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“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
The distribution of the Capital Purchase Program funds: Evidence from bank internal capital markets 资本购买计划资金分配:来自银行内部资本市场的证据
Financial Markets, Institutions and Instruments Pub Date : 2018-07-08 DOI: 10.1111/fmii.12095
Tarun Mukherjee, Elisabeta Pana
{"title":"The distribution of the Capital Purchase Program funds: Evidence from bank internal capital markets","authors":"Tarun Mukherjee,&nbsp;Elisabeta Pana","doi":"10.1111/fmii.12095","DOIUrl":"10.1111/fmii.12095","url":null,"abstract":"<p>We investigate the role played by the internal capital markets of bank holding companies in the distribution of the Capital Purchase Program funds to subsidiaries. We find that while all banks used a similar internal capital allocation to support their subsidiaries, program participants transferred more capital to their subsidiaries than nonparticipants. Smaller bank subsidiaries with lower capital and earnings received more capital than other subsidiaries. Our results support the argument that the distribution of capital was done in accordance with regulatory requirements that mandate bank holding companies to act as a source of strength for their subsidiaries.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 4","pages":"125-143"},"PeriodicalIF":0.0,"publicationDate":"2018-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12095","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129173338","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
A skeptical appraisal of the bootstrap approach in fund performance evaluation 对基金绩效评估中自举方法的怀疑评价
Financial Markets, Institutions and Instruments Pub Date : 2018-04-14 DOI: 10.1111/fmii.12093
Huazhu Zhang, Cheng Yan
{"title":"A skeptical appraisal of the bootstrap approach in fund performance evaluation","authors":"Huazhu Zhang,&nbsp;Cheng Yan","doi":"10.1111/fmii.12093","DOIUrl":"10.1111/fmii.12093","url":null,"abstract":"<p>It has become standard practice in the fund performance evaluation literature to use the bootstrap approach to distinguish “skills” from “luck”, while its reliability has not been subject to rigorous statistical analysis. This paper reviews and critiques the bootstrap schemes used in the literature, and provides a simulation analysis of the validity and reliability of the bootstrap approach by applying it to evaluating the performance of hypothetical funds under various assumptions. We argue that this approach can be misleading, regardless of using alpha estimates or their t-statistics. While alternative bootstrap schemes can result in improvements, they are not foolproof either. The case can be worse if the benchmark model is misspecified. It is therefore only with caution that we can use the bootstrap approach to evaluate the performance of funds and we offer some suggestions for improving it.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 2","pages":"49-86"},"PeriodicalIF":0.0,"publicationDate":"2018-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12093","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87784981","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 interplay between quantitative easing, risk and competition: The case of Japanese banking 量化宽松、风险与竞争的相互作用:以日本银行业为例
Financial Markets, Institutions and Instruments Pub Date : 2018-01-19 DOI: 10.1111/fmii.12092
Emmanuel C. Mamatzakis, Anh N. Vu
{"title":"The interplay between quantitative easing, risk and competition: The case of Japanese banking","authors":"Emmanuel C. Mamatzakis,&nbsp;Anh N. Vu","doi":"10.1111/fmii.12092","DOIUrl":"10.1111/fmii.12092","url":null,"abstract":"<p>The Japanese economy is infamous for the magnitude of bank nonperforming loans that have originated back in the 1990s, whereas they are still causing controversies. Japan is also known for an extended quantitative easing programme of unprecedented scale. Yet the links between risk-taking activities, quantitative easing and bank competition are largely unexplored. This paper employs, for the first time, the Boone indicator to measure bank competition in Japan to examine these underlying linkages. Given the scale of nonperforming loans, we explicitly measure bank risk-taking based on a new data set of bankrupt and restructured loans. The dynamic panel threshold and panel Vector Autoregression analyses show that enhancing quantitative easing and competition would reduce bankrupt and restructured loans, but it would negatively affect financial stability. Given the recent adoption of negative rates in January 2016 by the Bank of Japan, our study provides new insights as clearly there is a trade-off between quantitative easing and financial stability beyond a certain threshold. Caution, therefore, regarding further scaling up quantitative easing is warranted.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"27 1","pages":"3-46"},"PeriodicalIF":0.0,"publicationDate":"2018-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12092","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132933017","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
Does political pressure matter in bank lending? Evidence from China 政治压力对银行贷款有影响吗?来自中国的证据
Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12089
Weixing Cai, Fangming Xu, Cheng Zeng
{"title":"Does political pressure matter in bank lending? Evidence from China","authors":"Weixing Cai,&nbsp;Fangming Xu,&nbsp;Cheng Zeng","doi":"10.1111/fmii.12089","DOIUrl":"https://doi.org/10.1111/fmii.12089","url":null,"abstract":"<p>Using provincial data from China between 2002 and 2011, we find substantial evidence indicating a positive association between the growth of bank loans issued by commercial banks and the political pressures faced by provincial leaders. This association is particularly true for state-owned banks, which are much more politically pressurized than others, but is relatively attenuated in provinces with a more developed banking sector. We also find that bank loans issued under greater political pressures are less commercially oriented and have lower quality. Our findings are robust to a variety of sensitivity analyses and alternative measures of political pressure. Overall, our study contribute to a growing literature emphasizing the role of the political incentives of government officials in fuelling economic growth through credit allocation.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"249-277"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12089","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109166824","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
