SWIFT Institute Research Paper Series最新文献

{"title":"Using Social Media to Identify the Effects of Congressional Viewpoints on Asset Prices","authors":"F. Bianchi, Roberto Gomez Cram, H. Kung","doi":"10.2139/ssrn.3823756","DOIUrl":"https://doi.org/10.2139/ssrn.3823756","url":null,"abstract":"This paper examines the extent to which individual politicians affect asset prices using a high-frequency identification approach. We exploit the regular flow of viewpoints contained in a large volume of tweets from members of US Congress. Congressional tweets targeting individual firms are collected and classified based on their tone. Supportive (critical) tweets increase (decrease) stock prices of the targeted firm in minutes around the tweet. The price response persists for several days, during which analysts revise their forecasts about the firm cash flows. Selected politician tweets linked to legislation affect the stock prices of firms in the same industry as the targeted firm. The timeline of politician viewpoints within a particular bill exhibits surges in relevant news that predict roll call votes months before the signing of the bill. We highlight how the social media accounts of politicians are a valuable source of political news.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"302 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121276742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The economics and algorithmics of an integral settlement procedure on B2B networks","authors":"Massimo Amato, Nazim Fatès, Lucio Gobbi","doi":"10.2139/ssrn.3915380","DOIUrl":"https://doi.org/10.2139/ssrn.3915380","url":null,"abstract":"We develop the economic and operational foundations of a new method of financing companies’ financial obligations. In this new banking business model, a network funder sets an optimal combination of netting and financing. Given a network of companies and their respective invoices, and under the condition of a full settlement of the invoices, the netting procedure consists in applying a multilateral netting algorithm to the network, conceived as an oriented multi-graph. This algorithm introduces a new method of exploration: during regular periods of time (i.e. monthly, weekly, or even daily sessions), the set of invoices is found that maximises the amount of debt offset, given a quantity of loanable funds. From a systemic point of view, the algorithmic exploration of the multigraph is subject to optimisation constraints. The exploration finds those configurations which allow the network funder to manage a policy trade-off between the maximisation of both the total value of invoices and the number of companies involved in netting, and the minimisation of the amount of financing needed to settle payments in full. To test our method, we use an empirical dataset from Infocert (electronic invoices operator) consisting of more than 60,000 companies. The policy trade-off shows that it is economically significant and feasible for a network funder to reduce the financial need of about 50% of companies by about 45% of the total amount of their financial obligations.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124124103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does central clearing affect counterparty risk and liquidity risk in the sovereign CDS market?","authors":"Josephine Molleyres, H. Zimmermann","doi":"10.2139/ssrn.3415563","DOIUrl":"https://doi.org/10.2139/ssrn.3415563","url":null,"abstract":"Central counterparty clearing houses (CCPs) are highly regulated intermediaries and risk management providers for OTC transactions. This paper analyzes the impact of CCP clearing on the pricing of sovereign single-name credit default swaps (CDS) using a global sample between 2010 and 2017. The results indicate that a large portion of daily CCP cleared contracts makes CDS spreads insignificant to counterparty risk and thus mitigates a major source of systemic risk in the CDS market. In contrast, CCP clearing has no significant effect on CDS market liquidity. Moreover, CDS spreads are mainly driven by local factors as opposed to global factors.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133543657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Wheat Price Volatility Over 140 Years: An Analysis of Daily Price Ranges","authors":"Marco Haase, H. Zimmermann, M. Huss","doi":"10.2139/ssrn.3825678","DOIUrl":"https://doi.org/10.2139/ssrn.3825678","url":null,"abstract":"This paper analyzes daily wheat price volatility over an observation period of more than 140 years, using daily high and low prices of futures contracts traded at the Chicago Board of Trade (CBOT), starting in 1877. We find that volatility differences between the identified regimes is much more important than volatility differences within the regimes, even when conditioning on state variables such as business cycles or inflation. Our findings suggest that the neglect of regimes can lead to a severe misinterpretation of the results when volatilities are correlated with exogenous variables. Further, historical volatility estimates derived from average price data, as is typically done in literature, are upward biased. The bias ranges between 0% and 22% across regimes. The magnitude potentially explains contradictory findings on volatility patterns in earlier studies.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117180717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does ESG Disclosure Transparency Help Mitigate the COVID-19 Pandemic Shock? An Empirical Analysis of Listed Firms in the UK","authors":"T. Hoang, Elysé A. Segbotangni, Amine Lahiani","doi":"10.2139/ssrn.3738256","DOIUrl":"https://doi.org/10.2139/ssrn.3738256","url":null,"abstract":"This paper examines whether the transparency in ESG reporting helps listed firms in the UK better mitigate the impact of the COVID-19 pandemic. We investigate 179 listed firms from August 2019 to May 2020. The results show that the performance spread of firms with high ESG disclosure score is less negatively impacted by firm internal and external factors during the COVID-19 pandemic. Furthermore, the ESG transparency helps reduce the volatility. However, we find no evidence that the ESG reporting transparency helps improve the stock performance. Therefore, ESG reporting transparency helps firms better resist to extreme shocks like the COVID-19 pandemic.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131526701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Quality of Public Services to the Level of Satisfaction","authors":"Mustamin Mustamin, Siti Rahmi","doi":"10.2139/ssrn.3743547","DOIUrl":"https://doi.org/10.2139/ssrn.3743547","url":null,"abstract":"This research has been carried out in the Alas District Office, Sumbawa Regency aims to determine the quality of public services to the level of community satisfaction, supporting factors, and obstacles to public services at the Alas District Office. The research method used, among others, is to determine a sample of 60 respondents (20.00%) from approximately 300 people who received public services in the last 1 year (2019) at the Alas District Office, with data collection instruments using a questionnaire and to complete the data also uses interviews. Meanwhile, the data analysis technique used descriptive statistics, namely in addition to the quantitative analysis of line percentages from the questionnaire results, also using qualitative analysis for the data from the interview results. The results of the research achieved are related to the level of community satisfaction from each variable, namely the Tangible Variable, the quality of public services to the level of community satisfaction in the Alas District Office reaching 68.33% feeling satisfied and very satisfied, then for the Reliability variable reaching 70.00% feeling satisfied and very satisfied, the Responsiveness variable reached 75.00% felt satisfied and very satisfied, the Assurance variable reached 80.00% felt satisfied.