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期刊｜《Journal of Banking and Finance》 2017年01期目录摘要
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《Journal of Banking and Finance》
Volume74(January 2017) directory
1.Information environment and earnings management of dual class firms around the world
Ting Li1 ,Nataliya Zaiats2
1.Department of Management & Business, Skidmore College, 815 North Broadway, Saratoga Springs, NY 12866, United States
2. Sawyer Business School, Suffolk University, 120 Tremont St., Boston, MA 02108, United States
2. The impact of the European sovereign debt crisis on banks stocks.Some evidence of shift contagion in Europe
Jean-Pierre Allegret, Hélène Raymond, Houda Rharrabti
EconomiX-CNRS, University of Paris Ouest, France.
3. One-sided performance measures under Gram-Charlier distributions
Angel León1,Manuel Moreno2
1. Department of Quantitative Methods and Economic Theory, University of Alicante, San Vicente del Raspeig, Alicante 03080, Spain
2.Department of Economics and Finance, Manuel Moreno is from University of Castilla La-Mancha,Toledo 45071, Spain
4. Organizational structure, risk-based capital requirements, and the sales of downgraded bonds
Erin P. Lu1, Gene C. Lai2, Qingzhong M3
1. Department of Risk Management and Insurance, College of Economics, Shenzhen University, 3688 Nanhai Blvd., Nanshan District, Shenzhen 518060,
Guangdong, China
2.Safeco Distinguished Professor of Insurance, Department of Finance and Management Science, Washington State University, PO Box 644746, Pullman,
WA 99164-4746, USA
3. Department of Finance and Marketing, College of Business, California State University, Chico
5. The international effect of managerial social capital on the cost of equity
Stephen P. Ferris1,David Javakhadze2,Tijana Rajkovic3
1. University of Missouri, Trulaske College of Business, Columbia, MO 65201, United States
2.Florida Atlantic University, College of Business, Boca Raton, FL 33431, United States
3.San Jose State University, Lucas College of Business, San Jose, CA 95192, United States
6. Do Delaware CEOs get fired?
Murali Jagannathan1, A.C. Pritchard2
1. Binghamton University, AA210, School of Management, Binghamton, NY 13902, US
2.University of Michigan Law School, 1039 Legal Research, Ann Arbor, Michigan 48109, US
7. Accounting for banks, capital regulation and risk-taking
Jing Li
Faculty of Business and Economics, University of Hong Kong, Pokfulam Road, Hong Kong
8. Surprised or not surprised? The investors’ reaction to the comprehensive assessment preceding the launch of the banking union
Marika Carboni1, Franco Fiordelisi2, Ornella Ricci3, Francesco Saverio Stentella Lopes4
1. University of Rome Tor Vergata, Department of Economics and Finance, Via Columbia 2, Rome, Italy
2.University of Roma Tre, Department of Business Studies, via Silvio D’Amico 77, Rome, Italy
3.Middlesex University, Business School, The Burroughs Hendon, London NW4 4BT, United Kingdom
4.Bangor University, Bangor Business School, College Road, LL572DG Bangor, United Kingdom
9. Special purpose entities and bank loan contracting
Jeong-Bon Kima1,Byron Y. Songb2,Zheng Wang3
1. School of Acccounting and Finance, University of Waterloo, 200 University Avenue West, Waterloo, ON, Canada N2L 3G1
2.School of Business, Hong Kong Baptist University, 34 Renfrew Road, Kowloon Tong, Kowloon, Hong Kong
3.College of Business, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong
10. Excess reserves, monetary policy and financial volatility
Keyra Primus,
International Monetary Fund, Washington, D.C. 20431, United States
《Journal of Banking and Finance》
Volume74(January 2017) Abstract
Information environment and earnings management of dual class firms around the world
Ting Li1 ,Nataliya Zaiats2
1.Department of Management & Business, Skidmore College, 815 North Broadway, Saratoga Springs, NY 12866, United States
2. Sawyer Business School, Suffolk University, 120 Tremont St., Boston, MA 02108, United States
Journal of Banking and Finance,2017(1):1-23
Abstract:This study examines the information environment and earnings management of dual class firms. Motivated by the pronounced entrenchment phenomenon at dual class firms due to divergence between voting and cash flow rights, we are interested in whether dual class firms adopt corporate disclosure choices that imply greater opacity as well as employ judgment in financing reporting to misguide the outside shareholders about the firm’s true performance. Based on a sample of 12,672 firms from 19 countries during 1994–2010, we find that dual class status is associated with poorer information environment and increased accrual-based earnings management, consistent with the notion that managers of dual class firms exhibit incentives to conceal private control benefits from the outside shareholders. Results further suggest that dual class ownership structure weakens the mitigating impact of investor protection on earnings management. Following unification, firms experience an improvement in information environment and a decrease in earnings manipulation.
