Too-big-to-fail in banking : impact of G-SIB designation and regulation on relative equity valuations
著者
書誌事項
Too-big-to-fail in banking : impact of G-SIB designation and regulation on relative equity valuations
（Research）（Finanzwirtschaft, Banken und Bankmanagement = Finance, Banks and Bank Management//a, a）
Springer Gabler, c2021
- pbk.
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注記
References: p.223-248
内容説明・目次
内容説明
This book provides a comprehensive summary of the latest academic research on the important topic of too-big-to-fail (TBTF) in banking. It explains TBTF from various perspectives including the range of regulatory measures proposed to counter TBTF, most notably the globally accepted regulation of global-systemically important banks (G-SIBs) and its main tool of capital surcharges. The empirical analysis quantifies the shareholder value of the G-SIB attribution by using quarterly observations from more than 750 global banks between Q2 2008 and Q3 2015. The main finding is that G-SIBs are confronted with a substantial relative valuation discount compared to non-G-SIBs. From the end of 2011 until the end of 2015, a stable discount of 0.6x-0.8x price-to-tangible common equity (P/TCE) is statistically highly significant. The results suggest that the G-SIB designation effect, which positively impacts G-SIBs' share prices because of funding benefits from IGGs, is dominated by the regulatory G-SIB burden effect, which negatively impacts G-SIBs' share prices because of lower profitability due to capital surcharges and other regulatory requirements placed on G-SIBs. The findings re-open the debate about whether breaking up G-SIBs would unlock shareholder value and whether G-SIBs are regulated efficiently.
目次
1 Introduction and Overview.- 2 A Primer for Economics of Banking.- Part I Too-Big-to-Fail in Banking Review.- 3 Introduction to Too-Big-to-Fail in Banking.- 4 TBTF Causal Chain: Explicit and Implicit Government Guarantees.- 5 Public Cost and Benets of TBTF.- 6 TBTF Policy Recommendations.- 7 TBTF Policy Initiatives.- 8 Conclusion.- Part II Quantifying the Shareholder Value of Too-Big-to-Fail in Banking.- 9 Related Research.- 10 Hypothesis Development.- 11 Empirical Methodology and Data.- 12 Results and Discussion.- 13 Conclusion
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