Tài liệu miễn phí Tài chính doanh nghiệp
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On the implementation of asymmetric Var models for managing and forecasting market risk
This paper investigates the implementation of asymmetric models and skewed distributions when managing market risk using the Value-at-Risk. The comparative analysis of the VaR estimations is executed by consideration of the time dynamics and the sequence of potential violation of the model. The findings of the paper suggest that the consideration of skewed distributions of time series and asymmetric volatility specification result to more accurate estimations of the VaR and hence provide the means for more efficient estimators of the potential losses that an institution is likely to exhibit. The importance of the paper lies on the fact that according to the regulative authorities financial institutions are supposed to adopt internally models for managing more efficiently market risk and this could be achieved by applying asymmetric models on both the volatility of their assets and on the distributions of the examined time series.
3/29/2020 3:19:03 PM +00:00
Estimation of Murabaha margin
In the Last decade, the Islamic Finance market has grown significantly, and attracted several investors. However, the profitability of Islamic financial products remains one of the main concerns of portfolio managers as well as investors. Among the products that are mostly offered by the Islamic banks is the Murabaha in which return can not only be known but also guaranteed owing to the low efforts and costs invested. Indeed, the profit margin has a great importance in the elaboration of the Murabaha contract, and stands out as one of the main components of profitability from a commercial viewpoint. In this article, we propose a new approach to estimate the profit margin of Murabaha using the stochastic process and portfolio techniques. The aim is to determine an interval allowing Islamic banks to anticipate and check their profit margin in order to ensure the profitability of the Murabaha investment. This research comes up with a model which describes the profit margin of the Murabaha investment with meaningful benchmarks that inform the bank on the eventual ROI (Return on Investment).
3/29/2020 3:18:31 PM +00:00
Traditional budgeting in today’s business environment
Traditional budgeting has been subject to several controversies with many arguing in favour and against its use. The two sided arguments were discussed with the help of existing literatures. This research provides a conceptual meaning of traditional budgeting as an examination of income with respect to expenditure and developed a model framework for understanding the usefulness of traditional budgeting in today’s business environment. A tripod relationship between budget, household and managers was developed & analysed. The research explains the benefits of traditional budgeting and also provides an alternative to traditional budgeting concept in today’s business world. The study shows that influence of organisational culture was seen to constitute the bane of traditional budgeting process, implementation and performance management with control as the critical variable at all levels of human endeavours and concludes that budgeting is the panacea for enforcement of control, target, and accountability. It entrenches motivational spirit & managerial direction among workforce, hence should be adopted by both individuals and business entities.
3/29/2020 3:17:28 PM +00:00
Has the financial crisis affected the profitability of banks in croatia?
The authors wanted to find out how recent financial crisis influenced performance of Croatian banks measured with ROA, ROE, NIM and Tobin's Q. Having this aim in mind, we have used many bank-specific, industry-specific or structural variables and macroeconomic variables. The analysis refers to 2007-2015 period. The research is conducted using static panel model on a balanced sample of Croatian banks listed on Zagreb Stock Exchange. The results of the analysis show that crisis dummy variable significantly influences performance but its direction is not uniform. Specifically, the research shows that bank performance improves in crisis period measured with accounting measure of performance, namely ROA, whereas, when employing stock-based measure of performance, i.e. Tobin's Q performance deteriorates during recession. Other explanatory variables that proved to be significant factors when explaining banks' profitability are leverage, growth rate of assets on bank level, interest income to interest expenses ratio, market share and inflation. However, their direction varies depending on measure of performance being used as well as on the period covered by the analysis. The authors have also reported the results of the analysis for the whole period, i.e. 2007-2015, as well as for the crisis period, i.e. 2009-2013 and non-crisis period, covering 2007-2008 and 2014-2015, separately.
3/29/2020 3:16:57 PM +00:00
A short note on the funding of investment firms across the crisis: Did the turmoil bring changes?
The goal of this short paper is to provide evidence on how investment companies have changed the composition of their balance sheets across the recent financial crisis. For a large sample of United States brokers/dealers and asset managers, we analyze the information reported in the filings to the Securities and Exchange Commission (SEC). We observe that, the firms in the sample have shrunk the size of their assets through de-leveraging. The crisis though, has not induced firms to change substantially their financing structures. In particular, inside firms organized as Bank Holding Companies (BHCs), repurchase agreements do still play a role for fund raising, and this may have consequences on financial stability. Therefore, the patterns showed in this paper are important for the policy making inside investment companies.
