Market evidence on the opaqueness of banking firms' assets
Simon Kwan and
No 99-11, Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco
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.
Keywords: Bank stocks; Bank assets (search for similar items in EconPapers)
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Published in Journal of Financial Economics, March 2004, v. 71, iss. 3, pp. 419-60
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Journal Article: Market evidence on the opaqueness of banking firms' assets (2004)
Working Paper: Market evidence on the opaqueness of banking firms' assets (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfap:99-11
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