发布求助
文献互助 智能选刊 最新文献

Australasian Finance & Banking Conferences最新文献

筛选
英文 中文
Does Firm-Level Productivity Predict Stock Returns? 企业生产率能预测股票收益吗?
Australasian Finance & Banking Conferences Pub Date : 2021-09-20 DOI: 10.2139/ssrn.3927541
Kentaro Iwatsubo, C. Watkins, Takashi Hiroki
{"title":"Does Firm-Level Productivity Predict Stock Returns?","authors":"Kentaro Iwatsubo, C. Watkins, Takashi Hiroki","doi":"10.2139/ssrn.3927541","DOIUrl":"https://doi.org/10.2139/ssrn.3927541","url":null,"abstract":"Contrary to the findings of previous U.S. studies, we show that the firm-level total factor productivity (TFP) of Japanese manufacturers positively predicts their future stock returns in the cross-section when controlling for relevant risk factors, including those of Fama and French (2015). Risks related to intangible expenditure, primarily those for research and development (R&D) and personnel, explain a substantial fraction of the predictive power of firm-level TFP, while bankruptcy, macroeconomic, and capital expenditure risks do not. More productive firms trade at a significant premium to less productive firms. This premium compensates investors for risks associated with innovation and human and organizational capital formation","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129010749","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 Passive Ownership Affect Corporate Governance? Evidence from the Bank of Japan’s ETF Purchasing Program 被动所有权是否影响公司治理?来自日本央行ETF购买计划的证据
Australasian Finance & Banking Conferences Pub Date : 2021-07-27 DOI: 10.2139/ssrn.3894249
M. Sai, Kazuo Yamada
{"title":"Does Passive Ownership Affect Corporate Governance? Evidence from the Bank of Japan’s ETF Purchasing Program","authors":"M. Sai, Kazuo Yamada","doi":"10.2139/ssrn.3894249","DOIUrl":"https://doi.org/10.2139/ssrn.3894249","url":null,"abstract":"Previous studies examine the relationship between passive ownership and corporate governance; however, their conclusions vary. We revisit this topic by using the Bank of Japan’s (BOJ) huge stock ETF purchasing program as a cross-sectional variation of passive ownership. Empirical findings support the view that passive ownership improves the corporate governance of Japanese listed companies. Furthermore, we find that passive ownership affects various aspects of shareholder meetings: firms with large passive ownership hold their shareholder meeting on less concentrated dates, are unlikely to be with shareholder proposals, and are positively associated with the board members’ approval rates. Next, we do not find evidence that passive ownership stimulates activist funds, unlike the studies in the U.S. Finally, we find that passive ownership deconstructs Japan’s historical ownership structure, such as strategic stock holding and cross-shareholding.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"28 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113981779","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
Leverage target and firm innovation 杠杆目标与企业创新
Australasian Finance & Banking Conferences Pub Date : 2021-07-06 DOI: 10.2139/ssrn.3950859
Sharier Azim Khan
{"title":"Leverage target and firm innovation","authors":"Sharier Azim Khan","doi":"10.2139/ssrn.3950859","DOIUrl":"https://doi.org/10.2139/ssrn.3950859","url":null,"abstract":"PurposeIn this paper, the author examines how capital structure (relative to target) affects firm innovation.Design/methodology/approachThe author uses cross-sectional OLS regressions (for each year of data) to determine whether a firm is above or below its target debt level (in that year) and then uses fixed effects OLS regressions with panel data to examine the impact of having leverage above or below the firm's target on its innovation activity.FindingsThe author shows that firms with below-target debt innovate more in terms of number of patents granted and have better quality innovations in terms of citation counts of patents and in terms of economic value of patents. The results hold for sample splits based on firm age, firm size and access to external finance. The author also shows that the findings are not driven by the negative correlation between leverage and innovation measures. Overall, the results indicate that it is not the actual level of leverage that impacts innovation; the relevant factor that impacts firm innovation is whether a firm is above or below its leverage target.Originality/valueThe author extends the literature on financing innovation by linking leverage target with firm innovation. Findings of this paper also provide supporting evidence that capital structure plays an important role on firm innovation and supplements prior literature that shows the importance of debt in financing firm innovation.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134627132","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
NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform 纽约大学收益率曲线研讨会-收益率曲线校准和LIBOR改革概述
Australasian Finance & Banking Conferences Pub Date : 2021-04-06 DOI: 10.2139/ssrn.3820145
N. Burgess
{"title":"NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform","authors":"N. Burgess","doi":"10.2139/ssrn.3820145","DOIUrl":"https://doi.org/10.2139/ssrn.3820145","url":null,"abstract":"","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126054590","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 Changing Role of Foreign Investors in Tokyo Stock Price Formation 外国投资者在东京股票价格形成中的作用变化
Australasian Finance & Banking Conferences Pub Date : 2021-02-18 DOI: 10.2139/ssrn.3787804
Kentaro Iwatsubo, C. Watkins
{"title":"The Changing Role of Foreign Investors in Tokyo Stock Price Formation","authors":"Kentaro Iwatsubo, C. Watkins","doi":"10.2139/ssrn.3787804","DOIUrl":"https://doi.org/10.2139/ssrn.3787804","url":null,"abstract":"Abstract Recent research suggests that foreign investors improve the informational efficiency of national stock markets. We examine how foreign investors contribute to efficiency. We model the influence of domestic and foreign investors' trades on the efficient price of Japanese stocks over 39 years. Our results show that foreign investors trade at an information advantage over domestic investors, and this advantage has increased since around 2000. We find this is due to a substantial increase in the importance of global stock price and exchange rate information in stock price formation. Our results suggest that foreign investors have made more use of global information in trading Japanese equities as the influence of international financial factors on the domestic market has increased over recent decades.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121502081","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
Insider Trading Rights: Short-termism and Trading Constraints 内幕交易权利:短期主义与交易约束
Australasian Finance & Banking Conferences Pub Date : 2021-01-02 DOI: 10.2139/ssrn.3789988
G. Cocco
{"title":"Insider Trading Rights: Short-termism and Trading Constraints","authors":"G. Cocco","doi":"10.2139/ssrn.3789988","DOIUrl":"https://doi.org/10.2139/ssrn.3789988","url":null,"abstract":"I investigate the effect of trading restrictions on price efficiency in a model with short-term shareholders. I show that insider trading constraints set a floor on prices. More importantly, as trade is the mechanism that transfers information into the price, the market maker’s pricing function has nonconstant sensitivity to order flows, with selling orders impacting the price less than positive orders. These two effects decrease price volatility. Prices will be more efficient in good states of the world but lose their informativeness in bad states of the world. Trading constraints will emerge in equilibrium when shareholders have preferences for short-term market prices. In such a case, an increase in cash flow volatility can translate into more severe limitations, while the impact of noise variance depends on the short-term shareholder’s preferences.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128578063","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
Summary of the Paper Entitled ‘The Mean Squared Prediction Error Paradox’ “均方预测误差悖论”论文综述
Australasian Finance & Banking Conferences Pub Date : 2020-12-29 DOI: 10.2139/ssrn.3756747
Pablo M. Pincheira, Nicolás Hardy
{"title":"Summary of the Paper Entitled ‘The Mean Squared Prediction Error Paradox’","authors":"Pablo M. Pincheira, Nicolás Hardy","doi":"10.2139/ssrn.3756747","DOIUrl":"https://doi.org/10.2139/ssrn.3756747","url":null,"abstract":"This is a summary of the paper entitled: “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the lowest correlation with the target variable. Given that violations of efficiency are usual in the forecasting literature, this opposite behavior in terms of accuracy and correlation with the target variable may be a fairly common empirical finding that we label here as \"the MSPE Paradox.\" We characterize \"Paradox zones\" in terms of differences in correlation with the target variable and conduct some simple simulations to show that these zones may be non-empty sets. Finally, we illustrate the relevance of the Paradox with two empirical applications.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122609874","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
