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dc.contributor.authorCardillo, G
dc.contributor.authorOnali, E
dc.contributor.authorPerdichizzi, S
dc.date.accessioned2023-11-06T12:06:52Z
dc.date.issued2023-11-14
dc.date.updated2023-11-06T11:27:59Z
dc.description.abstractWe exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Liu 2015, Ahnert et al. 2019). 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.en_GB
dc.identifier.citationArticle 101275en_GB
dc.identifier.doi10.1016/j.bar.2023.101275
dc.identifier.urihttp://hdl.handle.net/10871/134440
dc.identifierORCID: 0000-0003-3723-2078 (Onali, Enrico)
dc.language.isoenen_GB
dc.publisherElsevier / British Accounting Associationen_GB
dc.rights© 2023 Published by Elsevier Ltd on behalf of British Accounting Association. Open access under a Creative Commons Attribution 4.0 International licenceen_GB
dc.subjectliquidityen_GB
dc.subjectbanksen_GB
dc.subjectshort-sellingen_GB
dc.subjectprice reactionen_GB
dc.titleInvestor behavior around targeted liquidity announcementsen_GB
dc.typeArticleen_GB
dc.date.available2023-11-06T12:06:52Z
dc.identifier.issn1095-8347
dc.descriptionThis is the author accepted manuscript. The final version is available on open access from Elsevier via the DOI in this recorden_GB
dc.identifier.journalThe British Accounting Reviewen_GB
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_GB
dcterms.dateAccepted2023-11-03
dcterms.dateSubmitted2023-01-12
rioxxterms.versionAMen_GB
rioxxterms.licenseref.startdate2023-11-03
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2023-11-06T11:28:03Z
refterms.versionFCDAM
refterms.dateFOA2023-11-15T15:57:46Z
refterms.panelCen_GB


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© 2023 Published by Elsevier Ltd on behalf of British Accounting Association. Open access under a Creative Commons Attribution 4.0 International licence
Except where otherwise noted, this item's licence is described as © 2023 Published by Elsevier Ltd on behalf of British Accounting Association. Open access under a Creative Commons Attribution 4.0 International licence