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Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005 衍生品供给与企业套期保值:来自2005年安全港改革的证据
SPGMI: SNL Financial Data (Topic) Pub Date : 2019-09-09 DOI: 10.2139/ssrn.3062048
Erasmo Giambona, Ye Wang
{"title":"Derivatives Supply and Corporate Hedging: Evidence from the Safe Harbor Reform of 2005","authors":"Erasmo Giambona, Ye Wang","doi":"10.2139/ssrn.3062048","DOIUrl":"https://doi.org/10.2139/ssrn.3062048","url":null,"abstract":"\u0000 This article analyzes the importance of supply-side fluctuations for corporate hedging. To establish a causal link, we exploit a regulatory change that allows derivatives counterparties to circumvent the Bankruptcy Code’s automatic stay: the Safe Harbor Reform of 2005. Following the reform-induced expansion in the availability of derivatives, fuel hedging by airlines nearing financial distress (those that benefited most from the reform) significantly increased in comparison with financially sound airlines. We find that the hedging propensity similarly increased in a general sample of nonfinancial firms. In line with theory, we also find that operating performance increased for the affected firms.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133447462","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: 9
Underwriting, Investing and Value: Evidence from Simulation and from Market Data 承保、投资和价值:来自模拟和市场数据的证据
SPGMI: SNL Financial Data (Topic) Pub Date : 2019-01-20 DOI: 10.2139/ssrn.3320112
N. Scordis
{"title":"Underwriting, Investing and Value: Evidence from Simulation and from Market Data","authors":"N. Scordis","doi":"10.2139/ssrn.3320112","DOIUrl":"https://doi.org/10.2139/ssrn.3320112","url":null,"abstract":"This study draws on established literature to frame the hypotheses that a property‐casualty insurer generates value from its underwriting operations. The study relies bothon results from a multi‐period simulation of an insurance firm and on results from regressions using two panels of data on publicly traded property‐casualty insurers. The study’s results suggest a positive relation between underwriting performance and value regardless of the period of analysis. When investing performance is scaled by the risk‐free rate, its relation to value is neutral or negative, depending on the period of analysis. An explanation for the study’s findings is that property‐casualty insurance firms have a comparative advantage in underwriting. By comparison, regulatory and operational constraints prevent the investing operations of these insurers to replicate benefits like those associated with levered investment trusts. An unexpected finding is that the ability of a property‐casualty insurer to generate revenue amplifies the impact of underwriting performance on value. The study concludes with a discussion of the strategic implication of its results.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123399381","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
The Real Effects of Stress Testing 压力测试的真实效果
SPGMI: SNL Financial Data (Topic) Pub Date : 2018-10-17 DOI: 10.2139/ssrn.3069376
M. Connolly
{"title":"The Real Effects of Stress Testing","authors":"M. Connolly","doi":"10.2139/ssrn.3069376","DOIUrl":"https://doi.org/10.2139/ssrn.3069376","url":null,"abstract":"Following the 2009 round of U.S. bank stress tests, the Supervisory Capital Assessment Program (SCAP), tested banks exhibited lower exit and entry rates in syndicated loan facilities. Facilities with high exposures to tested banks experienced reductions in tested bank participation that were offset by European and non-tested U.S. banks, smoothing shocks to credit at the intensive margin. There were similarly no significant changes in credit or real outcomes at the extensive margin for highly-exposed firms. However, firms exposed to banks that did not pass the SCAP faced temporarily lower borrowing outcomes and reduced investment in fixed assets.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122952040","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: 13
Bank Insolvency Risk and Z-Score Measures: Caveats and Best Practice 银行破产风险和Z-Score措施:警告和最佳实践
SPGMI: SNL Financial Data (Topic) Pub Date : 2018-07-18 DOI: 10.2139/ssrn.2892672
V. Bouvatier, L. Lepetit, Pierre-Nicholas Rehault, F. Strobel
