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- Publications
- Influence
Asset Pricing with Liquidity Risk
- V. Acharya, L. Pedersen
- Economics
- 1 February 2003
This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as… Expand
A Theory of Systemic Risk and Design of Prudential Bank Regulation
- V. Acharya
- Economics, Business
- 25 January 2009
Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank's failure on… Expand
A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk
- V. Acharya, I. Drechsler, P. Schnabl
- Business, Economics
- 1 June 2011
We show that financial sector bailouts and sovereign credit risk are intimately linked. A bailout benefits the economy by ameliorating the under-investment problem of the financial sector. However,… Expand
Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
- V. Acharya, A. Saunders, I. Hasan
- Business
- 1 September 2002
We study empirically the effect of focus (specialization) vs. diversification on the return and the risk of banks using data from 105 Italian banks over the period 1993-1999. Specifically, we analyze… Expand
The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
- V. Acharya, S. Steffen
- Economics, Business
- 1 May 2013
We show that eurozone bank risks during 2007–2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond… Expand
Is the International Convergence of Capital Adequacy Regulation Desirable?
- V. Acharya
- Economics
- 1 March 2002
The merit of having international convergence of bank capital requirements in the presence of divergent closure policies of different central banks is examined. While the privately optimal level of… Expand
Corporate Governance and Value Creation: Evidence from Private Equity
- V. Acharya, M. Hahn, C. Kehoe
- Business
- 1 February 2009
We examine deal-level data on private equity transactions in the UK initiated during the period 1996 to 2004 by mature private equity houses. We un-lever the deal-level equity return and adjust for… Expand
Whatever it Takes: The Real Effects of Unconventional Monetary Policy
- V. Acharya, T. Eisert, Christian Eufinger, C. Hirsch
- Business, Economics
- 1 April 2017
Launched in Summer 2012, the European Central Bank (ECB)'s Outright Monetary Transactions (OMT) program indirectly recapitalized European banks through its positive impact on periphery sovereign… Expand
Leverage, Moral Hazard and Liquidity
- V. Acharya, S. Viswanathan
- Business, Economics
- 1 January 2010
We build a model of the financial sector to explain why adverse asset shocks in good economic times lead to a sudden drying up of liquidity. Financial firms raise short-term debt in order to finance… Expand
Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis
- V. Acharya, Ouarda Merrouche
- Business
- 1 July 2009
We study the liquidity demand of large settlement banks in the UK and its effect on the Sterling Money Markets before and during the sub-prime crisis of 2007-08. Liquidity holdings of large… Expand