CoCo issuance and bank fragility

• Published in: Journal of financial economics Vol. 138; no. 3; pp. 593 - 613
• Main Authors: Avdjiev, Stefan, Bogdanova, Bilyana, Bolton, Patrick, Jiang, Wei, Kartasheva, Anastasia
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.12.2020; Elsevier Sequoia S.A
• Subjects: Bail-in; Bank fragility; Banking; Banks (Finance); Business schools; Capital; Contingent convertible capital securities; Financial economics; Financial instruments; Risk reduction; Securities; Stock prices; G01; Bail-in; Bank fragility; G28; Contingent convertible capital securities; G21

The promise of contingent convertible capital securities (CoCos) as a ”bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. We undertake the first comprehensive empirical analysis of bank CoCo issues, a market se...