The Wharton Financial Institutions Center

Displaying 1-16 of 16 results

  • White Papers // Jan 2011

    Social Networks And Career Outcomes

    Social capital theory predicts that individuals tend to establish social ties on the basis of homophily, i.e., affinities for similar others. In this paper, the authors exploit a unique dataset of biographical data for the entire population of executive appointments in German banks for the period 1993-2008, over 10,900 person-year...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jan 2011

    Did Doubling Reserve Requirements Cause The Recession Of 1937-1938?

    In 1936-37, the Federal Reserve doubled the reserve requirements imposed on member banks. Ever since, the question of whether the doubling of reserve requirements increased reserve demand and produced a contraction of money and credit, and thereby helped to cause the recession of 1937-1938, has been a matter of controversy....

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jan 2011

    Entrepreneurial Spawning And Firm Characteristics

    The authors analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. The authors examine the dynamics of spawning over time. This model accounts for much of the empirical evidence relating to the relation between spawning and firm characteristics. Firms that...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Dec 2010

    The Investment Value Of Mutual Fund Portfolio Disclosure

    This paper shows that publicly disclosed mutual fund portfolio holdings contain valuable information about stock fundamentals and future returns. The authors develop a model to efficiently aggregate this information across actively-managed funds with differential skills to predict individual stock returns. This stock-level measure, which the authors call the "Generalized-Inverse Alpha"...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Nov 2010

    Bankruptcy, Finance Constraints And The Value Of The Firm

    The authors study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when a finance constraint is binding. The anticipation of such "Losses" alone may distort...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Nov 2010

    Does Sign Matter More Than Size? An Investigation Into The Source Of Investor Overconfidence

    Using a unique and large dataset, the present paper contributes new insights to the growing literature on behavioral biases in portfolio decisions of individual investors. The authors find that the sign of the outcomes of recent past stock trades, where a positive sign indicates a profitable trade and a negative...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Oct 2010

    Rollover Risk And Market Freezes

    The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. The authors present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. In the event of default, the creditors...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Oct 2010

    Insuring Non-Veriable Losses And The Role Of Intermediaries

    The authors analyze optimal risk sharing arrangements when losses are observable by policyholders and insurers but not verifiable. The optimal contract to insure individual losses can be implemented through a standard insurance contract with a deductible where the policyholder bears all losses lower than the deductible and an upper limit...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Sep 2010

    Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach

    Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for large financial institutions it is required that operational risk be separately measured. The capital being held to safeguard against such risk...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Sep 2010

    A Note On Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach

    Since the author circulated a working paper (coauthored with Kabir Dutta) entitled "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach" on the Wharton Financials Institutions Center website in March of 2010, many different questions have been received concerning the methodology the authors used. While...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jul 2010

    Commentary: Capital Regulation And Risk Sharing

    Minimum capital requirements are one of the three "Pillars" of macro-prudential regulation. As a result of the financial crisis of 2008-09, there have been proposals to increase the amount of capital banks are required to hold. A capital structure that contains a substantial amount of equity has a number of...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Apr 2010

    Thoughts On The Future Of The Hedge Fund Industry

    Treatments of the future of hedge funds represent daunting tasks, not in the least because understanding hedge funds' past is still a subject of intense academic, industry practitioner, regulatory and legislative examination. Even the very definition of a hedge fund defies easy characterization, an unusual irony given that, at least...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Dec 2009

    Did Fair-Value Accounting Contribute To The Financial Crisis?

    The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, the authors assess these arguments and examine the role...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Aug 2009

    Bank Capital, Survival, And Performance Around Financial Crises

    What does capital do for banks around financial crises? The authors address this question by examining the effect of pre-crisis bank capital ratios on banks' ability to survive financial crises, and on their competitive positions, profitability, and stock returns during and after such crises. They distinguish between two banking crises...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Aug 2009

    Hedge Funds As Liquidity Providers: Evidence From The Lehman Bankruptcy

    Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, the authors show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these funds failed twice as often as otherwise-similar funds after...

    Provided By The Wharton Financial Institutions Center

  • White Papers // May 2009

    Takeover Activity And Target Valuations: Feedback Loops In Financial Markets

    Asset prices both affect and reflect real decisions. This paper provides evidence of this two-way relationship in the takeover market. The authors find that a firm's discount to its potential value significantly attracts takeovers (the "Trigger effect") - but market expectations of an acquisition cause the discount to shrink (the...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jan 2011

    Did Doubling Reserve Requirements Cause The Recession Of 1937-1938?

