This dissertation contains three studies on banking and asset pricing. It analyzes questions related to informational content of bank loan announcements and trading activity. The first two chapters examine theoretically and empirically how stock and bond holders react to bank loan announcements as a function of various firm-specific and bank-specific characteristics. The last chapter derives restrictions following from economic theory in estimating the principal factor that drives the time series of credit spreads. This method enhances not only the efficiency of the estimates, but also deepens our understanding of the dynamics of credit spreads in particular, and asset prices in general.
|Qualification||Doctor of Philosophy|
|Award date||9 Dec 2008|
|Place of Publication||Tilburg|
|Publication status||Published - 2008|