The rise of China's securitization market 中国证券化市场的兴起
Financial Markets, Institutions and Instruments Pub Date : 2017-11-09 DOI: 10.1111/fmii.12090
Ya Tang, Daixi Chen, Jing Chen, Jianguo Xu
{"title":"The rise of China's securitization market","authors":"Ya Tang,&nbsp;Daixi Chen,&nbsp;Jing Chen,&nbsp;Jianguo Xu","doi":"10.1111/fmii.12090","DOIUrl":"https://doi.org/10.1111/fmii.12090","url":null,"abstract":"We study the development of asset securitization markets in China. We manually collect all asset securitization projects and securities data from 2005 to 2015. Inspection of this sample combined with related policy changes reveals distinct characteristics and some potential problems. At the macro level, asset securitization market in China is policy driven, regulation-segmented, and highly illiquid. At the micro level, the underlying assets are mainly corporate loans or assets, rather than mortgage or consumption loans as in the US and European markets. State owned commercial banks and enterprises enjoy significantly lower interest rates when issuing securitization bonds. Finally, risk-isolation and credit enhancing techniques significantly improve the rating of asset-backed securities.","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"279-294"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109166825","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: 10
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
{"title":"Do multinational banks create or destroy shareholder value? A cross-country analysis","authors":"Mohamed Azzim Gulamhussen,&nbsp;Carlos Manuel Pinheiro,&nbsp;Alberto Franco Pozzolo","doi":"10.1111/fmii.12091","DOIUrl":"10.1111/fmii.12091","url":null,"abstract":"<p>We question whether the international diversification of multinational banks creates or destroys shareholder value. Based on a sample of 384 listed banks from 56 countries we provide new and robust evidence that bank cross-border activities create shareholder value, as shown by an economically and statistically significant premium for international diversification. Our results are confirmed controlling for bank fixed effects, time-varying bank characteristics, reverse causality, functional diversification, and instrumenting for the choice to expand abroad. The increase in shareholder value is slightly larger for banks in the middle range of international diversification and in the case of expansion towards less developed countries.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 5","pages":"295-313"},"PeriodicalIF":0.0,"publicationDate":"2017-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87498200","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: 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
{"title":"Too big to fail: Measures, remedies, and consequences for efficiency and stability*","authors":"James R. Barth,&nbsp;Clas Wihlborg","doi":"10.1111/fmii.12083","DOIUrl":"https://doi.org/10.1111/fmii.12083","url":null,"abstract":"<p>This paper evaluates whether reform efforts addressing “too big to fail” actually enhance the stability of the financial system, and whether trade-offs exist between stability and efficiency. We also present and discuss various measures of bank size and complexity since such measures are essential for implementing appropriate corrective remedies. As we will show, there are no unambiguous measures of size or complexity that can fully capture a bank's contribution to systemic risk. Their effects on efficiency are also impossible to capture with certainty. While we recognize the need for additional research and empirical evidence, we do identify weaknesses and strengths of proposed and implemented reforms that could have consequences for bank stability and efficiency.</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 4","pages":"175-245"},"PeriodicalIF":0.0,"publicationDate":"2017-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12083","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109170336","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
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
{"title":"Managerial gaming of stock and option grants","authors":"Yisong S. Tian","doi":"10.1111/fmii.12081","DOIUrl":"https://doi.org/10.1111/fmii.12081","url":null,"abstract":"<p>In this paper, we examine managerial gaming of different types of equity grants, both at the initial award of the equity grants (<i>front-end gaming</i>) and the unwinding of the equity holdings in the future (<i>back-end gaming</i>). We find that the potential gains from stock price manipulation vary substantially across different types of equity grants. While traditional stock option grants are less vulnerable to front-end gaming, they are more vulnerable to back-end gaming than other types of equity grants (e.g., restricted stock grants). To prevent or discourage managerial gaming, firms should preset all terms of the equity grant in advance and link its future payoff to average stock prices (e.g., by granting Asian stock options).</p>","PeriodicalId":39670,"journal":{"name":"Financial Markets, Institutions and Instruments","volume":"26 3","pages":"127-152"},"PeriodicalIF":0.0,"publicationDate":"2017-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fmii.12081","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109168775","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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