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Market evidence on the opaqueness of banking firms' assets

Mark Flannery, Simon Kwan and Mahendrarajah Nimalendran

No 99-11, Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco

Abstract: 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)
Date: 1999
New Economics Papers: this item is included in nep-cfn and nep-ind
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Published in Journal of Financial Economics, March 2004, v. 71, iss. 3, pp. 419-60

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Related works:
Journal Article: Market evidence on the opaqueness of banking firms' assets (2004) Downloads
Working Paper: Market evidence on the opaqueness of banking firms' assets (1997)
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