This article analyzes the relationship between consumer bankruptcy patterns and the destruction of soft information caused by mergers. Using a major Canadian bank merger as a source of exogenous variation in local banking conditions, we show that local markets affected by the merger exhibit an increase in consumer bankruptcy rates post-merger. The evidence is consistent with the most plausible mechanism being the disruption of consumer–bank relationships. Markets affected by the merger show a decrease in the merging institutions’ branch presence and market share, including those stemming from higher switching rates. We rule out alternative mechanisms such as changes in quantity of credit, loan rates, or observable borrower characteristics.
Using simulations controlling for the ability to time the equity, bond, and money markets, we compare daily and monthly performance measures. Our main results highlight the joint importance of the fictitious timer’s trading frequency and the data sampling frequency for estimation. Specifically, daily timing measures are superior to those estimated monthly for daily timers, but inferior for occasional or monthly timers. Global measures show more robustness to differences in trading and data sampling frequencies. Finally, conditional measures do not improve upon unconditional ones, and results are similar for performance detection versus ranking.
We assess the impact of institutional investors’ demand for gilts on UK real rates by structurally estimating the model of
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