Federal Home Loan Bank Advances and Bank and Thrift Holding Company Risk: Evidence from the Stock Market
研究发现2001至2012年间，依赖联邦住房贷款银行预付款的银行和储蓄控股公司总风险和市场风险更低，但2007-2009年危机期间其特质风险更高，投资者视高依赖为困境信号。
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.