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Review of Finance
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#1David Buchuk (UC: Pontifical Catholic University of Chile)H-Index: 1
#2Borja LarrainH-Index: 9
Last.Francisco I Urzúa (City University London)H-Index: 1
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#1Paul M. Guest (University of Cambridge)H-Index: 10
#2Paul M. Guest (University of Cambridge)H-Index: 2
Last.Marco Nerino (University of Cambridge)
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#1Bige Kahraman (University of Oxford)H-Index: 3
#2Heather Tookes (Yale University)H-Index: 9
Does trader leverage exacerbate the liquidity co-movement that we observe during crises? We exploit the threshold rules governing margin trading eligibility in India to identify a causal relationship between trader leverage and the extent to which a stock’s liquidity covaries with the liquidity of other stocks. We find that trader leverage causes sharp increases in comovement during severe market downturns. For our sample of stocks, the estimates suggest that the trader leverage channel explains...
#1Carlos Oscar Arteta (Federal Reserve System)H-Index: 11
#2Mark S. Carey (Federal Reserve System)H-Index: 14
Last.Jason D. Kotter (PSU: Pennsylvania State University)H-Index: 4
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We empirically examine financial institutions' motivations to take systematic bad-tail risk in the form of sponsorship of credit-arbitrage asset-backed commercial paper vehicles. A run on debt issued by such vehicles played a key role in causing and propagating the liquidity crisis that began in the summer of 2007. We find evidence consistent with important roles for both owner-manager agency problems and government-induced distortions, especially government control or ownership of banks.
#1Craig Doidge (U of T: University of Toronto)H-Index: 18
#2Alexander Dyck (U of T: University of Toronto)H-Index: 19
Last.Aazam Virani (UA: University of Arizona)H-Index: 1
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Can institutional investors generate sufficient power through collective action to drive improvements in governance? We use proprietary data on the private communications of a formal coalition of Canadian institutional investors and find that its private engagements influenced firms’ adoption of majority voting and say-on-pay advisory votes, improved compensation structure and disclosure, and influenced CEO incentive intensity. Spillovers to non-engaged firms occur through board interlocks and t...
#1Elena Carletti (EUI: European University Institute)H-Index: 25
#2Agnese Leonello (ECB: European Central Bank)H-Index: 5
We develop a model where banks invest in reserves and loans, and face aggregate liquidity shocks. Banks with liquidity shortage sell loans on the interbank market. Two equilibria emerge. In the no default equilibrium, all banks hold enough reserves and remain solvent. In the mixed equilibrium, some banks default with positive probability. The former exists when credit market competition is intense. The latter emerges when banks exercise market power. Thus, competition is beneficial to financial ...
#1Yvonne Jie Chen (NUS: National University of Singapore)H-Index: 2
#2Zhiwu Chen (HKU: University of Hong Kong)H-Index: 17
Last.Shijun He (SWUFE: Southwestern University of Finance and Economics)
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#1Tobias Berg (Frankfurt School of Finance & Management)H-Index: 17
#2Manju Puri (Duke University)H-Index: 25
Last.Jörg Rocholl (European School of Management and Technology)H-Index: 12
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There is increasing reliance on quantitative complex models, such as internal ratings based (IRB) models for bank regulation, with much resources being spent on model validation exercises. We argue that a significant cost of IRB models that is not well understood or monitored is the change in loan officer incentives down the line. Using proprietary data on almost a quarter million loan applications, we show loan officer incentives significantly skew ratings even if the quantitative model is corr...
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