Financial Markets, Institutions and Instruments最新文献_第10页

Do multinational banks create or destroy shareholder value? A cross-country analysis 跨国银行是创造还是破坏股东价值?跨国分析

Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12091

Mohamed Azzim Gulamhussen, Carlos Manuel Pinheiro, Alberto Franco Pozzolo

引用次数: 10

Too big to fail: Measures, remedies, and consequences for efficiency and stability* 太大而不能倒:效率和稳定的措施、补救措施和后果*

Financial Markets, Institutions and Instruments Pub Date : 2017-10-12 DOI: 10.1111/fmii.12083

James R. Barth, Clas Wihlborg

引用次数: 0

Managerial gaming of stock and option grants 股票和期权授予的管理博弈

Financial Markets, Institutions and Instruments Pub Date : 2017-07-14 DOI: 10.1111/fmii.12081

Yisong S. Tian

引用次数: 3

Survive the droughts, I wish you well: Principles and cases of liquidity risk management 渡过干旱，祝你好运:流动性风险管理原则与案例

Financial Markets, Institutions and Instruments Pub Date : 2017-07-14 DOI: 10.1111/fmii.12082

Bruce Tuckman

引用次数: 4

Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models? 债券-股票收益差异模型比高市盈率模型更能预测股市回调吗?

Financial Markets, Institutions and Instruments Pub Date : 2017-04-12 DOI: 10.1111/fmii.12080

Sébastien Lleo, William T. Ziemba

引用次数: 20

Development and Functioning of FX Markets in Asia and the Pacific 亚洲及太平洋地区外汇市场的发展和运作

Financial Markets, Institutions and Instruments Pub Date : 2017-01-09 DOI: 10.1111/fmii.12079

Richard M. Levich, Frank Packer

{"title":"Development and Functioning of FX Markets in Asia and the Pacific","authors":"Richard M. Levich, Frank Packer","doi":"10.1111/fmii.12079","DOIUrl":"10.1111/fmii.12079","url":null,"abstract":"Global foreign exchange (FX) trading volume in traditional FX products and derivatives in Asia and the Pacific has expanded rapidly over the last fifteen years, more so than in other regions. Asian currencies also have experienced exceptional growth in offshore turnover, including non-deliverable forwards (NDFs). Trading activity on this scale spread across many countries and currencies underscores the need for a well-functioning infrastructure and exceptional risk management processes. While settlement risks are mitigated for the vast majority of turnover through systems like CLS Bank, the Asia Pacific region would benefit by having more countries and currencies become CLS enabled or tradable under other Payment versus payment (PVP) systems. Though less pronounced than during the global financial crisis, FX markets in the region experienced added turbulence during the “taper tantrum” period of 2013. High turnover currencies tended to depreciate more after taper announcements; though volatility rose more sharply in currencies with low turnover. The FX market is a prominent venue for carry trades that are subject to crash risk. While there is some evidence of herding behavior exacerbating this risk over the past decade, the measures calibrated more recently do not suggest exceptional crowding into carry trades ahead of the “taper tantrum” in 2013. At the same time, our measures of crowdedness for the carry trade show considerable variation over time. Making crowdedness measures publicly available might be advisable.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 1","pages":"3-58"},"PeriodicalIF":0.0,"publicationDate":"2017-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12079","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75716939","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: 8

How Accurately Can Z-score Predict Bank Failure? z分数预测银行倒闭有多准确?

Financial Markets, Institutions and Instruments Pub Date : 2016-11-14 DOI: 10.1111/fmii.12077

Laura Chiaramonte, (Frank) Hong Liu, Federica Poli, Mingming Zhou

引用次数: 54

Dissecting Foreign Bank Lending Behavior During the 2008–2009 Crisis 2008-2009年金融危机期间外资银行贷款行为剖析

Financial Markets, Institutions and Instruments Pub Date : 2016-11-14 DOI: 10.1111/fmii.12076

