http://hdl.handle.net/2451/25933 2026-04-10T03:55:14Z 2026-04-10T03:55:14Z Altman, Edward Saunders, Anthony http://hdl.handle.net/2451/27213 2008-05-31T06:17:52Z 2001-02-10T00:00:00Z

Title: Credit Ratings and the BIS Reform Agenda Authors: Altman, Edward; Saunders, Anthony Abstract: This is an updated and revised paper from the authors’ report on “An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings” [S-CDM-00-02] (submitted to the BIS and published in the Journal of Banking & Finance, Vol. 25, #1, January, 2001).This paper was first prepared for the NYU Salomon Center/University of Maryland research project on “The Role of Credit Reporting Systems in the International Economy,” sponsored by the Center for International Political Economy. It was prepared for the project’s conference in Washington D.C. on March 1-2, 2001 at the headquarters of the World Bank.

2001-02-10T00:00:00Z Cebenoyan, A. Sinan Strahan, Philip E. http://hdl.handle.net/2451/27212 2008-05-31T06:17:07Z 2000-09-27T00:00:00Z

Title: Risk Management, Capital Structure and Capital Budgeting in Financial Institutions Authors: Cebenoyan, A. Sinan; Strahan, Philip E. Abstract: We test how active management of bank credit risk exposure affects capital structure, capital budgeting and profits. We find that banks that rebalance their C&I loan portfolio exposures by both buying and selling loans hold less capital and lower levels of liquid assets than other banks; they also lend more to businesses, both as a percentage of total assets and as a percentage of their overall lending, and they enjoy higher profits. The results hold controlling for bank size and holding company affiliation and are robust over time. We conclude that increasingly sophisticated risk management practices in banking are likely to improve the availability of bank credit.

2000-09-27T00:00:00Z Allen, Linda Jagtiani, Julapa Moser, James http://hdl.handle.net/2451/27210 2008-05-31T06:17:05Z 2000-10-01T00:00:00Z

Title: Do Markets React to Bank Examination Ratings? Evidence of Indirect Disclosure of Management Quality Through BHCs' Applications to Convert to FHCs Authors: Allen, Linda; Jagtiani, Julapa; Moser, James Abstract: Certain nonrecurring circumstances associated with the passage of the Financial Services Modernization Act of 1999 have created a unique opportunity for the market to obtain bank examination ratings of management quality. We utilize this natural experiment in order to determine how the market views this heretofore private information. We find that the stock market utilizes bank examination ratings in order to reveal regulatory intent, rather than simply as information about management quality. Revelation of unsatisfactory M ratings (denoted “bad news”) causes BHC stock returns and market risk betas to increase, whereas revelation of acceptable M ratings (“good news”) causes BHC stock returns and market risk betas to decrease. The market thrives on “bad news” because unsatisfactory M ratings indicate that regulatory intervention is likely to occur, possibly benefiting both shareholders and creditors. On the other hand, revelation of acceptable M ratings (“good news”) indicates that bank regulators are unprepared to intervene in the near future. Moreover, we find lower bond spreads for a subsample of FHCs with satisfactory M ratings revealed upon conversion.

2000-10-01T00:00:00Z Ljungqvist, Alexander Jenkinson, Tim Wilhelm, William J. Jr. http://hdl.handle.net/2451/27206 2008-05-31T06:10:32Z 2000-09-08T00:00:00Z

Title: Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors Authors: Ljungqvist, Alexander; Jenkinson, Tim; Wilhelm, William J. Jr. Abstract: We examine the costs and benefits of the global integration of primary equity markets associated with the parallel diffusion of U.S. underwriting methods. We analyze both direct and indirect costs (associated with underpricing) using a unique dataset of 2,132 IPOs by non-U.S. issuers from 65 countries in 1992-1999. Bookbuilding typically costs twice as much as a fixed-price offer, but on its own, does not lead to lower underpricing. However, when conducted by U.S. banks and/or targeted at U.S. investors, bookbuilding can reduce underpricing significantly, relative to fixed-price offerings or bookbuilding efforts conducted by ‘local’ banks. These results are obtained after allowing for the endogeneity and interdependence of issuers’ choices. For the great majority of issuers, the gains associated with lower underpricing outweighed the additional costs associated with hiring U.S. banks or marketing in the U.S. This suggests a quality/price trade-off contrasting with the findings of Chen and Ritter [Journal of Finance 55, 2000], particularly since non-U.S. issuers raising US$20m-80m also typically pay a 7% spread when U.S. banks and investors are involved.

2000-09-08T00:00:00Z