Package Details

This package contains code to estimate the risk-adjusted return of bank loan cash flows using a reduced-form version of risk-adjusted profit (RAP), as detailed in Flanagan (forthcoming). The package is designed for researchers who are interested in applying the reduced form risk-adjusted profit (RAP) methodology to other empirical settings. It demonstrates how to compute the public market benchmarks from any set of risk-factor returns, how to calculate prices of the replicating portfolio, and how to obtain the point estimates of risk-adjusted profit. The package includes a slide deck that explains the basics of the benchmarks and methodology. The package also contains a subsample of bank loan cash flows used in the paper to demonstrate how the methodology works.

If you use any part of the package, I kindly ask you to cite the paper on which this work was based:

Flanagan, Thomas. "The Value of Bank Lending" Journal of Finance, (forthcoming)

Click here to download the package.

Dataset Details

The dataset contains the estimated subsidies banks received from the TARP capital injection, as detailed in Flanagan and Purnanandam (2024). The dataset contains subsidies on a bank-by-bank basis for the entire sample of banks receiving preferred equity injections from TARP. 

If you use any part of the data, we kindly ask you to cite the paper on which this work was based:

Flanagan, Thomas, and Amiyatosh Purnanandam. "Did Banks Pay Fair Returns to Taxpayers on TARP?." Journal of Finance, 79, no. 5 (2024): 2909-2941

Click here to download the dataset.