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Bank Exposures and Sovereign Stress Transmission 银行风险敞口和主权压力传递
CEPR: Financial Economics (Topic) Pub Date : 2016-05-01 DOI: 10.2139/ssrn.2640131
Carlo Altavilla, M. Pagano, S. Simonelli
{"title":"Bank Exposures and Sovereign Stress Transmission","authors":"Carlo Altavilla, M. Pagano, S. Simonelli","doi":"10.2139/ssrn.2640131","DOIUrl":"https://doi.org/10.2139/ssrn.2640131","url":null,"abstract":"Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the crisis. First, public, bailed out and poorly capitalized banks responded to sovereign stress by purchasing domestic public debt more than other banks, with public banks’ purchases growing especially in coincidence with the largest ECB liquidity injections. Second, bank exposures significantly amplified the transmission of risk from the sovereign and its impact on lending. This amplification of the impact on lending does not appear to arise from spurious correlation or reverse causality.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"37 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87199260","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: 235
Financial Regulation in Europe: Foundations and Challenges 欧洲金融监管:基础与挑战
CEPR: Financial Economics (Topic) Pub Date : 2016-03-01 DOI: 10.1017/9781316636404.013
T. Beck, E. Carletti, Itay Goldstein
{"title":"Financial Regulation in Europe: Foundations and Challenges","authors":"T. Beck, E. Carletti, Itay Goldstein","doi":"10.1017/9781316636404.013","DOIUrl":"https://doi.org/10.1017/9781316636404.013","url":null,"abstract":"This chapter discusses recent regulatory reforms and relates them to different market failures in banking, based on the recent theoretical and empirical literature with focus on insights from the recent crisis. We also provide a broader discussion of challenges in financial sector regulation, related to the regulatory perimeter and financial innovation as tools financial market participants use to evade tighter regulatory frameworks. We argue for a dynamic view of regulation that takes into account the changing nature of risk-taking activities and regulatory arbitrage efforts. We also stress the need for a balanced approach between complex and simple tools, a strong focus on systemic in addition to idiosyncratic regulation, and a stronger emphasis on the resolution phase of financial regulation.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74950206","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: 10
Determinants of the Block Premium and of Private Benefits of Control 股权溢价和控制权私人利益的决定因素
CEPR: Financial Economics (Topic) Pub Date : 2008-03-01 DOI: 10.2139/ssrn.1099901
R. Albuquerque, Enrique J. Schroth
{"title":"Determinants of the Block Premium and of Private Benefits of Control","authors":"R. Albuquerque, Enrique J. Schroth","doi":"10.2139/ssrn.1099901","DOIUrl":"https://doi.org/10.2139/ssrn.1099901","url":null,"abstract":"We study the determinants of private benefits of control in negotiated block transactions. We estimate the block pricing model in Burkart, Gromb, and Panunzi (2000) explicitly dealing with the existence of both block premia and block discounts in the data. We find evidence that the occurrence of block premia and block discounts depends on the controlling block holder's ability to fight a potential tender offer for the target's stock. Private benefits represent 3% of the target firm's stock market value. Private benefits increase with the target's cash holdings and decrease with its short term debt providing evidence in favor of Jensen's free cash flow hypothesis. A counterfactual policy evaluation of the Mandatory Bid Rule suggests that it fails to add value to shareholders because it fails to prevent welfare decreasing transactions and, by forcing inefficient tender offers, it deters welfare increasing transactions.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75328733","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: 10
Wealth Inequality and Household Structure: US vs. Spain 财富不平等和家庭结构:美国vs.西班牙
CEPR: Financial Economics (Topic) Pub Date : 2008-02-01 DOI: 10.2139/ssrn.1093617
O. Bover
