Journal Article
Earnings announcements, private information, and liquidity
Furfine, Craig H. (2006-01)
In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement
Economic Perspectives , Volume 30 , Issue Q I , Pages 39-54

Working Paper
Mergers and risk
Furfine, Craig H.; Rosen, Richard J. (2006)
This paper examines the impact of mergers on default risk, finding that, on average, a merger increases the default risk of the acquiring firm. This is surprising for two reasons: risk reduction is among the reasons commonly cited for mergers, and asset diversification should reduce default risk unless the newly-merged firm takes some action to increase risk. We associate the risk increase with mergers satisfying one of a trifecta of conditions related to agency problems: mergers financed with stock, acquirers with a high market- to-book ratio, and acquirers with poor stock price performance ...
Working Paper Series , Paper WP-06-09

Working Paper
The costs and benefits of moral suasion: evidence from the rescue of Long-Term Capital Management
Furfine, Craig H. (2002)
This study examines the level of unsecured borrowing done by the firms that would ultimately rescue Long-Term Capital Management in the days leading up to the hedge fund's rescue. Although there is some evidence that these banks borrowed less at the height of the crisis, further examination reveals that this reduction in borrowing was demand-driven and did not result from rationing on the part of the market. This suggests that the market believed that the troubles at LTCM would not have solvency-threatening repercussions for the fund's major creditors. Further, it is shown that large banks ...
Working Paper Series , Paper WP-02-11

Working Paper
When is inter-transaction time informative?
Furfine, Craig H. (2003)
We investigate the information content of inter-transaction time and find that it varies both across stocks and over time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general, trades arriving quickly move prices more than trades arriving more slowly. Further, the information content of inter-transaction time is negatively correlated with proxies for the amount of private information in the trading of a particular ...
Working Paper Series , Paper WP-03-04

Working Paper
Standing facilities and interbank borrowing: evidence from the Federal Reserve’s new discount window
Furfine, Craig H. (2004)
Standing facilities are designed to place an upper bound on the rates at which financial institutions lend to one another overnight, reducing the volatility of the overnight interest rate, typically the rate targeted by central banks. However, improper design of the facility might decrease a bank?s incentive to participate actively in the interbank market. Thus, the mere availability of central bank provided credit may lead to its use being more than what would be expected based on the characteristics of the interbank market. ; By contrast, however, banks may perceive a stigma from using such ...
Working Paper Series , Paper WP-04-01

Working Paper
Price discovery in a market under stress: the U.S. Treasury market in fall 1998
Remolona, Eli M.; Furfine, Craig H. (2005)
We analyze how price discovery in the inter- dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year Treasury notes, we find that the impact of trades on prices tends to become significantly stronger on stressful days. This effect remains after accounting for the faster trading, wider spreads, and shallower depth observed on stressful days
Working Paper Series , Paper WP-05-06

Working Paper
Analyzing alternative intraday credit policies in real-time gross settlement systems
Stehm, Jeff; Furfine, Craig H. (1997)
This paper examines a central bank's choice of intraday credit policy for Real-Time Gross Settlement (RTGS) systems. Formal analysis of central bank objectives and commercial bank payment activity provides insight into both the choice and effects of several possible intraday credit policies. Observed intraday credit policies are interpreted within the context of the model. Among G-10 central banks, different combinations of prices, collateral, and quantity limits have been chosen to manage the supply of intraday credit. Conditions that rationalize these choices are shown to rely on a) central ...
Finance and Economics Discussion Series , Paper 1997-40

Conference Paper
Empirical evidence on the need for a lender of last resort
Furfine, Craig H. (2000)
Proceedings , Paper 674

Conference Paper
Analyzing alternative daylight credit policies in real-time gross settlement systems
Stehm, Jeff; Furfine, Craig H. (1996)
Proceedings , Paper 516

Conference Paper
Interbank exposures: quantifying the risk of contagion
Furfine, Craig H. (1999)
Proceedings , Paper 633