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Handbook of Financial Intermediation and Banking (Handbooks in Finance) (Handbooks in Finance)
By Anjan V. Thakor, Arnoud Boot
Publisher: Elsevier Science
Number Of Pages: 608
Publication Date: 2008-06-06
ISBN-10 / ASIN: 0444515585
ISBN-13 / EAN: 9780444515582
Binding: Hardcover
Contents
List of Contributors xiii
Preface xv
Introduction to the Series xxv
Section 1 Design of Contracts and Securities 1
Overview by Franklin Allen (Pennsylvania)
1 The Design of Debt Contracts 5
Paolo Fulghieri (UNC) and Eitan Goldman (Indiana University, Bloomington)
1. Introduction 6
2. Debt Contracts and Costly State Verification 8
2.1. Multiperiod Contracts 11
2.2. Stochastic Monitoring 12
3. Debt Contracts and the Allocation of Control Rights 13
4. Debt Contracts and the Provision of Incentives 17
5. Debt Contracts under Asymmetric Information 18
6. The Structure of Debt Contracts 24
6.1. Seniority 24
6.2. Maturity Structure 26
6.3. Collateral 32
6.4. The Number of Creditors 34
7. Concluding Remarks 36
References 36
2 Subordination Levels in Structured Financing 41
Xudong An (SDSU), Yongheng Deng (USC), and Anthony B. Sanders (ASU)
1. Introduction 42
2. Structured Financing and the Pooling and Tranching of Assets 43
Section 2 Market Structure and Structure
of Financial Markets 61
3 Limit Order Markets: A Survey 63
Christine A. Parlour (UCB) and Duane J. Seppi (CMU)
1. Introduction 64
2. Modeling Limit Orders 68
2.1. Static Equilibrium Models 71
2.2. Equilibrium Models with Static Order Choice and a Terminal Penalty 73
2.3. Dynamic Optimal Control Models for Single Agents 74
2.4. Multiperiod Equilibrium Models 74
2.5. Limit Orders and Private Information 82
3. Market Design 84
3.1. Competition and Limit Order Markets 84
3.2. Imperfect Competition 87
3.3. Dealer Markets 88
3.4. Welfare 89
3.5. Robustness 90
3.6. Transparency 90
4. Questions for Future Research 92
References 93
Section 3 Financial Intermediary Structure 97
Overview by Mitchell Berlin (FRB Philadelphia)
4 Bank Structure and Lending: What We Do and Do Not Know 107
Philip E. Strahan (Boston College, Wharton, NBER)
1. Introduction 108
5 Optimal Industrial Structure in Banking 133
Loretta J. Mester (FRB Philadelphia, The Wharton School)
1. Introduction and Motivation 134
2. Efficiency Concepts 137
3. Empirical Implementation 140
3.1. Bank Production 140
3.2. Cost Minimization 141
3.3. Profit Maximization 144
3.4. More Complicated Objectives 145
4. Measurement 148
4.1. Estimation Techniques 148
4.2. Functional Form, Variable Selection, and Variable Measurement 150
4.3. Special Issues in Banking 151
5. Empirical Findings in the Literature 153
5.1. Scale Economies 153
5.2. Scope Economies 157
5.3. X-Efficiency 158
5.4. Productivity 159
6. Conclusion 160
References 160
6 Commercial Banks in Investment Banking 163
Amar Gande (SMU)
1. Introduction 164
2. Tradeoffs in Combining Lending and Underwriting 168
2.1. Costs of Combining Lending and Underwriting 168
2.2. Benefits of Combining Lending and Underwriting 170
2.3. Theory 171
2.4. Empirical Evidence from Debt Underwritings 171
2.5. Empirical Evidence from Equity Underwritings 175
2.6. Organizational Form of Underwriting 178
Section 4 Mutual Funds 189
Overview by Sudipto Bhattacharya (LSE)
7 Performance Measurement and Evaluation 191
Bruce Lehmann (UCSD) and Allan Timmermann (UCSD)
1. Introduction 192
2. Theoretical Benchmarks 194
2.1. Sources of Benchmarks 197
2.2. A First Pass at Performance Measurement 199
3. Performance Measurement and Market Timing 202
3.1. Alternative Models of Market Timing 205
3.2. Observable Information Signals 218
4. Performance Measurement and Attribution with Observable Portfolio Weights 220
4.1. Should Investors Hold Mutual Funds? 229
4.2. Determining the Optimal Holdings in Mutual Funds 231
