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ABSTRACT This paper assesses the impact of the geographic diversification of bank holding company (BHC) assets across the United States on (1) their market valuations and (2) the generosity of their loans to bank executives. We find that... more
ABSTRACT This paper assesses the impact of the geographic diversification of bank holding company (BHC) assets across the United States on (1) their market valuations and (2) the generosity of their loans to bank executives. We find that exogenous increases in geographic diversity reduce BHC valuations and increase the frequency and size of insider loans. These findings are consistent with the view that geographic diversity makes it more difficult for shareholders and creditors to monitor bank executives, allowing corporate insiders to extract larger private benefits from controlling complex BHCs.
... emerging markets conference for useful comments and/or discussions. We would like to thank Supreet Arora and Masha Galeb for excellent research assistance. This paper's findings, interpretation, and conclusion are entirely... more
... emerging markets conference for useful comments and/or discussions. We would like to thank Supreet Arora and Masha Galeb for excellent research assistance. This paper's findings, interpretation, and conclusion are entirely those ...
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... Luc Laeven Senior Economist, IMF Research Department (RES) Room HQ1 9-700B Mail stop HQ1 9-700 700 19th Street, NW 20431, Washington DC USA Email: LLAEVEN@IMF.ORG ... Several studies, mainly based on US data and surveyed by Hines... more
... Luc Laeven Senior Economist, IMF Research Department (RES) Room HQ1 9-700B Mail stop HQ1 9-700 700 19th Street, NW 20431, Washington DC USA Email: LLAEVEN@IMF.ORG ... Several studies, mainly based on US data and surveyed by Hines (1999) and ...
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Research Interests: Asset Pricing, Accounting, Corporate Governance, Economic Growth, Capital Markets, and 15 moreCorporate Finance, Common Law, Cost of Capital, Corporations, Debt, Bonds, Benchmark, Capital Budgeting, Accounting standards, Allocation, Economic Efficiency, Corporation, Capital Market, Common Stock, and Adverse effect
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Interaction Between Monetary Policy & Macroprudential Policies
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Page 1. Beyond the Biggest: Do Other Large Shareholders Influence Corporate Valuations? Luc Laeven and Ross Levine* This Draft: March 13, 2005 ... JEL Classification: G32, G34 * Laeven: World Bank and CEPR; Levine: University of Minnesota... more
Page 1. Beyond the Biggest: Do Other Large Shareholders Influence Corporate Valuations? Luc Laeven and Ross Levine* This Draft: March 13, 2005 ... JEL Classification: G32, G34 * Laeven: World Bank and CEPR; Levine: University of Minnesota and NBER. ...
... Available online at: www.cepr.org/pubs/dps/DP6256.asp www.ssrn.com/xxx/xxx/xxx No. 6256 ... Page 4. * We are grateful to Stijn Claessens, Ruogo Huang, and Inessa Love for useful comments. We would like to thank the World Bank for... more
... Available online at: www.cepr.org/pubs/dps/DP6256.asp www.ssrn.com/xxx/xxx/xxx No. 6256 ... Page 4. * We are grateful to Stijn Claessens, Ruogo Huang, and Inessa Love for useful comments. We would like to thank the World Bank for financial support to purchase the ISS data. ...
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DISCLAIMER: This Staff Discussion Note represents the views of the authors and does not necessarily represent IMF views or IMF policy. The views expressed herein should be attributed to the authors and not to the IMF, its Executive Board,... more
DISCLAIMER: This Staff Discussion Note represents the views of the authors and does not necessarily represent IMF views or IMF policy. The views expressed herein should be attributed to the authors and not to the IMF, its Executive Board, or its management. Staff Discussion Notes are published to elicit comments and to further debate. JEL Classification Numbers: Keywords: Author’s E-mail Address:
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ABSTRACT This paper proposes a theoretically sound and easy-to-implement way to measure systemic risk of banks using publicly available accounting and stock market data. The measure models credit risk of banks as a put option on bank... more
ABSTRACT This paper proposes a theoretically sound and easy-to-implement way to measure systemic risk of banks using publicly available accounting and stock market data. The measure models credit risk of banks as a put option on bank assets, a tradition that originated with Merton (1974). We extend his contribution by expressing the value of banking-sector losses from systemic default risk as the value of a put option written on a portfolio of aggregate bank assets whose exercise price equals the face value of aggregate bank debt. We conceive of an individual bank’s systemic risk as its contribution to the value of this potential sector-wide put on the financial safety net. To track the interaction of private and governmental sources of systemic risk during and in advance of successive business-cycle contractions, we apply our model to quarterly data over the period 1974-2010. Results indicate that systemic risk reached unprecedented highs during the years 2008-2010, and that bank size, leverage, and asset risk are key drivers of systemic risk.
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Abstract:Using bank- level data, we apply the Panzar and Rosse (1987) methodology to estimate the extent to which changes in input prices are reflected in revenues earned by specific banks in 50 countries’ banking systems. We then relate... more
Abstract:Using bank- level data, we apply the Panzar and Rosse (1987) methodology to estimate the extent to which changes in input prices are reflected in revenues earned by specific banks in 50 countries’ banking systems. We then relate this competitiveness measure to indicators of countries’ banking system structures and regulatory regimes. We find systems with greater foreign bank entry and