Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial crisis period. Our empirical findings show that Bradesco and Itaú are the origin of the larger systemic shocks from the banking system to the financial system network, the real economy, and the region. The results have implications for the capital regulation of financial institutions and for risk managers' decisions.     

A Frontier Approach to Testing the Averch–Johnson Hypothesis

The mathematical programming technique Data Envelopment Analysis is used to test the famous hypothesis of Averch and Johnson that utility regulation leads to overuse of capital because the regulated firm earns a return s greater than its cost of capital r, an implicit capital subsidy resulting in allocative inefficiency. Technical and allocative inefficiency are based on cost and production frontiers from 337 electric generating plants using 1970 data, and r is based on the Capital Asset Pricing Model. Significant capital overuse and general failure to minimize costs is detected, but a second‐step regression analysis finds no relationship between the overuse and the s–r subsidy. A small updated data set covering the period 1980–2004 suggests that overuse of capital is no longer a problem, a result that may be owing to recente deregulation and restructuring.     

INTERNATIONAL TRADE COMPOSITION AND MEDIUM-RUN GROWTH: Evidence of a Causal Relationship

The motivation for this article stems from Mazumdar's (1996) hypothesis that international trade composition impacts a country's ability to achieve transitional economic growth. In his article, Mazumdar suggested that developing economies, generally known for exporting consumption goods and importing capital goods, benefit more from international trade than do developed economies. In addition to static gains, developing economies experience a decline in the replacement costs of capital as the relative price of capital falls with trade. To empirically test this hypothesis, a trade composition variable is created using unpublished SITC export and import data of both consumption and capital goods. Incorporating this variable into a linear equation, a Granger Causality test and a more extensive VAR test are performed for a select group of developed and developing economies. The empirical results are suggestive, and indicate some support for the hypothesis that trade composition "causes" medium-run transition.     

Drivers of the cost of capital: The joint role of non-financial metrics

Recent marketing studies suggest that non-financial metrics, such as customer satisfaction and brand value, help explain the variation in the cost of equity and the cost of debt. These studies typically focus on only one non-financial metric and one component of capital cost. In this study, we broaden the understanding of the relevance of non-financial metrics to the cost of capital. We investigate the joint role of customer satisfaction, brand value, and corporate reputation for stock market beta and credit ratings, which reflect variation in equity and debt risk premiums across firms. In addition to the joint direct influence of these metrics on capital cost, we also study their interaction effects. We develop a conceptual model to explain the effects on capital costs and test the resulting hypotheses in a broad sample of 344 firms from diverse industries using data from the 1991–2006 period.     

The fear of globalizing capital markets

It is generally accepted that free flow of goods benefits both economies without serious risks. The situation with the free flow of capital is different. Many policy makers and economists are skeptical not only about the benefits of free flow of capital, but also see uncontrolled capital flows as risky and destabilizing. Other economists, however, firmly believe that free capital flows will lead to a more efficient allocation of resources and greater economic growth. Nevertheless, the debate has little empirical evidence to rely on. We hope to fill that gap in this paper. We study the benefits and risks associated with capital flows by examining the experience of emerging economies around the time that foreign investment in stock markets was allowed. We investigate the impact of capital flows on stock returns, stock market efficiency, inflation, and exchange rates. We also examine the effect on different kinds of volatility that might arise as a consequence of capital flows: volatility of stock returns, volatility of inflation rates, and volatility of exchange rates. We find no evidence of an increase in inflation or an appreciation of exchange rates. Stock returns reflect a lower cost of capital after liberalization. There is no increase in stock market volatility and the volatility of inflation and exchange rates actually decreases. Stock markets become more efficient as determined by testing the random walk hypothesis.     

Asset Substitution and Capital Use by Firms Facing Financial Repression

Firm behavior is examined during a period of financial repression in Brazil. Empirical findings indicate that firms experiencing rising inflation rates: (1) increase their capital stock while reducing liquid asset holdings; (2) experience increases in the productivity of capital (i.e. a rise in the output–capital ratio); (3) increase the scale of the firm’s operations both because of the rising capital productivity and the greater quantity of capital; (4) most firms increase liquid asset holdings as they expand production, although Brazilian firms do so at about twice the rate of multinational firms; (5) do not change overall inventory holdings; however, inventories increase as output rises for multinational firms while for Brazilian firms inventories decrease as output rises; and (6) firms that are more likely to face financial constraints expand their scale of operations at a faster rate as they accumulate more debt.     

