Market evidence on the opaqueness of banking firms' assets.
Abstract: We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence strongly indicates that large banks (traded on NASDAQ) trade much less frequently despite microstructure characteristics. Problem (noncurrent) loans tend to raise the frequency with which the bank's equity trades, as well as the equity's return volatility. The implications for regulatory policy and future market microstructure research are discussed.
Status: Published in Journal of Financial Economics, March 2004, v. 71, iss. 3, pp. 419-60
File(s): File format is application/pdf http://www.frbsf.org/econrsrch/workingp/wp99-11.pdf
Provider: Federal Reserve Bank of San Francisco
Part of Series: Working Papers in Applied Economic Theory
Publication Date: 1999