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Newsletter
Hedges in the warehouse: the banks get trimmed
Gordon, Brian; D'Silva, Adrian (2008-04)
When banks ?warehouse? loans, that is, hold them temporarily before selling them through securitizations, how do they protect themselves against credit risk? This article examines the effectiveness of hedging strategies in the context of the recent heavy losses in financial markets.
Chicago Fed Letter , Issue Apr

Report
Stock market reaction to financial statement certification by bank holding company CEOs
Hirtle, Beverly (2003)
In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation of the forty-two bank holding companies subject to the SEC order. I find that these firms experienced a positive average abnormal return of 30 to 60 basis points on the day of certification-a result driven primarily by those BHCs that certified ahead of the SEC's deadline. Characteristics associated ...
Staff Reports , Paper 170

Conference Paper
Are the distinctions between debt and equity disappearing? An overview
Rosengren, Eric S.; Kopcke, Richard W. (1989)
Conference Series ; [Proceedings] , Volume 33 , Pages 1-11

Working Paper
Noise traders, excess volatility, and securities transaction tax
Kupiec, Paul H. (1991)
Finance and Economics Discussion Series , Paper 166

Working Paper
Equity market volatility and expected risk premium
Zhang, Lu; Guo, Hui; Chen, Long (2006)
This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and does not rely critically on either realized equity returns or instrumental variables. We find strong support for a positive risk-return tradeoff, and this result is not sensitive to a number of robustness checks, including alternative proxies of the conditional stock variance and controls for hedging ...
Working Papers , Paper 2006-007

Speech
A preliminary assessment of the TALF
Dudley, William (2009)
Remarks at the Securities Industry and Financial Markets Association and Pension Real Estate Association's Public-Private Investment Program Summit, New York City.
Speech , Paper 6

Working Paper
The fragility of discretionary liquidity provision - lessons from the collapse of the auction rate securities market
Li, Dan; Han, Song (2010)
We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such ...
Finance and Economics Discussion Series , Paper 2010-50

Conference Paper
The lender's view of debt and equity: the case of pension funds
Bodie, Zvi (1989)
Conference Series ; [Proceedings] , Volume 33 , Pages 106-135

Report
Traders' broker choice, market liquidity and market structure
Sarkar, Asani; Chakravarty, Sugato (1997)
Hedgers and a risk-neutral informed trader choose between a broker who takes a position in the asset (a capital broker) and a broker who does not (a discount broker). The capital broker exploits order flow information to mimic informed trades and offset hedgers' trades, reducing informed profits and hedgers' utility. But the capital broker has a larger capacity to execute hedgers' orders, increasing market depth. In equilibrium, hedgers choose the broker with the lowest price per unit of utility while the informed trader chooses the broker with the lowest price per unit of the informed ...
Research Paper , Paper 9701

Conference Paper
Bank relationships and underwriter competition: evidence from Japan
Yasuda, Ayako (2006)
Proceedings , Paper 1108

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