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Bank stock volatility, news and asymmetric information in banking: an empirical investigation

  • Crouzille, Celine
  • Lepetit, Laetitia
  • Tarazi, Amine

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File URL: http://www.sciencedirect.com/science/article/B6VGV-4CGMFY1-1/2/eac7cf3471c4fdc85400e8737c0e7ebe
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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 14 (2004)
Issue (Month): 4-5 ()
Pages: 443-461

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Handle: RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:443-461
Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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  1. Boyd, John H. & Prescott, Edward C., 1986. "Financial intermediary-coalitions," Journal of Economic Theory, Elsevier, vol. 38(2), pages 211-232, April.
  2. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, vol. 51(3), pages 393-414, July.
  3. Hayne E. Leland and David H. Pyle., 1976. "Informational Asymmetries, Financial Structure, and Financial Intermediation," Research Program in Finance Working Papers 41, University of California at Berkeley.
  4. Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
  5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  6. Mark Flannery, 2001. "The Faces of “Market Discipline”," Journal of Financial Services Research, Springer, vol. 20(2), pages 107-119, October.
  7. Eden, Benjamin & Jovanovic, Boyan, 1994. "Asymmetric Information and the Excess Volatility of Stock Prices," Economic Inquiry, Western Economic Association International, vol. 32(2), pages 228-35, April.
  8. R. Glenn Hubbard, 1997. "Capital-Market Imperfections and Investment," NBER Working Papers 5996, National Bureau of Economic Research, Inc.
  9. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-23.
  10. Bryant, John, 1980. "A model of reserves, bank runs, and deposit insurance," Journal of Banking & Finance, Elsevier, vol. 4(4), pages 335-344, December.
  11. Bessler, Wolfgang & Nohel, Tom, 2000. "Asymmetric information, dividend reductions, and contagion effects in bank stock returns," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1831-1848, November.
  12. IKE Mathur & Sridhar Sundaram, 1997. "Reaction of bank stock prices to the multiple events of the Brazilian debt crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 703-710.
  13. Diamond, Douglas W, 1991. "Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt," Journal of Political Economy, University of Chicago Press, vol. 99(4), pages 689-721, August.
  14. Osman Kilic & David Tufte & M. Hassan, 1999. "The 1994–1995 Mexican Currency Crisis and U.S. Bank Stock Returns," Journal of Financial Services Research, Springer, vol. 16(1), pages 47-60, September.
  15. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
  16. Cornell, Bradford & Shapiro, Alan C., 1986. "The reaction of bank stock prices to the international debt crisis," Journal of Banking & Finance, Elsevier, vol. 10(1), pages 55-73, March.
  17. Kho, Bong-Chan & Stulz, Rene M., 2000. "Banks, the IMF, and the Asian crisis," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 177-216, May.
  18. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
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