Papers by Ramon Degennaro
University Microfilms International eBooks, 1984
Working paper, Jun 1, 1994
The collapse of the Ohio Deposit Guarantee Fund (ODGF) in March 1985 provides a laboratory for ex... more The collapse of the Ohio Deposit Guarantee Fund (ODGF) in March 1985 provides a laboratory for examining the financial market's belief in the incentive-conflict model proposed by Kane (1989). Research in this area has yet to examine the stock returns of federally insured institutions during that period in the context of this model. Thus, it has not addressed the question of whether financial-market participants recosnize the implications of the model; that is, whether they anticipate the bailouts it implies. This paper fills that void. We find that, on average, stocks of firms insured by the poorly capitalized Federal Savings and Loan Insurance Corporation (FSLIC) do reasonably well during the 41-day event window centered on the ODGFfs Bank Holiday, while stocks of firms insured by the relatively well capitalized Federal Deposit Insurance Corporations (FDIC) do not. More important, differences in abnormal returns of FDIC and FSLIC firms are consistent with a reaffirmation of the incentive-conflict model.
Social Science Research Network, 2010
ABSTRACT
Social Science Research Network, 2013
ABSTRACT
Social Science Research Network, 2003
This study investigates the relationship among interest rates on the long-term government bonds o... more This study investigates the relationship among interest rates on the long-term government bonds of five industrialized countries. Both standard and new unit root tests are applied, all of which confirm the presence of exactly one unit root. New cointegration tests are also applied to these data. In contrast to previous research on short-term bonds, stock prices, and exchange rates, these results find little evidence of cointegration among the five long-term interest rate series. Thus, when modeling or forecasting these central government long-term bond yields, one may assume separate sets of fundamentals and difference the data to achieve stationarity. An error correction model may not be appropriate.
Social Science Research Network, 2003
Working paper, Sep 1, 1991
Regulatory agencies are unwilling or unable to close thrift institutions immediately upon insolve... more Regulatory agencies are unwilling or unable to close thrift institutions immediately upon insolvency. Instead, they have progressively reduced the thrift capital requirement, refrained from enforcing that requirement, and allowed thrifts to hold more nonmortgage loans in the hope that the industry would recover. According to this study, only 13 percent of the largest 300 firms eventually recovered between the end of 1979 and the end of 1989. When the thrift crisis surfaced in the early 1980s, the firms that ultimately recovered operated in a fashion similar to those that eventually failed. But in the mid-1980s, recovered thrifts pursued a risk-minimizing strategy, while nonrecovered thrifts pursued a risky, high-growth strategy. We find no evidence that managers of unsuccessful firms consumed more perquisites than their successful counterparts.
Social Science Research Network, 2003
This paper estimates the impact of market activity and news on the volatility of returns in the e... more This paper estimates the impact of market activity and news on the volatility of returns in the exchange market for Japanese Yen and US dollars. We examine the effects of news on volatility before, during and after news arrival, using three categories of news. Market activity is proxied by quote arrival, separated into a predictable seasonal component and an unexpected component. Results indicate that both components of market activity, as well as news releases, affect volatility levels. We conclude that both private information and news effects are important determinants of exchange rate volatility. Our finding that unexpected quote arrival positively impacts foreign exchange rate volatility is consistent with the interpretation that unexpected quote arrival serves as a measure of informed trading. Corroborating this interpretation is regression analysis, which indicates that spreads increase in the surprise component of the quote arrival rate, but not in the expected component. The estimated impact of a unit increase in unexpected quote arrival and the range of values observed for this variable imply an important volatility conditioning role for informed trading.
Some people want to make investing a source of social change. Is that possible? If so, then what’... more Some people want to make investing a source of social change. Is that possible? If so, then what’s the best way to do that? Different ways to approach such investing exist. They have different goals, different costs, and benefits. This article discusses some of the more common reasons for ESG investing, and highlights potential pitfalls.
What should investors do after a market crash? Whether stocks are likely to recover depends not o... more What should investors do after a market crash? Whether stocks are likely to recover depends not on how much they declined, but rather, on why they declined. Perhaps surprisingly, it also depends on what you mean by “recover.”<br>
Social Science Research Network, 2015
The market for small-firm funds is constantly in flux. Imbalances in both the supply and the dema... more The market for small-firm funds is constantly in flux. Imbalances in both the supply and the demand for capital can trace either to the flow of funds or to the flow of available deals. The legal environment can and does change, and can sometimes drive temporary supply and demand imbalances. Technological forces change the mechanisms that match suppliers of capital with those who demand the funds. During such periods, temporary problems matching suppliers of capital with entrepreneurs can occur. This shifting landscape both plagues markets and offers opportunities for market participants and researchers alike. Before discussions can be fruitful, though, we first address (but, we must admit, fail to answer) the prior question: What is an angel investor?
Edward Elgar Publishing eBooks, Nov 24, 2017
In this paper, we suggest an extension of the ARCH model, the smooth-transition autoregressive co... more In this paper, we suggest an extension of the ARCH model, the smooth-transition autoregressive conditional heteroskedasticity (STARCH) model. STARCH models endogenously allow for time-varying shifts in the parameters of the conditional variance equation. The most general form of the model that we consider is a double smooth-transition model, the STAR-STARCH model, which permits not only the conditional variance, but also the mean, to be a function of a smooth-transition term. The threshold ARCH model and the standard ARCH model are special cases of our STARCH model. We also develop Lagrange multiplier tests of the hypothesis that the smooth-transition term in the conditional variance is zero. We apply our STARCH model to excess Treasury bill returns. We find some evidence of a smooth transition in excess returns, but in contrast to previous studies, we find almost no evidence of volatility persistence once we allow for smooth transitions in the conditional variance. Thus, the apparent persistence in the conditional variance reported by many researchers could be a mere statistical artifact. We conduct in-sample tests comparing STARCH models to nested competitors; these suggest that STARCH models hold promise for improved predictions. Finally, we describe further extensions of the STARCH model and suggest issues in finance to which they might profitably be applied.
ABSTRACT Borrowers realize statistically significant, positive abnormal returns around the announ... more ABSTRACT Borrowers realize statistically significant, positive abnormal returns around the announcement date of line-of-credit agreements with banks, and several explanations have been proposed. Little evidence exists, however, on the influence of these agreements on the counterparty, the lending institution, and still less has examined borrower and lender returns jointly. Our paper fills that void. Our evidence suggests that lenders suffer statistically significant losses during the two-day announcement period around such agreements. These losses tend to be concentrated on infrequent lenders. These firms make relatively few deals during the sample period, and relatively few per unit of time. Returns for lenders that execute many agreements are not statistically different from zero. Our evidence suggests that lenders that keep in constant touch with the market for these line-of-credit agreements either have or develop a comparative advantage in engineering them. Future research might well focus on understanding the determinants of this advantage.
The Business & Management Collection, Dec 31, 2015
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Papers by Ramon Degennaro