{"title":"Bank Insolvency Risk and Z-Score Measures: Caveats and Best Practice","authors":"V. Bouvatier, L. Lepetit, Pierre-Nicholas Rehault, F. Strobel","doi":"10.2139/ssrn.2892672","DOIUrl":"https://doi.org/10.2139/ssrn.2892672","url":null,"abstract":"We highlight caveats arising in the application of traditional ROA-based Z-scores for the measurement of bank insolvency risk, develop alternative Z-score measures to resolve these issues , and make recommendations for best practice for the US/Europe based on the experience of the …nancial crisis of 2007-2008. Using a probabilistic approach (i) our novel regulatory capital Z-score dominates traditional Z-score measures for both US/Europe; (ii) Z-scores computed with exponentially weighted moments dominate those with moving moments for the US sample, but not for Europe. For both US/Europe, using a multivariate logit approach (i) allows computation of augmented Z-scores that provide probabilities of distress that better discriminate between distressed/surviving banks than the probabilistic approach; (ii) suggests that the ROA-based Z-score using current values of the capital-asset ratio is best, calculated either with moving or exponentially weighted moments.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"152 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124238258","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: 15
Impact of Market Concentration on Effective Sales Tax Rate: Evidence from Insurance Industry 市场集中度对有效销售税税率的影响:来自保险业的证据
SPGMI: SNL Financial Data (Topic) Pub Date : 2018-06-08 DOI: 10.2139/ssrn.3189516
Ghanshyam Sharma
{"title":"Impact of Market Concentration on Effective Sales Tax Rate: Evidence from Insurance Industry","authors":"Ghanshyam Sharma","doi":"10.2139/ssrn.3189516","DOIUrl":"https://doi.org/10.2139/ssrn.3189516","url":null,"abstract":"This paper examines the impact of market concentration in the insurance industry on the effective insurance premium sales tax. I use unexpected disasters normalized by the population of the state as a source of exogenous variation in the market concentration. Unexpected disasters lead to the exit of insurance firms from the state leading to higher market concentration. I find empirical evidence that a ten percent increase in market concentration leads to five percent reduction in the effective insurance premium tax rate. This implies a reduction of $84 mn in tax revenues. I also show a correlation between market concentration and campaign contributions. This suggests that higher market concentration increases the likelihood of firms coming together as an interest group and lobby for a favorable (tax) policy.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128763113","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
Internal Capital Markets and Organizational Forms 内部资本市场与组织形式
SPGMI: SNL Financial Data (Topic) Pub Date : 2018-03-01 DOI: 10.2139/ssrn.3150126
Jing Rong Goh, Shinichi Kamiya, Pingyi Lou
{"title":"Internal Capital Markets and Organizational Forms","authors":"Jing Rong Goh, Shinichi Kamiya, Pingyi Lou","doi":"10.2139/ssrn.3150126","DOIUrl":"https://doi.org/10.2139/ssrn.3150126","url":null,"abstract":"We study how the return of internal capital markets (ICMs) and the risk of ICMs differ across three alternative organizational forms: publicly-held stock insurers, privately-held stock insurers and mutual insurers. Because of the different combination of owner, manager and customer functions, these three organizational forms are subjected to different aspects and extents of agency problems, which leads to a variation in the performance of ICMs. In terms of return, we find that the sensitivity of investment increase in highly profitable business lines to ICM subsidy is significantly positive for private insurers, but is insignificant for mutual and public insurers. In terms of risk, we find that the sensitivity of investment increase in highly profitable and highly risky business lines to ICM subsidy is significantly positive for public insurers. Finally, we find that the underwriting ROA volatility is more sensitive to shadow ICM subsidy than to regular ICM subsidy for public insurers.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124854281","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
How Do Financial Constraints Affect Product Pricing? Evidence from Weather and Life Insurance Premiums 财务约束如何影响产品定价?来自天气和人寿保险保费的证据
SPGMI: SNL Financial Data (Topic) Pub Date : 2017-11-01 DOI: 10.2139/SSRN.3067609
Shan Ge