    In 1936-37, the Federal Reserve doubled the reserve requirements imposed on member banks. Ever since, the question of whether the doubling of reserve requirements increased reserve demand and produced a contraction of money and credit, and thereby helped to cause the recession of 1937-1938, has been a matter of controversy....

    Provided By The Wharton Financial Institutions Center

  • White Papers // Nov 2010

    Bankruptcy, Finance Constraints And The Value Of The Firm

    The authors study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms' assets at fire sale prices when a finance constraint is binding. The anticipation of such "Losses" alone may distort...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jul 2010

    Commentary: Capital Regulation And Risk Sharing

    Minimum capital requirements are one of the three "Pillars" of macro-prudential regulation. As a result of the financial crisis of 2008-09, there have been proposals to increase the amount of capital banks are required to hold. A capital structure that contains a substantial amount of equity has a number of...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Oct 2010

    Rollover Risk And Market Freezes

    The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. The authors present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. In the event of default, the creditors...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Dec 2010

    The Investment Value Of Mutual Fund Portfolio Disclosure

    This paper shows that publicly disclosed mutual fund portfolio holdings contain valuable information about stock fundamentals and future returns. The authors develop a model to efficiently aggregate this information across actively-managed funds with differential skills to predict individual stock returns. This stock-level measure, which the authors call the "Generalized-Inverse Alpha"...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Nov 2010

    Does Sign Matter More Than Size? An Investigation Into The Source Of Investor Overconfidence

    Using a unique and large dataset, the present paper contributes new insights to the growing literature on behavioral biases in portfolio decisions of individual investors. The authors find that the sign of the outcomes of recent past stock trades, where a positive sign indicates a profitable trade and a negative...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jan 2011

    Social Networks And Career Outcomes

    Social capital theory predicts that individuals tend to establish social ties on the basis of homophily, i.e., affinities for similar others. In this paper, the authors exploit a unique dataset of biographical data for the entire population of executive appointments in German banks for the period 1993-2008, over 10,900 person-year...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Jan 2011

    Entrepreneurial Spawning And Firm Characteristics

    The authors analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. The authors examine the dynamics of spawning over time. This model accounts for much of the empirical evidence relating to the relation between spawning and firm characteristics. Firms that...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Oct 2010

    Insuring Non-Veriable Losses And The Role Of Intermediaries

    The authors analyze optimal risk sharing arrangements when losses are observable by policyholders and insurers but not verifiable. The optimal contract to insure individual losses can be implemented through a standard insurance contract with a deductible where the policyholder bears all losses lower than the deductible and an upper limit...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Sep 2010

    Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach

    Operational risk is now increasingly being considered an important financial risk and has been gaining importance similar to market and credit risk. In particular, in the banking regulation for large financial institutions it is required that operational risk be separately measured. The capital being held to safeguard against such risk...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Apr 2010

    Thoughts On The Future Of The Hedge Fund Industry

    Treatments of the future of hedge funds represent daunting tasks, not in the least because understanding hedge funds' past is still a subject of intense academic, industry practitioner, regulatory and legislative examination. Even the very definition of a hedge fund defies easy characterization, an unusual irony given that, at least...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Sep 2010

    A Note On Scenario Analysis In The Measurement Of Operational Risk Capital: A Change Of Measure Approach

    Since the author circulated a working paper (coauthored with Kabir Dutta) entitled "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach" on the Wharton Financials Institutions Center website in March of 2010, many different questions have been received concerning the methodology the authors used. While...

    Provided By The Wharton Financial Institutions Center

  • White Papers // May 2009

    Takeover Activity And Target Valuations: Feedback Loops In Financial Markets

    Asset prices both affect and reflect real decisions. This paper provides evidence of this two-way relationship in the takeover market. The authors find that a firm's discount to its potential value significantly attracts takeovers (the "Trigger effect") - but market expectations of an acquisition cause the discount to shrink (the...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Dec 2009

    Did Fair-Value Accounting Contribute To The Financial Crisis?

    The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, the authors assess these arguments and examine the role...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Aug 2009

    Bank Capital, Survival, And Performance Around Financial Crises

    What does capital do for banks around financial crises? The authors address this question by examining the effect of pre-crisis bank capital ratios on banks' ability to survive financial crises, and on their competitive positions, profitability, and stock returns during and after such crises. They distinguish between two banking crises...

    Provided By The Wharton Financial Institutions Center

  • White Papers // Aug 2009

    Hedge Funds As Liquidity Providers: Evidence From The Lehman Bankruptcy

    Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, the authors show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these funds failed twice as often as otherwise-similar funds after...

    Provided By The Wharton Financial Institutions Center