Authors
Citation
B. Diba et al., EQUITY AS A CALL OPTION ON ASSETS - SOME TESTS FOR FAILED BANKS, Economics letters, 48(3-4), 1995, pp. 389-397
Citations number
18
Categorie Soggetti
Economics
Journal title
ISSN journal
01651765
Volume
48
Issue
3-4
Year of publication
1995
Pages
389 - 397
Database
ISI
SICI code
0165-1765(1995)48:3-4<389:EAACOO>2.0.ZU;2-6
Abstract
We report some preliminary evidence on the equity-call model - postula
ting that the stock market prices a firm's equity like a call option o
n the firm's assets - for a sample of failed banks. The model implies
that these banks had positive net worth close to their failure dates,
while subsequent FDIC estimates of resolution costs suggest large nega
tive net worth figures.