The efficiency of small manufacturing firms in Japan

It has been suggested that market structure will have an impact on within-industry differentials in efficiency, or cost disadvantages of small firms. To test this hypothesis, this paper examines the effects of market structure on the productivity (relative to industry productivity) of small manufacturing firms in Japan. The results show that market structure elements such as concentration and capital requirements work to the disadvantage of small-firm efficiency. The findings provide support for the hypothesis.     

价格规制与企业资本结构的选择——来自我国上市公司的经验证据

受规制企业的资本结构与政府价格规制密切相关。本文建立了一个两阶段动态博弈模型并提出了相关的理论假设,以检验受规制企业资本结构决策与政府价格规制强度之间的关系。理论分析表明,资本结构选择作为企业的战略工具,能提高企业的谈判地位,迫使规制机构提高产品价格。因而企业面临的价格规制越严厉,越有动力提高负债水平。本文利用沪、深两地的受规制上市公司为样本进行的实证研究有效地支持了本文上述的假设。     

Data Cleansing Decisions: Insights from Discrete-Event Simulations of Firm Resources and Data Quality

The cost of poor data quality has been measured in the billions of dollars annually. However, deriving coherent data cleansing strategies to improve data quality is challenging because it is often difficult to justify the financial and human capital cost involved in cleaning data. But those who have planned and designed an effective approach to cleaning data report significant benefits. Although extant literature has extensively focused on data quality issues, little attention has been directed toward providing decision-making techniques that help practitioners determine the cost and benefits of adopting data-cleansing approaches. This study advances an approach that illustrates how discrete-event simulation can be used as a decision tool for making data-cleansing decisions, by understanding the interactions among the firms' resources and performance outcomes. To our knowledge, this is one of the first studies to apply discrete-event simulation for evaluating data-cleansing approaches. The article contributes to an understanding of how various organizational resources interact within, and between, two data-cleansing approaches to drive performance outcomes. Simulation approaches such as the one examined here reveal how the complexity of interactions among such factors can produce results that are difficult to anticipate using other approaches.     

治理环境、股权制衡与股权融资成本

以2004—2006年非金融上市公司为样本,结合中国转轨经济背景,基于终极控制人视角,实证检验中国上市公司的股权制衡结构是否有助于降低其股权融资成本,进而检验股权制衡与股权融资成本的关系是否受公司终极控制人、制衡股东性质及其外部治理环境的影响。研究发现:中国上市公司股权制衡与股权融资成本虽负相关但并不显著;在终极控制人、制衡股东分属不同性质的公司中,股权制衡与股权融资成本显著负相关,而在二者分属于同一性质的公司中,股权制衡与股权融资成本呈正相关或不显著的负相关关系;进一步检验发现,上市公司所处地区的治理环境越差,股权制衡与股权融资成本的负相关关系越显著,公司股权制衡与其治理环境在影响股权融资成本方面存在显著替代效应。     

Corporate Environmental Responsibility and the Cost of Capital: International Evidence

We examine how corporate environmental responsibility (CER) affects the cost of equity capital for manufacturing firms in 30 countries. Using several approaches to estimate firms’ ex ante equity financing costs, we find in regressions that control for firm-level characteristics as well as industry, year, and country effects that the cost of equity capital is lower when firms have higher CER. This finding is robust to addressing endogeneity through instrumental variables, to using alternative specifications and proxies for the cost of equity capital, and to accounting for noise in analyst forecasts. We conclude that investment in CER reduces firms’ equity financing costs worldwide.     

Sustainability assurance and cost of capital: Does assurance impact on credibility of corporate social responsibility information?

This paper aims to examine the credibility value of sustainability assurance and the type of assurance provider on cost of capital. A large sample of international companies from the period 2007–2014 was used to develop our models of analysis. We find a greater decrease in cost of capital for companies that publish and assure their social and environmental reports. Thus, voluntary sustainability disclosures decrease the cost of capital. However, companies also have the opportunity to reinforce this decrease by providing an assurance statement, so increasing the credibility of corporate social responsibility information. In addition, the decrease in the cost of capital is significantly higher when such assurance is provided by a top‐tier accountancy firm instead of by engineering or consultancy firms; this result supports also the reputational capital of accountancy firms.     

论我国资本市场功能缺陷的深层次原因--基于资本成本的分析

本文认为,我国资本市场功能被严重扭曲的根本原因在于我国虽然引进了资本市场的框架,但在财务理论中却没有同时引进与资本市场配套的资本成本概念.并剖析了我国财务理论界定义资本成本时名为资本成本实为资金成本的现象产生的原因,从根本上区别了中西方财务理论中的资本成本概念.在此基础上论证了投资者的资本成本意识才是资本市场发挥正常功能的必要条件.为了在我国资本市场重塑投资者的资本成本意识,本文提出了加快建设硬约束的低端信用资本市场的解决措施.     

