Review of Pacific Basin Financial Markets and Policies最新文献_第8页

The Condition of the Conditionality 条件的条件

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-11 DOI: 10.1142/s0219091521500272

Tumellano Sebehela

引用次数: 0

Illiquid Assets and the Opacity Discount in Banks’ Valuation 非流动性资产与银行估值中的不透明度贴现

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-11-10 DOI: 10.1142/s0219091521500284

Giulio Anselmi

{"title":"Illiquid Assets and the Opacity Discount in Banks’ Valuation","authors":"Giulio Anselmi","doi":"10.1142/s0219091521500284","DOIUrl":"https://doi.org/10.1142/s0219091521500284","url":null,"abstract":"The paper investigates the impact of fair value accounting for illiquid assets (so-called ‘Level 2’ and ‘Level 3’ assets by accounting rules) on banks’ valuation and focuses on the change in relative weight of Level 3 (the most opaque and illiquid assets) with respect to Level 2 assets. The boundary between Level 3 and Level 2 assets is blurred and less clear than the one between Level 1 and Level 2 assets. Such unclear borderline entails corporate governance issues and provides room for opportunistic behavior by managers to opt for less transparent instruments. The paper proposes the change in Level 3-to-Level 2 assets ratio as a new measure to capture deviations in the opacity of bank assets and suggests a negative relationship between this ratio and bank’s price-to-book value. The rationale behind this relationship is that market participants interpret growth in Level 3-to-Level 2 assets ratio as an increase in bank’s opacity, since Level 3 assets might be as illiquid as Level 2 assets with the benefit of a less transparent model-based valuation technique. Based on a sample of 33 European banks from 2009 to 2018, I find that an increase of 100[Formula: see text]bps in Level 3-to-Level 2 assets ratio is linked to a decrease of about 74[Formula: see text]bps in the price-to-book value. Results are robust for different measures of firm relative valuation and using a different measure of illiquidity in fair value assets holdings (Level 2-to-Level 1 assets ratio).","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2021-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44140801","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

Speech Delivered for the Acceptance of an Honorary Ph.D. Degree in Economics at National Tsing Hua University 清华大学经济学名誉博士学位授予仪式致辞

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-01 DOI: 10.1142/s0219091521500260

Fai-nan Perng

引用次数: 0

Investment, Financing, Dividend, and Production Policies: Review and Integration 投资、融资、分红与生产政策:回顾与整合

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-01 DOI: 10.1142/s0219091521500181

Cheng-Few Lee, Alice C. Lee

引用次数: 1

The Theory of Uncertaintism 不确定性理论

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-01 DOI: 10.1142/s0219091521500259

Tumellano Sebehela

{"title":"The Theory of Uncertaintism","authors":"Tumellano Sebehela","doi":"10.1142/s0219091521500259","DOIUrl":"https://doi.org/10.1142/s0219091521500259","url":null,"abstract":"The stock jumps of the underlying assets underpinning the Margrabe options have been studied by Cheang and Chiarella [Cheang, GH and Chiarella C (2011). Exchange options under jump-diffusion dynamics. Applied Mathematical Finance, 18(3), 245–276], Cheang and Garces [Cheang, GHL and Garces LPDM (2020). Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. Quantitative Finance, 20(2), 291–310], Cufaro Petroni and Sabino [Cufaro Petroni, N and Sabino P (2020). Pricing exchange options with correlated jump diffusion processes. Quantitate Finance, 20(11), 1811–1823], and Ma et al. [Ma, Y, Pan D and Wang T (2020). Exchange options under clustered jump dynamics. Quantitative Finance, 20(6), 949–967]. Although the authors argue that they explored stock jumps under Hawkes processes, those processes are the Poisson process in their applications. Thus, they studied Hawkes processes in-between two assets while this study explores Hawkes process within any asset. Furthermore, the Poisson process can be flipped into Hawkes process and vice versa. In terms of hedging, this study uses specific Greeks (rho and phi) while some of the mentioned studies used other Greeks (Delta, Theta, Vega, and Gamma). Moreover, hedging is carried out under static and dynamic environments. The results illustrate that the jumpy Margrabe option can be extended to complex barrier option and waiting to invest option. In addition, hedging strategies are robust both under static and dynamic environments.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41848691","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

Restructuring Measurements Impact on Bank Risk After the Global Financial Crisis — Empirical Evidence from Vietnam 全球金融危机后重组措施对银行风险的影响——来自越南的经验证据

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-09-01 DOI: 10.1142/s0219091521500193

T. T. Tran, Y. Nguyen

{"title":"Restructuring Measurements Impact on Bank Risk After the Global Financial Crisis — Empirical Evidence from Vietnam","authors":"T. T. Tran, Y. Nguyen","doi":"10.1142/s0219091521500193","DOIUrl":"https://doi.org/10.1142/s0219091521500193","url":null,"abstract":"Project 254 signed in November 2011 which is relating to “Restructuring the system of credit institutions in the period of 2011–2015” has been considered as a milestone in marking the Vietnamese government to prevent the influence of the financial crisis of 2008. This paper identifies hypotheses evaluating the impact of restructuring measurements on the risk of the Vietnamese’s commercial banks in 10 years, starting from 2008. Using the OLS regression method for analysis by running Eviews and ANOVA test in SPSS with a unique database of 216 observations of 31 commercial banks in Vietnam, it was found that: (i) The bail-out activities of the State Bank of Vietnam in 2015 does not influence on bank risk, (ii) The mergers and acquisitions (M&A) do not support the bank to reduce risk, it increases the risk for acquiring banks, (iii) The global crisis 2008 exerts dire consequence on the bank system in Vietnam, (iv) There is the difference of risk among the groups of the bank experiencing a different number of years of operation. Basing on this result, the paper also makes recommendations to the Government, The State Bank of Vietnam and the commercial banks for effective risk management toward the development of the Vietnamese banking system.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49123691","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

The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets 中国、印度和俄罗斯股指期货市场的价格发现过程

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 DOI: 10.1142/s021909152150020x

Q. Liu, Hui Sono, Wei Zhang

引用次数: 0

Director Compensation in the Banking Industry Around the Dodd-Frank Act 多德-弗兰克法案对银行业董事薪酬的影响

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 DOI: 10.1142/s0219091521500223

Wikil Kwak, Xiaoyan Cheng, Burch T. Kealey

引用次数: 0

Confirming Anomalies 确认异常

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-31 DOI: 10.1142/s0219091521500247

Peter T. Chinloy, Matthew Imes

引用次数: 0

George Kaufman: Both Hands In; Scholar’s Work with Academia and Financial Industry Benefitted Both George Kaufman: Both Hands In;学者与学术界和金融业的合作使两者受益

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Review of Pacific Basin Financial Markets and Policies Pub Date : 2021-08-25 DOI: 10.1142/s0219091521500211

W. S. Bike

{"title":"George Kaufman: Both Hands In; Scholar’s Work with Academia and Financial Industry Benefitted Both","authors":"W. S. Bike","doi":"10.1142/s0219091521500211","DOIUrl":"https://doi.org/10.1142/s0219091521500211","url":null,"abstract":"This paper examines the career of economist Prof. George Kaufman, whose work combined and benefited both academia and the financial industry, helping both better understand the problems of financial stability, financial regulation, and financial sector competition. In doing so, he brought together great minds from both fields and helped many economists progress in their careers. Prof. Kaufman promulgated the idea that government policy needed to foster two simple goals: proper incentives and competitive markets. He believed the combination would produce a richer society and more stable economy. He created the U.S. Federal Reserve’s Conference on Bank Structure and Competition, the leading conference in the world addressing financial regulatory issues for 50 years. Prof. Kaufman also founded the U.S. Shadow Financial Regulatory Committee in 1986 in the midst of the thrift crisis, helping to solve that crisis and inspiring the creation of other shadow financial regulatory committees around the world. Through his activities, he left behind an outstanding legacy of leadership, research, and opinion in various economic fields, providing platforms upon which many scholars will build in the coming decades.","PeriodicalId":45653,"journal":{"name":"Review of Pacific Basin Financial Markets and Policies","volume":" ","pages":""},"PeriodicalIF":0.9,"publicationDate":"2021-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44851402","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