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Editorial of special issue 2016 Portsmouth – Fordham conference on Banking and Finance 2016年朴茨茅斯-福特汉姆银行与金融会议特刊编辑
Financial Markets, Institutions and Instruments Pub Date : 2019-04-04 DOI: 10.1111/fmii.12105
Ioannis Chatziantoniou, Iftekhar Hasan, Fotios Pasiouras
{"title":"Editorial of special issue 2016 Portsmouth – Fordham conference on Banking and Finance","authors":"Ioannis Chatziantoniou, Iftekhar Hasan, Fotios Pasiouras","doi":"10.1111/fmii.12105","DOIUrl":"10.1111/fmii.12105","url":null,"abstract":"","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"59-60"},"PeriodicalIF":0.0,"publicationDate":"2019-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12105","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49607580","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 impact of business group affiliation on stock price informativeness: Evidence from an emerging market 企业集团隶属关系对股价资讯性的影响:来自新兴市场的证据
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12111
A. Melih Küllü, Doug Dyer, Gokhan Yilmaz, Zenu Sharma
{"title":"The impact of business group affiliation on stock price informativeness: Evidence from an emerging market","authors":"A. Melih Küllü,&nbsp;Doug Dyer,&nbsp;Gokhan Yilmaz,&nbsp;Zenu Sharma","doi":"10.1111/fmii.12111","DOIUrl":"https://doi.org/10.1111/fmii.12111","url":null,"abstract":"<p>This paper examines the relationship between business group affiliation and stock price informativeness in an emerging market setting. We use stock price synchronicity as a measure, and study the impact of group affiliation <i>-specifically the extent of affiliation, ownership structure and existence of group bank-</i> on firm specific information content. Results reveal that the amount of firm-specific information capitalized into stock prices tends to be lower <i>(higher)</i> when the firm is group-affiliated <i>(unaffiliated)</i>, indirectly <i>(directly)</i> owned, and affiliated group has <i>(does not have)</i> a group bank. Additionally, the extent of group affiliation maintains a non-linear relationship with synchronicity, suggesting that the perception of higher versus lower levels of group ownership differs.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"187-212"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12111","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803883","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
Trustee reputation in securitization: When does it matter? 证券化中的受托人声誉:何时起作用?
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12106
Solomon Y. Deku, Alper Kara, David Marques-Ibanez
{"title":"Trustee reputation in securitization: When does it matter?","authors":"Solomon Y. Deku,&nbsp;Alper Kara,&nbsp;David Marques-Ibanez","doi":"10.1111/fmii.12106","DOIUrl":"https://doi.org/10.1111/fmii.12106","url":null,"abstract":"<p>We consider the role of trustees–who are nominated to protect the interests of investors–in securitization pricing and whether investors rely on them to mitigate risks. In particular, we examine the effect of trustee reputation on initial yield spreads of European mortgage-backed security (MBS) issuances between 1999 and the first half of 2007. We find that engaging reputable trustees led to lower spreads during the credit boom period prior to the 2007–2009 financial crisis. Our findings suggest that trustees’ reputation was considered by investors to be more important when risk assessment became more challenging.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"61-84"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12106","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803807","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
Economic volatility and financial markets: The case of mortgage-backed securities 经济波动和金融市场:以抵押贷款支持证券为例
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12107
Gaetano Antinolfi, Celso Brunetti
{"title":"Economic volatility and financial markets: The case of mortgage-backed securities","authors":"Gaetano Antinolfi,&nbsp;Celso Brunetti","doi":"10.1111/fmii.12107","DOIUrl":"https://doi.org/10.1111/fmii.12107","url":null,"abstract":"<p>The volatility of aggregate economic activity in the United States decreased markedly in the mid-eighties. The decrease involved several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks, more effective policy, and a diverse set of innovations in technology as well as financial markets. We study one such financial innovation, and document a negative relation between the rapid growth of mortgage-backed securities and the volatility of GDP and some of its components from the mid-1970s to the late 1990s. We also document that this relation changed sign, from negative to positive, in the early 2000s.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"85-113"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12107","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803806","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
What is the impact of problem loans on Japanese bank productivity growth? 问题贷款对日本银行生产率增长的影响是什么?