{"title":"Wealth Inequality and Household Structure: US vs. Spain","authors":"O. Bover","doi":"10.2139/ssrn.1093617","DOIUrl":"https://doi.org/10.2139/ssrn.1093617","url":null,"abstract":"We study the link between culturally inherited household structure and wealth distribution in international comparisons using household data for the US and Spain (the SCF and the EFF).\u0000We estimate counterfactual US distributions relying on the panish household structure. Our results show that differences in household structure account for most of the differences in\u0000the lower part of the distribution between the two countries, but mask even larger\u0000differences in the upper part of the distribution. Imposing the Spanish household structure to\u0000the US wealth distribution has little effect on summary measures of inequality. However, this\u0000is the net result of reduced differences at the bottom and increased differences at the top.\u0000So there is distinct additional information in considering the whole distribution. We also\u0000report some evidence of an association between these wealth distribution differences and\u0000wealth composition. Finally, we present results for the within-group differences between the\u0000two countries using quantile regressions and find a reversing pattern by age.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"66 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83690801","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: 67
More Insiders, More Insider Trading: Evidence from Private Equity Buyouts 更多内幕人士，更多内幕交易:来自私募股权收购的证据
CEPR: Financial Economics (Topic) Pub Date : 2007-12-01 DOI: 10.2139/ssrn.1072703
V. Acharya, Timothy C. Johnson
{"title":"More Insiders, More Insider Trading: Evidence from Private Equity Buyouts","authors":"V. Acharya, Timothy C. Johnson","doi":"10.2139/ssrn.1072703","DOIUrl":"https://doi.org/10.2139/ssrn.1072703","url":null,"abstract":"Recent takeover activity has been characterized by broader participation in acquiror financing on both debt and equity sides. We focus on private equity buyouts, and investigate whether the number of financing participants is related to the likelihood of insider trading prior to the bid announcement. Results suggest that more insiders leads to more insider trade. We study stock, option, bond, and CDS markets. Suspicious stock and options activity is associated with more equity participants, while suspicious activity in the credit markets is associated with more debt participants. The results highlight an important channel in the flow of information and may be consistent with models of limited competition among informed insiders. They are unlikely to be consistent with models of optimal regulation.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2007-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83978818","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: 135
Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt 投资者税收和风险债务的税收调整贴现率
CEPR: Financial Economics (Topic) Pub Date : 2007-09-01 DOI: 10.2139/ssrn.605581
Ian A Cooper, Kjell G. Nyborg
{"title":"Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt","authors":"Ian A Cooper, Kjell G. Nyborg","doi":"10.2139/ssrn.605581","DOIUrl":"https://doi.org/10.2139/ssrn.605581","url":null,"abstract":"This paper derives a tax-adjusted discount rate formula with a constant proportion leverage policy, investor taxes, and risky debt. The result depends on an assumption about the treatment of tax losses in default. We identify the assumption that justifies the textbook approach of discounting interest tax shields at the cost of debt. We contrast this with an alternative assumption that leads to the Sick (1990) result that these should be discounted at the riskless rate. These two approaches represent polar cases. Each generates its results by using a different simplifying assumption, and we explain what determines the correct treatment in practice. We also discuss implementation of the valuation procedure using the CAPM.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"40 1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77795696","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: 52
The EU Deposit Insurance Directive: Does One Size Fit All? 欧盟存款保险指令:一刀切吗?
