商业银行票据转贴现集约化经营和实施路径研究

论文从票据业务的主要特点和发展趋势出发,研究大型商业银行票据转贴现业务经营管理模式的选择问题,在分析票据转贴现业务集约化经营的实施原因、优点和具体实施路径的基础上,对集约化经营实施中应该注意的问题进行剖析,并对大型商业银行票据业务转贴现的经营管理提供决策支持。     

基于Eviews的广西票据贴现利率形成因素研究

目前,中国人民银行对票据贴现业务实行在不低于再贴现利率的基础上,由市场自由决定票据贴现利率的政策.随着利率市场化的深入,各金融机构对票据贴现利率逐步试行在上海银行间同业拆放利率(shibor)基础上加点报价.本文采用计量经济学的研究方法,对广西商业银行票据贴现利率形成因素进行研究,发现3个月Shibor与票据信用风险状况是票据贴现利率的决定因素,并提出了完善票据贴现利率形成机制的政策建议.     

新形势下银行票据融资规模管理的实证研究

本文首先分析了新形势下票据业务发展的新特点,探究了影响票据融资余额的因素,结合不同规模银行在票据贴现市场的表现,说明大型银行与中小型银行在票据业务经营模式上存在差异。在此基础上,在宏观经济波动、货币政策调整、融资成本及转贴现报价四个方面选取指标,建立VAR向量自回归模型,对影响我国大型银行与中小型银行票据融资规模的因素进行分析,得出宏观经济波动与货币政策调整是长期影响票据融资规模变动的原因,在短期内由于各银行在资金、规模等方面的差异,影响因素及程度也有所不同。在此基础上,给出促进新形势下票据业务发展的若干建议。     

适应市场变化 做大票据转贴

近年来，票据市场日益活跃，票据贴现业务已成为各家商业银行争夺的黄金业务，在直贴票源不足的情况下，各商业银行纷纷把主要精力投入到发展票据转贴现业务上来。但是自2005年初以来，票据市场呈现利率逐月走低，票据供不应求和竞争进一步“白热化”的状况。如何适应这一市场变化，做大我行票据转贴现业务，笔者谈一点粗浅的认识。     

我国票据融资规模影响因素研究北大核心SSCI

我国票据融资规模的影响因素有宏观经济、货币政策、票据融资成本和票据市场转贴现规模。本文通过VAR实证分析得出:短期内票据融资规模的最大影响因素是转贴现报价规模,长期内影响力最大的是融资成本。最后从政策优惠、消除制度缺陷和加强全国电子票据市场建设三方面提出相应的对策建议。     

对衡阳市票据融资情况的调查

一、衡阳市票据融资业务发展现状 (一)票据融资业务发展迅速,但总体水平仍然偏低 近年来,衡阳市各金融机构积极开展票据融资业务,全市票据融资业务得到稳步发展,目前已开办的票据融资业务主要有银行承兑汇票、贴现(包括转贴现)和再贴现.     

关于青海省票据市场运行情况的分析

本文通过对青海省票据市场银行承兑汇票承兑、贴现、转贴现、再贴现业务调查,了解我省票据市场运行特点及发展动因,对存在的问题进行了分析,提出了发展和扩大我省票据业务,增加企业融资渠道建议。     

关于柳州分行开展贴现业务的调查分析

贴现是一种票据转让方式 ,也是现代商业银行一项典型的低风险的信贷业务。柳州分行从 2 0 0 0年 9月份开始 ,率先在柳州市开展了贴现业务 ,拓展了新的效益增长点 ,并取得较好成效。但是 ,该行在开办此项业务过程中也碰到了一些困难和问题。最近 ,笔者对柳州分行开展票据贴现业务情况进作了专题调查分析。一、基本情况柳州分行开展贴现业务始于 2 0 0 0年 9月 5日成立的“柳州分行票据业务中心。”经营范围主要是办理银行承兑票据签发和票据贴现、转贴现业务。 2 0 0 0年 ,中心办理贴现业务 1 0 6笔 ,再贴现 73笔 ,2 0 0 1年办理贴现 3 3 9笔…     

2014年7月“中国票据”网信息综述

7月．共有11家金融机构向全国银行间同业拆借中心提交加入“中国票据”网的申请材料．并通过审核成为“中国票据”网会员。至7月末．”中国票据”网会员机构为2513家。本月．共有453家金融机构发送票据转贴现报价;13家机构发布19笔票据贴现意向信息。     

扩展票据业务增进银企双赢——对基层金融机构票据业务的思考

票据业务以流动性、安全性、稳定性、灵活性等优点,受到银企双方的普遍欢迎,是近年来商业银行增长最快的业务之一,该业务主要包括票据签发、承兑、贴现、转贴现等主要内容,而贴现票据又是其最主要的一部分,包括银行承兑汇票和商业承兑汇票.     