Keywords:Dual class;Earnings management;Information environment
Investor protection
The impact of the European sovereign debt crisis on banks stocks.Some evidence of shift contagion in Europe
Jean-Pierre Allegret, Hélène Raymond, Houda Rharrabti
EconomiX-CNRS, University of Paris Ouest, France.
Journal of Banking and Finance,2017(1):24-37
Abstract: This paper analyzes the influence of the recent European sovereign debt crisis on banks’ equity returns for 15 countries. Our data span the period December 14th 2007 - March 8th 2013 that encompasses several episodes of economic and financial turmoil since the collapse of the subprime credit market. Our contribution to the literature is twofold. First, we use an explicit multifactor model of equity returns extended with a sovereign risk factor. Second, we adopt a Smooth Transition Regression (STR) framework that allows for an endogenous definition of crisis periods and captures the changes in parameters associated with shift contagion. We find that the negative impact of the European sovereign debt crisis on banks’ equity returns has been mostly confined to European banks, whereas U.S. banks appear to be unharmed by its direct impact and may even have benefited from it. Besides, we find some evidence of shift contagion across Europe.
Keywords:Smooth transition regression model;European sovereign debt crisis;Banks’ equity returns Contagion; Interdependence
One-sided performance measures under Gram-Charlier distributions
Angel León1,Manuel Moreno2
1. Department of Quantitative Methods and Economic Theory, University of Alicante, San Vicente del Raspeig, Alicante 03080, Spain
2.Department of Economics and Finance, Manuel Moreno is from University of Castilla La-Mancha,Toledo 45071, Spain
Journal of Banking and Finance,2017(1):38-50
Abstract: We derive closed-form expressions for risk measures based on partial moments by assuming the GramCharlier (GC) density for stock returns. As a result, the lower partial moment (LPM) measures can be expressed as linear functions on both skewness and excess kurtosis. Under this framework, we study the behavior of portfolio rankings with performance measures based on partial moments, that is, both Farinelli-Tibiletti (FT) and Kappa ratios. Contrary to previous results, significant differences are found in ranking portfolios between the Sharpe ratio and the FT family. We also obtain
closed-form expressions for LPMs under the semi non-parametric (SNP) distribution which allows higher flexibility than the GC distribution.
Keywords:Lower/upper partial moment;Certainty equivalent;Rank correlation
Semi non-parametric distribution
Organizational structure, risk-based capital requirements, and the sales of downgraded bonds
Erin P. Lu1, Gene C. Lai2, Qingzhong M3
1. Department of Risk Management and Insurance, College of Economics, Shenzhen University, 3688 Nanhai Blvd., Nanshan District, Shenzhen 518060,
Guangdong, China
2.Safeco Distinguished Professor of Insurance, Department of Finance and Management Science, Washington State University, PO Box 644746, Pullman,
WA 99164-4746, USA
3. Department of Finance and Marketing, College of Business, California State University, Chico
Journal of Banking and Finance,2017(1):51-68
Abstract: Using bond downgrades as external shocks to life insurers’ asset risk, we document several findings of the impact of organizational structure and risk factors on investment risk taking. First, we find that mutual insurers and widely-held stock insurers are more likely to sell downgraded bonds than are closely-held stock insurers. Second, we find evidence that insurers are less likely to sell downgraded bonds that remain in the same rating class than bonds downgraded to a lower rating class. The result implies that insurers sell downgraded bonds mainly because of additional capital charge is imposed, not because of downgrade itself. In other words, risk factors in risk-based capital regulation do matter on life insurers investment risk taking. Finally, we find that life insurers might be reluctant to sell downgraded bonds at fire-sale prices during the 2008–2009 financial crisis.
