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Information about bank risk in options prices
13 references·4 citing·45 second hopsampled
Information about bank risk in options prices (2002)Information about bank risk in options pr…Risk-Neutral Skewness: Evidence from Stock Options (2002)Risk-Neutral Skewness: Eviden…Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2002)Equity and Bond Market Signal…Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible? (2001)Using Subordinated Debt to Mo…The Information Content of Bank Exam Ratings and Subordinated Debt Prices (2001)The Information Content of Ba…Sub-debt Yield Spreads as Bank Risk Measures (2001)Sub-debt Yield Spreads as Ban…Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues (2000)Testing for Market Discipline…Do markets discipline banks and bank holding companies? evidence from debt pricing (1999)Do markets discipline banks a…Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Evidence of Bank Market Disci…The Currency Hedging Decision: A Search for Synthesis in Asset Allocation (1995)The Currency Hedging Decision…Implied Volatility (1995)Implied VolatilityOptions, Short Sales, and Market Completeness (1993)Options, Short Sales, and Mar…The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices (1981)The Ex Ante and Ex Post Price…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail (2019)Investor ambiguity, systemic …Bank Risk, Financial Stress, and Bank Derivative Use (2017)Bank Risk, Financial Stress, …Did the Market Signal Impending Problems at Northern Rock? An Analysis of Four Financial Instruments (2011)Did the Market Signal Impendi…Can Bank Supervisors Rely on Market Data? A Critical Assessment from a Swiss Perspective (2007)Can Bank Supervisors Rely on …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The relationship between return and market value of common stocks (1981)Limited arbitrage and short sales restrictions: evidence from the options markets (2004)It's SHO Time! Short‐Sale Price Tests and Market Quality (2009)Short interest and stock price crash risk (2015)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When? (2000)Supervisory Effectiveness and Bank Risk (2011)A Tale of Two Runs: Depositor Responses to Bank Solvency Risk (2016)Theory of Rational Option Pricing (1973)Valuation of American call options on dividend-paying stocks (1982)Theory of rational option pricing (2005)Volatility Information Trading in the Option Market (2008)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and Option Prices (2007)The Price of Correlation Risk: Evidence from Equity Options (2009)Jump risk, stock returns, and slope of implied volatility smile (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Deposit Insurance, Risk, and Market Power in Banking (1988)Market discipline and deposit insurance (2004)Measuring Abnormal Bond Performance (2008)The Determinants of Bank Capital Structure (2010)An Empirical Evaluation of Accounting Income Numbers (1968)Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets (1986)The Interrelation of Stock and Options Market Trading-Volume Data (1988)Option Trading, Price Discovery, and Earnings News Dissemination* (1997)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Measurement of contagion in banks’ equity prices (2004)Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings (2006)Do Depositors Discipline Banks and Did Government Actions During the Recent Crisis Reduce this Discipline? An International Perspective (2014)Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence (1998)Are Banks Too Big To Fail Or Too Big To Save ? International Evidence From Equity Prices And CDS Spreads (2010)Evidence on the (Non) Relationship between Concentration and Profitability in Banking (1985)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Dynamic Depositor Discipline in U.S. Banks (2003)Incorporating Equity Market Information into Supervisory Monitoring Models (2004)Who Disciplines Bank Managers? (2011)Generalized autoregressive conditional heteroskedasticity (1986)Scheduled domestic and US macroeconomic news and stock valuation in Europe (2003)Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty (2004)Managerial discretion and the economic determinants of the disclosed volatility parameter for valuing ESOs (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1996Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991691 cited
  • 1993Options, Short Sales, and Market Completeness463 cited
  • 2002Risk-Neutral Skewness: Evidence from Stock Options421 cited
  • 1979Anticipated information releases reflected in call option prices325 cited
  • 1981The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices253 cited
  • 2001The Information Content of Bank Exam Ratings and Subordinated Debt Prices226 cited
  • 2000Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues226 cited
  • 2002Equity and Bond Market Signals as Leading Indicators of Bank Fragility189 cited
  • 2001Sub-debt Yield Spreads as Bank Risk Measures170 cited
  • 1995Implied Volatility139 cited
  • 2001Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?120 cited
  • 1995The Currency Hedging Decision: A Search for Synthesis in Asset Allocation84 cited
  • 1999Do markets discipline banks and bank holding companies? evidence from debt pricing50 cited

Cited by

  • 2011Did the Market Signal Impending Problems at Northern Rock? An Analysis of Four Financial Instruments24 cited

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  • 2019Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail20 cited
  • 2007Can Bank Supervisors Rely on Market Data? A Critical Assessment from a Swiss Perspective20 cited
  • 2017Bank Risk, Financial Stress, and Bank Derivative Use14 cited