Opaque banks, price discovery, and financial instability

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• 作者：Jeffrey S. Jones^a ; ^{jsjones@drury.edu} ; Wayne Y. Lee^b ; ^{wlee@walton.uark.edu} ; Timothy J. Yeager^c ; ^{tyeager@walton.uark.edu}
• 关键词：Banks ; Opacity ; Merger ; Intra-industry revaluation ; Financial crisis
• 刊名：Journal of Financial Intermediation
• 出版年：2012
• 期刊代码：72_10429573
• 类别：eco
• 出版时间：July, 2012
• 卷：21
• 期：3
• 页码：383-408
• 文件大小：767 K

摘要

Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial instability. We find that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period 2000-2006. The findings are robust to controls for competitive effects, spillover effects from higher likelihood of takeover, changes in real estate prices, and interest rates. Non-merger banks that gained most from merger activities also experienced the largest price declines during the subsequent 2007-2008 financial crisis.