3/29/2020 3:15:36 PM +00:00
Algorithm for lease terms, cost and profit
Most elements of the weighted average cost of capital are easy to compute. Unlike bonds, mortgages and bank loans, the cost of lease capital is never stated. Leases vary widely in application fees, down payments, deposits, prepayments and length all of which make it difficult to specify the cost of lease capital in a consistent manner. Such terms also make it difficult to compare leasing to other forms of financing. Lessors have a similar problem. The return on capital invested in lease assets is difficult to calculate. A lease with a lower monthly payment may provide greater returns than one with higher payments if terms are properly specified. A problem that both lessees and lessors have is that the time value of money functions used to compute the lease cost of capital give rise to non-linear equations. Solution of those equations is beyond the skill of most finance and accounting practitioners. This article provides a standardized framework for specifying lease terms and an algorithm for solving the resulting non-linear equations. This algorithm can be implemented using common spreadsheet software.
3/29/2020 2:17:45 PM +00:00
How do family ownership and control affect the demand for director and officer insurance?
Equity holdings of family firms represent an important form of company ownership in South-East Asia. In order to enhance the effectiveness of corporate governance, listed companies have been required to disclose more information on their director and officer insurance (hereafter D&O insurance) purchases in Taiwan. This publicly available data enables this study to investigate how family firms react to litigation risks in terms of their D&O insurance. Using the D&O insurance coverage of Taiwan firms as a proxy for management legal liability coverage, this study made two major findings. First, firms with a high concentration of family ownership face lower litigations risk and are less likely to purchase D&O insurance. However, firms with significant controlling-minority shareholder agency conflicts are more willing to purchase D&O insurance due to the entrenchment effect. Second, family firms with Type II agency problems tend to carry abnormally high D&O insurance coverage. Furthermore, I find that family firms with outside CEOs exhibit a greater likelihood of purchasing D&O insurance. These findings suggest that the decision of family firms to purchase or not purchase D&O insurance is primarily driven by Type II agency problems and the types of CEOs they have in place.
3/29/2020 2:17:19 PM +00:00
Portfolio rebalancing versus buy-and-hold: A simulation based study with special consideration of portfolio concentration
The aim of this study is not only to explore if portfolio rebalancing can lead to a better performance compared to a buy-and-hold (B&H) strategy but to find out if there is a correlation between the weight-based concentration of the B&H portfolio and the success of a rebalancing strategy. For these reasons, it is firstly discussed how rebalancing affects portfolio diversification, risk-adjusted return and the utility value for a certain investor. Secondly, it is discussed on what the portfolio weight of a special stock is depending on whereas the cases of an initially equally and unequally weighted portfolio are distinguished. The latter one has a larger weight concentration which is determined by the normalized Herfindahl index and the coefficient of variation. These issues are explored theoretically and empirically. In the empirical analysis the Monte Carlo simulation is used which is based upon 1,000 simulations with 520 generated returns for each of the 15 assumed stocks in the initially equally weighted portfolio. The results show that the diversification ratio, the return to risk ratio, and the utility value of the rebalanced portfolio turn out to be significantly greater than those of the B&H portfolio. The rebalanced portfolio has a slightly (not significant) positive rebalancing return. Finally, a strong negative correlation between the rebalancing return and the weight concentration of the B&H portfolio is found.
3/29/2020 2:16:39 PM +00:00
The impact of the company's market timing on insider trading of repurchase announcement
In this study, we explore the influence of market timing on insider trading and buy-and-hold abnormal returns by the sample of Taiwan listed companies at stock exchange market and the firms at over-the-counter (OTC) market from 2001 to 2016. According to Dittmar and Field [7], we use the relative repurchase price (RRP) to measure the strength of market timing abilities when firm repurchases its own stock. We find that the stronger market timing ability is accompanied with the greater insider net buying. Thus, insiders can indeed know the company’s future information when firms repurchase. In addition, when market timing abilities of the OTC firms are stronger, their insiders net buy transaction have greater influence on future buy-and-hold returns. We also find that the firm with smaller market value has lower credibility of stock repurchase, the more information content of insider transaction and the more future buy-and-hold abnormal return.
