Anthony Saunders

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This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-atRisk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur. We suggest(More)
While the concept of customer lending relationships in banking has generated a great deal of recent attention, one gap in the empirical literature is that linking current lending business and the sale of “other products”. Specifically, does establishing a lending relationship today add value for the bank by increasing the probability of attracting future(More)
We examine the effects of bank M&As on small business lending. Our methodology permits empirical analysis of the great majority of U.S. bank M&As since the late 1970s -over 6,000 M&As involving over 10,000 banks (some active banks are counted multiple times). We are the first to decompose the impact of M&As on small business lending into static effects(More)
This paper examines two speci®c aspects of stage 1 of the Bank for International SettlementÕs (BISÕs) proposed reforms to the 8% risk-based capital ratio. We argue that relying on ``traditional'' agency ratings could produce cyclically lagging rather leading capital requirements, resulting in an enhanced rather than reduced degree of instability in the(More)
I exploit the 1998 Russian default as a negative liquidity shock to international banks and analyze its transmission to Peru. I find that after the shock international banks reduce bank-to-bank lending to Peruvian banks and Peruvian banks reduce lending to Peruvian firms. The effect is strongest for domestically owned banks that borrow internationally,(More)
This paper investigates whether functional diversification is value-enhancing or valuedestroying in the financial services sector, broadly defined. Based on a U.S. dataset comprising approximately 4,060 observations covering the period 1985-2004, we report a substantial and persistent conglomerate discount among financial intermediaries. The study differs(More)
This paper studies the interconnectedness of banks in the syndicated loan market as a major source of systemic risk. We develop a set of novel measures to describe the "distance" (similarity) between two banks’syndicated loan portfolios and find that such distance explains how banks are interconnected in this market. As lead arrangers choose to work with(More)
This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers’ risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk falls relative to banks in their home banking market. The abnormal returns to acquirers are(More)
This paper is the first to look at the long-run (30-year) behavior of underwriting spreads in the markets for corporate equity and debt. Specifically, we analyze the determinants of underwriting spreads on corporate bond issues, secondary equity offerings and initial public offerings over the period 1970-2000. We explain the time-varying cross-sectional(More)