Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2019 erstellt
Beschreibung:
This paper investigates the effect of implicit government guarantees on equity returns by sorting financial institutions according to the systemic risk measures ∆CoVaR and the marginal expected shortfall, MES. In alignment with the risk-return trade off, riskier firms should earn higher expected returns. However, risky financial institutions also pose a threat to financial stability and can be considered too-big-to-fail. From this perspective it can be argued that the risk adjusted expected returns should be lower for highly systemic financial institutions than for less systemic institutions due to the loss absorbing capacity of the systemic institutions’ tail risk by the government. By determining systemic importance from ∆CoVaR and MES, I find no evidence that points towards the perception that implicit government guarantees incurred lower risk-adjusted returns during the period 1987-2013