3/29/2020 2:16:20 PM +00:00
Evaluation of determinants of financial inclusion in Uganda
This study examines how financial literacy and financial innovation can improve financial inclusion among households in Uganda. Large sections of the population in rural and urban areas in Uganda still remain out of the coverage of formal financial systems. The study uses a cross sectional survey research design. The study population comprised of the adult population in both rural and urban settings in Uganda. Empirical data was analyzed using correlation and regression analyses. Findings indicate that financial literacy and financial innovation are better determinants of financial inclusion among households. Therefore, financially literate households have a higher potential to make informed decisions on new innovations of financial products and services. This paper is the first of its kind to examine the importance of the determinants of financial inclusion as advocated for by the Central Bank of Uganda.
3/29/2020 2:15:55 PM +00:00
Correlation neglect and overconfidence an experimental study
For the first time in economic research, the present experimental study confronted participants with the task to predict stock prices ex ante in order to analyze the interrelation of the behavioral anomalies overconfidence and correlation neglect. The study shows that the participants considerably overestimate their accuracy of forecasting (overconfidence). Almost half of all participants (42.2%) disregard the correlation among return developments for different financial instruments (correlation neglect). It was also observed that the correlation neglect, when forecasting diversified financial instruments (funds), has a cushioning effect on overconfidence.
3/29/2020 2:15:19 PM +00:00
Racial ethnic differences in household loan delinquency rate in recent financial crisis: Evidence from 2007 and 2010 survey of consumer finances
This study examines the differences in household loan delinquency rates of the racial/ethnic groups. The study uses combined data from 2007 and 2010 SCF. The study employed Oaxaca decomposition analysis to investigate the source of differences in loan delinquency rates of the racial/ethnic groups. Our results show that 67.33% of the differences in loan delinquency between whites and African Americans is due to differences in endowments while 33.08% is unexplained or due to discrimination. The study also found that credit constrained, income, unemployment, and payday loan are the major source of explained differences in delinquency between whites and African-Americans. Also, the study found that 93.03% of the differences between whites and Hispanics is explained by differences in endowments while 7.36% is unexplained or due to discrimination. Similarly, income, credit constrained, unemployment, and college graduate are the major source of explained differences in delinquency between whites and Hispanics. The study shows that credit constrained households for all races have high risk of being delinquent. Similarly, households with high debt service ratios with the exception of Hispanics where the result is not significant are more likely to be delinquent on their loans.
3/29/2020 2:15:12 PM +00:00
Family holding and board effectiveness on the risk-taking of financial industry in China and Taiwan
Since the financial crisis hit global financial markets and leads global economies into recession, people has had little confidence in the market. It exposed the poor mechanism of internal and external supervision, and the significance of corporate governance is getting noticed. Most enterprises in Taiwan and the Peoples’ Republic of China are family holding businesses. This study involves the Taiwanese and Chinese financial industries and examines the influence of family ownership and board effectiveness on risk-taking in both the pre- and post-crisis period. The result shows that there is a significant negative correlation between family ownership and risk-taking. There is also a significant negative correlation between board effectiveness and risk-taking. Bank risk increases significantly in the pre-crisis period, in contrast to the post-crisis period. However, risk-taking of insurance and securities increases significantly in the post-crisis, in contrast to the pre-crisis period. The improvements of board effectiveness in banking, insurance or securities are able to decrease financial risk-taking. In the post-crisis period, the banking in Taiwan and the Peoples’ Republic of China can reduce bank risk-taking with the improvements of board effectiveness, but it occurs opposite results in insurance and securities, resulting from the difference of industry characteristics.
3/29/2020 2:14:46 PM +00:00
Socially responsible investments and their anticyclical attitude during financial turmoil evidence from the Brexit shock
The aim of this paper is to analyze SRIs prices reaction to the Brexit referendum on June 23, 2016. We assessed whether there was a difference: a) with SRIs price reaction to the Lehman Brothers bankruptcy; b) compared to various sectors and the geographical residence of companies.