CEPR: Financial Economics (Topic) Pub Date : 2005-10-01 DOI: 10.7551/mitpress/9780262042543.003.0007
H. Huizinga
{"title":"The EU Deposit Insurance Directive: Does One Size Fit All?","authors":"H. Huizinga","doi":"10.7551/mitpress/9780262042543.003.0007","DOIUrl":"https://doi.org/10.7551/mitpress/9780262042543.003.0007","url":null,"abstract":"The EU deposit insurance directive requires member states to maintain deposit insurance with a minimum insured amount of 20,000 euros. This paper reviews the rationale for international coordination of deposit insurance policies. For international externalities of deposit insurance policies to exist, there has to be international ownership of either bank deposits or bank shares. On both counts, EU banking markets are currently highly integrated. The minimum coverage of 20,000 euros imposes costs if it forces some countries to 'overinsure' deposits. From a national perspective, the deposit insurance directive does not appear to result in overinsurance in the EU-15, but there may be overinsurance in several of the new member states.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"45 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2005-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84138957","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: 11
Option-Pricing in Incomplete Markets: The Hedging Portfolio Plus a Risk Premium-Based Recursive Approach 不完全市场中的期权定价:对冲组合和基于风险溢价的递归方法
CEPR: Financial Economics (Topic) Pub Date : 2005-02-01 DOI: 10.2139/ssrn.674622
Alfredo Ibáñez
{"title":"Option-Pricing in Incomplete Markets: The Hedging Portfolio Plus a Risk Premium-Based Recursive Approach","authors":"Alfredo Ibáñez","doi":"10.2139/ssrn.674622","DOIUrl":"https://doi.org/10.2139/ssrn.674622","url":null,"abstract":"Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $hat{C_{0}}$ and then hedged. We consider recursive \"one-period optimal\" self-financing hedging strategies, a simple but tractable criterion. For continuous trading, diffusion processes, the one-period minimum variance portfolio is optimal. Let $C_{0}(0)$ be its price. Self-financing implies that the residual risk is equal to the sum of the one-period orthogonal hedging errors, $sum_{tleq T} Y_{t}(0) e^{r(T -t)}$. To compensate the residual risk, a risk premium $y_{t}Delta t$ is associated with every $Y_{t}$. Now let $C_{0}(y)$ be the price of the hedging portfolio, and $sum_{tleq T}(Y_{t}(y)+y_{t}Delta t)e^{r(T-t)}$ is the total residual risk. Although not the same, the one-period hedging errors $Y_{t}(0) and Y_{t}(y)$ are orthogonal to the trading assets, and are perfectly correlated. This implies that the spanned option payoff does not depend on y. Let $hat{C_{0}}-C_{0}(y)$. A main result follows. Any arbitrage-free price, $hat{C_{0}}$, is just the price of a hedging portfolio (such as in a complete market), $C_{0}(0)$, plus a premium, $hat{C_{0}}-C_{0}(0)$. That is, $C_{0}(0)$ is the price of the option's payoff which can be spanned, and $hat{C_{0}}-C_{0}(0)$ is the premium associated with the option's payoff which cannot be spanned (and yields a contingent risk premium of sum $y_{t}Delta$t$ e^{r(T-t)}$ at maturity). We study other applications of option-pricing theory as well.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2005-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82703988","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
Idiosyncratic Volatility and Product Market Competition 特质波动率与产品市场竞争
CEPR: Financial Economics (Topic) Pub Date : 2004-12-01 DOI: 10.1086/505251
José-Miguel Gaspar, M. Massa
{"title":"Idiosyncratic Volatility and Product Market Competition","authors":"José-Miguel Gaspar, M. Massa","doi":"10.1086/505251","DOIUrl":"https://doi.org/10.1086/505251","url":null,"abstract":"This Paper investigates the link between a firm’s competitive environment and the idiosyncratic volatility of its stock returns. We find that firms enjoying high market power, or established in concentrated industries, have lower idiosyncratic volatility. We posit that competition affects volatility in two distinct and inter-related ways. Market power works as a hedging instrument that smoothes out idiosyncratic fluctuations. At the same time, a high degree of market power implies lower information uncertainty for investors and therefore lower return volatility. We find strong support for both effects. Our results contribute to the understanding of recent trends of idiosyncratic volatility, and confirm the important link between stock market performance and the competitive environment of firms.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79270457","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: 447
Transparency and International Portfolio Holdings 透明度和国际投资组合控股
CEPR: Financial Economics (Topic) Pub Date : 2004-07-01 DOI: 10.1111/J.1540-6261.2005.00823.X
Gastón Gelos, S. Wei
{"title":"Transparency and International Portfolio Holdings","authors":"Gastón Gelos, S. Wei","doi":"10.1111/J.1540-6261.2005.00823.X","DOIUrl":"https://doi.org/10.1111/J.1540-6261.2005.00823.X","url":null,"abstract":"Does country transparency affect international portfolio investment? We examine this question by constructing new measures of transparency and by making use of a unique micro dataset on portfolio holdings of emerging market funds around the world. We distinguish between government and corporate transparency. There is clear evidence that funds invest systematically less in less transparent countries. There is also some evidence that during crises, funds flee from non-transparent countries to a greater extent.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2004-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90639112","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: 487
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