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Management and Resolution Methods of Non-performing Loans: A Review of the Literature 不良贷款的管理与解决方法:文献综述
Australasian Finance & Banking Conferences Pub Date : 2016-08-18 DOI: 10.2139/ssrn.2825819
D. Anastasiou
{"title":"Management and Resolution Methods of Non-performing Loans: A Review of the Literature","authors":"D. Anastasiou","doi":"10.2139/ssrn.2825819","DOIUrl":"https://doi.org/10.2139/ssrn.2825819","url":null,"abstract":"In the financial crisis of 2007, many banks with high level of Non-performing loans (NPLs) found their sources of capital dried up, which occurred because of bad management. Huge amounts of NPLs imply both a lack of management methods and lack of capital. Also, high NPL levels have resulted to negative effects to banks’ lending activity, making bank officers-managers more concern for the future of the whole banking system. The purpose of this study is twofold. First, to present some NPL management methods that already exist in the literature and second, to make a clear distinction between the ex-post and ex-ante management of NPLs. I tried to collect in one paper what other researchers suggested for the proper management and fight against NPLs for different kinds of banking systems around the world. Hopefully, by examining these methods, banks will be able to cope with the problem of NPLs.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132963316","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
Why Do Managers Adopt Japan-Specific Off-Auction Repurchases? 经理人为何采取针对日本的拍卖外回购?
Australasian Finance & Banking Conferences Pub Date : 2016-08-18 DOI: 10.2139/ssrn.2825903
Kosuke Takahashi
{"title":"Why Do Managers Adopt Japan-Specific Off-Auction Repurchases?","authors":"Kosuke Takahashi","doi":"10.2139/ssrn.2825903","DOIUrl":"https://doi.org/10.2139/ssrn.2825903","url":null,"abstract":"This study discusses stock market share repurchase with prior announcement from the viewpoint of a firm management between February 2010 and December 2013. We find that of the about 781 share repurchases for firms listed on the first section of the Tokyo Stock Exchange (TSE), lower liquidity firms are likely to use the Tokyo Stock Exchange Trading NeTwork System for Off-Auction Own Share Repurchase Trading (ToSTNeT-3). This result supports a certainty and immediacy hypothesis. Furthermore, if we focus on the motivations of both the share seller and the buyer, we also find evidence that management chooses ToSTNeT-3 by accepting requests from block-holders (mainly general corporations other than financial institutions).","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132807184","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
Initial Public Offerings on the UK When-Issued Market 英国发行后市场的首次公开募股
Australasian Finance & Banking Conferences Pub Date : 2016-08-18 DOI: 10.2139/ssrn.2825993
A. Khurshed, Dimitris Kostas, A. Mohamed, B. Saadouni
{"title":"Initial Public Offerings on the UK When-Issued Market","authors":"A. Khurshed, Dimitris Kostas, A. Mohamed, B. Saadouni","doi":"10.2139/ssrn.2825993","DOIUrl":"https://doi.org/10.2139/ssrn.2825993","url":null,"abstract":"Abstract We examine the determinants of an IPO firm's decision to trade on a when-issued market and find that better quality firms are more likely to trade on this market. Our ‘what-if’ analysis shows that for companies that choose to have when-issued trading, the actual offer price is almost 26% higher than it would have been had these firms chosen not to trade on this market. We interpret this higher offer price as a ‘rent’ that investors pay to acquire shares of such companies. We also show that the informational accuracy of the UK when-issued market is better than that of continental European when-issued markets.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133407784","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
Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets 地方租赁住房市场的集聚效应与流动性梯度
Australasian Finance & Banking Conferences Pub Date : 2016-08-15 DOI: 10.2139/ssrn.2823708
Daniel Ruf
{"title":"Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets","authors":"Daniel Ruf","doi":"10.2139/ssrn.2823708","DOIUrl":"https://doi.org/10.2139/ssrn.2823708","url":null,"abstract":"This paper empirically analyzes the relation between local liquidity in rental housing markets and urban agglomeration effects. Using listed rent offers from online market platforms, I study the cross-sectional variation of rental market liquidity. Local liquidity is negatively related to the distance to nearby located urban agglomeration centers, manifesting in a decreasing liquidity gradient. I show that agglomeration externalities expose local rental markets to a systematic liquidity risk. Furthermore, more thinly traded rental markets offer lower capitalization rates for investors.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116617700","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
Optimal Placement in a Limit Order Book 限价订单的最优配置
Australasian Finance & Banking Conferences Pub Date : 2016-07-25 DOI: 10.2139/ssrn.2318220
Xin Guo, Adrien de Larrard, Zhao Ruan
{"title":"Optimal Placement in a Limit Order Book","authors":"Xin Guo, Adrien de Larrard, Zhao Ruan","doi":"10.2139/ssrn.2318220","DOIUrl":"https://doi.org/10.2139/ssrn.2318220","url":null,"abstract":"This paper proposes and studies an optimal placement problem in a limit order book. Two simple models are proposed: one with price impact and one without price impact. For the first model, optimal placement strategies for both single-period and multi-period cases are derived. For the second model, it is shown that the optimal strategy never mixes market orders and (best) limit orders; in particular, with special choices of parameters, the optimal strategy reduces to the VWAP type of Bertsimas and Lo (1998) for the optimal execution problem.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122671076","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: 21
Do Macroeconomic Variables Impact the Indian Stock Market? 宏观经济变量影响印度股市吗?