3/29/2020 2:13:57 PM +00:00
An algorithm exploiting episodes of inefficient asset pricing to derive a macro-foundation scaled metric for systemic risk: A time-series Martingale representation
This paper employs an event study, the Global Financial Crisis. Episodes of inefficient pricing, the externality, are exploited as a measure of systemic risk. The theoretical asset pricing model, the martingale representation, is shown to be a valid algorithm to identify episodes of efficient and inefficient pricing in time series. Systemic risk metrics are derived from episodes of inefficient pricing, utilizing a shadow volatility metric. The algorithm is forward looking, deriving macro-foundation metrics from actual agent market behavior. The algorithm provides precise risk metrics for magnitude and diffusion using US and Canadian treasury markets. Given the US dollar’s role as the de-facto world reserve currency, scaled metrics derived from the US treasury market provide a globalized systemic benchmark. The risk metrics signal the crisis buildup and calibrate around the crisis epicenter date of September 2008. The risk metrics are heuristically consistent with the stylized facts of financial crises and support the extraordinary US policy response to the crisis. The algorithm output is validated by time-series analysis.
3/29/2020 2:13:51 PM +00:00
The research of the periodic features of stock index volatility based on Hilbert-huang transformation
The Hilbert-Huang Transform(HHT) algorithm which proposed in recent years escape itself from the requirement of linear and smooth, and it has a clear physical meaning. The data comes from the Shanghai Composite stock index which is decomposed by HHT. It consists of two parts, the first part is empirical mode decomposition(EMD)， the second part is the Hilbert Spectrum. Firstly it gives all Intrinsic Mode Function (IMF) which is decomposed from EMD an interpretation of its physical meaning and introduces the concept of average oscillation cycle and compared the speed of between typical rise and fall times of volatility. On one hand, reconstruct the IMF and estimate its distribution for the purpose of drawing the best characterization cycle of all reconstructed IMF. On the other hand, calculate the average oscillation cycle of the treated IMF and finally derive the quantitative relationship between the two kinds of cycles. At last, to find the curve fits well with the envelope line of each IMF which has been transformed by Hilbert function.
3/29/2020 2:13:38 PM +00:00
Corporate debt choice and board size: The case of oil exporting economy
This paper investigates the role of firms’ board size on capital structure decisions in an oil-based economy. Using a sample of 121 listed firms in Saudi capital Market, over the 2009-2016 period, we find a strong negative linkage between board size and debt choice. Our findings suggest that strong corporate governance practice enforce the usage of lower debt financing to promote firms’ performance. This finding provides important implications for investors and policymakers. Our conclusion still unchanged before and after the global oil prices drop and after applying alternative methodology.
3/29/2020 2:12:59 PM +00:00
The short-term spillover effects of the fed on Chinese financial market the overshooting model or the portfolio balance theory
Under the framework of overshooting model and portfolio balance theory, this paper analyses the short-term spillover effect of Fed’s QE on asset prices in China. Policy shocks overall events have a significant impact on China's financial market. China's debt full price index, Shanghai-Shenzhen 300 and Nan-Hua Futures Composite Index have increased significantly, while the single event issuance has no notable impact. Further research shows that the interest rate transmission mechanism has a striking impact on bonds, the exchange rate transmission mechanism has a remarkable impact on stocks, and the expected transmission mechanism has a notable impact on futures. China should comprehensively use interest rate, exchange rate and expected management tools to avoid the accumulation of financial bubbles.
3/29/2020 2:12:52 PM +00:00
Chinese alcohol culture and corporate rent-seeking behavior
Culture plays an important role in affecting corporate behaviors when formal institutions fall short. Using China's A-share listed companies as a sample, we analyze the impact of Chinese alcohol culture on corporate rent-seeking behavior. We find that firms in regions in which alcohol plays a more prominent role show more rent-seeking expense. The results are still robust when we use the regional gender ratio and temperature as instruments. It is further found that a high level of alcohol culture in CEOs’ home region significantly enhances rent-seeking expense. Moreover, the promoting effect of alcohol culture on corporate rent-seeking is significantly reduced in the state-owned firms or under the improvements in formal institutions. As for influence mechanism, we find that the alcohol culture can promote the tendency of executives and officials to engage in corruption. This paper provides micro evidence for the impact of culture on the real economy.