5. The Cross Section of Managed Portfolio Returns 233
5.1. Inference in the Absence of Performance Ability 234
5.2. Power of Statistical Tests for Individual Funds 241
5.3. Inference for Multiple Funds 244
5.4. Empirical Specifications of Alpha Measures 247
6. Bayesian Approaches 249
6.1. Asset Mispricing and Investment in Mutual Funds 252
7. Conclusion 255
References 256
8 The Behavior of Mutual Fund Investors 259
Lu Zheng (UCI)
1. Introduction 260
2. Examining Investor Behavior Using Fund Flows 261
2.1. Estimating Mutual Fund Flows 261
2.2. The Decision to Choose Among Mutual Funds 262
2.3. Mutual Fund Flows and Aggregate Market Returns 271
3. Investment Performance of Mutual Fund Investors 272
Section 5 Regulation 305
Overview by Mark J. Flannery, University of Florida
10 Consolidation in the U.S. Banking Industry: Is the “Long, Strange Trip”
About to End? 309
Kenneth D. Jones (FDIC) and Tim Critchfield (FDIC)
1. Overview of Structural Change in the U.S. Banking Industry 1984–2003 311
1.1. Industry Size 311
1.2. Industry Concentration 315
2. Fundamental Causes of Consolidation 318
2.1. Environmental Factors 318
2.2. Microeconomic Factors in Merger Decisions 324
3. The Effects of Consolidation 325
4. Projections of Banking Industry Structure 333
4.1. Review of Previous Projections and Their Methodologies 333
4.2. New Linear Extrapolations: A Comparison with the Literature 336
4.3. Beyond Linear Extrapolations 338
5. Conclusion 341
References 343
11 Safety, Soundness, and the Evolution of the U.S. Banking Industry 347
Robert DeYoung (Kansas)
1. Introduction 348
2. The Evolution of the U.S. Banking Industry 349
2.1. Financial Innovation and Technological Change 350
2.2. Regulatory Reaction to Financial Innovation and Technological Change 353
2.3. Widespread Technology Adoption and Industry Transformation 353
3. A Stylized View of Banking Strategies 356
3.1. Prederegulation 358
3.2. Postderegulation 358
4. Evidence Consistent with the Strategic Map 360
5. Further Implications of Strategic Change 363
5.1. Industry Structure 363
5.2. Noninterest Income 366
5.3. Financial Performance 368
6. Is the Industry Safe and Sound Today? 369
References 371
12 What Caused the Bank Capital Buildup of the 1990s? 375
Mark J. Flannery (Florida) and Kasturi P. Rangan (CWRU and HBS)
1. Introduction 376
2. Determining a Bank’s Optimal Leverage 378
3. Rising U.S. Bank Capitalization, 1986–2001 381
3.1. The Supervisors’ Focus: Book Capital Ratios 381
3.2. Investors’ Focus: Market Capital Ratios 383
3.3. BHC Portfolio Volatility and Default Risks 384
3.4. Possible Causes of the Increased Capitalization 386
4. Regression Model 388
4.1. Lags in Adjusting Toward Target Capitalization 390
4.2. Econometric Issues 392
4.3. Data 393
5. Estimation Results 395
5.1. Decomposing the Change in BHC Capitalization 398
6. Do Higher Market Ratios Reflect Stricter Regulatory Constraints? 401
7. Robustness 404
7.1. Adjust for Possible Safety Net Subsidies in MKTRAT 405
7.2. Alternative Instrument for BHCs’ Realized Stock Return 405
7.3. Estimates for the 20 Largest Banks 405
7.4. Estimate for 80 “Next Largest” Banks 407
7.5. Excluding the Charter Value Proxy 407
Section 6 Competition and Regulation in Banking 441
Overview by Xavier Vives (IESE Business and UPF)
14 Competition and Regulation in Banking 449
Elena Carletti (Frankfurt)
1. Introduction 450
2. Bank Instability and the Need of Regulation 452
2.1. Bank Fragility: Individual Runs and Systemic Crises 452
2.2. Excessive Risk Taking 457
2.3. The Need of Regulation 458
3. Competition in Banking 461
3.1. Competition Under Asymmetric Information 461
3.2. Competition and Switching Costs 463
3.3. Competition and Networks 464
4. Competition and Stability: A Positive or a Negative Link? 466
4.1. Market Structure and Financial Fragility 467