Keywords:Risk-based capital;Life insurer;Corporate bond investment;Downgrade
The international effect of managerial social capital on the cost of equity
Stephen P. Ferris1,David Javakhadze2,Tijana Rajkovic3
1. University of Missouri, Trulaske College of Business, Columbia, MO 65201, United States
2.Florida Atlantic University, College of Business, Boca Raton, FL 33431, United States
3.San Jose State University, Lucas College of Business, San Jose, CA 95192, United States
Journal of Banking and Finance,2017(1):69-84
Abstract：We examine the effect of managerial social capital on the firm’s cost of equity capital. We argue that social ties alleviate information asymmetry and agency problems, which in turn leads to a decrease in the cost of equity. Using a large panel of companies from 52 countries over the period 1999–2012, we
document that social capital inversely affects the cost of equity. Our evidence suggests that the association between social capital and the cost of equity capital is stronger in underdeveloped financial markets and those characterized by weak legal protection. The marginal effect of social capital is also stronger for constrained firms with profitable investment opportunities. Our results are robust to alternative model specifications and tests for endogeneity.
Keywords:Social capital；Social networks；Cost of capital
Do Delaware CEOs get fired?
Murali Jagannathan1, A.C. Pritchard2
1. Binghamton University, AA210, School of Management, Binghamton, NY 13902, US
2.University of Michigan Law School, 1039 Legal Research, Ann Arbor, Michigan 48109, US
Journal of Banking and Finance,2017(1):85-101
Abstract: Critics have charged that state competition in corporate law, which Delaware dominates, leads to a “race to the bottom” making management unaccountable. We argue that Delaware corporate law attractsfirms with particular financial and governance characteristics. We find that Delaware attracts growth firms in industries with more takeover activity. Delaware firms have smaller boards, and their directors are paid more and serve on more boards. In addition, Delaware firms attract greater institutional ownership. We also provide a bottom-line test of the race-to-the-bottom hypothesis by examining forced CEO turnover ,After controlling for differences in firm characteristics, we find that firms incorporated in Delaware are more likely to terminate CEOs. We also find that that termination decision is less sensitive to poor performance. Overall, we see no clear pattern supporting the “race to the bottom” hypothesis.
Keywords:Corporate governance;Charter competition;CEO turnover
Accounting for banks, capital regulation and risk-taking
Jing Li
Faculty of Business and Economics, University of Hong Kong, Pokfulam Road, Hong Kong
Journal of Banking and Finance,2017(1):102-121
Abstract: This paper examines risk-taking incentives in banks under different accounting regimes in presence of capital regulation. In the model the bank jointly determines the capital issuance and investment policy.Given an exogenous minimum capital requirement, lower-of-cost-or-market accounting is the most effective regime that induces the bank to issue more excess equity capital above the minimum required level and implement less risky investment policy. However, the disciplining role of lower-of-cost-or-market accounting may discourage the bank from exerting project discovery effort ex-ante. From the regulator’s perspective, the accounting regime that maximizes the social welfare is determined by a tradeoff between the social cost of capital regulation and the efficiency of the bank’s project discovery efforts. When the former effect dominates, the regulator prefers lower-of-cost-or-market accounting; when the latter effect dominates, the regulator may prefer other regimes. This paper examines risk-taking incentives in banks under different accounting regimes in presence of capital regulation. In the model the bank jointly determines the capital issuance and investment policy.Given an exogenous minimum capital requirement, lower-of-cost-or-market accounting is the most effective regime that induces the bank to issue more excess equity capital above the minimum required level and implement less risky investment policy. However, the disciplining role of lower-of-cost-or-market accounting may discourage the bank from exerting project discovery effort ex-ante. From the regulator’s perspective, the accounting regime that maximizes the social welfare is determined by a tradeoff between the social cost of capital regulation and the efficiency of the bank’s project discovery efforts. When the former effect dominates, the regulator prefers lower-of-cost-or-market accounting; when the latter effect
dominates, the regulator may prefer other regimes.