3/29/2020 2:12:37 PM +00:00
How does reserve ratio decreasing act on market: Empirical evidence from China
This paper tests whether macro monetary shock will influence stock market. Employing approaches of event study and abnormal returns regression, this paper finds that reserve ratio decreasing does lead to positive abnormal returns, but it works through different channels in each event. Further analyzing shows that characteristics of the stock market of China make the differences: market overreacts to unexpected shock and underreacts to expectable event.
3/29/2020 2:12:31 PM +00:00
Modeling heteroscedastic, skewed and Leptokurtic returns in discrete time
Popular models of finance, fall short of accounting for most empirically found stylized features of financial time series data, such as volatility clustering, skewness and leptokurtic nature of log returns. In this study we propose a general framework for modeling asset returns which account for serial dependencies in higher moments and leptokurtic nature of scaled GARCH filtered residuals. Such residuals are calibrated to normal inverse Gaussian and hyperbolic distribution. Dynamics of risky assets assumed in Black Scholes model, Duans GARCH model and other benchmark models for contract valuation, are shown to be nested in the the proposed framework.
3/29/2020 2:12:25 PM +00:00
Advanced DEMATEL technic illustrate contemporary Fintech development
FinTech have revolutionized applications and redefined the digital economy in recent years. However, there remains a gap in the academic literature regarding core factors that influence the development of internet finance. This research proposes an internet finance development evaluation model with 8 dimensions, namely, Commercial Benefit, Convenience, Trust, Cost, User Profile, Substitution, Competitiveness, and Regulation, based on literature survey. Three DEMATEL methods are empirically validated on Taiwan internet finance environment, through either the DEMATEL technique or a validity index comparison. The theoretical results found that the Balanced DEMATEL model has the best performance, the Commercial Benefits and start-up Cost are the key factors that will influence the willingness of banks to newly enter the internet finance business, and the Trust dimension of Security and providing multi-functional system that meet consumer needs are highly importance. The practical finding also suggest the financial authorities should open up market for non-banking corporations in order to enhance innovation services and internet finance managers should integrate local financial services with local characteristics to increase competition power. This study can provide local governments and countries that are developing Internet finance with guidelines when formulating internet finance development policies and marketing strategies, especially for emerging market.
3/29/2020 2:12:18 PM +00:00
The impact of credit guarantee schemes on SMEs bankruptcies: An international overview
The paper investigates if Credit Guarantee Schemes (CGSs) have an effect on Small and Medium Enterprises (SMEs) bankruptcies. In such a framework, some recent studies are devoted to deepen the issue at national level. Most of them conclude that the CGSs may increase the probability of SMEs bankruptcies, suggesting the questions of moral hazard and adverse selection as possible motivations. In our analysis we consider a selection of countries examined by the Organisation for Economic Cooperation and Development (OECD) and perform a simple linear regression study in order to analyze the effectiveness of CGSs at international level. Results from the analysis are mixed, suggesting that the CGSs do not necessarily have a positive or negative impact on SMEs bankruptcies and more motivations are to be found in the specific country peculiarities.
3/29/2020 2:11:25 PM +00:00
Financialization and risk taking of non-financial corporations empirical evidence from Chinese listed companies
Using China's A-share listed companies as a sample, this paper provides empirical evidence that with the deepening of financialisation in non-financial corporate sector, the level of corporate risk-taking is significantly reduced, and the complete mediating effect is R&D innovation. The results are still robust when we use instrumental variable method, and the negative impact of financialisation on corporate risk taking is significantly reduced under the constraints of a good governance mechanism. It is further found that as the degree of financialization in non-financial corporate sector deepens, even if enterprises have the ability to take risks, they have no willingness to take risks. This paper theoretically demonstrates the micro-inducement of the insufficient motivation for enterprise development, under the “siphon effect” of financialization.
3/29/2020 2:11:04 PM +00:00
Rumor mill and merger waves: Analysis of aggregate market activity
Examine timing of takeover rumors relative to merger waves. Peaks and troughs of rumor activity coincide with changes in the volume of takeovers. At aggregate market level, rumors should be viewed as coincident indicator of merger activity. Consequently, change in the number of rumors coupled with corresponding change in the merger volume can be interpreted as reversal in the direction of merger wave.
