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The reaction of bank stock prices to the international debt crisis
8 references·16 citing·42 second hop
The reaction of bank stock prices to the international debt crisis (1986)The reaction of bank stock prices to the …The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Risk measurement when shares are subject to infrequent trading (1983)Risk measurement when shares …Friction in the trading process and the estimation of systematic risk (1983)Friction in the trading proce…Evidence on the capitalized value of merger activity for acquiring firms (1983)Evidence on the capitalized v…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas (1973)A Note on Using Cross-Section…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers (2013)Understanding the market reac…Too big to fail after FDICIA (2010)Too big to fail after FDICIADepositor Behavior under Macroeconomic Risk: Evidence from Bank Runs in Emerging Economies (2010)Depositor Behavior under Macr…Information, Liquidity and Risk in the International Interbank Market: Implicit Guarantees and Private Credit Market Failure (2005)Information, Liquidity and Ri…Does the Japanese Stock Market Price Bank-Risk? Evidence from Financial Firm Failures (2003)Does the Japanese Stock Marke…Why do contagion effects vary among bank failures? (2001)Why do contagion effects vary…Banks, the IMF, and the Asian crisis (2000)Banks, the IMF, and the Asian…Industry Structure and Ripple Effects of Bankruptcy Announcements (1996)Industry Structure and Ripple…Syndicated Loan Announcements and the Market Value of the Banking Firm (1995)Syndicated Loan Announcements…The Brady Plan, 1989 Mexican Debt-Reduction Agreement, and Bank Stock Returns in United States and Japan (1993)The Brady Plan, 1989 Mexican …The Brazilian default announcement and the contagion effect hypothesis (1991)The Brazilian default announc…Market Discipline of Bank Risk: Theory and Evidence (1990)Market Discipline of Bank Ris…Heterogeneous creditors and the market value of bank LDC loan portfolios (1990)Heterogeneous creditors and t…Market reaction to increased loan loss reserves at money-center banks (1989)Market reaction to increased …The effect of implicit deposit insurance on banks' portfolio choices with an application to international ‘overexposure’ (1988)The effect of implicit deposi…The International Debt Crisis and Bank Security Returns in 1982 (1987)The International Debt Crisis…Estimating betas from nonsynchronous data (1977)Problems and Solutions in Conducting Event Studies (1990)Conducting event studies with thinly traded stocks (1993)Corporate social responsibility and firm performance in the airline industry: The moderating role of oil prices (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Price performance of common stock new issues (1975)Towards Reconciliation of Market Performance Measures to Strategic Management Research (1986)The distribution of earnings news over time and seasonalities in aggregate stock returns (1987)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Prediction of Systematic and Specific Risk in Common Stocks (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Market-Based Empirical Research in Accounting: A Review, Interpretation, and Extension (1982)Foundations of Finance. (1977)Establishing On-Site Bank Examination Priorities: An Early-Warning System Using Accounting and Market Information (1980)Measuring security price performance (1980)On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable (1994)Convergence and risk-return linkages across financial service firms (2006)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Horizontal mergers, collusion, and stockholder wealth (1983)The Effect of Corporate Multinationalism on Shareholders' Wealth: Evidence from International Acquisitions (1988)The Handbook of Organizational Economics (2013)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)International Capital Markets: Developments, Prospects, and Policy Issues (1995)Economic Crises: Evidence and Insights from East Asia (1998)Understanding the financial crisis in Asia (2000)International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)IMF-related news and emerging financial markets (2005)IMF surveillance and financial markets—A political economy analysis (2011)Estimating Security Betas Using Prior Information Based on Firm Fundamentals (2010)Holdings Data, Security Returns, and the Selection of Superior Mutual Funds (2011)Betting against correlation: Testing theories of the low-risk effect (2019)Introductory Econometrics for Finance (2008)
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References

  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 1983Evidence on the capitalized value of merger activity for acquiring firms388 cited
  • 1983Friction in the trading process and the estimation of systematic risk345 cited
  • 1983Risk measurement when shares are subject to infrequent trading240 cited
  • 1973A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas118 cited

Cited by

  • 1987The International Debt Crisis and Bank Security Returns in 198295 cited
  • 2000Banks, the IMF, and the Asian crisis90 cited
  • 1990Market Discipline of Bank Risk: Theory and Evidence78 cited
  • 1991The Brazilian default announcement and the contagion effect hypothesis72 cited
  • 2010Depositor Behavior under Macroeconomic Risk: Evidence from Bank Runs in Emerging Economies65 cited
  • 2001Why do contagion effects vary among bank failures?59 cited
  • 2010Too big to fail after FDICIA

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55 cited
  • 1988The effect of implicit deposit insurance on banks' portfolio choices with an application to international ‘overexposure’55 cited
  • 1990Heterogeneous creditors and the market value of bank LDC loan portfolios47 cited
  • 2003Does the Japanese Stock Market Price Bank-Risk? Evidence from Financial Firm Failures44 cited
  • 2013Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers42 cited
  • 1989Market reaction to increased loan loss reserves at money-center banks42 cited
  • 1996Industry Structure and Ripple Effects of Bankruptcy Announcements40 cited
  • 1993The Brady Plan, 1989 Mexican Debt-Reduction Agreement, and Bank Stock Returns in United States and Japan38 cited
  • 1995Syndicated Loan Announcements and the Market Value of the Banking Firm36 cited
  • 2005Information, Liquidity and Risk in the International Interbank Market: Implicit Guarantees and Private Credit Market Failure35 cited