We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). 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.

Cardillo, G., Onali, E., Perdichizzi, S. (2023). Investor behavior around targeted liquidity announcements. THE BRITISH ACCOUNTING REVIEW, online first, 1-36 [10.1016/j.bar.2023.101275].

Investor behavior around targeted liquidity announcements

Cardillo, Giovanni;Onali, Enrico;Perdichizzi, Salvatore
2023

Abstract

We exploit announcements related to targeted longer-term financing operations (TLTROs) as exogenous shocks in investor perceptions to test recent theories on bank funding liquidity (Ahnert et al., 2019; Liu, 2015). 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.
2023
Cardillo, G., Onali, E., Perdichizzi, S. (2023). Investor behavior around targeted liquidity announcements. THE BRITISH ACCOUNTING REVIEW, online first, 1-36 [10.1016/j.bar.2023.101275].
Cardillo, Giovanni; Onali, Enrico; Perdichizzi, Salvatore
File in questo prodotto:
File Dimensione Formato  
1-s2.0-S0890838923001324-main.pdf

accesso aperto

Tipo: Versione (PDF) editoriale
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione (CCBY)
Dimensione 4.04 MB
Formato Adobe PDF
4.04 MB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/949203
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact