发布求助
文献互助 智能选刊 最新文献

Quarterly Journal of Finance最新文献

筛选
英文 中文
Are Antitakeover Amendments Good for Shareholders? Evidence from the Adoption of Antitakeover Provisions in the Post-SOX Era 反收购修正案对股东有利吗?后sox时代反收购条款采纳的证据
IF 0.7
Quarterly Journal of Finance Pub Date : 2019-12-23 DOI: 10.1142/s2010139219500149
Erin E. Smith
{"title":"Are Antitakeover Amendments Good for Shareholders? Evidence from the Adoption of Antitakeover Provisions in the Post-SOX Era","authors":"Erin E. Smith","doi":"10.1142/s2010139219500149","DOIUrl":"https://doi.org/10.1142/s2010139219500149","url":null,"abstract":"By combining a regression discontinuity (RD) design with a novel instrumental variable, I estimate the value of antitakeover provisions (ATPs) adopted between 2006 and 2010. In contrast to evidence from earlier periods, I estimate that, during this recent period, ATP adoption increased shareholder value by approximately 3%. An important challenge to estimating the value of ATPs is that standard RD estimates can be biased if interested parties manipulate vote outcomes. To address this, I exploit exogenous variation in the likelihood of passage that results from “over-votes”, the extra illegitimate votes arising from securities lending practices. Because ATP passage requires affirmative votes from a majority of outstanding shares, rather than of shares voted, over-votes increase the likelihood of passage.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2019-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82184293","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
Author Index Volume 9 (2019) 作者索引第九卷(2019)
IF 0.7
Quarterly Journal of Finance Pub Date : 2019-12-01 DOI: 10.1142/s2010139219990015
{"title":"Author Index Volume 9 (2019)","authors":"","doi":"10.1142/s2010139219990015","DOIUrl":"https://doi.org/10.1142/s2010139219990015","url":null,"abstract":"","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90273435","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 Association between Complexity and Managerial Discretion in the Property and Casualty Insurance Industry 财产险行业复杂性与管理自由裁量权的关系
IF 0.7
Quarterly Journal of Finance Pub Date : 2019-07-01 DOI: 10.1142/S2010139219500083
M. Boyer, Elijah Brewer, Willie D. Reddic
{"title":"The Association between Complexity and Managerial Discretion in the Property and Casualty Insurance Industry","authors":"M. Boyer, Elijah Brewer, Willie D. Reddic","doi":"10.1142/S2010139219500083","DOIUrl":"https://doi.org/10.1142/S2010139219500083","url":null,"abstract":"This paper investigates whether the setting of loss reserves depends on an insurer’s complexity, which is defined by the number of business lines an insurer underwrites and on the insurer’s expertise in those lines. Our results suggest that insurers with higher levels of complexity tend to over-reserve. We also find that, as complexity increases, insurers that are financially weak and smooth their earnings, tend to under-reserve (i.e., bias their loss reserves upward). Further, we find that as complexity increases, insurers with high tax liabilities tend to bias their loss reserves downward (i.e., over-reserve), suggesting that tax strategies are important issues for insurers. An insurer’s degree of complexity is particularly salient when determining the extent to which loss reserves can be aggressively set.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82209094","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
China and the SDR: Financial Liberalization through the Back Door 中国与特别提款权:走后门的金融自由化
IF 0.7
Quarterly Journal of Finance Pub Date : 2019-07-01 DOI: 10.1142/S2010139219500071
Barry Eichengreen, Guang Xia
{"title":"China and the SDR: Financial Liberalization through the Back Door","authors":"Barry Eichengreen, Guang Xia","doi":"10.1142/S2010139219500071","DOIUrl":"https://doi.org/10.1142/S2010139219500071","url":null,"abstract":"We analyze the motives for China’s campaign to secure the addition of its currency, the renminbi, to the basket of currencies comprising the International Monetary Fund’s Special Drawing Rights. Our argument is that the campaign to add the renminbi to the SDR basket was not just a vanity project; it was a strategy used by the advocates of financial liberalization in China to force the pace of reform. It was also a strategy with significant risks.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87891691","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
TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico TIIE-28掉期作为墨西哥货币政策的风险调整预测
IF 0.7
Quarterly Journal of Finance Pub Date : 2019-03-25 DOI: 10.1142/S2010139219500046
Santiago García-Verdú, Manuel Ramos-Francia, M. Sánchez-Martínez