Keywords:Fair value accounting;Lower-of-cost-or-market accounting;Bank risk-taking;Capital regulation
Surprised or not surprised? The investors’ reaction to the comprehensive assessment preceding the launch of the banking union
Marika Carboni1, Franco Fiordelisi2, Ornella Ricci3, Francesco Saverio Stentella Lopes4
1. University of Rome Tor Vergata, Department of Economics and Finance, Via Columbia 2, Rome, Italy
2.University of Roma Tre, Department of Business Studies, via Silvio D’Amico 77, Rome, Italy
3.Middlesex University, Business School, The Burroughs Hendon, London NW4 4BT, United Kingdom
4.Bangor University, Bangor Business School, College Road, LL572DG Bangor, United Kingdom
Journal of Banking and Finance,2017(1):122-132
Abstract: Did the Comprehensive Assessment (CA), preceding the Single Supervisory Mechanism (SSM) launch in Europe, achieve its aims of producing new valuable information for the market? We show that the CA achieved the goal of increasing transparency: investors were able to detect weak banks at the announcement of the procedure (23rd October 2013), but gained full information on the amount of the capital shortfall only at the disclosure of the results (26th October 2014). Furthermore, at the official launch of the SSM (4th November 2014), banks under direct European Central Bank (ECB) supervision registered a more negative market reaction with respect to banks maintaining their national supervisors. Using a regression model including possible confounders and allowing for treatment effect heterogeneity, this negative reaction is confirmed. These findings suggest that, at least in the short run, investors penalized banks subject to direct ECB supervision, probably because of the fear of regulatory inconsistencies.
Keywords:Banking;Supervision ;Regulation;Lending Risk-taking
Special purpose entities and bank loan contracting
Jeong-Bon Kima1,Byron Y. Songb2,Zheng Wang3
1. School of Acccounting and Finance, University of Waterloo, 200 University Avenue West, Waterloo, ON, Canada N2L 3G1
2.School of Business, Hong Kong Baptist University, 34 Renfrew Road, Kowloon Tong, Kowloon, Hong Kong
3.College of Business, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong
Journal of Banking and Finance,2017(1):133-152
Abstract:In this study, we show that a firm's use of special purpose entities (SPEs) is associated with unfavorable loan contract terms, including higher loan rates, collateral requirements, and restrictive covenants. Further analyses suggest that the association between the use of SPEs and unfavorable loan contract terms is primarily due to the increase in the information risk faced by lenders, as firm managers can easily use SPEs to manipulate earnings and hide losses. Specifically, we find that the use of SPEs has a more pronounced effect on increasing the cost of loans and causing more stringent non-price loan terms when managers have a stronger incentive to manipulate earnings and when banks have less knowledge about the SPE sponsor firms due to the lack of prior lending relationship. In addition, we find that the use of SPEs is associated with a greater likelihood of accounting restatements and greater information asymmetry between inside managers and outside capital suppliers.
Keywords:Special purpose entity; Loan contracting; Information risk; Earnings management
Excess reserves, monetary policy and financial volatility
Keyra Primus,
International Monetary Fund, Washington, D.C. 20431, United States
Journal of Banking and Finance,2017(1):153-168
Abstract: This paper examines the real and financial effects of reserves in a Dynamic Stochastic General Equilibrium (DSGE) model with monopoly banking and credit market imperfections. The framework explicitly accounts for the fact that commercial banks hold excess reserves and they incur costs in holding these assets. The model also accounts for imperfect substitutability between bank funding sources and it shows that this feature is an important channel through which reserve requirement shocks can affect real variables. Numerical experiments show that an increase in reserve requirements creates a countercyclical effect for real economic activity. The results also indicate that the combination of an augmented Taylor rule which responds to excess reserves and a countercyclical reserve requirement rule is optimal to mitigate macroeconomic and financial volatility associated with liquidity shocks.
Keywords:Excess reserves; Countercyclical reserve requirements;
Financial volatility
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