Financial Markets, Institutions and Instruments最新文献_第6页

Environmental Concerns and Impression Offsetting: New Evidence on Dividend Payout

Financial Markets, Institutions and Instruments Pub Date : 2022-06-17 DOI: 10.1111/fmii.12165

Ying Wang, Mingsheng Li, Amina Kamar

引用次数: 0

First-mover disadvantage: the sovereign ratings mousetrap 先发劣势:主权评级的捕鼠器

Financial Markets, Institutions and Instruments Pub Date : 2022-01-18 DOI: 10.1111/fmii.12155

Patrycja Klusak, Moritz Kraemer, Huong Vu

引用次数: 0

When leverage ratio meets derivatives: Running out of options?* 当杠杆率与衍生品相遇:没有选择余地?*

Financial Markets, Institutions and Instruments Pub Date : 2021-09-29 DOI: 10.1111/fmii.12154

Richard Haynes, Lihong McPhail

{"title":"When leverage ratio meets derivatives: Running out of options?*","authors":"Richard Haynes, Lihong McPhail","doi":"10.1111/fmii.12154","DOIUrl":"10.1111/fmii.12154","url":null,"abstract":"This paper examines the impact of Basel III leverage ratio on the competitive landscape of US derivatives markets. Because the leverage ratio focuses on notional amounts and does not fully recognize offsetting positions and risk-mitigating collateral, it is more likely the binding constraint for derivatives. The leverage ratio also put heterogeneous constraints on different types of institutions and activities. Using daily positions of clearing members and their customers on S&P 500 E-mini futures options, we test the following four hypotheses when the public disclosure of the leverage ratio became mandatory in January 2015: (1) banks lose market share to nonbanks; (2) US banks lose market share to European banks; (3) banks' clearing activities shift away from customer accounts to house accounts; (4) low-delta options are affected most by the leverage ratio. All hypotheses are confirmed in the data. Short-dated US Treasury futures options, which receive zero exposure in the leverage ratio calculation, do not exhibit such behavior. Our evidence suggests that the leverage ratio requirement pushes derivatives activities toward less constrained institutions and market segments.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"30 5","pages":"201-224"},"PeriodicalIF":0.0,"publicationDate":"2021-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"63448898","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: 2

Analoging the digital: Designing better binary option contracts 模拟数字:设计更好的二元期权合约

Financial Markets, Institutions and Instruments Pub Date : 2021-09-20 DOI: 10.1111/fmii.12151

Yisong S. Tian Ph.D.

引用次数: 0

The impact of legal advisor-issuer cooperation on securitization pricing 法律顾问与发行人合作对证券化定价的影响

Financial Markets, Institutions and Instruments Pub Date : 2021-09-16 DOI: 10.1111/fmii.12153

Nodirbek Karimov, Alper Kara, Gareth Downing

引用次数: 1

Law Firm expertise and shareholder wealth 律师事务所专业知识和股东财富

Financial Markets, Institutions and Instruments Pub Date : 2021-09-13 DOI: 10.1111/fmii.12152

Denis Schweizer, Ge Wu

引用次数: 0

Lender of last resort, buyer of last resort, and a fear of fire sales in the sovereign bond market* 最后贷款人，最后买家，以及对主权债券市场贱卖的恐惧*

Financial Markets, Institutions and Instruments Pub Date : 2021-05-08 DOI: 10.1111/fmii.12143

Viral Acharya, Diane Pierret, Sascha Steffen

引用次数: 2

Changes in trading behavior of analyst-affiliated institutions: the impact of the global analyst research settlement 分析师所属机构交易行为的变化:全球分析师研究结算的影响

Financial Markets, Institutions and Instruments Pub Date : 2021-04-24 DOI: 10.1111/fmii.12142

Hyoseok (David) Hwang

引用次数: 3

Has the Crisis Introduced a New Paradigm in Banks' Credit Allocation? The Non-financial Corporations' Perspective 危机是否为银行信贷配置引入了一种新模式？非金融公司视角

Financial Markets, Institutions and Instruments Pub Date : 2021-03-24 DOI: 10.1111/fmii.12141

Andresa Lopes, Vítor Oliveira, Ângelo Ramos, Fátima Silva

{"title":"Has the Crisis Introduced a New Paradigm in Banks' Credit Allocation? The Non-financial Corporations' Perspective","authors":"Andresa Lopes, Vítor Oliveira, Ângelo Ramos, Fátima Silva","doi":"10.1111/fmii.12141","DOIUrl":"10.1111/fmii.12141","url":null,"abstract":"In the years prior to the onset of the global financial crisis, the sharp credit growth, in a context of optimistic income expectations, boosted by an increase in competition in the banking system, less restrictive lending criteria and favorable financing conditions in international wholesale debt market, led to a marked rise in the debt levels of non-financial corporations. In this paper, we use a panel data regression, with fixed effect estimators, to study how the relationship between bank credit granted to each firm and a set of firm-specific indicators, that measure overall balance sheet performance and riskiness, changed over the 2006–2017 period. The results suggest that, during and after the Portuguese sovereign debt crisis, the sensitivity of the bank credit granted to firms to overall balance sheet strength and riskiness of firms increased, except in the case of leverage, where the sensitivity decreased slightly. Nonetheless, banks on average lent more to lower leveraged firms than to higher leveraged firms throughout the period considered. The results also show that statistical significance slightly reduces with the size of the firm and, when compared with the pre-crisis sub-period, banks did not increase lending to higher leveraged large firms in the crisis and post-crisis sub-periods. Finally, we find that the most capitalized banks were the ones more willing and/or able to support firms, during the crisis, even firms that experienced a deterioration in their indicators.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"30 2","pages":"31-62"},"PeriodicalIF":0.0,"publicationDate":"2021-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12141","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49611728","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

Risk Transfer with Interest Rate Swaps 利率掉期的风险转移

Financial Markets, Institutions and Instruments Pub Date : 2020-12-21 DOI: 10.1111/fmii.12135

Lee Baker, Richard Haynes, John Roberts, Rajiv Sharma, Bruce Tuckman

{"title":"Risk Transfer with Interest Rate Swaps","authors":"Lee Baker, Richard Haynes, John Roberts, Rajiv Sharma, Bruce Tuckman","doi":"10.1111/fmii.12135","DOIUrl":"https://doi.org/10.1111/fmii.12135","url":null,"abstract":"This paper proposes Entity-Netted Notionals (ENNs) as a metric of interest rate risk transfer in the interest rate swap (IRS) market. Unlike the ubiquitous metric of notional amount, ENNs normalize for risk and account for the netting of longs and shorts within counterparty relationships. Using regulatory data for U.S.-reporting entities, the size of the market measured by notional amount is $231 trillion, but, measured by ENNs, is only $13.9 trillion 5-year swap equivalents, which is the same order of magnitude as other large U.S. fixed income markets. This paper also quantifies the size and direction of IRS positions across and within various business sectors. Among the empirical findings are that 92% of entities using IRS are exclusively long or exclusively short. Hence, the vast majority of market participants are prototypical end users, and the extensive amount of netting in the market is attributable to the activity of relatively few, larger entities. Finally, some sector-specific empirical findings are inconsistent with widespread, prior beliefs. For example, pension funds and insurance companies are typically thought to be long IRS to hedge their long-term liabilities, and these sectors are indeed net long, but approximately 50% of individual entities in these sectors are actually net short.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"30 1","pages":"3-28"},"PeriodicalIF":0.0,"publicationDate":"2020-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12135","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109172536","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