{"title":"TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico","authors":"Santiago García-Verdú, Manuel Ramos-Francia, M. Sánchez-Martínez","doi":"10.1142/S2010139219500046","DOIUrl":"https://doi.org/10.1142/S2010139219500046","url":null,"abstract":"Information extracted from financial derivatives on interest rates is commonly used to forecast movements in interest rates. However, such an extraction generally assumes that agents are risk-neutral, which is not necessarily the case. Accordingly, it might be useful to account for the agents’ risk-aversion when doing these forecasts, which one can implement by adding a risk-correction. In this context, we use TIIE-28 swaps to forecast changes in monetary policy in Mexico, using a set of financial variables to account for the risk-correction. We assess whether models with a risk-correction outperform the TIIE-28 swaps rates, and find that the in-sample explained variability improves when using a risk-correction. Centrally, we document that our main model’s out-of-sample forecasts are similar for short horizons (3-month), and statistically significantly better for longer horizons (9 to 24-month), compared to the direct use of TIIE-28 swaps interest rates.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2019-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86492561","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
Do Capital Adequacy and Credit Quality Affect Systematic Risk? Investigation of a Sample of European Listed Banks in Light of EBA Stress Tests 资本充足率和信用质量会影响系统风险吗?基于EBA压力测试的欧洲上市银行样本调查
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-09-24 DOI: 10.1142/S2010139218400062
S. Miani, Josanco Floreani, A. Paltrinieri
{"title":"Do Capital Adequacy and Credit Quality Affect Systematic Risk? Investigation of a Sample of European Listed Banks in Light of EBA Stress Tests","authors":"S. Miani, Josanco Floreani, A. Paltrinieri","doi":"10.1142/S2010139218400062","DOIUrl":"https://doi.org/10.1142/S2010139218400062","url":null,"abstract":"Based on a sample of 59 European listed banks, we employ an event study analysis to investigate the impact of the European Banking Authority (EBA) stress tests on systematic risk measured by market betas. We further investigate the drivers of systematic risk taking into account bank-specific variables, which include credit quality, accounting policies, bank loan loss provisions (LLPs) and capital ratios, along with supervisory assessments of bank vulnerability to stressed scenarios. Finally, we assess the impact of credit quality and capital adequacy variables on the systematic risk associated with growth opportunities.Our results suggest that stress tests act as a credible anchor to market expectations leading betas to decline. The effect is more pronounced for banks involved in multiple stress tests over time. Our second finding shows a significant and positive impact of Tier 1 capital ratios on betas, i.e., higher capitalization levels contribute to reducing the exposure to systematic risk. Moreover, market betas are responsive to bank vulnerability to stress scenario, in particular, regarding asset riskiness. Finally, betas of growth opportunities are affected by provisioning policies in the sense that conservative provisioning policies impair the ability to invest in growing assets.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75276256","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
Financial Companies’ Failures: Early Warning Information from Systematic and Systemic Risk Measures 金融公司的失败:来自系统性和系统性风险措施的预警信息
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-09-24 DOI: 10.1142/S2010139218400074
F. Cipollini, Alessandro Giannozzi, Fiammetta Menchetti, Oliviero Roggi
{"title":"Financial Companies’ Failures: Early Warning Information from Systematic and Systemic Risk Measures","authors":"F. Cipollini, Alessandro Giannozzi, Fiammetta Menchetti, Oliviero Roggi","doi":"10.1142/S2010139218400074","DOIUrl":"https://doi.org/10.1142/S2010139218400074","url":null,"abstract":"Following the 2007–2008 financial crisis, advanced risk measures were proposed with the specific aim of quantifying systemic risk, since the existing systematic (market) risk measures seemed inadequate to signal the collapse of an entire financial system. The paper aims at comparing the systemic risk measures and the earlier market risk measures regarding their predictive ability toward the failure of financial companies. Focusing on the 2007–2008 period and considering 28 large US financial companies (among which nine defaulted in the period), four systematic and four systemic risk measures are used to rank the companies according to their risk and to estimate their relationship with the company’s failure through a survival Cox model. We found that the two groups of risk measures achieve similar scores in the ranking exercise, and that both show a significant effect on the time-to-default of the financial institutions. This last result appears even stronger when the Cox model uses, as covariates, the risk measures evaluated one, three and six months before. Considering this last case, the most predictive risk measures about the default risk of financial institutions were the Expected Shortfall, the Value-at-Risk, the [Formula: see text] and the [Formula: see text]. We contribute to the literature in two ways. We provide a way to compare risk measures based on their predictive ability toward a situation, the company’s failure, which is the most catastrophic event for a company. The survival model approach allows to map each risk measure in terms of probability of default over a given time horizon. We note, finally, that although focused on the Great Recession in US, the analysis can be applied to different periods and countries.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87527944","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
Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot” 抵押贷款与银行风险承担:寻找风险“甜蜜点”
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-09-24 DOI: 10.1142/S2010139218400086
Yevgeny Mugerman, Joseph Tzur, Arie Jacobi
{"title":"Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”","authors":"Yevgeny Mugerman, Joseph Tzur, Arie Jacobi","doi":"10.1142/S2010139218400086","DOIUrl":"https://doi.org/10.1142/S2010139218400086","url":null,"abstract":"A vast body of academic literature deals with banks’ optimal loan allocations. The general approach to solving this problem is to assume borrowers’ portfolios as given. Although this assumption is reasonable in the corporate sector, the situation differs radically in the mortgage markets, where borrowers are unobservable and banks’ screening capacity is tightly limited. We propose a novel dynamic model that assumes potential mortgage takers arrive randomly and sequentially at a bank. In a simulation, we show that the effect of a more stringent level of perceived risk on a bank’s expected net income can be positive or negative. Remarkably, if both level of wealth inequality and screening capacity are low, a more severe level of perceived risk can decrease a bank’s expected net income. In this situation, regulators should be particularly careful about increasing regulation in the form of a lower loan-to-value ratio.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79945915","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: 5
Business Cycles and Conditional Credit-Rating Migration Matrices 商业周期和条件信用评级迁移矩阵
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-09-24 DOI: 10.1142/S2010139218400050
D. Boreiko, S. Kaniovski, Y. Kaniovski, G. Pflug
{"title":"Business Cycles and Conditional Credit-Rating Migration Matrices","authors":"D. Boreiko, S. Kaniovski, Y. Kaniovski, G. Pflug","doi":"10.1142/S2010139218400050","DOIUrl":"https://doi.org/10.1142/S2010139218400050","url":null,"abstract":"To quantify the impact of business cycles on the dynamics of credit ratings, conditional migration matrices and probabilities of the corresponding macroeconomic scenarios are estimated. The approach is tested on a Standard and Poor’s (S&P’s) dataset that covers the period from 1991 to 2013. The difference between the conditional probabilities and their unconditional counterparts is evaluated. It is the greatest, up to [Formula: see text], for contraction periods and downgrading probabilities.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86529964","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: 5
Are Banks Special? 银行特别吗?
IF 0.7
Quarterly Journal of Finance Pub Date : 2018-09-24 DOI: 10.1142/S2010139218400049
M. Crouhy, D. Galai
{"title":"Are Banks Special?","authors":"M. Crouhy, D. Galai","doi":"10.1142/S2010139218400049","DOIUrl":"https://doi.org/10.1142/S2010139218400049","url":null,"abstract":"This paper addresses the following question: Are banks special firms that can achieve their goals only with high leverage, above and beyond what is considered acceptable for industrial corporations? This question is related to the issue of the cost of capital and how it is affected by leverage. If we accept the Modigliani–Miller (M&M) theorem (1958), then the capital structure is irrelevant for both the cost of capital and the value of the bank. Specifically, the M&M hypothesis argues that higher levels of equity capital reduce bank leverage and risk, leading to an offsetting decline in banks’ cost of equity capital. Hence, we ask the question whether banks are special firms such that M&M theorem does not apply to banks. We show that M&M propositions cannot be applied for banks primarily because of explicit guarantees and subsidies that provide incentives for increasing leverage. Then, some of the risk faced by the bank is transferred at no cost to the providers of these guarantees and subsidies, giving banks the incentive to increase leverage as much as they can. We show that under perfect market conditions, when risk is fairly priced, this opportunity vanishes.","PeriodicalId":45339,"journal":{"name":"Quarterly Journal of Finance","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2018-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86577266","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
首页 上一页 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：481959085
Book学术官方微信