Systemic Risk in the Chinese Banking Sector 中国银行业的系统性风险
Australasian Finance & Banking Conferences Pub Date : 2020-12-06 DOI: 10.2139/ssrn.3743763
E. Nivorozhkin, Ilias Chondrogiannis
{"title":"Systemic Risk in the Chinese Banking Sector","authors":"E. Nivorozhkin, Ilias Chondrogiannis","doi":"10.2139/ssrn.3743763","DOIUrl":"https://doi.org/10.2139/ssrn.3743763","url":null,"abstract":"We examine the evolution and factors of systemic risk in the Chinese banking sector over the last decade from the perspective of international investors. We apply the SRISK measure of systemic risk to a representative sample of listed Chinese institutions that captures 50-60% of total banking assets and utilize the Granger-causality network-based approach to demonstrate interlinkages among Chinese banks beyond the largest financial institutions. Firstly, we show a dramatic increase in systemic risk after 2011 and the increased contribution of small- and medium-sized banks. Then, we identify causality relationships from housing prices, economic policy uncertainty and shadow banking towards systemic risk and causality from shadow banking to housing prices. According to our results, international concerns about the stability of the Chinese banking system are well justified and a systemic event with international impact could be caused by distress in a Chinese financial institution outside of the group of the largest banks.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116596251","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
Trade Imbalance Network and Currency Risk Premia 贸易不平衡网络与货币风险溢价
Australasian Finance & Banking Conferences Pub Date : 2020-09-20 DOI: 10.2139/ssrn.3695953
A. Hou
{"title":"Trade Imbalance Network and Currency Risk Premia","authors":"A. Hou","doi":"10.2139/ssrn.3695953","DOIUrl":"https://doi.org/10.2139/ssrn.3695953","url":null,"abstract":"This paper proposes a new risk factor based on a multi-country’s trading imbalance network to explain foreign exchange rate fluctuations and currency risk premia associated with a currency carry trade strategy. We build a directed in-degree trading network of global countries linked by their pair wise trading deficit using import and export trading data collected from UN comtrade. After sorting currencies portfolios based on the centrality scores, the new risk factor, i.e., CMP, Central Minus Peripheral is created by buying central countries currency and shorting peripheral countries currency. We then use this factor to explain the risk premium of the foreign currency and currency excess returns cross sectional variations. Our results confirm the explanatory power of the new risk factor. We show that the new measure has signifcant explanatory power to currency risk premium and corsssectional foreign currency excess returns after controlling the existing risk factors of e.g., Lustig and Verdelhan (2011), Corte et al. (2016), and Richmond (2019).","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133627357","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
One Model Is Not Enough: Heterogeneity in Cryptocurrencies’ Multi-fractal Profiles 一个模型是不够的:加密货币多重分形特征的异质性
Australasian Finance & Banking Conferences Pub Date : 2020-06-13 DOI: 10.2139/ssrn.3626132
A. F. Bariviera
{"title":"One Model Is Not Enough: Heterogeneity in Cryptocurrencies’ Multi-fractal Profiles","authors":"A. F. Bariviera","doi":"10.2139/ssrn.3626132","DOIUrl":"https://doi.org/10.2139/ssrn.3626132","url":null,"abstract":"This letter studies of the multi-fractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and — more importantly — follow different stochastic processes. Some of them follow models closer to mono-fractal fractional Gaussian noises, while others exhibit complex multi-fractal dynamics. Regarding the source of multi-fractality, our results are mixed. Time series shuffling produces a reduction in the level of multi-fractality, but not enough to offset it. We find an association of kurtosis with multi-fractality.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124129861","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: 19
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书