"abstract":"<p>In this paper, we demonstrate how the resolution costs associated with over 1,000 bank failures from 1986 to 2007 are distributed across the method of resolution, bank size, regulatory periods, and the existence of fraud. In addition, we document the time spent in the resolution by the resolution method and legislative period. Finally, we show how various classes of claimants against the failed banks bear the costs of the failure.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 5","pages":"349-389"},"PeriodicalIF":0.0,"publicationDate":"2015-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12031","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91820260","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: 48
Estimating Portfolio Credit Losses in Downturns 估计经济低迷时期的投资组合信贷损失
Financial Markets, Institutions and Instruments Pub Date : 2015-11-09 DOI: 10.1111/fmii.12033
Fernando F. Moreira
{"title":"Estimating Portfolio Credit Losses in Downturns","authors":"Fernando F. Moreira","doi":"10.1111/fmii.12033","DOIUrl":"https://doi.org/10.1111/fmii.12033","url":null,"abstract":"This paper suggests formulas able to capture potential strong connection among credit losses in downturns without assuming any specific distribution for the variables involved. We first show that the current model adopted by regulators (Basel) is equivalent to a conditional distribution derived from the Gaussian Copula (which does not identify tail dependence). We then use conditional distributions derived from copulas that express tail dependence (stronger dependence across higher losses) to estimate the probability of credit losses in extreme scenarios (crises). Next, we use data on historical credit losses incurred in American banks to compare the suggested approach to the Basel formula with respect to their performance when predicting the extreme losses observed in 2009 and 2010. Our results indicate that, in general, the copula approach outperforms the Basel method in two of the three credit segments investigated. The proposed method is extendable to other differentiable copula families and this gives flexibility to future practical applications of the model.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 5","pages":"391-414"},"PeriodicalIF":0.0,"publicationDate":"2015-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12033","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91820263","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
Trading and Investing in Volatility Products 波动性产品的交易和投资
Financial Markets, Institutions and Instruments Pub Date : 2015-10-12 DOI: 10.1111/fmii.12032
Carol Alexander, Julia Kapraun, Dimitris Korovilas
{"title":"Trading and Investing in Volatility Products","authors":"Carol Alexander,&nbsp;Julia Kapraun,&nbsp;Dimitris Korovilas","doi":"10.1111/fmii.12032","DOIUrl":"https://doi.org/10.1111/fmii.12032","url":null,"abstract":"<p>Since the banking crisis the market for volatility exchange-traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer-term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up-to-date comparison of the market and statistical characteristics of European and US exchange-traded volatility products.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 4","pages":"313-347"},"PeriodicalIF":0.0,"publicationDate":"2015-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12032","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168031","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: 34
On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule 对最近危机的监管反应:对巴塞尔市场风险框架和沃尔克规则的评估
Financial Markets, Institutions and Instruments Pub Date : 2015-04-06 DOI: 10.1111/fmii.12025
Gordon J. Alexander, Alexandre M. Baptista, Shu Yan
{"title":"On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule","authors":"Gordon J. Alexander,&nbsp;Alexandre M. Baptista,&nbsp;Shu Yan","doi":"10.1111/fmii.12025","DOIUrl":"https://doi.org/10.1111/fmii.12025","url":null,"abstract":"<p>Banks around the world suffered huge trading losses in the recent crisis. In response, the Basel Committee on Banking Supervision (<span>2011a</span>) provides a revised framework to determine the minimum capital requirements for their trading portfolios. Moreover, the Dodd-Frank Wall Street Reform and Consumer Protection Act (<span>2010</span>) imposes certain restrictions on the composition of the trading portfolios of U.S. banks through the ‘Volcker Rule.’ Our paper assesses the effectiveness of the Basel framework and the Volcker Rule in preventing banks from taking substantive tail risk in their trading portfolios without capital requirement penalties. We find that the Basel framework is ineffective in preventing banks from doing so, but that the Volcker Rule is beneficial in that it partially mitigates this ineffectiveness. We also suggest two alternatives to the Basel framework and discuss the impact of the Volcker Rule if either one of them is adopted.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 2-3","pages":"87-125"},"PeriodicalIF":0.0,"publicationDate":"2015-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91804360","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: 6
