Financial Markets, Institutions and Instruments最新文献

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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
Risk governance: Examining its impact upon bank performance and risk-taking 风险治理:考察其对银行绩效和风险承担的影响
Financial Markets, Institutions and Instruments Pub Date : 2018-09-21 DOI: 10.1111/fmii.12103
Walter Gontarek, Yacine Belghitar
{"title":"Risk governance: Examining its impact upon bank performance and risk-taking","authors":"Walter Gontarek,&nbsp;Yacine Belghitar","doi":"10.1111/fmii.12103","DOIUrl":"10.1111/fmii.12103","url":null,"abstract":"<p>As policy-makers in the United States contemplate a relaxation of financial regulation, our study contributes to this dialogue by testing the veracity of heightened standards of risk governance activities for US bank holding companies (BHCs). Our study examines evidence relating to the adoption of these standards by BHCs following regulatory intervention. We find that board-level risk appetite practices have a profound association upon BHC performance and tail risk. Our estimates show that BHCs which adopt risk appetite practices exhibit a significant improvement in headline performance and reduced tail risk measures. Our research is relevant to academics by identifying the significance of this risk governance practice which has been introduced by global regulators. For practitioners (including board members, risk managers, policy-makers and regulators), our study validates the efficacy of risk appetite frameworks as the future shape of financial regulation is being actively debated in the US.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 5","pages":"187-224"},"PeriodicalIF":0.0,"publicationDate":"2018-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12103","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116246336","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: 14
Credit union business models 信用社的商业模式
Financial Markets, Institutions and Instruments Pub Date : 2018-09-21 DOI: 10.1111/fmii.12102
David L. Stowe, John D. Stowe
{"title":"Credit union business models","authors":"David L. Stowe,&nbsp;John D. Stowe","doi":"10.1111/fmii.12102","DOIUrl":"10.1111/fmii.12102","url":null,"abstract":"<p>Credit union decisions on how funds are raised and invested and what services to provide are guided by their business models and should be reflected by credit union financial statements. We use cluster analysis to group credit unions using common size financial statement variables such that the financial statements are similar within credit union groups and distinct across groups. This allows the assignment of credit unions to groups by knowing their essential elements but without predefining the groups. In this paper, we present six credit union strategic groups differentiated from each other by their asset-liability management choices and the services they provide members. Identifying the various credit union groups provides a clearer picture of their business models and the economic roles that different credit unions play.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 5","pages":"169-186"},"PeriodicalIF":0.0,"publicationDate":"2018-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12102","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131774696","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: 4
“Too-Small-To-Survive” versus “Too-Big-To-Fail” banks: The two sides of the same coin “太小而不能生存”和“太大而不能倒”的银行:同一枚硬币的两面
Financial Markets, Institutions and Instruments Pub Date : 2018-07-11 DOI: 10.1111/fmii.12094
Theoharry Grammatikos, Nikolaos I. Papanikolaou
{"title":"“Too-Small-To-Survive” versus “Too-Big-To-Fail” banks: The two sides of the same coin","authors":"Theoharry Grammatikos,&nbsp;Nikolaos I. Papanikolaou","doi":"10.1111/fmii.12094","DOIUrl":"10.1111/fmii.12094","url":null,"abstract":"<p>In the recent crisis, the U.S. authorities bailed out numerous banks through TARP, whilst let many others to fail as going concern entities. Even though both interventions fully protect depositors, a bail out represents an implied subsidy to shareholders, which is not yet the case with closures where creditors are not subsidised. We investigate this non-uniform policy, demonstrating that size and not performance is the decision variable that endogenously determines one threshold below which banks are treated as TSTS by regulators and another one above which are considered to be TBTF. We, hence, provide a pair of economic rather than regulatory cut-offs for TBTF and TSTS banks. The shareholders and the other uninsured creditors of a distressed bank are not bailed out if the bank is considered to be TSTS. We further document that the less complex a bank is, the less likely is to be bailed out and, hence, to have all of its creditors protected.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 3","pages":"89-121"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12094","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125476188","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
The impact of multilateral trading facilities on price discovery 多边贸易设施对价格发现的影响
Financial Markets, Institutions and Instruments Pub Date : 2018-07-11 DOI: 10.1111/fmii.12096
Mike Buckle, Jing Chen, Qian Guo, Xiaoxi Li
{"title":"The impact of multilateral trading facilities on price discovery","authors":"Mike Buckle,&nbsp;Jing Chen,&nbsp;Qian Guo,&nbsp;Xiaoxi Li","doi":"10.1111/fmii.12096","DOIUrl":"10.1111/fmii.12096","url":null,"abstract":"<p>Our study aims to examine whether market segmentation and competition manifested in the proliferation of multilateral trading facilities (MTFs) improve market quality after the implementation of MiFID. To do this, we employ the Common Factor Weight and Weighted Price Contribution methods to study relative price discovery for three major MTFs—LSE, BATS, and Turquoise, using intra-day, five-minute transaction prices. The results suggest that the two trading venues, BATS and Turquoise, contribute more to impounding fundamental information, implying a shift in price dominance from traditional LSE to MTFs. In addition, the intra-day price contributions of MTFs are higher than those of LSE, especially during the first and last periods of the day. The estimated average daily price contributions are consistent with this result.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 4","pages":"145-165"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12096","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114666977","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
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