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HOW DO YOU DISCLOSE? SOME EVIDENCE ON IT GOVERNANCE AND PERFORMANCE IN EUROPEAN BANKING SYSTEM 你是如何披露的?一些关于欧洲银行体系it治理和绩效的证据
Journal of Financial Management Markets and Institutions Pub Date : 2019-06-01 DOI: 10.1142/S2282717X19400024
I. Panetta, Sabrina Leo, Fabrizio Santoboni, Gianfranco Vento
{"title":"HOW DO YOU DISCLOSE? SOME EVIDENCE ON IT GOVERNANCE AND PERFORMANCE IN EUROPEAN BANKING SYSTEM","authors":"I. Panetta, Sabrina Leo, Fabrizio Santoboni, Gianfranco Vento","doi":"10.1142/S2282717X19400024","DOIUrl":"https://doi.org/10.1142/S2282717X19400024","url":null,"abstract":"This paper examines the evolution of the attention paid by a sample of EU banks on IT governance. We propose an analysis based on IT public disclosure to contribute to the less explored strand of literature on IT governance transparency. We explore if the attention paid by banks to this topic has grown after the crises and if the greater importance ascribed to IT governance is due to the Supervisors’ pressure or the value-driven decisions. In particular, we test if, as for other corporate governance mechanisms, there is a verifiable linkage between IT governance (disclosure) and banks’ performance.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84992802","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
DIVERSITY MEASURES AND QUALITY OF BANKS’ BOARDS: THE ITALIAN CASE 银行董事会的多元化措施和质量:意大利的例子
Journal of Financial Management Markets and Institutions Pub Date : 2018-12-01 DOI: 10.1142/S2591768418500095
Rossella Locatelli, Cristiana-Maria Schena, A. Tanda, Andrea Uselli
{"title":"DIVERSITY MEASURES AND QUALITY OF BANKS’ BOARDS: THE ITALIAN CASE","authors":"Rossella Locatelli, Cristiana-Maria Schena, A. Tanda, Andrea Uselli","doi":"10.1142/S2591768418500095","DOIUrl":"https://doi.org/10.1142/S2591768418500095","url":null,"abstract":"Most of the studies in corporate governance in banks and other types of firms investigate board diversity and quality separately, without considering the possible relationship between these two. To fill this gap, this study investigates through a new methodological approach the level of quality and diversity of the boards of a sample of Italian banks using a proprietary hand-collected database; in addition, it examines the relationship between diversity and quality of boards to verify whether more diversity consistently relates to higher quality, in accordance with the regulatory approach. Evidence shows that especially small and mutual banks need to improve quality and diversity, as they probably suffer from their limited attractiveness to top profile directors. Moreover, on analyzing interrelations we find evidence of a positive association between board diversity and quality. In particular, financial skills and experience of directors improve the qualitative level of banking boards.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89586103","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
LIQUIDITY AS AN ASSET PRICING FACTOR IN THE UK 流动性作为英国资产定价因素
Journal of Financial Management Markets and Institutions Pub Date : 2018-12-01 DOI: 10.1142/S2282717X18500081
Panayiotis G. Artikis
{"title":"LIQUIDITY AS AN ASSET PRICING FACTOR IN THE UK","authors":"Panayiotis G. Artikis","doi":"10.1142/S2282717X18500081","DOIUrl":"https://doi.org/10.1142/S2282717X18500081","url":null,"abstract":"This study examines whether there is a strong relationship between stock liquidity, which proxies for the implicit cost of trading shares, and future stock returns in an asset-pricing context in the UK stock market. The time period, 1994–2016, includes the most recent global financial crisis that drained liquidity from financial markets worldwide. Four different measures of stock liquidity are employed; the empirical findings indicate that liquidity is a systematic pricing factor and explains a significant portion of the variation in stock returns, even after the inclusion of the other traditional risk factors. The results are robust to both forms of liquidity, either as a residual effect or in its original form as a separate risk factor. Finally, for the first time quantile regression is applied, showing that the liquidity risk factor (LIQ) absorbs a significant portion of the information content of the size and value factors, while remaining independent of the momentum factor.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"312 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82897931","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 RELATIONSHIP BETWEEN STOCK RETURN SKEWNESS AND BANK FEATURES 股票收益偏度与银行特征的关系