Does home bias affect firm value? Evidence from holdings of mutual funds worldwide

This study finds strong evidence that home bias affects firm valuation at both country and firm levels. At the country level, increasing the bias of domestic investors toward home equity lowers the market valuation of home equity. At the firm level, firm value increases as the compositions of local equities held by domestic and foreign investors tend toward the firms' global market capitalization weights, but decreases as their weights deviate from global weights. Overall, the evidence is consistent with the optimal global risk-sharing hypothesis that the greater risk sharing between domestic and foreign investors in international capital markets reduces the cost of capital and hence enhances market valuation.     

Political risk and the cost of capital in the MENA region

We examine the impact of political risk in the MENA region on the cost at which firms can raise capital. Using the implied cost of equity as a measure of the cost of capital and ICRG's political risk rating as a proxy for political risk, we find that political risk results in a higher cost of capital. Economically, our results suggest that a one standard deviation increase in the political risk index is associated with a 450 basis points increase in the cost of equity capital of MENA firms. Our results are consistent across a battery of robustness checks. Our findings have important policy implications that are relevant to the MENA region and beyond.     

基于CAPM的人力成本计量模型研究

在人力资本产权理论下,二元资本结构已被考虑了人力资本的三元资本结构所取代,合理计量人力资本成本成为企业管理的迫切要求。本文把人力资本分为五大类型,在类型范围内计量个体人力成本,并对资本资产定价模型(CAPM)进行两个层次的修正,构建了考虑风险因素的人力资本成本计量模型,该模型对现代企业人力资本成本的合理计量具有指导作用。     

Cones of diversification in a model of international comparative advantage

The hypothesis that all countries belong to a single cone of diversification is often used in studies of international trade. However, contrary to this hypothesis, the range of capital–labour input ratios in US industries does not encompass the range of capital– labour endowment ratios in the world’s economies. Furthermore, among countries with capital–labour endowment ratios below the range of US capital–labour input ratios, wage rates are much lower than in the US. In this paper, the one-cone hypothesis is assessed relative to a two-cone alternative by clustering countries with similar factor proportions, estimating regressions for gross national product and net exports, testing for equality of coefficients, and approximating the posterior odds on one- and two-cone models. Rejecting the one-cone hypothesis, the paper presents estimates of a two-cone model and considers their implications for factor flows and the prospects of emerging market economies.     

我国中小企业供应链融资的框架设计

目前,我国对供应链中成员出现的资金流问题重视不足。通过对中小企业资本结构和融资结构、资本成本与融资成本等各因素的分析,为中小企业融资行为的研究以及探索其规范行为的方法途径提供理论支持。并在此基础上设计了一个包括行为主体、质押物对象,以及出于资本成本考虑的杠杆的中小企业供应链融资的框架,为研究以融资成本作为融资杠杆的供应链融资决策模型提供参考。     

The rise of the machines: Capital imports and real manufacturing wages in 57 nations

Outward-oriented policy reform has attracted a large number of academics to the study of the trade-labour market nexus. One of these fields has focused on capital intensive (machinery) imports and its effect on manufacturing wages. The skill-enhancing-trade (SET) hypothesis was put forth to explain a potential relationship where an inflow of capital imports results in increased demand for skilled labour and decreased that of unskilled labour, and thus resulted in a rise in skilled wages and a decrease in their unskilled counterparts. This study revisits this hypothesis with a panel from the manufacturing sector of 57 nations. We improve upon previous studies in a number of ways. We add developed nations to the sample and examine capital imports from rich countries as well as the rest of the world. This takes into account the prominence of vertical production networks in international trade. We adhere closely to the neo-classical trade model and employ definitions of skilled and unskilled workers that capture the production process of particular items. Finally, we fit a robust dynamic panel data model that accounts for the endogeneity of the determinants of trade and wages. In this way we test whether the SET hypothesis is generally applicable as opposed to previous studies which use an ad hoc selection of countries and variables. We find that the SET hypothesis is not driving changes in manufacturing wages. Instead, worker productivity and GDP per capita explain these labour market outcomes.     

McKinnon互补性假说在中国成立吗?——基于1980—2010年数据的分析

通过建立向量自回归(VAR)模型,运用Johansen多变量协整和向量误差修正方法,利用中国1980—2010年的样本数据对McKinnon互补性假说进行实证检验。研究结果表明,McKin-non互补性假说在中国成立,即货币需求与资本形成为互补关系。其政策含义是:中国应继续大力推进金融改革特别是利率市场化改革;同时,采取各种有效措施提高实体经济的回报率,鼓励商业银行向中小企业贷款,以此促进企业的资本积累和经济的持续增长。