Moon Jung Choi, Eva Gutierrez, Maria Soledad Martinez Peria

{"title":"Dissecting Foreign Bank Lending Behavior During the 2008–2009 Crisis","authors":"Moon Jung Choi, Eva Gutierrez, Maria Soledad Martinez Peria","doi":"10.1111/fmii.12076","DOIUrl":"https://doi.org/10.1111/fmii.12076","url":null,"abstract":"This paper analyzes the lending behavior of foreign-owned banks during the recent global crisis. Using bank-level panel data for 51 countries, the paper explores the role of affiliate and parent financial characteristics, host location, as well as the impact of parent geographic origin and reach on foreign banks’ credit growth. Overall, the analysis finds robust evidence that foreign banks curtailed the growth of credit relative to other banks, independent of the host region in which they operate. Banks from the United States reduced loan growth less than other parent banks. Neither the global nor regional reach of parent banks influenced the lending growth of foreign affiliates. Parent capitalization and not parent funding explained the behavior of foreign bank credit growth during the global crisis. However, funding did affect the lending behavior of domestic and foreign banks in host countries, with those relying more heavily on deposits suffering a smaller decline in bank lending. Although not the focus of the paper, we also find that government-owned banks played a countercyclical role in all regions.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 5","pages":"361-398"},"PeriodicalIF":0.0,"publicationDate":"2016-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12076","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91889079","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: 16

Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices 金融危机期间和之后的伊斯兰和传统股票市场走势:来自新推出的MSCI指数的证据

Financial Markets, Institutions and Instruments Pub Date : 2016-10-12 DOI: 10.1111/fmii.12075

Hafiz Hoque, Sarkar Humayun Kabir, El Khamlichi Abdelbari, Viktor Manahov

{"title":"Islamic and Conventional Equity Market Movements During and After the Financial Crisis: Evidence from the Newly Launched MSCI Indices","authors":"Hafiz Hoque, Sarkar Humayun Kabir, El Khamlichi Abdelbari, Viktor Manahov","doi":"10.1111/fmii.12075","DOIUrl":"https://doi.org/10.1111/fmii.12075","url":null,"abstract":"This paper examines the relationship between the Islamic and conventional equity indices by employing the newly launched MSCI Global Islamic Indices which began in 2008. We argue for the case of cointegration supported by fundamental, category and habitat theories, and against cointegration due to the fundamental difference between Islamic and conventional stocks in terms of debt ratio, accounts receivable and interest bearing securities. We find Islamic and conventional equity markets move together despite fundamental differences and given that market microstructure, dividends, capital gains, taxation and governance systems are different across the markets. Almost simultaneous movement of the permanent and cycle components of Islamic and mainstream equity indices has been supported by the application of the Beveridge Nelson (BN) time series decomposition technique. Theoretically, the volatility of Islamic equities should be lower due to their low leverage ratio. Surprisingly, permanent parts of the Islamic indices appear to be more volatile during the crisis period and less volatile during the post-crisis period.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 4","pages":"217-252"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12075","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168023","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: 16

A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia 流动性、动量、规模和账面市值对异质性样本股票定价的影响比较:来自亚洲的证据

Financial Markets, Institutions and Instruments Pub Date : 2016-10-12 DOI: 10.1111/fmii.12078

Bruce Hearn

{"title":"A Comparison of the Efficacy of Liquidity, Momentum, Size and Book-to-Market Value Factors in Equity Pricing on a Heterogeneous Sample: Evidence from Asia","authors":"Bruce Hearn","doi":"10.1111/fmii.12078","DOIUrl":"https://doi.org/10.1111/fmii.12078","url":null,"abstract":"This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top blue chip stocks of all national Asian equity markets with further differentiation undertaken between sub samples formed for Japan only and Asia excluding Japan for period January 2000 to August 2014. Our empirical results suggest that multifactor time invariant pricing models based on augmented capital asset pricing model (CAPM) framework are ineffective in explaining the cross section of stock returns in the presence of significant inter and intra-market segmentation. However an alternative model specification based on a time varying parameter specification and using same sets of factors yields significant enhancements in explaining cross section of stock returns across universe. We find that momentum factor largely lacks significance while a time varying two factor model, based on CAPM plus liquidity factor, is optimal. The liquidity factor being that of Liu (2006) and annually rebalanced. Our findings are important for investment managers seeking appropriate factors and modelling techniques to hedge against risks as well as firm's financial managers seeking to reduce costs of equity capital.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"25 4","pages":"253-330"},"PeriodicalIF":0.0,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109231441","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