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Systemic Risk in Financial Systems in Consideration of Bankruptcy Liquidation Expenses 考虑破产清算费用的金融系统系统性风险
The Finance Pub Date : 2015-01-08 DOI: 10.12677/fin.2015.51004
李 少华
{"title":"Systemic Risk in Financial Systems in Consideration of Bankruptcy Liquidation Expenses","authors":"李 少华","doi":"10.12677/fin.2015.51004","DOIUrl":"https://doi.org/10.12677/fin.2015.51004","url":null,"abstract":"一个金融系统的系统风险是由于系统中各机构间的相互债务关联而导致的层叠违约所引起的。本文通过引入破产清算费用来扩展Eisenberg and Noe (2001)提出的有关系统风险的经典模型，讨论了扩展模型下清算向量的存在性和唯一性。在经典模型的清算过程中，整个金融系统的净值没有损耗，但在扩展模型下，一旦有一家机构破产，系统的净值就会有所损耗，并且损耗的多少与层叠违约的程度相关。 Systemic risk of a financial system arises from cascading defaults due to liability linkages among institutions. The main work in the paper builds on the modeling paradigm of Eisenberg and Noe (2001), extending it by introducing bankruptcy liquidation expenses. Comparing with the classical model, we discuss the existence and uniqueness of clearing payment vector under the extended model. In classical model, the whole financial system net worth has no loss throughout the clearing process. While, in the extended model proposed by the paper, there must be certain loss once some firm is insolvent and the loss is correlated to the magnitude of cascading defaults.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131294217","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
Performance of microfinance institutions: do board activity and governance ratings matter? 小额信贷机构的表现:董事会活动和治理评级重要吗?
The Finance Pub Date : 2014-12-09 DOI: 10.3917/fina.353.0007
H. T. Tchuigoua
{"title":"Performance of microfinance institutions: do board activity and governance ratings matter?","authors":"H. T. Tchuigoua","doi":"10.3917/fina.353.0007","DOIUrl":"https://doi.org/10.3917/fina.353.0007","url":null,"abstract":"This article aims to empirically verify the relationship among board activity, governance rating scores, and the financial performance of microfinance institutions (MFIs). The study comprises a sample of 215 MFIs rated by Planet Rating between 2003 and 2009. The findings, obtained after controlling for endogeneity and selection biases, suggest that board activity and governance rating scores are associated with profitability. In addition, the study of the moderating effect of legal status reveals a significant difference of the effect of governance rating score and CEO/Chairman duality. In view of the results, it seems difficult to conclude definitively that the legal form of MFIs has a moderating effect on their financial performance. The existence of a moderating effect and thus validation of the thesis that shareholder-based MFI governance systems would be more effective than nonprofit MFIs depends on how governance is measured. The results are robust to other measures of financial performance and to the functional form of board activity.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"49 196 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125948105","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: 12
The 99% Market Sentiment Index 99%市场情绪指数
The Finance Pub Date : 2014-12-09 DOI: 10.3917/FINA.353.0053
P. Roger
{"title":"The 99% Market Sentiment Index","authors":"P. Roger","doi":"10.3917/FINA.353.0053","DOIUrl":"https://doi.org/10.3917/FINA.353.0053","url":null,"abstract":"We build a market sentiment index based solely on the changes over time in the number of different stocks held by individual investors. No prices, returns or trading volumes enter the definition and trades of unwealthy and underdiversified investors are overweighted in our sentiment index. Using the trades and portfolios of a large sample of 87,373 French investors over a eight-year period, we show that our index outperforms other usual indices (based on surveys, macro-economic variables or buy-sell imbalances) in predicting short-term returns on long-short portfolios based on size or on the book-to-market ratio. An increase of one standard deviation of our market sentiment index in a given month implies a decrease of 1.05% of the return on such a long-short size based portfolio the following month. A simple dynamic strategy driven by our sentiment index delivers a Sharpe ratio higher than that of random dynamic strategies in 99.6% of cases and a much higher Sharpe ratio than the one of a buy-and-hold strategy.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125312079","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: 6
Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model 利息期限溢价与C-CAPM:一个简约模型的检验
The Finance Pub Date : 2014-12-09 DOI: 10.3917/FINA.353.0097
Hubert de la Bruslerie, Jessica Fouilloux
{"title":"Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model","authors":"Hubert de la Bruslerie, Jessica Fouilloux","doi":"10.3917/FINA.353.0097","DOIUrl":"https://doi.org/10.3917/FINA.353.0097","url":null,"abstract":"This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and test a parsimonious model that highlights linear relationship between term premiums and next period conditional volatilities. When calibrated to US data on interest rates, consumption and inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients between 2 and 7 are elicited.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121156536","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: 1
Stock Returns Memories: a "Stardust" Memory 股票返回记忆:一种“星尘”记忆
The Finance Pub Date : 2014-09-25 DOI: 10.3917/FINA.352.0057
Julien Fouquau, Philippe Spieser
{"title":"Stock Returns Memories: a \"Stardust\" Memory","authors":"Julien Fouquau, Philippe Spieser","doi":"10.3917/FINA.352.0057","DOIUrl":"https://doi.org/10.3917/FINA.352.0057","url":null,"abstract":"Cet article a pour but de tester econometriquement la notion d’efficience de marche a travers l’analyse de la structure de dependance des rendements des indices d’actions. A cette fin, six methodes d’estimations ont ete utilisees pour obtenir l’exposant de Hurst, partant de l’approche classique “R/S”, poursuivant avec les modeles ARFIMA et concluant par la methode des ondelettes. Nous avons etudie la presence potentielle d’une memoire longue ou courte dans douze marches et trois periodes (1960-2013), (1980-2013) et (1990-2013). Nos conclusions dependent du degre de maturite financiere des marches: la plupart des marches emergents exhibent une memoire alors que les marches plus matures montrent une absence ou une tres courte memoire.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129111395","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: 3
Acquisitions and Bidder Stock Valuations: Empirical Evidence from the French Market 收购与出价人股票估值:来自法国市场的经验证据
The Finance Pub Date : 2014-09-21 DOI: 10.3917/FINA.351.0051
Christophe Trowski
{"title":"Acquisitions and Bidder Stock Valuations: Empirical Evidence from the French Market","authors":"Christophe Trowski","doi":"10.3917/FINA.351.0051","DOIUrl":"https://doi.org/10.3917/FINA.351.0051","url":null,"abstract":"This paper analyzes the influence of industry shocks, mispricing, and managerial overconfidence on merger and acquisition activities on the Euronext Paris stock market, between 1996 and 2010. Merger and acquisition waves are led by industry shocks, where the probability that the target’s shareholders will be paid with stock increases with overpricing of the bidding firm’s shares, and tends to decrease with overconfidence of its manager. It thus appears that behavioral predictions do not necessarily contradict the economic disturbance hypothesis. Quite to the contrary, the influence of managerial overconfidence on the method of payment seems to be sensitive to industry shocks.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123759221","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: 1
Irrational Market Makers 非理性做市商
The Finance Pub Date : 2014-09-21 DOI: 10.3917/FINA.351.0107
Laurent Germain, Fabrice Rousseau, A. Vanhems
{"title":"Irrational Market Makers","authors":"Laurent Germain, Fabrice Rousseau, A. Vanhems","doi":"10.3917/FINA.351.0107","DOIUrl":"https://doi.org/10.3917/FINA.351.0107","url":null,"abstract":"We analyze a model where irrational and rational informed traders exchange a risky asset with irrational market makers. Irrational traders misperceive the mean of prior information (optimistic/pessimistic bias) and the variance of the noise in their private signal (overconfidence/ underconfidence bias). Irrational market makers misperceive both the mean and the variance of the prior information. We show that moderately underconfident traders can outperform rational ones and that irrational market makers can fare better than rational ones. Lastly, we find that extreme level of confidence implies high trading volume.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125903970","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: 3