Journal of Financial Management Markets and Institutions Pub Date : 2018-12-01 DOI: 10.1142/S2282717X1850010X
S. Bressan, Alex Weissensteiner
{"title":"THE RELATIONSHIP BETWEEN STOCK RETURN SKEWNESS AND BANK FEATURES","authors":"S. Bressan, Alex Weissensteiner","doi":"10.1142/S2282717X1850010X","DOIUrl":"https://doi.org/10.1142/S2282717X1850010X","url":null,"abstract":"This paper studies to what extent bank-specific characteristics relate to stock return skewness. The main finding is that stock return skewness decreases significantly in bank size, measured in terms of total assets, i.e stocks of large banks are less skewed than those of small banks. This result holds for backward-looking skewness computed using the past stock returns, as well as for forward-looking skewness extracted from stock options. We interpret the empirical evidence by arguing that bank size increases the likelihood to have severe losses, to the point that investors expect to be compensated by receiving higher expected returns.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79860622","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
AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT 交易对手风险约束下的场外衍生品市场均衡模型
Journal of Financial Management Markets and Institutions Pub Date : 2018-11-12 DOI: 10.1142/S2282717X1850007X
Kazuhiro Takino
{"title":"AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT","authors":"Kazuhiro Takino","doi":"10.1142/S2282717X1850007X","DOIUrl":"https://doi.org/10.1142/S2282717X1850007X","url":null,"abstract":"In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold. Since we consider the option market to be an example of the derivatives market, we suppose that the buyer of an option has only countertparty risk of a seller defaulting. In addition, we consider a model where the buyer is allowed to enter into an option contract within an allocated amount of risk capital for counterparty risk, and requires (cash) collateral to the seller if the exposure exceeds the threshold. The counterparty risk is measured as a credit valuation adjustment. We provide an equilibrium pricing rule and an equilibrium volume formula by solving participants’ static utility-maximization problems. Based on numerical simulations, we verify the mechanisms through which collateralization, risk capital, and the threshold affect the size of the over-the-counter (OTC) option market. Finally, we analyze the influence of the buyer’s risk-aversion on the market, without collateralization. The results imply that the risk constraint might be a proxy for an investor’s attitude towards risk.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"79 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80358837","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
AUTHOR INDEX VOLUME 6 (2018) 作者索引第6卷(2018)
Journal of Financial Management Markets and Institutions Pub Date : 2018-10-01 DOI: 10.1142/s2282717x18990013
{"title":"AUTHOR INDEX VOLUME 6 (2018)","authors":"","doi":"10.1142/s2282717x18990013","DOIUrl":"https://doi.org/10.1142/s2282717x18990013","url":null,"abstract":"","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86892149","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
VOLATILITY MEASURES, LIQUIDITY AND CREDIT LOSS PROVISIONS DURING PERIODS OF FINANCIAL DISTRESS 金融危机期间的波动性措施、流动性和信贷损失准备金
Journal of Financial Management Markets and Institutions Pub Date : 2018-07-03 DOI: 10.1142/S2282717X18500068
Giulio Anselmi
{"title":"VOLATILITY MEASURES, LIQUIDITY AND CREDIT LOSS PROVISIONS DURING PERIODS OF FINANCIAL DISTRESS","authors":"Giulio Anselmi","doi":"10.1142/S2282717X18500068","DOIUrl":"https://doi.org/10.1142/S2282717X18500068","url":null,"abstract":"In this paper, we investigate the role of liquidity in banks lending activity and how liquidity provision is related to bank’s credit risk and others market-based risk measures, such as bank’s implied volatility skew from options traded on the market and realized volatility from futures contract on LIBOR, during periods of global financial distress. Credit risk is given by the ratio between loan loss reserves and total assets and we find that losses from lending activity force banks to build up new liquidity provisions only during the period of financial distress. Liquidity ratio is given by the sum of cash and short-term assets over total assets and we discovered that credit risk reduces liquidity ratio only in bad times, as this demand for liquid asset is suddenly switched on and the more reserves from loan losses the bank has, the more it cleans its balance sheet from long-term commitments in order to replenish its cash and short-term securities. When we control for market-based risk measures, we evidence that both implied volatility skew and LIBOR’s realized volatility are negatively related with the liquidity ratio and are useful in predicting a distress in bank’s liquidity holdings.