A New Data Set On Competition In National Banking Markets 国家银行市场竞争的新数据集
Financial Markets, Institutions and Instruments Pub Date : 2015-04-06 DOI: 10.1111/fmii.12030
Sofronis Clerides, Manthos D. Delis, Sotirios Kokas
{"title":"A New Data Set On Competition In National Banking Markets","authors":"Sofronis Clerides,&nbsp;Manthos D. Delis,&nbsp;Sotirios Kokas","doi":"10.1111/fmii.12030","DOIUrl":"https://doi.org/10.1111/fmii.12030","url":null,"abstract":"<p>We estimate the degree of competition in the banking sectors of 148 countries over the period 1997–2010 using three methods: the Lerner index, the adjusted Lerner index, and the profit elasticity. Marginal cost estimates required for all methods are obtained using a flexible semi-parametric methodology. All three indices show that competitive conditions in banking deteriorated during the period 1997–2006, improved until 2008, and deteriorated again thereafter. Levels of competition differ across regions and income groups, but there is gradual convergence over time. Banking system is less competitive in sub-Saharan Africa and low income countries and more competitive in Europe and Central and South Asia and OECD countries.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 2-3","pages":"267-311"},"PeriodicalIF":0.0,"publicationDate":"2015-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12030","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109163829","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
Governance Quality and Information Asymmetry 治理质量与信息不对称
Financial Markets, Institutions and Instruments Pub Date : 2015-04-06 DOI: 10.1111/fmii.12026
Ahmed Elbadry, Dimitrios Gounopoulos, Frank Skinner
{"title":"Governance Quality and Information Asymmetry","authors":"Ahmed Elbadry,&nbsp;Dimitrios Gounopoulos,&nbsp;Frank Skinner","doi":"10.1111/fmii.12026","DOIUrl":"https://doi.org/10.1111/fmii.12026","url":null,"abstract":"<div>\u0000 <p>This paper explores the relation between corporate governance and asymmetric information. We find that proxies for governance mechanisms that encourage the monitoring of managers are inversely related to proxies for asymmetric information. Specifically, greater board independence, board activeness and debt financing are significantly and inversely related to the degree of asymmetric information as reflected in bid-ask spreads, volatility of share returns, normalised share trade volumes and market value of shares traded. This implies that corporate governance mechanisms that enhance managerial monitoring lead to improvements in the informational environment of the firm.</p></div>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 2-3","pages":"127-157"},"PeriodicalIF":0.0,"publicationDate":"2015-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12026","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109163828","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Signaling Effect of Durations between Equity and Debt Issues 股票和债券发行期限的信号效应
Financial Markets, Institutions and Instruments Pub Date : 2015-04-06 DOI: 10.1111/fmii.12027
Pawel Bilinski, Abdulkadir Mohamed
{"title":"The Signaling Effect of Durations between Equity and Debt Issues","authors":"Pawel Bilinski,&nbsp;Abdulkadir Mohamed","doi":"10.1111/fmii.12027","DOIUrl":"https://doi.org/10.1111/fmii.12027","url":null,"abstract":"<p>This study examines whether durations between equity and debt offerings allow investors to identify firms that are more likely to time issues of overvalued securities. We show that firms with higher stock overpricing are more likely to quickly issue both seasoned equity and debt following the previous capital acquisition. Investors understand issuers’ incentives to quickly return to the capital market and react less favorably to equity and debt issues that follow shortly after the previous offering. Together, the results show that durations between equity and debt issues provide valuable signals to investors on whether the issuer is likely to be timing the market.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"24 2-3","pages":"159-190"},"PeriodicalIF":0.0,"publicationDate":"2015-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109163831","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: 4
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信