G3 - Corporate Finance and Governance

• A Model of the EFA Liabilities

  Staff Discussion Paper 2011-11 Francisco Rivadeneyra, Oumar Dissou

  The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32

• Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach

  Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li

  In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32

• Lessons from International Central Counterparties: Benchmarking and Analysis

  Staff Discussion Paper 2011-4 Alexandre Lazarow

  Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): G, G0, G01, G1, G14, G18, G2, G28, G3, G38

• The Private Equity Premium Puzzle Revisited

  Staff Working Paper 2011-6 Katya Kartashova

  In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Recent economic and financial developments JEL Code(s): G, G1, G11, G12, G2, G24, G3, G31, G32

• The Impact of Liquidity on Bank Profitability

  Staff Working Paper 2010-38 Étienne Bordeleau, Christopher Graham

  The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G3, G32, G33

• Idiosyncratic Coskewness and Equity Return Anomalies

  Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang

  In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33

• Corporate Risk Taking and Ownership Structure

  Staff Working Paper 2010-3 Teodora Paligorova

  This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G31, G34

• Market Timing of Long-Term Debt Issuance

  Staff Discussion Paper 2009-14 Jonathan Witmer

  The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of debt-maturity timing are not robust to accounting for structural breaks or to other measures of debt maturity from firm-level data that account for call and put provisions in […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38

• Cross-border Mergers and Hollowing-out

  Staff Working Paper 2009-30 Oana Secrieru, Marianne Vigneault

  The purpose of our paper is to examine the profitability and social desirability of both domestic and foreign mergers in a location-quantity competition model, where we allow for the possibility of hollowing-out of the target firm. We refer to hollowing-out as the situation where the target firm is shut down following a merger with a domestic or foreign acquirer.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, International topics, Market structure and pricing JEL Code(s): D, D4, D43, G, G3, G34, L, L1, L13, L4, L41

• Complex Ownership and Capital Structure

  Staff Working Paper 2009-12 Teodora Paligorova, Zhaoxia Xu

  This paper investigates the impact of pyramid ownership structure and multiple controlling shareholders on firm leverage. Pyramids, having at least one controlling shareholder and a subsidiary, rely significantly more on debt financing than non-pyramid firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G31, G32