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- W2519931015 abstract "Abstract Using bivariate GARCH models of stock portfolio returns and risk, we find that bank and thrift holding companies that relied the most on Federal Home Loan Bank (FHLB) advances exhibited less total risk and market risk than those that relied on them the least between 2001 and 2012. When we control for differences in holding company size, stock trading volume, residential mortgage lending, and holding company type (bank vs. thrift), the most FHLB‐reliant holding companies sustain the aforesaid risk advantages except during the crisis of 2007–2009, when they exhibit greater idiosyncratic risk. The latter finding suggests that investors perceived the high reliance of the borrowing institutions on advances as a sign of distress. Portfolios that consist of only bank holding companies show qualitatively similar results." @default.
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- W2519931015 date "2016-10-07" @default.
- W2519931015 modified "2023-09-27" @default.
- W2519931015 title "Federal Home Loan Bank Advances and Bank and Thrift Holding Company Risk: Evidence from the Stock Market" @default.
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- W2519931015 doi "https://doi.org/10.1111/1540-6229.12174" @default.
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