AFA2019会议论文（7）：Risk and Return in Financial Intermediation

AFA2019会议论文（7）：Risk and Return in Financial Intermediation

金融经济学 1周前

Judging Banks’ Risk by the Profits They Report

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The Private Production of Safe Assets

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Do Banks have an Edge? 

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1、Judging Banks’ Risk by the Profits They Report 

Ben Meiselman, Johns Hopkins University

Stefan Nagel, University of Chicago

Amiyatosh Purnanandam, University of Michigan

Abstract

In competitive capital markets, portfolios of risky debt claims have high systematic risk exposure in bad times if they offer a high “yield” in good times. We apply this idea to measurement of bank risk. Rather than trying to directly measure asset risks on the balance sheet—the typical (manipulation-prone) approach in model-based regulation— we explore high rates of profit in good times as an indicator of systematic tail risk exposure. We show empirically, for cross-sections of banks in the financial crisis of 2007-2008 as well as the savings and loan crisis of the 1980s, that high accounting profitability prior to the crisis predicts high systematic tail risk of equity market values during the crisis, and most strongly so if pre-crisis profits arise from non-interest income or are paid out as dividends. Pre-crisis profit measures do a better job in predicting systematic tail risk than conventional measures based on risk-weighted assets.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=790

2、The Private Production of Safe Assets

Marcin Kacperczyk, Imperial College London
Christophe Perignon, HEC Paris
Guillaume Vuillemey, HEC Paris

Abstract

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) and commercial paper (CP) issued in Europe. We show that only very shortterm private securities benefit from a premium for safety. Using a structural model and several identification strategies, we show that the issuance of short-term CDs, but not of CPs, strongly responds to measures of safety demand. The private production of safe assets is stronger for issuers with high creditworthiness, and breaks down during episodes of market stress. We conclude that even very shortterm private assets are sensitive to changes in the information environment and should not be treated as equally safe at all times.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1291

3、Do Banks have an Edge?

Juliane Begenau, Stanford University

Abstract

We decompose bank activities into passive and active components and evaluate the performance of the active components of the bank business model by controlling for passive maturity transformation strategies that can be executed in the capital market. Over the period 1960-2016, we find that (1) unlevered bank assets underperform passive portfolios of maturity-matched US Treasury bonds, (2) the cost of bank deposits exceeds the cost of bank debt, (3) bank equities have CAPM betas near one, while passive maturity transformation strategies have CAPM betas near zero, and (4) portfolios of bank equities consistently underperform portfolios designed to passively mimic their economic exposures. The very strong investment performance of passive maturity transformation strategies over this period may mask the underperformance of the specialized bank activities.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1565

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