Journal of Financial Services Research
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Equilibrium Incentives to Acquire Precise Information in Delegated Portfolio Management
Journal of Financial Services Research - Tập 25 - Trang 25-36 - 2004
This paper investigates how a linear contract offered to a portfolio manager affects her incentives to acquire precise information. I show that increasing the manager's portfolio share increases her demand for precise information. This result contrasts with the existing irrelevance results where the manager's portfolio share does not affect her precision choice. The irrelevance result relies on th......
Capital Allocation for Portfolio Credit Risk
Journal of Financial Services Research - Tập 32 - Trang 103-122 - 2007
Capital allocation rules are derived that maximize leverage while maintaining a target solvency rate for credit portfolios where risk is driven by a single common factor and idiosyncratic risk is fully diversified. Equilibrium conditions ensure that capital allocations depend on interest earnings as well as credits’ probability of default, endogenous loss given default, and asset correlation. Capi......
The Interplay among Financial Regulations, Resilience, and Growth
Journal of Financial Services Research - Tập 53 - Trang 141-162 - 2018
Interconnectedness has been an important source of market failures, leading to the recent financial crisis. Large financial institutions tend to have similar exposures and thus exert externalities on each other through various mechanisms. Regulators have responded by putting in place more regulations with many layers of regulatory complexity, leading to ambiguity and market manipulation. Mispricin......
Commentary: Using tax policy to curb speculative short-term trading
Journal of Financial Services Research - Tập 3 - Trang 117-120 - 1989
Transparency in the Mortgage Market
Journal of Financial Services Research - Tập 49 - Trang 265-280 - 2015
This paper studies the impact of transparency in the mortgage market on the underlying real estate market. We show that geographic transparency in the secondary mortgage market, which implies geographic risk based pricing in the primary market, can limit risk-sharing and make house prices more volatile. Ex ante, regions prefer opaque markets to enable insurance opportunities. We discuss the implic......
Bank Capital and Liquidity Creation: Granger-Causality Evidence
Journal of Financial Services Research - Tập 45 - Trang 341-361 - 2013
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an exhaustive data set of Czech banks, which mainly includes small banks from 2000 to 2010. We observe a strong e......
Information Technology and Banking Organization
Journal of Financial Services Research - Tập 51 - Trang 313-338 - 2016
We investigate the impact of information and communication technologies (ICT) on local branch managers’ (LBMs) autonomy in small business lending. Using a unique dataset of nearly 300 Italian banks, we show that banks holding more ICT capital delegate more decision-making power to their LBMs. Evidence from a variety of identification strategies suggests that our results are not driven by unobserve......
What Determines Enterprise Borrowing from Self Help Groups? An Interpretable Supervised Machine Learning Approach
Journal of Financial Services Research - - Trang 1-23 - 2023
Despite several advantages associated with borrowing from micro-finance institutions, such as self-help groups (SHGs), many enterprises in developing countries continue to rely on informal lenders. Using machine learning techniques on a novel village-enterprise matched dataset from India, we predict an enterprise’s choice of credit source as a function of three key mechanisms: supply-side factors,......
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