4.2. Market Structure and Risk Taking 470
By Anjan V. Thakor, Arnoud Boot
Publisher: Elsevier Science
Number Of Pages: 608
Publication Date: 2008-06-06
ISBN-10 / ASIN: 0444515585
ISBN-13 / EAN: 9780444515582
Binding: Hardcover
Contents
List of Contributors xiii
Preface xv
Introduction to the Series xxv
Section 1 Design of Contracts and Securities 1
Overview by Franklin Allen (Pennsylvania)
1 The Design of Debt Contracts 5
Paolo Fulghieri (UNC) and Eitan Goldman (Indiana University, Bloomington)
1. Introduction 6
2. Debt Contracts and Costly State Verification 8
2.1. Multiperiod Contracts 11
2.2. Stochastic Monitoring 12
3. Debt Contracts and the Allocation of Control Rights 13
4. Debt Contracts and the Provision of Incentives 17
5. Debt Contracts under Asymmetric Information 18
6. The Structure of Debt Contracts 24
6.1. Seniority 24
6.2. Maturity Structure 26
6.3. Collateral 32
6.4. The Number of Creditors 34
7. Concluding Remarks 36
References 36
2 Subordination Levels in Structured Financing 41
Xudong An (SDSU), Yongheng Deng (USC), and Anthony B. Sanders (ASU)
1. Introduction 42
2. Structured Financing and the Pooling and Tranching of Assets 43
Section 2 Market Structure and Structure
of Financial Markets 61
3 Limit Order Markets: A Survey 63
Christine A. Parlour (UCB) and Duane J. Seppi (CMU)
1. Introduction 64
2. Modeling Limit Orders 68
2.1. Static Equilibrium Models 71
2.2. Equilibrium Models with Static Order Choice and a Terminal Penalty 73
2.3. Dynamic Optimal Control Models for Single Agents 74
2.4. Multiperiod Equilibrium Models 74
2.5. Limit Orders and Private Information 82
3. Market Design 84
3.1. Competition and Limit Order Markets 84
3.2. Imperfect Competition 87
3.3. Dealer Markets 88
3.4. Welfare 89
3.5. Robustness 90
3.6. Transparency 90
4. Questions for Future Research 92
References 93
Section 3 Financial Intermediary Structure 97
Overview by Mitchell Berlin (FRB Philadelphia)
4 Bank Structure and Lending: What We Do and Do Not Know 107
Philip E. Strahan (Boston College, Wharton, NBER)
1. Introduction 108
5 Optimal Industrial Structure in Banking 133
Loretta J. Mester (FRB Philadelphia, The Wharton School)
1. Introduction and Motivation 134
2. Efficiency Concepts 137
3. Empirical Implementation 140
3.1. Bank Production 140
3.2. Cost Minimization 141
3.3. Profit Maximization 144
3.4. More Complicated Objectives 145
4. Measurement 148
4.1. Estimation Techniques 148
4.2. Functional Form, Variable Selection, and Variable Measurement 150
4.3. Special Issues in Banking 151
5. Empirical Findings in the Literature 153
5.1. Scale Economies 153
5.2. Scope Economies 157
5.3. X-Efficiency 158
5.4. Productivity 159
6. Conclusion 160
References 160
6 Commercial Banks in Investment Banking 163
Amar Gande (SMU)
1. Introduction 164
2. Tradeoffs in Combining Lending and Underwriting 168
2.1. Costs of Combining Lending and Underwriting 168
2.2. Benefits of Combining Lending and Underwriting 170
2.3. Theory 171
2.4. Empirical Evidence from Debt Underwritings 171
2.5. Empirical Evidence from Equity Underwritings 175
2.6. Organizational Form of Underwriting 178
Section 4 Mutual Funds 189
Overview by Sudipto Bhattacharya (LSE)
7 Performance Measurement and Evaluation 191
Bruce Lehmann (UCSD) and Allan Timmermann (UCSD)
1. Introduction 192
2. Theoretical Benchmarks 194
2.1. Sources of Benchmarks 197
2.2. A First Pass at Performance Measurement 199
3. Performance Measurement and Market Timing 202
3.1. Alternative Models of Market Timing 205
3.2. Observable Information Signals 218
4. Performance Measurement and Attribution with Observable Portfolio Weights 220
4.1. Should Investors Hold Mutual Funds? 229
4.2. Determining the Optimal Holdings in Mutual Funds 231
5. The Cross Section of Managed Portfolio Returns 233
5.1. Inference in the Absence of Performance Ability 234
