Bank Equity Risk

Autor: Jens Dick-Nielsen, Zhuolu Gao, David Lando

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8be8775b0015b38b6a171487a0cf9174
https://doi.org/10.2139/ssrn.4345088

The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts

Autor: JENS DICK‐NIELSEN, JACOB GYNTELBERG, CHRISTOFFER THIMSEN

Publikováno v: Thimsen, C, Dick-Nielsen, J & Gyntelberg, J 2021, ' The Cost of Capital for Banks: Evidence from Analyst Earnings Forecasts ', Journal of Finance .

We extract cost of capital measures for banks using analyst earnings forecasts, which we show are unbiased. We find that the cost of equity and the cost of debt decrease in the Tier 1 ratio, whereas total cost of capital is uncorrelated with the Tier

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03225d708574401be3f98024626cb1d2
https://pure.au.dk/portal/da/publications/the-cost-of-capital-for-banks-evidence-from-analyst-earnings-forecasts(5d1b7d56-4d9c-4cf5-a88d-7dbbbb32468a).html

Dealer Networks and the Cost of Immediacy

Autor: Thomas K. Poulsen, Jens Dick-Nielsen, Obaidur Rehman

Publikováno v: SSRN Electronic Journal.

We show that uninformed corporate bond index trackers pay lower transaction costs when they request immediacy from dealers with central network positions. This centrality discount supports recent network models in which core dealers have a comparativ

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9d822dda1e922a0c8d395b2dd95e6c15
https://doi.org/10.2139/ssrn.3752881

How to Clean Academic TRACE Data

Autor: Jens Dick-Nielsen, Thomas K. Poulsen

Publikováno v: SSRN Electronic Journal.

This note updates the data filter from the previous note "How to clean Enhanced TRACE data" to handle the Academic TRACE data. The Academic TRACE data include masked dealer identifiers and allow for improved handling of inter-dealer transactions. We

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::c610fbdf70b9569f9e486da15f6feda7
https://doi.org/10.2139/ssrn.3456082

Underwriter Distress and Rollover Risk

Autor: Mads Stenbo Nielsen, Jens Dick-Nielsen, Stine Louise Daetz

Publikováno v: SSRN Electronic Journal.

We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::b239011c28ce1276be1eed0219359b58
https://doi.org/10.2139/ssrn.2968328