3/29/2020 2:10:25 PM +00:00
Finance, institutions, remittances and economic growth: new evidence from a dynamic panel threshold analysis
This paper empirically examines how the local financial development and institutions influence a country’s capacity to take advantage from remittances over the period 1985-2014. We use a dynamic panel threshold model (see Hansen, 1999 and Caner and Hansen, 2004) to estimate remittances thresholds for long-term economic growth. The evidence strongly suggests that the impact of remittances on economic growth depends on the level of financial development and the institutional environment. More precisely, a strong institutional environment is sine qua non for the effective contribution of remittance to sustainable growth in ECOWAS countries. One of main contributions of this paper is to successfully identify the conditions under which the remittance has a positive impact on economic growth. This is crucial for governments in the ECOWAS area to improve institutional quality and the support they provide for the financial system, in their economies should therefore be a main priority for policy makers as there are gains to be made in terms of economic development. The results seem to indicate the design of policies that would facilitate simultaneous improvements in institutions indicators and financial development indicators.
3/29/2020 2:10:17 PM +00:00
Assessing financial literacy of employed and business people in AMBO, Ethiopia: Evidence for policy makers
Financial Literacy; Financial Knowledge; Financial Attitude; Financial Behaviour; OECD; Financial Inclusion. Financial market today is flooded with sophisticated and complex financial products thereby individuals require a greater degree of financial literacy to select appropriate financial products and avail financial services. The purpose of the study was to assess the financial literacy and awareness of financial products of employed and business people in AMBO, Ethiopia. Descriptive research was adopted for the study. From the total population of 10,031 employed and business people in AMBO, 371 adults aged 18 to 79 were interviewed using a structured and a standardized questionnaire developed by OECD. Financial literary is the sum of the scores of three constructs namely: Financial Knowledge, Financial Behavior and Financial Attitude. Results reveal that the financial knowledge score is 46%, financial attitude score is 60%, financial behavior score is 52%. The overall financial literacy score is 54% in the town. There is a wide gap between awareness and holding of credit, investment products and current account.
3/29/2020 2:09:25 PM +00:00
An empirical research on top management team size, board size and corporate performance evidence from China’s listed companies
By using the panel data of China’s listed companies from 1999 to 2013 in the CSMAR database, this paper empirically finds that top management team (hereinafter referred to as TMT) size has a significant impact on corporate performance and presents an inverted U-shaped relationship, with the optimal TMT size being about 14 to 15. But the influence of TMT size is no longer significant after controlling board size, that is to say, board size is the core problem of executive governance. The paper also proves that there is an inverted U-shaped relationship between board size and corporate performance, with the optimal board size about 9. At the same time, the paper also verified the influence of other characteristics of TMT on corporate performance, such as the gender ratio of senior executives, the board shareholding ratio and the independent director percentage.
3/29/2020 2:09:06 PM +00:00
Analysis of the determinants of trade balance: A case study of Vietnam
The study is focusing on the analysis of the determinants of trade balance in Vietnam. Vietnam has greatly expanded a large volume of exports and imports in recent years whereby Vietnam has a very high degree of trade openness. Using the sample and the secondary data covering the period of 2005 – 2018 and collecting from General Statistics Office, the State Bank of Vietnam, publications and other Vietnamese data with the theoretical framework of trade balance, the study finds that foreign direct investment had a significant and negative effect on trade balance. This result reflects that increase in FDI may worsen trade balance. The openness of the economy has a significant and negative effect on the trade balance. Finally, the exchange rate has insignificantly contributed to the change of trade balance.
3/29/2020 2:09:00 PM +00:00
Political connections, financial constraints and long-term growth
This paper takes Chinese private listed companies as a sample to study the impact of political connections on financial constraints and long-term growth. The study found that political connections can help companies ease financial constraints and help companies to enlarge scale. However, the easing of financial constraints has not helped companies to improve their innovation capabilities and operating efficiency. On the contrary, political connections have caused a decline in companies’ potential long-term growth.
3/29/2020 2:08:10 PM +00:00