A Study on How the Expansion of State-Owned Monopolies Impacts Their Performances—The Empirical Data of Listed Companies of Our Country 国有垄断企业扩张对其绩效的影响研究——基于我国上市公司的实证数据
The Finance Pub Date : 2014-09-17 DOI: 10.12677/FIN.2014.44009
杜 雪锋
{"title":"A Study on How the Expansion of State-Owned Monopolies Impacts Their Performances—The Empirical Data of Listed Companies of Our Country","authors":"杜 雪锋","doi":"10.12677/FIN.2014.44009","DOIUrl":"https://doi.org/10.12677/FIN.2014.44009","url":null,"abstract":"本文以经济增加值为公司绩效的度量指标，采用面板数据模型研究企业绩效与企业垄断扩张间的关系。并应用我国沪深上市公司数据样本，对国有企业的不断扩张和企业绩效的关系进行实证。寻求国企垄断扩张的适度规模，给政策制定者提供参考。实证结果表明：国企垄断扩张使企业绩效呈显著地下降趋势。同时存在非线性的“U型”效应，即较低程度的垄断限制了企业的创新能力，导致企业绩效降低。随着垄断扩张为企业带来的超额垄断利润弥补了创新能力的不足，又使企业绩效与垄断呈现正向关系。In this paper, we choose economic value added (EVA) as the measurement indicator of company’s performance and use the panel data model to study the relationship between the enterprise per-formance and the industry monopoly. We focus on China listing corporations covering various in-dustries and find out that there is a negative linear relation and non-linear “U” effect between the monopoly expansion of state-owned enterprises and EVA; that is to say, the monopoly decreases EVA of the company. However, when the monopoly expansion of state-owned enterprises increases to a certain transition point, EVA begins to increase, indicating that the excess monopoly profit compensates for the negative effect to enterprise. The firm performance and monopoly begin to show a positive relationship.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125996990","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
深化中国信用评级业管理体制改革的思考 Reflections on Deep Reforming of the Management of China’s Credit Rating Industry 深化中国信用评级业管理体制改革的思考 Reflections on Deep Reforming of the Management of China’s Credit Rating Industry
The Finance Pub Date : 2014-09-05 DOI: 10.12677/FIN.2014.43008
岷峰 陆, 祖刚 汪
{"title":"深化中国信用评级业管理体制改革的思考 Reflections on Deep Reforming of the Management of China’s Credit Rating Industry","authors":"岷峰 陆, 祖刚 汪","doi":"10.12677/FIN.2014.43008","DOIUrl":"https://doi.org/10.12677/FIN.2014.43008","url":null,"abstract":"市场经济的运行效率取决于信用经济的发展状况。而信用经济的发展又依赖于信用评级体系的有力支撑。从发达国家来看，美欧百余年的评级业发展奠定了三大评级机构在国际评级业的绝对垄断地位和市场影响力。中国评级业经历了近30年的发展，对信用体系的构建起到了一定的辅助作用。但从信用评级业管理体制来看，还存在多项管理体制缺位而导致整个评级业发展备受制约的问题。着眼于中国未来信用经济在市场经济中举足轻重的地位，亟需逐步深化评级业管理体制改革助推中国评级业的健康长久发展。The operating efficiency of market economy depends on the development of credit economy. The credit economy is dependent on the strong support for the credit rating system. From the perspec-tive of developed countries, over a hundred years the United States and Europe ratings industry has laid absolute monopoly and market influence of three rating agencies in the international rating industry. Chinese rating industry has experienced nearly 30 years of development, playing a sup-porting role in building credit system. But from the view of the credit rating industry management system, there is also an absence of some management systems that constrains the development of rating industry. Focusing on the pivotal position of credit economy in the market economy in the future, there is a need to gradually deepen the rating industry management system to boost long-term healthy development of China’s credit rating industry.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126760941","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
中国金融CGE模型研究与应用 Financial CGE Model Research and Application in China 中国金融CGE模型研究与应用 Financial CGE Model Research and Application in China
The Finance Pub Date : 2014-04-11 DOI: 10.12677/FIN.2014.42006
列曲 胡
{"title":"中国金融CGE模型研究与应用 Financial CGE Model Research and Application in China","authors":"列曲 胡","doi":"10.12677/FIN.2014.42006","DOIUrl":"https://doi.org/10.12677/FIN.2014.42006","url":null,"abstract":"本文以金融变量、金融工具和金融部门等金融因素为线索，对金融CGE模型在中国的应用研究进行了评述，进而提出金融CGE模型在我国的未来研究发展方向。 \u0000This paper has reviewed the financial CGE model research and application in China from financial factors such as financial variables, financial tools and financial departments. Furthermore, the direction of future research on financial CGE model in our country is also proposed.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125189941","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
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