Investor behavior around targeted liquidity announcements

IF 5.5 3区 管理学 Q1 BUSINESS, FINANCE British Accounting Review Pub Date : 2024-11-01 DOI:10.1016/j.bar.2023.101275
Giovanni Cardillo , Enrico Onali , Salvatore Perdichizzi
{"title":"Investor behavior around targeted liquidity announcements","authors":"Giovanni Cardillo ,&nbsp;Enrico Onali ,&nbsp;Salvatore Perdichizzi","doi":"10.1016/j.bar.2023.101275","DOIUrl":null,"url":null,"abstract":"<div><div>We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). We find that banks with high derivative holdings and more exposed to sovereign credit risk respond better to the announcements, consistent with the view that lower funding costs benefit banks with higher asset encumbrance and located in more vulnerable Eurozone countries. The TLTRO announcements also elicit reductions in short positions on bank stocks relative to stocks of non-financial corporations without impairing their market liquidity. Robustness tests rule out that our results are driven by confounding events and anticipation effects. Placebo tests confirm that the TLTRO announcements are driving the estimated price reactions and changes in short positions.</div></div>","PeriodicalId":47996,"journal":{"name":"British Accounting Review","volume":"56 6","pages":"Article 101275"},"PeriodicalIF":5.5000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"British Accounting Review","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0890838923001324","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). We find that banks with high derivative holdings and more exposed to sovereign credit risk respond better to the announcements, consistent with the view that lower funding costs benefit banks with higher asset encumbrance and located in more vulnerable Eurozone countries. The TLTRO announcements also elicit reductions in short positions on bank stocks relative to stocks of non-financial corporations without impairing their market liquidity. Robustness tests rule out that our results are driven by confounding events and anticipation effects. Placebo tests confirm that the TLTRO announcements are driving the estimated price reactions and changes in short positions.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
投资者围绕定向流动性公告的行为
我们利用与定向长期融资操作(TLTROs)相关的公告作为投资者看法的外生冲击,来检验最近关于银行资金流动性的理论(Ahnert 等,2019 年;Liu,2015 年)。我们发现,持有较多衍生品且更易受到主权信用风险影响的银行对公告的反应更好,这与较低的融资成本有利于资产负债率较高且位于更脆弱的欧元区国家的银行的观点一致。相对于非金融企业股票而言,TLTRO 的宣布也会导致银行股票的空头头寸减少,而不会损害其市场流动性。稳健性测试排除了我们的结果受干扰事件和预期效应影响的可能性。安慰剂测试证实,TLTRO 公告推动了估计的价格反应和空头头寸变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
British Accounting Review
British Accounting Review BUSINESS, FINANCE-
CiteScore
8.60
自引率
3.90%
发文量
39
审稿时长
76 days
期刊介绍: The British Accounting Review*is pleased to publish original scholarly papers across the whole spectrum of accounting and finance. The journal is eclectic and pluralistic and contributions are welcomed across a wide range of research methodologies (e.g. analytical, archival, experimental, survey and qualitative case methods) and topics (e.g. financial accounting, management accounting, finance and financial management, auditing, public sector accounting, social and environmental accounting; accounting education and accounting history), evidence from UK and non-UK sources are equally acceptable.
期刊最新文献
The hidden cost of organisation capital: Evidence from trade credit CEO equity incentive duration and expected crash risk Exploring the acquisition behavior of penny stock firms Investor behavior around targeted liquidity announcements Capitalism and the return on capital employed. Some further evidence
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1