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132186231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Systematic vs. Idiosyncratic Liquidity: Cross-section of Stock Returns","authors":"Barış Ince","doi":"10.2139/ssrn.3644447","DOIUrl":"https://doi.org/10.2139/ssrn.3644447","url":null,"abstract":"This paper decomposes firm-specific monthly-varying Amihud (2002) illiquidity measure into two components: (i) systematic illiquidity; (ii) idiosyncratic illiquidity. While there is a positive and significant relationship between systematic illiquidity and one-month-ahead stock returns, the observed relationship disappears when very small stocks are excluded. On the other hand, investors tend to underreact to idiosyncratic (il)liquidity. Hence, stocks with positive (negative) idiosyncratic liquidity generate positive (negative) subsequent returns. More specifically, high-low idiosyncratic liquidity strategy generates around 11% annualized value-weighted risk-adjusted return. Investor inattention, illiquidity, and sentiment-driven irrational investors are the main drivers of underreaction to idiosyncratic liquidity component.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125505568","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bank Green Lending and Credit Risk","authors":"Xiaoyan Zhou, Ben Caldecott, Andreas G. F. Hoepner, Yao Wang","doi":"10.2139/ssrn.3618744","DOIUrl":"https://doi.org/10.2139/ssrn.3618744","url":null,"abstract":"This study empirically investigates the relationship between banks’ green lending and their credit risk, and how Chinese green finance regulations contribute to the solvency of individual banks and the resilience of the financial system as a whole. Using a sample of 41 Chinese banks for the period 2007-2018, we find that the association between a bank’s (relative) green lending as a proportion of its overall loan portfolio, and its credit risk, depends critically on the size and structure of state ownership. While the implementation of China’s Green Credit Policy reduces credit risk for the major state-controlled banks, it increases credit risk for the city and regional commercial banks. This performance difference is largely due to information and expertise asymmetries, with city and regional commercial banks having less access to information and expertise necessary to evaluate the credit risk of green lending. Understanding this phenomenon can help policymakers tailor green finance policies according to banks’ characteristics. It also suggests that mechanisms and platforms for city/regional commercial banks to learn from major state-controlled banks could be beneficial.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123834394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Relationship between Working Capital Management and Profitability","authors":"Nasser Alsulayhim","doi":"10.5539/IBR.V12N8P142","DOIUrl":"https://doi.org/10.5539/IBR.V12N8P142","url":null,"abstract":"Working capital management is an important concept that could influence companies in many ways. An efficient management of working capital can help a company to manage its finances and increases its profitability. This study investigates the relationship between working capital management and profitability in non-financial companies listed in the Saudi Stock Exchange. A sample of 67 companies is used for a period of ten years (2007-2016). Quantitative method using multiple linear regression and pooled data set is used for analysis. The results indicate a positive relationship between working capital management and profitability. However, each company could have a different optimal level of working capital and could require different strategies to increase profitability. This study is limited to non-financial companies listed in the Saudi Stock Exchange. This study is a positive contribution to working capital management literature as it uses a relatively large sample, a longer time period, and multiple profitability proxies in the context of Saudi Arabia which has few researches in this area.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128156121","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Public-Private Partnerships to Disrupt Financial Crime: An Exploratory Study of Australia’s Fintel Alliance","authors":"P. Chadderton, S. Norton","doi":"10.2139/ssrn.3392268","DOIUrl":"https://doi.org/10.2139/ssrn.3392268","url":null,"abstract":"This paper examines whether a partnership comprising public and private sector organisations (PPP) can improve information sharing between those sectors and be effective in combating money laundering and terrorism financing-related crimes, using Australia’s Fintel Alliance as a case study.<br><br>The Fintel Alliance is a PPP led by the Australian Transaction Reports and Analysis Centre, Australia’s financial intelligence unit and anti-money laundering/counter-terrorism financing regulator. The Fintel Alliance brings together 22 public and private sector organisations with the goal of combatting money laundering and terrorism financing-related crimes and is regarded as ‘the first true public-private partnership of its kind in the world’ in its co-location of participants and sharing of information.<br><br>Drawing on the results of semi-structured interviews and a focus group with analysts, managers and senior managers of Fintel Alliance member and non-member organisations, this paper examines whether and why PPPs have improved information sharing between public and private sector organisations, and the factors that have contributed to the success (or otherwise) of those arrangements. The paper also makes recommendations on changes needed to improve information sharing using PPPs.<br><br>Although the Fintel Alliance is still maturing as an organisation, its experiences are a useful guide for others contemplating developing or enhancing existing PPPs that target financial crime. For most interviewees, Fintel Alliance membership is viewed positively and provides opportunities to understand the challenges faced by counterparts. However, for some members concerns remain about their potential exposure to regulatory non-compliance action or the possibility that their commercial competitiveness could be reduced through participation in PPP activities. Notwithstanding such concerns, Fintel Alliance members consider the opportunity to develop greater awareness of financial crime risks, collaborate on projects that could benefit them, industry and the community, and potentially influence AML/CTF regulation, mean involvement in the PPP is valuable and worthwhile.","PeriodicalId":139826,"journal":{"name":"SWIFT Institute Research Paper Series","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121552082","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}