Weitere Artikel dieser Ausgabe durch Wischen aufrufen
We investigate the extent to which banks’ quarter-end borrowings in the repurchase market deviate from within-quarter levels, and associated factors. Quarter-end repo liabilities are materially lower than within-quarter averages for a large fraction of sample banks. These deviations are more pronounced at banks with a higher concentration of repo borrowings in their liability structure and with larger absolute trading gains or losses. Furthermore, the association with trading activity is mitigated when banks are better capitalized. We also find that these deviations are associated with bank depositor and borrower behavior. Together, the evidence suggests that deviations reflect both active window dressing and passive customer-driven liquidity dynamics. We document that unexpected downward quarter-end deviations in repo liabilities are associated with adverse short-term capital market consequences. Over the long term, banks with more frequent downward quarter-end deviations exhibit higher credit risk, but we find mixed evidence for equity market valuation multiples.
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
Afonso, G., Kovner, A., & Schoar, A. (2011). Stressed not frozen: The fed funds market in the financial crisis. Journal of Finance, 66, 1109–1139. CrossRef
Allen, L., Peristiani, S., & Saunders, A. (1989). Bank size, collateral, and net purchase behavior in the federal funds market: empirical evidence. Journal of Business, 62, 501–515. CrossRef
Allen, L., & Saunders, A. (1992). Bank window dressing: Theory and evidence. Journal of Banking & Finance, 16, 585–623. CrossRef
Arora, N., Richardson, S., & Tuna, I. (2014). Asset reliability and security prices: evidence from credit markets. Review of Accounting Studies, 19, 363–395. CrossRef
Badertscher, B., Burks, J., & Easton, P. (2015). Day 30: The tacit quarterly information event in the banking industry. Working paper.
Barclay, M., & Smith, C. (1995). The maturity structure of corporate debt. Journal of Finance, 50, 609–631. CrossRef
Beatty, A., Chamberlain, S., & Magliolo, J. (1995). Managing financial reports of commercial banks: the influence of taxes, regulatory capital, and earnings. Journal of Accounting Research, 33, 231–261. CrossRef
Benmelech, E., & Dvir, E. (2013). Does short-term debt increase vulnerability to crisis? Evidence from the East Asian financial crisis. Journal of International Economics, 89, 485–494. CrossRef
Board of Governors of the Federal Reserve System, 100th Annual Report. (2013). www.federalreserve.gov/publications/annual-report/files/2013-annual-report.pdf.
Brunnermeier, M., & Pedersen, L. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22, 2201–2238. CrossRef
Bushman, R., & Williams, C. (2012). Accounting discretion, loan loss provisioning, and discipline of banks’ risk taking. Journal of Accounting and Economics, 54, 1–18. CrossRef
Choudhry, M. (2010). The repo handbook (2nd ed.). Oxford: Butterworth-Heinemann.
Dechow, P., & Shakespeare, C. (2009). Do managers time securitization transactions to obtain accounting benefits? The Accounting Review, 84, 99–132. CrossRef
Duffie, D., & Lando, D. (2001). Term-structures of credit spreads with incomplete accounting information. Econometrica, 69, 633–664. CrossRef
Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. CrossRef
Feltham, G., & Xie, J. (1994). Performance measure congruity and diversity in multi-task principal/agent relations. The Accounting Review, 69, 429–453.
Furfine, C. (2000). Interbank payments and the daily federal funds rate. Journal of Monetary Economics, 46, 535–553. CrossRef
Gallemore, J. (2013). Does bank opacity enable regulatory forbearance? Working paper.
Gorton, G., & Metrick, A. (2012). Securitized banking and the run on repo. Journal of Financial Economics, 104(3), 425–451. CrossRef
He, Z., & Xiong, W. (2012). Rollover risk and credit risk. Journal of Finance, 67, 391–429. CrossRef
Hördahl, P., & King, M. (2008). Developments in repo markets during the financial turmoil. BIS quarterly review. Bank for International Settlements. December 2008, 37–53.
Huizinga, H., & Laeven, L. (2012). Bank valuation and accounting discretion during a financial crisis. Journal of Financial Economics, 106, 614–634. CrossRef
Jorion, P., & Zhang, G. (2007). Good and bad credit contagion: Evidence from credit default swaps. Journal of Financial Economics, 84, 860–883. CrossRef
Kotomin, V., & Winters, D. (2006). Quarter-end effects in banks: Preferred habitat or window dressing? Journal of Financial Services Research, 29, 61–82. CrossRef
Krishnamurthy, A., Nagel, S., & Orlov, D. (2014). Sizing up repo. Journal of Finance, 69, 2381–2417. CrossRef
Lakonishok, J., Shleifer, A., Thaler, R., & Vishny, R. (1991). Window dressing by pension fund managers. American Economic Review (Papers and Proceedings), 81, 227–231.
Lee, L. (2012). Incentives to inflate reported cash from operations using classification and timing. The Accounting Review, 87, 1–33. CrossRef
Messier, W., Glover, S., & Prawitt, D. (2012). Auditing and assurance services: A systematic approach (8th ed.). New York: McGraw-Hill.
Ng, L., & Wang, Q. (2004). Institutional trading and the turn-of-the-year effect. Journal of Financial Economics, 74, 343–366. CrossRef
Ohlson, J., & Gao, Z. (2006). Earnings, earnings growth and value. Foundation and Trends in Accounting, 1, 1–70. CrossRef
Petersen, M. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies, 22, 435–480. CrossRef
Roychowdhury, S. (2006). Earnings management through real activities manipulation. Journal of Accounting and Economics, 42, 335–370. CrossRef
Securities and Exchange Commission. (2010). Short- term borrowing disclosure. Release Nos. 33-9143; 34-62932; File No. S7-22-10.
Shleifer, A., & Vishny, R. (2010). Unstable banking. Journal of Financial Economics, 97, 306–318. CrossRef
Stigum, M. (2007). Stigum’s money market. New York: McGraw-Hill.
Valukas, A. (2010, March). Examiner of United States Bankruptcy Court Southern district of New York. “In re Lehman Brothers Holdings Inc., et al., Debtors.” Chapter 11 Case No. 08-13555 (JMP).
Whittington, R., & Pany, K. (2010). Principles of auditing & other assurance services (17th ed.). New York: McGraw-Hill.
- Quarter-end repo borrowing dynamics and bank risk opacity
Edward L. Owens
Joanna Shuang Wu
- Springer US
Neuer Inhalt/© Stellmach, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, Frankfurt School