Abstract

http://ssrn.com/abstract=2342075
 


 



Libor Manipulation: Cui Bono?


Priyank Gandhi


Mendoza College of Business, University of Notre Dame

Benjamin Golez


University of Notre Dame

Jens Carsten Jackwerth


University of Konstanz - Department of Economics

Alberto Plazzi


University of Lugano - Institute of Finance; Swiss Finance Institute

September 3, 2015


Abstract:     
We study the role of enforcement in preventing financial market misconduct by analyzing manipulation of the London Interbank Offer Rate (Libor). Using banks' Libor submissions from 1999-2012, we first explore the motives for Libor manipulation and document pervasive evidence of banks misreporting Libor submissions to profit from their Libor-related products. We then show that manipulation was initially stronger for banks incorporated outside the U.S., where enforcement is historically weaker, and that it disappeared in the aftermath of Libor investigations in 2010-2011. Our results suggest that a credible threat of prosecutions with substantial penalties is effective in preventing financial market misconduct.

Number of Pages in PDF File: 51

Keywords: Libor, manipulation, financial market misconduct, enforcement

JEL Classification: G11, G12, K42


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Date posted: October 18, 2013 ; Last revised: September 3, 2015

Suggested Citation

Gandhi, Priyank and Golez, Benjamin and Jackwerth, Jens Carsten and Plazzi, Alberto, Libor Manipulation: Cui Bono? (September 3, 2015). Available at SSRN: http://ssrn.com/abstract=2342075 or http://dx.doi.org/10.2139/ssrn.2342075

Contact Information

Priyank Gandhi
Mendoza College of Business, University of Notre Dame ( email )
253 Mendoza College of Business
Notre Dame, IN 46656
United States
5746313450 (Phone)
Benjamin Golez
University of Notre Dame ( email )
256 Mendoza College of Business
Notre Dame, IN 46556-5646
United States
(574) 631-1458 (Phone)
HOME PAGE: http://business.nd.edu/BenGolez/
Jens Carsten Jackwerth (Contact Author)
University of Konstanz - Department of Economics ( email )
Universitaetsstr. 10
Konstanz, 78457
Germany
+497531882196 (Phone)
+497531883120 (Fax)
HOME PAGE: http://cms.uni-konstanz.de/wiwi/jackwerth/
Alberto Plazzi
University of Lugano - Institute of Finance ( email )
Via Buffi 13
CH-6900 Lugano
Switzerland
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

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