THE INFLATION ADJUSTMENT OF CORPORATE ACCOUNTS: THE CASE OF MONETARY ITEMS

This paper investigates the sensitivity of the computed loss from holding monetary items to alternative numerical estimating techniques. Using data from 38 companies for the fiscal year 1980-81, we find that estimation of the loss from holding monetary items is robust with respect to the calculating technique utilized, provided the monetary base is broadly defined. The implications of this for “market model” type studies of the impact of inflation adjustments are discussed.     

Survival

Empirical analysis of rates of return in finance implicitly condition on the security surviving into the sample. We investigate the implications of such conditioning on the time series of rates of return. In general this conditioning induces a spurious relationship between observed return and total risk for those securities that survive to be included in the sample. This result has immediate implications for the equity premium puzzle. We show how these results apply to other outstanding problems of empirical finance. Long-term autocorrelation studies focus on the statistical relation between successive holding period returns, where the holding period is of possibly extensive duration. If the equity market survives, then we find that average return in the beginning is higher than average return near the end of the time period. For this reason, statistical measures of long-term dependence are typically biased towards the rejection of a random walk. The result also has implications for event studies. There is a strong association between the magnitude of an earnings announcement and the postannouncement performance of the equity. This might be explained in part as an artefact of the stock price performance of firms in financial distress that survive an earnings announcement. The final example considers stock split studies. In this analysis we implicitly exclude securities whose price on announcement is less than the prior average stock price. We apply our results to this case, and find that the condition that the security forms part of our positive stock split sample suffices to explain the upward trend in event-related cumulated excess return in the preannouncement period.     

短期动量效应与收益反转效应研究——基于中国中小板市场数据实证分析

依据2011年中小板市场股票的日收益率考量对该市场短期动量效应与反转效应。结果显示:当形成期为一周时,持有期为一周、四周、八周的情况下市场均存在收益反转现象;当形成期为两周时,持有期为四周、八周的情况下市场均存在收益反转现象;当形成期为四周、八周时,各种持有期情况下均存在反转效应。重叠抽样结果显示:除了形成期为两周且持有期为两周的情况下,市场效应不明显之外,其他均显著表现为收益反转效应。同时采用静态与动态的投资策略验证2012年上半年的数据,发现时间段的选取对于研究结论有显著的影响;动态投资策略能够实现更为可观的收益,但收益波动也更为剧烈。     

The holding behavior of Shariah financial assets within the global Islamic financial sector: A macroeconomic and firm-based model

The extant academic literature has shown the distinct differences between Islamic and conventional financial institutions along either a performance or efficiency front with an attribution to these differences to the adoption of a religio-financial framework merging the principles of economics and finance with those of Shariah. However, these empirical estimations do not entirely capture the religio-financial framework since they use performance and efficiency measures that include both conventional and Shariah transactions. We address this gap in the literature by examining the dynamics influencing the holding behavior of Shariah assets by Islamic financial institutions (IFIs). Given that the a priori hypothecation of Shariah asset holding behavior is relatively nebulous, we draw extensively from the traditional macroeconomic and managerialist literature in building our econometric model. By exploiting a unique and proprietary dataset comprising 140 Islamic financial institutions operating in 16 different countries over the time period 2011–2015, we find that economic wealth, market liquidity and the institutional board size are robust and positive linear predictors of IFI Shariah assets' holding behavior, thus providing support for the traditional macroeconomic theory of asset demand and firm-based agency theory.     

