infonet-economy

We review existing empirical research on the design and impact of regulation in the banking sector. The impact of each individual piece of regulation may inexorably depend on the set of regulations already in place, the characteristics of the banks involved (from their size or ownership structure to operational idiosyncrasies in terms of capitalization levels or risk taking behavior…

The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers
has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the Century. We estimate excess returns before and after the onset of the most recent…

The following paper proposes a portfolio performance measure to optimize, mostly bond asset portfolios usually held for regulatory purposes from a risk focused perspective. The measure is based on variations of the proximity measure introduced by the Random Forests framework, leading to a proximity based performance ratio. The proximities are modeled using a recursive conditional…

This paper examines potential impacts of banks' leverage on their incentives to manage their liquidity. We analyze a model where banks control their liquidity risk by managing their liquid asset positions. In the basic framework, a model with a single bank, where the possibility of selling long-term assets when in need of liquidity is not taken into account, we find that the…

Purpose – Investment advisors play a significant role in financial markets, yet the determinants of their behavior have not been explored in detail. The purpose of this paper is to explore the determinants of how actively advisors communicate about sustainable investing with their clients, and differences in the preferences of advisors compared to investors. Design/methodology/…

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false…

There is a widely held view within the general public that large corporations should act in the interests of a broader group of agents than just their shareholders (the stake- holder view). This paper presents a framework where this idea can be justified. The point of departure is the observation that a large firm typically faces endogenous risks that may have a significant…