{"title":"How Do Financial Constraints Affect Product Pricing? Evidence from Weather and Life Insurance Premiums","authors":"Shan Ge","doi":"10.2139/SSRN.3067609","DOIUrl":"https://doi.org/10.2139/SSRN.3067609","url":null,"abstract":"I identify effects of financial constraints on firms' product pricing decisions, using a sample of insurance groups (conglomerates) that contain both life and P&C (property & casualty) subsidiaries. P&C subsidiaries' losses can tighten financial constraints for the life subsidiaries through internal capital markets. I present a model that predicts following P&C losses, premiums should fall for life policies that initially increase insurers' statutory capital, and rise for policies that initially decrease capital. Empirically, I find that P&C losses cause changes in life insurance premiums as my model predicts. The effects are concentrated in more financially constrained groups. Evidence also indicates that life subsidiaries increase capital transfers to P&C subsidiaries following larger P&C losses. These results hold when instrumenting for P&C losses using data on weather damages, implying that P&C losses do cause changes in life insurance premiums and internal capital transfers. My findings suggest that when financial constraints tighten, firms change product prices to relax the constraints, and how prices change depends on the initial impact of selling the products on firms' financial resources.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114299563","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: 30
Leverage - A Broader View 杠杆-更广阔的视野
SPGMI: SNL Financial Data (Topic) Pub Date : 2017-09-30 DOI: 10.2139/ssrn.3046026
Z. Alam, Manmohan Singh
{"title":"Leverage - A Broader View","authors":"Z. Alam, Manmohan Singh","doi":"10.2139/ssrn.3046026","DOIUrl":"https://doi.org/10.2139/ssrn.3046026","url":null,"abstract":"Traditional measures of leverage in the financial system tend to reflect bank balance sheet data. The paper argues that these traditional, bank-centric measures should be augmented by considering pledged collateral in the financial system since pledged collateral provides a measure of an important part of nonbank funding to banks. From a policy perspective, the paper suggests that a broader view on leverage will enhance our understanding of global systemic risk, and complement the theoretical work in this field by providing a link from micro-level leverage data to macro aggregates such as credit to the economy.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124047993","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
The Consequences of REIT Index Membership for Return Patterns REIT指数成员资格对收益模式的影响
SPGMI: SNL Financial Data (Topic) Pub Date : 2016-09-18 DOI: 10.1111/1540-6229.12202
Andrey Pavlov, Eva Steiner, Susan M. Wachter
{"title":"The Consequences of REIT Index Membership for Return Patterns","authors":"Andrey Pavlov, Eva Steiner, Susan M. Wachter","doi":"10.1111/1540-6229.12202","DOIUrl":"https://doi.org/10.1111/1540-6229.12202","url":null,"abstract":"We study the impact of S&P index membership on REIT stock returns. Given the hybrid nature of REITs, their returns may become more like those of other indexed stocks and less like those of their underlying properties. The existing literature does not offer clear predictions on these potential outcomes. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns after controlling for the stock characteristics that determine index membership. We also document that index membership enhances the link between REIT stock returns and the performance of the underlying real estate, consistent with improved pricing efficiency. REIT investors appear to be able to enjoy the benefits of improved visibility and liquidity associated with index membership as well as the exposure to underlying real estate markets and the related benefits of diversification.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122080688","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: 18
The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs 波动率、成交量和偏度的相互作用:来自REITs的经验证据
SPGMI: SNL Financial Data (Topic) Pub Date : 2016-06-01 DOI: 10.1080/10835547.2016.12089976
Alexey Akimov, E. Hutson, S. Stevenson
{"title":"The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs","authors":"Alexey Akimov, E. Hutson, S. Stevenson","doi":"10.1080/10835547.2016.12089976","DOIUrl":"https://doi.org/10.1080/10835547.2016.12089976","url":null,"abstract":"In this paper, we consider how trading volume impacts the first three moments of real estate investment trust (REIT) returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume.","PeriodicalId":314321,"journal":{"name":"SPGMI: SNL Financial Data (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123897270","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
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