Family control and adjustment to the optimal level of cash holding

Given the predominance of family control in most European corporations, understanding how this type of ownership affects firms’ cash holding policy is important. The literature has yet to address this subject satisfactorily; therefore, we outline a way to model how family firms define their cash policy, specifically, the way in which they adjust their cash holding to an optimal level. We base our analysis on trade-off theory and the precautionary motive for holding cash. Our empirical results show that family firms adjust their cash holding level more aggressively than non-family firms, and, therefore, family firms are capable of achieving optimal cash holding faster and more efficiently than non-family firms. Further, we find that family firms have a heterogeneous cash policy; in particular, young family firms, financially constrained family firms, and family firms that operate in countries with strong investor protection adjust their cash holding more aggressively.     

Drivers of holding period firm-level returns in private equity-backed buyouts

We extend the research on the drivers of holding period firm-level returns in private equity (PE)-backed buyouts by examining deal-, industry-, and macroeconomic-level drivers and their interaction. To conduct our study, we use a comprehensive and hand-collected dataset covering exited buyouts in the UK between 1995–2004, and we control for sample selection and investment risk. Our study shows that governance variables generally have a limited role in driving value creation but that use of a ratchet is positively related to both equity and enterprise value returns; we also find that leverage has a positive impact on median and top-quartile equity returns. Moreover, returns are driven by the size of the buyout and the acquisitions made during the holding period. With respect to macroeconomic and industry level factors, industry growth particularly drives buyout returns. However, the effect of industry growth is not uniform; its influence is particularly strong in insider-driven and divisional buyouts, in addition to top-quartile transactions.     

The role of governance on bank liquidity creation

This paper examines the impact of internal bank governance on bank liquidity creation in the U.S. before, during and after the 2007–2009 financial crisis. Using bank holding company level data, we analyze whether better-governed banks create higher levels of liquidity. We find that this effect is positive and significant but only for large bank holding companies. Further analysis reveals that specific internal governance categories: CEO education, compensation structure, progressive practices, and ownership have a significant effect on bank liquidity. However, this positive effect occurs mostly during the crisis period, and for large banks that are also high liquidity creators. Finally, we find that the effect of governance on liquidity creation increases during the crisis period. These findings are robust even while controlling for liquidity measures, bank size, and endogeneity problems between governance and liquidity creation.     

Asset Allocation and the Liquidity Premium for Illiquid Annuities

Academics and practitioners alike have developed numerous techniques for benchmarking investment returns to properly adjust seemingly high numbers for excessive levels of risk. The same, however, cannot be said for liquidity, or the lack thereof. This article develops a model for analyzing the ex ante liquidity premium demanded by the holder of an illiquid annuity. The annuity is an insurance product that is akin to a pension savings account with both an accumulation and decumulation phase. We compute the yield (spread) needed to compensate for the utility welfare loss, which is induced by the inability to rebalance and maintain an optimal portfolio when holding an annuity. Our analysis goes beyond the current literature, by focusing on the interaction between time horizon (both deterministic and stochastic), risk aversion, and preexisting portfolio holdings. More specifically, we derive a negative relationship between a greater level of individual risk aversion and the demanded liquidity premium. We also confirm that, ceteris paribus, the required liquidity premium is an increasing function of the holding period restriction, the subjective return from the market, and is quite sensitive to the individual's endowed (preexisting) portfolio.     

On short-term institutional trading skill,behavioral biases,and liquidity need

Are portfolio managers skilled or do they trade too much? Using a marked-to-market based “fair-value” method for measuring fund manager skill, we find that institutional managers can potentially earn +42 (+33) basis points benchmark-adjusted return before transaction costs after a holding period of four weeks on their buy (sell) trades. After transaction costs, the benchmark-adjusted return for the buy (sell) trades is +1 (-8) basis points. Pension fund managers outperform money managers. We are unable to detect evidence for overconfidence among pension fund managers over this short-horizon. In addition, we are unable to find evidence of disposition effect among mutual fund managers. Institutions tend to engage in short-term trades with holding period of four weeks (or less) despite only breaking-even or making economically insignificant (modest) benchmark-adjusted losses after round-trip transaction costs for liquidity, risk-management, or tax-minimization reasons. Among these, evidence for liquidity trading motive is the strongest.     

TRADING‐VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS

We examine high‐volume premiums based on weekly risk‐adjusted returns. Significant average weekly abnormal high‐volume premiums up to 0.50% per week are documented for 1962–2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high‐volume premiums.