ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)最新文献_第2页

The Economic Consequences of Tightening Insider Trading Regulation: Evidence from Hong Kong 收紧内幕交易监管的经济后果:来自香港的证据

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2018-08-22 DOI: 10.2139/ssrn.3237234

Zhihong Chen, Yuyan Guan, B. Ke

引用次数: 1

Banking Transformation 银行业转型

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2018-03-17 DOI: 10.2139/ssrn.2221266

P. Vanini, Shadie Broumandi

引用次数: 1

How Trade Matching Forms in the Credit Default Swap Market 信用违约掉期市场的交易匹配是如何形成的

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-12-16 DOI: 10.2139/ssrn.2665511

Jun Sung Kim, Gerardo Ferrara, B. Koo, Zijun Liu

引用次数: 1

The Impact of Anti-Money Laundering Regulation on Payment Flows: Evidence from SWIFT Data 反洗钱监管对支付流的影响:来自SWIFT数据的证据

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-12-01 DOI: 10.2139/ssrn.2893790

M. Collin, Samantha Cook, Kimmo Soramaki

{"title":"The Impact of Anti-Money Laundering Regulation on Payment Flows: Evidence from SWIFT Data","authors":"M. Collin, Samantha Cook, Kimmo Soramaki","doi":"10.2139/ssrn.2893790","DOIUrl":"https://doi.org/10.2139/ssrn.2893790","url":null,"abstract":"Regulatory pressure on international banks to fight money laundering (ML) and terrorist financing (TF) increased substantially in the past decade. At the same time there has been a rise in the number of complaints of banks denying transactions or closing the accounts of customers either based in high risk countries or attempting to send money there, a process known as de-risking. In this paper, we investigate the impact of an increase in regulatory risk, driven by the inclusion of countries on an internationally-recognized list of high risk jurisdictions, on subsequent cross-border payments. We find countries that have been added to a high risk greylist face up to a 10 percent decline in the number of cross border payments received from other jurisdictions, but no change in the number sent. We also find that a greylisted country is more likely to see a decline in payments from other countries with weak AML/CFT institutions. We find limited evidence that these effects manifest in cross border trade or other flows. Given that countries that are placed on these lists tend to be poorer on average, these impacts are likely to be more strongly felt in developing countries.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117337026","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}

引用次数: 19

The Real Effects of NASDAQ Delistings 纳斯达克退市的真实影响

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-11-14 DOI: 10.2139/ssrn.2893493

Karen Liu

{"title":"The Real Effects of NASDAQ Delistings","authors":"Karen Liu","doi":"10.2139/ssrn.2893493","DOIUrl":"https://doi.org/10.2139/ssrn.2893493","url":null,"abstract":"It is claimed that exchange listing of its stock benefits a firm by improving its stock liquidity and access to capital, thereby affecting real decisions and consequent outcome variables. Testing this claim empirically encounters obvious and formidable endogeneity problems. This paper empirically examines the causal effect of involuntary delisting from a stock exchange on stock liquidity, access to capital, corporate investment and profitability. Focusing on firms in violation of NASDAQ continued listing rules between 2000 and 2009, I compare firms that eventually delisted and moved trading of their stock to OTC markets with those that regained compliance and remained on NASDAQ. Market volatility during the delisting grace period is used as an instrumental variable (IV) for the delisting outcome. My findings suggest the following: First, delisting causes stocks to experience reduced daily trading volume, but only if the stock was actively traded prior to delisting; for thinly-traded stocks, there is no effect. Second, surprisingly, the number of investors, institutional ownership or analyst coverage are not affected by delisting. Third, delisting leads to less future equity issuance only if a stock was actively traded prior to delisting. Fourth, delisting has no statistically significant effect on a firm's long-term investments. Fifth, delisting improves long-term gross margin for firms which were thinly-traded prior to delisting. Sixth, delisting does not have statistically significant effect on firm value. Overall, my findings indicate that delisting from a stock exchange is not as costly as commonly believed. This implies that the OTC markets may provide small firms that have limited trading volume with a low-cost, effective market for their stock. My conclusions support the recent policy initiations to provide the alternative listing and trading venues for small public companies.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116608287","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}

引用次数: 0

Efficiency Costs Fairness: Resolving Financial Market Rumors through Public Inquiries 效率成本公平:通过公众质询化解金融市场谣言

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-11-05 DOI: 10.2139/ssrn.2310932

S. Park

引用次数: 0

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach 基于消费的罕见灾害风险资产定价——一种矩量法的模拟方法

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-06-28 DOI: 10.2139/ssrn.2397065

J. Grammig, J. Sönksen

引用次数: 3

Sarbanes-Oxley, Capital Structure and the Choice of Payment in Mergers and Acquisitions 萨班斯-奥克斯利法案，资本结构与并购中的支付选择

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-06-17 DOI: 10.2139/ssrn.2797501

Tim Chai, Dimitrios Vortelinos

引用次数: 0

Assessing Financial Stability Risks from the Real Estate Market in Italy 从意大利房地产市场评估金融稳定风险

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-03-18 DOI: 10.2139/ssrn.2772507

Federica Ciocchetta, Wanda Cornacchia, Roberto Felici, M. Loberto

{"title":"Assessing Financial Stability Risks from the Real Estate Market in Italy","authors":"Federica Ciocchetta, Wanda Cornacchia, Roberto Felici, M. Loberto","doi":"10.2139/ssrn.2772507","DOIUrl":"https://doi.org/10.2139/ssrn.2772507","url":null,"abstract":"We provide an analytical framework for assessing financial stability risks arising from the real estate sector in Italy. This framework consists of two blocks: three complementary early warning models (EWMs) and a broad set of indicators related to the real estate market, to credit and to households. We focus separately on households and on firms engaged in construction, management and investment services in the real estate sector. Since in Italy there have been no real estate-related systemic banking crises, as vulnerability indicator we consider a continuous indicator represented by the ratio between the annual flow of bad debts related to the real estate sector and banks’ capital and reserves. We contribute to the recent literature on EWMs by implementing a Bayesian Model Averaging (BMA) based on linear regression models with a continuous dependent variable of vulnerability and an ordered logit model with a discrete dependent variable of vulnerability classes. Both models exhibit good predictive abilities. Based on the BMA projections for the period from the third quarter of 2015 to the second quarter of 2016, banking vulnerability related to the real estate sector is expected to gradually decline.","PeriodicalId":154391,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123523909","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}

引用次数: 2

Market Timing of Seasoned Equity Offerings with Long Regulative Process 具有长期监管过程的经验丰富的股票发行的市场时机

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets Regulation (Topic) Pub Date : 2016-01-12 DOI: 10.2139/ssrn.2726227

Yong Huang, Konari Uchida, Daolin Zah

引用次数: 28