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12112
Emmanuel Mamatzakis, Roman Matousek, Anh Nguyet Vu
{"title":"What is the impact of problem loans on Japanese bank productivity growth?","authors":"Emmanuel Mamatzakis,&nbsp;Roman Matousek,&nbsp;Anh Nguyet Vu","doi":"10.1111/fmii.12112","DOIUrl":"https://doi.org/10.1111/fmii.12112","url":null,"abstract":"<p>This paper examines for the first time the impact of problem loans on Japanese productivity growth. We exploit a new data set of Japanese problem loans classified into two categories: bankrupt and restructured loans. We opt for a novel and flexible productivity growth decomposition that allows to measure the direct impact of these problem loans on productivity growth. The results reveal that Japanese bank productivity growth was severely constrained by bankrupt and restructured loans early in 2000s, whilst some persistence of the negative impact of problem loans on productivity growth is observed in the late 2000s. Thereafter, there is only some partial recovery in the productivity growth from 2012 to 2015. Further, we also perform cluster analysis to examine convergence or divergence across regions and over time. We observe limited convergence, though Regional Banks seem to form clusters in some regions.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"213-240"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12112","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803882","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
Annual report readability and stock liquidity 年度报告的可读性和股票流动性
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12110
Sabri Boubaker, Dimitrios Gounopoulos, Hatem Rjiba
{"title":"Annual report readability and stock liquidity","authors":"Sabri Boubaker,&nbsp;Dimitrios Gounopoulos,&nbsp;Hatem Rjiba","doi":"10.1111/fmii.12110","DOIUrl":"https://doi.org/10.1111/fmii.12110","url":null,"abstract":"<p>We examine the effect of annual report textual complexity on firms’ stock liquidity. Using techniques from computational linguistics, we predict and find that less readable filings are associated with lower stock liquidity. Our study provides evidence that difficult-to-read annual reports hinder investors’ ability to process and analyze information contained in corporate annual reports, reducing thereby their willingness to trade which decreases stock liquidity. Our findings are robust to a battery of sensitivity tests, including endogeneity, use of alternative estimation techniques, and use of alternative liquidity and readability proxies.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"159-186"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12110","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803884","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: 54
Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults? 贷款估值调整(LVA)方法能否使抵押债务免于违约?
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12109
Rafal M. Wojakowski, M. Shahid Ebrahim, Aziz Jaafar, Murizah Osman Salleh
{"title":"Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?","authors":"Rafal M. Wojakowski,&nbsp;M. Shahid Ebrahim,&nbsp;Aziz Jaafar,&nbsp;Murizah Osman Salleh","doi":"10.1111/fmii.12109","DOIUrl":"https://doi.org/10.1111/fmii.12109","url":null,"abstract":"<p>This study focuses on structuring tangible asset backed loans to inhibit their endemic option to default. We adapt the pragmatic approach of a margin loan in the configuring of collateralized debt to yield a quasi-default-free facility. We link our practical method to the current Basel III (2017) regulatory framework. Our new concept of the Loan Valuation Adjustment (LVA) and novel method to minimize the LVA converts the risky loan into a quasi risk-free loan and achieves value maximization for the lending financial institution. As a result, entrepreneurial activities are promoted and economic growth invigorated. Information asymmetry, costly bailouts and resulting financial fragility are reduced while depositors are endowed with a safety net equivalent to deposit insurance but without the associated moral hazard between risk-averse lenders and borrowers.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"141-158"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12109","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Competition and risk-taking in investment banking 投资银行业的竞争与风险承担
Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI: 10.1111/fmii.12113
Marta Degl'Innocenti, Franco Fiordelisi, Claudia Girardone, Nemanja Radić