Australasian Finance & Banking Conferences Pub Date : 2016-07-05 DOI: 10.21863/JCAR/2016.5.3.031
K. Islam, M. Habib
{"title":"Do Macroeconomic Variables Impact the Indian Stock Market?","authors":"K. Islam, M. Habib","doi":"10.21863/JCAR/2016.5.3.031","DOIUrl":"https://doi.org/10.21863/JCAR/2016.5.3.031","url":null,"abstract":"This paper is intended to study the impact of various macroeconomic variables on Indian stock market. Based on the Arbitrage Pricing Theory (APT) propounded by Ross in 1976 and various other studies, a number of macroeconomic variables including, inflation, industrial production, exchange rate, money supply, interest rate, and oil price have been identified to have a significant impact on the stock market. We have applied the multivariate extension of the classical linear regression model computed on Ordinary Least Squares method and Granger Causality test to re-establish the relationship between macroeconomic variables and stock returns over a period of 10 years from 2005 to 2015 using monthly observations. The results of this study show that only exchange rate has a significant negative impact on stock returns. The other macroeconomic variables are not significantly affecting stock returns; however, their impact is in accordance with the economic theory. The Granger Causality test reveals absence of any causal relationship between stock returns and macroeconomic variables, except in case of oil prices, where we find a unidirectional causal relationship running from stock returns to oil prices. However, the Granger Causality results should not be taken in the conventional meaning of causality, but results merely identifying precedence.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129113010","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
What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers 在团队中意味着什么?来自美国共同基金经理的证据
Australasian Finance & Banking Conferences Pub Date : 2016-06-17 DOI: 10.2139/ssrn.2825534
Diamond Wang
{"title":"What Does It Mean to Be in a Team? Evidence from U.S. Mutual Fund Managers","authors":"Diamond Wang","doi":"10.2139/ssrn.2825534","DOIUrl":"https://doi.org/10.2139/ssrn.2825534","url":null,"abstract":"In recent years, team management has replaced single management to become the dominant management structure in the U.S. mutual fund industry. However, empirical studies on the impacts of team management show mixed results. Using accurate fund manager information from actively-managed equity mutual funds, this paper reexamines the effect of team management on fund outcomes after controlling for fund and managerial characteristics, as well as unobservable managerial heterogeneities that have shown to play an important role in determining fund performance. I find no evidence that fund performance differs between team- and single-managed funds. However, when a manager joins a large team, the manager on average receives less fund flow compared to when this manager manages a fund individually. The sensitivity of fund flow to fund performance for a manager is also lower when in a team compared to being single.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129657669","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
Hitting SKEW for SIX 到6点
Australasian Finance & Banking Conferences Pub Date : 2016-05-29 DOI: 10.2139/ssrn.2190724
Z. Liu, R. Faff
{"title":"Hitting SKEW for SIX","authors":"Z. Liu, R. Faff","doi":"10.2139/ssrn.2190724","DOIUrl":"https://doi.org/10.2139/ssrn.2190724","url":null,"abstract":"In this study, we propose “SIX” as a new forward-looking index of negative market skew derived from state-preference pricing. Specifically, SIX is a forecast of the ratio of lower to upper partial moment volatility over a 30-day horizon, for SPX market returns. Using SPX options data from 1996 to 2013, we conduct a comparison between SIX and the CBOE SKEW index. First, we document that the daily change in VIX and SIX (SKEW) are negatively (positively) related. Second, we show that the daily change of SIX (SKEW) adds (does not add) significant explanatory power for predicting the one-day ahead return. Third, though biased, SIX produces an efficient forecast of future physical skewness. In contrast, there is no statistically significant relationship between SKEW and physical skewness. Collectively, our results suggest that as an indicator of institutional anxiety, both theoretically and in practice, SIX (SKEW) is a more than useful (questionable) complement to VIX.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121537978","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: 11
A Space-Time Approach to Investment Rating 投资评级的时空方法
Australasian Finance & Banking Conferences Pub Date : 2016-04-19 DOI: 10.2139/ssrn.2773705
Antonio Mendes, A. Mendes
{"title":"A Space-Time Approach to Investment Rating","authors":"Antonio Mendes, A. Mendes","doi":"10.2139/ssrn.2773705","DOIUrl":"https://doi.org/10.2139/ssrn.2773705","url":null,"abstract":"We present a new rating methodology based on space-time mathematics. The rating variables are depicted in a 3-D space used to calculate an investment rating based on Minkowski distances to four points in space. The model is extended to 4-D and 5-D dimensions by adding excess returns as a proxy for time and trading volumes to account for the investors’ observation point. The model is illustrated with the Dow Jones and the S&P500 indexes. The results confirm the relevance of the model and the use of space-time mathematics in financial modelling.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115311415","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
Conditioning the Information in Portfolio Optimization 投资组合优化中的信息调节
Australasian Finance & Banking Conferences Pub Date : 2016-04-14 DOI: 10.2139/ssrn.2675090
Carlo Sala, G. Barone-Adesi
{"title":"Conditioning the Information in Portfolio Optimization","authors":"Carlo Sala, G. Barone-Adesi","doi":"10.2139/ssrn.2675090","DOIUrl":"https://doi.org/10.2139/ssrn.2675090","url":null,"abstract":"This paper proposes a theoretical analysis of the impact of a suboptimal information set on the two main components used in asset pricing, namely the physical and neutral probability measures and the pricing kernel they define. The analysis is carried out by means of a portfolio optimization problem for a small and rational investor. Solving for the maximal expected utility of terminal wealth, it proves the existence of an information premium between what is required by the theory, that is a complete information set—thus a fully conditional measure—and what is instead achievable by an econometrician using real data. Searching for the best bounds, it then studies the impact of the premium on the pricing kernel. Finally, exploiting the strong interconnection between the pricing kernel and its densities, the impact of the premium on the risk-neutral measure is analyzed.","PeriodicalId":430498,"journal":{"name":"Australasian Finance & Banking Conferences","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133020260","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
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