When do informed traders acquire and trade on informational advantage? Evidence from Federal Reserve stress tests

2020 ◽  
Vol 40 (10) ◽  
pp. 1459-1485
Author(s):  
Scott Fung ◽  
Robert Loveland
Keyword(s):  
Federal Reserve ◽  
Stress Tests ◽  
Informed Traders ◽  
Informational Advantage

scholarly journals Evaluating the information in the federal reserve stress tests

2017 ◽  
Vol 29 ◽  
pp. 1-18 ◽  
Author(s):  
Mark Flannery ◽  
Beverly Hirtle ◽  
Anna Kovner
Keyword(s):  
Federal Reserve ◽  
Stress Tests

scholarly journals Trading in the Presence of Short-Lived Private Information: Evidence from Analyst Recommendation Changes

2018 ◽  
Vol 53 (4) ◽  
pp. 1509-1546 ◽  
Author(s):  
Ohad Kadan ◽  
Roni Michaely ◽  
Pamela C. Moulton
Keyword(s):  
Private Information ◽  
Information Acquisition ◽  
Trading Strategies ◽  
Data Set ◽  
Liquidity Provision ◽  
Information Models ◽  
Trading Patterns ◽  
Informed Traders ◽  
Theoretical Predictions ◽  
Informational Advantage

We use a proprietary data set to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publicly announced. We provide the first empirical evidence supporting theoretical predictions that early-informed traders “sell the news” after “buying the rumor.” Further, we find distinct profit-taking patterns across different classes of institutions. Uninformed institutions, but not individuals, emerge as de facto liquidity providers to better-informed institutions. Placebo tests confirm that these trading patterns are unique to situations in which some investors have a short-lived informational advantage.

scholarly journals Evaluating the Information in the Federal Reserve Stress Tests

2015 ◽  
Author(s):  
Mark J. Flannery ◽  
Beverly Hirtle ◽  
Anna Kovner
Keyword(s):  
Federal Reserve ◽  
Stress Tests

scholarly journals Have Stress Tests Impacted Small-Business Lending?

2019 ◽  
pp. 1-6
Author(s):  
Yuliya Demyanyk
Keyword(s):  
Small Business ◽  
Federal Reserve ◽  
Small Businesses ◽  
Banking System ◽  
Economic Conditions ◽  
Bank Holding Companies ◽  
Stress Tests ◽  
Small Business Lending ◽  
Holding Companies ◽  
The Impact

The Federal Reserve conducts stress tests of the largest bank holding companies to ensure that the banking system has sufficient capital to stay financially sound in the event of worsening economic conditions. Some groups have raised concerns that the stress tests will reduce lending to small businesses. This article describes recent research investigating the impact of the stress tests on small-business lending. It finds that the banks that are most affected by stress tests have reduced their small-business credit, but aggregate credit to small businesses has not fallen.

Price Dynamics in the Regular and E-Mini Futures Markets

2004 ◽  
Vol 39 (2) ◽  
pp. 365-384 ◽  
Author(s):  
Alexander Kurov ◽  
Dennis J. Lasser
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Futures Contracts ◽  
Price Dynamics ◽  
Price Leadership ◽  
Index Futures ◽  
Empirical Results ◽  
Informed Traders ◽  
Open Outcry ◽  
Informational Advantage

AbstractThis paper examines the price dynamics in the S&P 500 and Nasdaq-100 index futures contracts. By utilizing transactions data with attached trader type identification codes, we are able to analyze price dynamics for trades initiated by exchange locals and off-exchange customers. The empirical results show that price discovery appears to be initiated in the E-mini index futures contracts and that trades initiated by exchange locals seem to be more informative than those initiated by off-exchange traders. Furthermore, results show that exchange locals appear to make informed trades on the E-mini contracts around large trades that occur on the open outcry floor. We maintain that the exchange locals' ability to observe pit dynamics may contribute toward explaining the price leadership of the Emini contracts. Overall, the results are consistent with the notion that exchange locals are informed traders who derive their informational advantage from the proximity to order flow.

An examination of bank behavior around Federal Reserve stress tests

2020 ◽  
Vol 41 ◽  
pp. 100789 ◽  
Author(s):  
Marcia Millon Cornett ◽  
Kristina Minnick ◽  
Patrick J. Schorno ◽  
Hassan Tehranian
Keyword(s):  
Federal Reserve ◽  
Stress Tests ◽  
Bank Behavior

scholarly journals A Comprehensive Stability Indicator for Banks

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 13
Author(s):  
Robert J. Powell ◽  
Duc H. Vo
Keyword(s):  
Risk Factors ◽  
Federal Reserve ◽  
Bank Risk ◽  
Financial Health ◽  
Stress Tests ◽  
Traffic Light ◽  
Light System

Stability indicators are essential to banks in order to identify instability caused by adverse economic circumstances or increasing risks such as customer defaults. This paper develops a novel comprehensive stability indicator (CSI) that can readily be used by individual banks, or by regulators to benchmark financial health across banks. The CSI incorporates the three key risk factors of Creditworthiness, Conditions and Capital (3Cs), using a traffic light system (green, orange and red) to classify bank risk. The CSI achieves similar outcomes in ranking the risk of 20 US banks to the much more complex US Federal Reserve Dodd–Frank stress tests.

scholarly journals Does the federal reserve possess an exploitable informational advantage?

2003 ◽  
Vol 50 (4) ◽  
pp. 817-839 ◽  
Author(s):  
Joe Peek ◽  
Eric S. Rosengren ◽  
Geoffrey M.B. Tootell
Keyword(s):  
Federal Reserve ◽  
Informational Advantage

Algorithms Could Replace Stress Tests

2005 ◽  
Vol 35 (13) ◽  
pp. 18
Author(s):  
SHERRY BOSCHERT
Keyword(s):  
Stress Tests

Stress Tests in Banking – main theoretical and practical aspects

2011 ◽  
Vol 3 (7) ◽  
pp. 163-165 ◽  
Author(s):  
Prof. Piotr Masiukiewicz ◽  
◽  
Paweł Dec Paweł Dec
Keyword(s):  
Stress Tests
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