5.2. Power of Statistical Tests for Individual Funds 241
5.3. Inference for Multiple Funds 244
5.4. Empirical Specifications of Alpha Measures 247
6. Bayesian Approaches 249
6.1. Asset Mispricing and Investment in Mutual Funds 252
7. Conclusion 255
References 256
8 The Behavior of Mutual Fund Investors 259
Lu Zheng (UCI)
1. Introduction 260
2. Examining Investor Behavior Using Fund Flows 261
2.1. Estimating Mutual Fund Flows 261
2.2. The Decision to Choose Among Mutual Funds 262
2.3. Mutual Fund Flows and Aggregate Market Returns 271
3. Investment Performance of Mutual Fund Investors 272
Section 5 Regulation 305
Overview by Mark J. Flannery, University of Florida
10 Consolidation in the U.S. Banking Industry: Is the “Long, Strange Trip”
About to End? 309
Kenneth D. Jones (FDIC) and Tim Critchfield (FDIC)
1. Overview of Structural Change in the U.S. Banking Industry 1984–2003 311
1.1. Industry Size 311
1.2. Industry Concentration 315
2. Fundamental Causes of Consolidation 318
2.1. Environmental Factors 318
2.2. Microeconomic Factors in Merger Decisions 324
3. The Effects of Consolidation 325
4. Projections of Banking Industry Structure 333
4.1. Review of Previous Projections and Their Methodologies 333
4.2. New Linear Extrapolations: A Comparison with the Literature 336
4.3. Beyond Linear Extrapolations 338
5. Conclusion 341
References 343
11 Safety, Soundness, and the Evolution of the U.S. Banking Industry 347
Robert DeYoung (Kansas)
1. Introduction 348
2. The Evolution of the U.S. Banking Industry 349
2.1. Financial Innovation and Technological Change 350
2.2. Regulatory Reaction to Financial Innovation and Technological Change 353
2.3. Widespread Technology Adoption and Industry Transformation 353
3. A Stylized View of Banking Strategies 356
3.1. Prederegulation 358
3.2. Postderegulation 358
4. Evidence Consistent with the Strategic Map 360
5. Further Implications of Strategic Change 363
5.1. Industry Structure 363
5.2. Noninterest Income 366
5.3. Financial Performance 368
6. Is the Industry Safe and Sound Today? 369
References 371
12 What Caused the Bank Capital Buildup of the 1990s? 375
Mark J. Flannery (Florida) and Kasturi P. Rangan (CWRU and HBS)
1. Introduction 376
2. Determining a Bank’s Optimal Leverage 378
3. Rising U.S. Bank Capitalization, 1986–2001 381
3.1. The Supervisors’ Focus: Book Capital Ratios 381
3.2. Investors’ Focus: Market Capital Ratios 383
3.3. BHC Portfolio Volatility and Default Risks 384
3.4. Possible Causes of the Increased Capitalization 386
4. Regression Model 388
4.1. Lags in Adjusting Toward Target Capitalization 390
4.2. Econometric Issues 392
4.3. Data 393
5. Estimation Results 395
5.1. Decomposing the Change in BHC Capitalization 398
6. Do Higher Market Ratios Reflect Stricter Regulatory Constraints? 401
7. Robustness 404
7.1. Adjust for Possible Safety Net Subsidies in MKTRAT 405
7.2. Alternative Instrument for BHCs’ Realized Stock Return 405
7.3. Estimates for the 20 Largest Banks 405
7.4. Estimate for 80 “Next Largest” Banks 407
7.5. Excluding the Charter Value Proxy 407
Section 6 Competition and Regulation in Banking 441
Overview by Xavier Vives (IESE Business and UPF)
14 Competition and Regulation in Banking 449
Elena Carletti (Frankfurt)
1. Introduction 450
2. Bank Instability and the Need of Regulation 452
2.1. Bank Fragility: Individual Runs and Systemic Crises 452
2.2. Excessive Risk Taking 457
2.3. The Need of Regulation 458
3. Competition in Banking 461
3.1. Competition Under Asymmetric Information 461
3.2. Competition and Switching Costs 463
3.3. Competition and Networks 464
4. Competition and Stability: A Positive or a Negative Link? 466
4.1. Market Structure and Financial Fragility 467
4.2. Market Structure and Risk Taking 470
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