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89389707","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
REWARD CULTURE AND BANKS’ PERFORMANCE DURING THE 2008 FINANCIAL CRISIS 2008年金融危机期间的奖励文化与银行业绩
Journal of Financial Management Markets and Institutions Pub Date : 2018-06-01 DOI: 10.1142/S2591768418500010
H. Nguyen
{"title":"REWARD CULTURE AND BANKS’ PERFORMANCE DURING THE 2008 FINANCIAL CRISIS","authors":"H. Nguyen","doi":"10.1142/S2591768418500010","DOIUrl":"https://doi.org/10.1142/S2591768418500010","url":null,"abstract":"This paper explores the relationship between banks’ “reward culture” and banks’ performance and risk during the 2007–2008 financial crisis. Reward culture is defined as a result-oriented culture influenced through the incentives structure. Reward culture reflects three dimensions: (i) Chief Executive Officer incentives; (ii) Vice Presidents’ incentives; and (iii) employee incentives. A reward culture score represents the common factor in incentives across all employee levels. I find strong evidence of a nonlinear relationship between reward culture and bank returns and risk. Classifying banks into high, average, and low reward culture groups in the pre-crisis year 2006, I find that during the crisis period, banks within both the high and low reward culture groups performed worse, and were more risky than banks within the average reward culture group. The findings are consistent with the problems of adverse selection and moral hazard associated with incentive misalignment when incentives are too low or too high.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78946556","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
HEDGE FUNDS: RISK AND PERFORMANCE 对冲基金:风险与业绩
Journal of Financial Management Markets and Institutions Pub Date : 2018-06-01 DOI: 10.1142/S2591768418500034
Sangheon Shin, Jan M. Smolarski, Gökçe Soydemir
{"title":"HEDGE FUNDS: RISK AND PERFORMANCE","authors":"Sangheon Shin, Jan M. Smolarski, Gökçe Soydemir","doi":"10.1142/S2591768418500034","DOIUrl":"https://doi.org/10.1142/S2591768418500034","url":null,"abstract":"This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"25 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85929462","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
DOES POST-IPO M&A ACTIVITY AFFECT FIRMS’ PROFITABILITY AND SURVIVAL? 上市后的并购活动是否会影响公司的盈利能力和生存?
Journal of Financial Management Markets and Institutions Pub Date : 2018-06-01 DOI: 10.1142/S2591768418500058
Matteo Bonaventura, S. Bonini, Vincenzo Capizzi, G. Giudici
{"title":"DOES POST-IPO M&A ACTIVITY AFFECT FIRMS’ PROFITABILITY AND SURVIVAL?","authors":"Matteo Bonaventura, S. Bonini, Vincenzo Capizzi, G. Giudici","doi":"10.1142/S2591768418500058","DOIUrl":"https://doi.org/10.1142/S2591768418500058","url":null,"abstract":"In this paper, we investigate the post-IPO operating performance of acquiring companies listed in the US in the period 1986–2008. We find that acquiring IPO firms delivers better operating returns when compared to non-acquiring IPO firms in the five years after the listing. This result holds controlling for both IPO and firm-specific characteristics. Furthermore, acquiring targets already listed on the stock exchange and running stock deals are associated with the improved operating performance. Finally, we find that acquisitions also affect the newly listed companies’ survival, reducing both the time to failure and the time to being acquired, which suggest a structural acceleration of the “natural” company lifecycle.","PeriodicalId":34440,"journal":{"name":"Journal of Financial Management Markets and Institutions","volume":"78 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72597218","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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