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  1. Fluctuating bail-in expectations and effects on market discipline, risk-taking and cost of capital
    Autor*in: Giuliana, Raffaele
    Erschienen: [2022]
    Verlag:  European Systemic Risk Board, Frankfurt am Main, Germany

    Through the compulsory participation of junior investors in bearing losses of their failing bank, the bailin attempts to limit bail-outs' side-effects in terms of market discipline, too-big-to-fail, bank-sovereign nexus and risk-taking. This paper... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 611
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    Through the compulsory participation of junior investors in bearing losses of their failing bank, the bailin attempts to limit bail-outs' side-effects in terms of market discipline, too-big-to-fail, bank-sovereign nexus and risk-taking. This paper assesses the consequences of bail-in expectations along these dimensions ensuring - through a bond pricing study - that bail-in expectations are not confounded by other factors. Using hand-collected details of EU bail-in events, I study both positive and negative exogenous shocks to bail-in expectations, offering three sets of findings. First, bail-in events can reinforce (or weaken) bail-in expectations, as shown by Khwaja-Mian tests (validated by placebo analyses). Second, bail-in expectations promote market discipline, and mitigate too-big-to-fail and banksovereign nexus. Third, bail-in effects on bank resilience appear mixed. While it incentivises banks to reduce risk-taking (e.g., increasing risk-weighted equity by a third of Basel III requirement), it also remarkably exacerbates total funding costs through an increase in equity cost (partially off-set by a debt cost reduction).

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789294722553
    Weitere Identifier:
    hdl: 10419/265234
    Schriftenreihe: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 133 (March 2022)
    Schlagworte: Bail-in; Fixed-income Claims; Expectations; Rating; Market Discipline; Risk-taking; Cost of Capital; Financial Stability
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Illiquidity and the cost of equity capital
    evidence from actual estimates of capital cost for U.S. data
    Autor*in: Goyal, Amit; Subrahmanyam, Avanidhar; Swaminathan, Bhaskaran
    Erschienen: January 14, 2022
    Verlag:  Swiss Finance Institute, Geneva

    Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002)... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC estimates. A difference-in-differences analysis around exogenous brokerage closures reveals that Amihud illiquidity increases without an impact on CoC. Nonetheless, other illiquidity measures, such as those based on serial covariances, zero returns, and price impact, do show a strong positive relation with CoC. However, we do not find evidence that liquidity risk and the probability of informed trade influence CoC. Overall, our results advance our understanding of precisely which illiquidity measures influence required firm returns

     
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    Sprache: Englisch
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    Schriftenreihe: Swiss Finance Institute research paper series ; no 21, 87
    Schlagworte: Trading Costs; Cost of Capital; Determinants of Equity Returns; Liquidity Premia
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  3. What drives inventory accumulation?
    news on rates of return and marginal costs
    Autor*in: Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A.
    Erschienen: [2022]
    Verlag:  Rimini Centre for Economic Analysis, [Waterloo, Ontario]

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    Schriftenreihe: Working paper series / Rimini Centre for Economic Analysis ; wp 22, 11
    Schlagworte: Structural VAR; News Shocks; Inventories; Cost of Capital
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  4. What drives inventory accumulation?
    news on rates of return and marginal costs
    Autor*in: Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A.
    Erschienen: [2022]
    Verlag:  Australian National University, Crawford School of Public Policy, Canberra

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: CAMA working paper series ; 2022, 53 (September 2022)
    Schlagworte: Structural VAR; News Shocks; Inventories; Cost of Capital
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  5. Renewable entry costs, project finance and the role of revenue quality in Australia's national electricity market
    Autor*in: Gohdes, Nicholas; Simshauser, Paul
    Erschienen: [2022]
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 2206
    EPRG working paper ; 2204
    Schlagworte: Renewable Energy; PPAs; Project Finance; Counterparty Credit; Cost of Capital
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  6. Modelling sustainable investing in the CAPM
    Autor*in: Hens, Thorsten; Trutwin, Ester
    Erschienen: April 2024
    Verlag:  Kyoto University, Kyoto, Japan

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: KIER discussion paper series ; no. 1104
    Schlagworte: Sustainable Investing; ESG rating; CAPM; Growth Channel; Reform Channel; Cost of Capital
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen