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Working Paper
The U.S. Syndicated Loan Market: Matching Data
We introduce a new software package for determining linkages between datasets without common identifiers. We apply these methods to three datasets commonly used in academic research on syndicated lending: Refinitiv LPC DealScan, the Shared National Credit Database, and S&P Global Market Intelligence Compustat. We benchmark the results of our match using results from the literature and previously matched files that are publicly available. We find that the company level matching is enhanced by careful cleaning of the data and considering hierarchical relationships. For loan level matching, a ...
Working Paper
The U.S. Syndicated Loan Market : Matching Data
We introduce a new software package for determining linkages between datasets without common identifiers. We apply these methods to three datasets commonly used in academic research on syndicated lending: Refinitiv LPC DealScan, the Shared National Credit Database, and S&P Global Market Intelligence Compustat. We benchmark the results of our match using results from the literature and previously matched files that are publicly available. We find that the company level matching is enhanced by careful cleaning of the data and considering hierarchical relationships. For loan level matching, a ...
Journal Article
Bank Financial Restatements and Market Discipline
Banks may reissue financial statements for several reasons, ranging from simple accounting or clerical errors to fraud. Regardless of the reason, financial restatements send negative signals to the public, potentially driving stakeholders to undertake actions that are costly to the restating bank. These actions constitute ?market discipline? and may incentivize banks to report financial information accurately. But whether financial restatements lead to market discipline is an empirical question. For example, strict bank regulation might blunt disciplinary effects if stakeholders believe ...
Journal Article
Understanding the Recent Rise in Municipal Bond Yields
In late March, investors sold off municipal bonds at a rapid pace, depressing municipal bond prices and driving up their yields relative to U.S. Treasuries. We find that this initial investor run on the municipal bond market was likely due to increased liquidity demand rather than credit concerns, making the Federal Reserve’s early actions to relieve liquidity stress effective. Going forward, however, municipal bond prices will likely reflect increased credit concerns.
Journal Article
PPP Raised Community Bank Revenue but Lowered Profitability
Community banks have played an outsized role in the Paycheck Protection Program (PPP), disbursing 37 percent of all PPP loans despite holding only 18 percent of outstanding bank loans. Although participation boosted community banks’ revenue by supporting asset and interest income growth, it appears to have lowered their profitability, at least initially: low interest rates and deferred fee collection on PPP loans reduced banks’ earning margins.
Working Paper
Flight to Liquidity or Safety? Recent Evidence from the Municipal Bond Market
We examine the effects of the COVID-19 pandemic and subsequent monetary and fiscal policy actions on municipal bond market pricing. Using high-frequency trading data, we estimate key policy events at the peak of the crisis by focusing on a sample of bonds within a narrow window before and after each policy event. We find that policy interventions, in particular those with explicit credit backstops, were effective in alleviating municipal bond market stress. Next, we exploit daily variation in traded municipal bonds and virus exposure across U.S. counties. We find a shift in how bond investors ...