{"title":"Competition and risk-taking in investment banking","authors":"Marta Degl'Innocenti,&nbsp;Franco Fiordelisi,&nbsp;Claudia Girardone,&nbsp;Nemanja Radić","doi":"10.1111/fmii.12113","DOIUrl":"https://doi.org/10.1111/fmii.12113","url":null,"abstract":"<p>How does competition affect the investment banking business and the risks individual institutions are exposed to? Using a large sample of investment banks operating in seven developed economies over 1997–2014, we apply a panel VAR model to examine the relationships between competition and risk without assuming any a priori restrictions. Our main finding is that investment banks’ higher risk exposure, measured as a long-term capital-at-risk and return volatility, was facilitated by greater competitive pressures for both boutique investment banks and full-service investment banks. Overall, we find some evidence that more competition leads to more fragility before and during the recent financial crisis.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"241-260"},"PeriodicalIF":0.0,"publicationDate":"2019-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12113","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91803881","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: 7
The income elasticity of mortgage loan demand 抵押贷款需求的收入弹性
Financial Markets, Institutions and Instruments Pub Date : 2019-02-27 DOI: 10.1111/fmii.12108
Manthos D. Delis, Iftekhar Hasan, Chris Tsoumas
{"title":"The income elasticity of mortgage loan demand","authors":"Manthos D. Delis,&nbsp;Iftekhar Hasan,&nbsp;Chris Tsoumas","doi":"10.1111/fmii.12108","DOIUrl":"https://doi.org/10.1111/fmii.12108","url":null,"abstract":"<p>One explanation for the emergence of the housing market bubble and the subprime crisis is that increases in individuals’ income led to higher increases in the amount of mortgage loans demanded, especially for the middle class. This hypothesis translates to an increase in the income elasticity of mortgage loan demand before 2007. Using applicant-level data, we test this hypothesis and find that the income elasticity of mortgage loan demand in fact declines in the years before 2007, especially for the mid- and lower-middle income groups. Our finding implies that increases in house prices were not matched by increases in loan applicants’ income.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 2","pages":"115-139"},"PeriodicalIF":0.0,"publicationDate":"2019-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12108","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91941104","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
Risk management within the cannabis industry: Building a framework for the cannabis industry 大麻产业内的风险管理:为大麻产业建立框架
Financial Markets, Institutions and Instruments Pub Date : 2019-01-13 DOI: 10.1111/fmii.12104
Karen A. Parker, Attilio Di Mattia, Fatima Shaik, Juan Carlos Cerón Ortega, Robert Whittle
{"title":"Risk management within the cannabis industry: Building a framework for the cannabis industry","authors":"Karen A. Parker,&nbsp;Attilio Di Mattia,&nbsp;Fatima Shaik,&nbsp;Juan Carlos Cerón Ortega,&nbsp;Robert Whittle","doi":"10.1111/fmii.12104","DOIUrl":"https://doi.org/10.1111/fmii.12104","url":null,"abstract":"<p>Thirty states and the District of Columbia have legalized the use of cannabis for medicinal and/or recreational use by either formally or informally de-criminalizing its use. However, cannabis remains a Schedule 1 drug under the Federal Controlled Substances Act (21 U.S.C. Sections 801 through 812), leaving federal law in conflict with the laws of over half of the states. As a result, market participants in legal cannabis businesses face risks due to the industry's unique legal status within the United States. We examine the risks and challenges deemed by the cannabis industry as the top risks facing the industry's continued future growth and its sustainability. In addition to general risks inherent in a nascent industry, a legal cannabis business faces additional risks, such as risks in its banking and finance activity, placement of insurance, payment of taxes, and managing its supply chain. These legal businesses also face true legal risk from the possibility of being shut down by the federal government and seizure of assets and product under the CSA. This paper also examines whether the cannabis industry would benefit from a futures market to mitigate price risk.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"28 1","pages":"3-55"},"PeriodicalIF":0.0,"publicationDate":"2019-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12104","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91831206","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: 22
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