An empirical investigation of the cross sectional determinants of lease use

This paper examines the determinants of cross-sectional variation in lease ratios. Results indicate that leases substitute for debt and that relative lease use is negatively related to the size of the lessee. Leased assets, as a fraction of total assets, are negatively related to the financial strength of the lessee. Relative lease use is positively related to the lessee's level of non-debt tax shields, and some support is found for a negative relationship between leasing and the tax rate. Additionally, asset factors, as proxied by industry, provide most of the explanatory power of the model.     

Maximin choice of voting rules for committees

In the context of a probabilistic voting model with dichotomous choice, we investigate the consequences of choosing among voting rules according to the maximin criterion. A voting rule is the minimum number of voters who vote favorably on a change from the status quo required for it to be adopted. We characterize the voting rules that satisfy the maximin criterion as a function of the distribution of voters’ probabilities to favor change from the status quo. We prove that there are at most two maximin voting rules, at least one is Pareto efficient and is often different to the simple majority rule. If a committee is formed only by “conservative voters” (i.e. voters who are more likely to prefer the status quo to change) then the maximin criterion recommends voting rules that require no more voters supporting change than the simple majority rule. If there are only “radical voters”, then this criterion recommends voting rules that require no less than half of the total number of votes.Received: June 2003, Accepted: September 2004, JEL Classification: D71Salvador Barberá, Carmen Beviá, Mirko Cardinale, Wioletta Dziuda, Joan Esteban, Mahmut Erdem, Bernard Grofman, Matthew Jackson, Kai Konrad, Raul Lopez, Jordi Massó, Hugh Mullan, Shmuel Nitzan, Ana Pires do Prado, Elisabeth Schulte, Arnold Urken and two anonymous referees provided helpful comments. Finally, I also acknowledge financial support from Capes, Brazilian Ministry of Education and Spanish Ministry of Science and Technology (Project BEC2002-02130).     

Time-frequency transmission mechanism of EPU,investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis

This article examines the transmission mechanism of economic policy uncertainty (EPU), investor sentiment and Chinese financial assets from time-frequency and static-dynamic perspectives. The multiscale connectedness method based on time-varying parameter vector autoregression (TVP-VAR) is introduced to explore the time–frequency and static-dynamic spillovers. The empirical results are as follows: First, there is an interdependence between EPU and high-risk assets. Additionally, EPU and high-risk assets spillover risk to investor sentiment individually or in chains, ultimately affecting low-risk assets. Second, high-risk assets spill to low-risk assets in the short term but reverse in the long term. Third, EPU spills over to the system the most around 2008, especially in the long term. In addition, high-risk assets are the largest risk spillover and recipient at each frequency over the last decade. Overall, investors and regulators should consider real-time financial monitoring solutions in China based on economic policy uncertainty and investor sentiment factors.     

上市公司“超能力派现”影响因素的实证研究

本文首先对“超能力派现”进行了界定,然后以2000年￣2003年“超能力派现”的公司作为总体样本,采用Logistic模型分析了我国上市公司“超能力派现”的影响因素,研究结果表明,第一大股东性质、公司上市年限、大股东中投资基金个数、资产负债率、上市公司净资产收益率是否接近配股达标线区间(6%￣7%),均对“超能力派现”有显著影响。     

Q‐FACTORS IN EMPIRICAL ASSET PRICING: A REVIEW AND SYNTHESIS

The latest development in the asset pricing literature is the emergence of empirical asset pricing models comprising q‐factors (profitability and investment factors) in conjunction with other factors. However, as in the case of the older empirical models, there is scepticism regarding the application of these newer factor models consisting of q‐factors because of the debate surrounding the explanatory power of these empirically inspired asset pricing models. This review attempts to synthesize studies pertaining to the four alternative explanations of the asset pricing models comprising the q‐factors (profitability and investment) – the data snooping hypothesis, the risk‐based explanation, the irrational investor behaviour explanation and the interpretation that suggest that the combination of the risk‐free asset and the factors comprising the model span the mean‐variance efficient tangency portfolio that prices the universe of assets.     

上市公司审计收费影响因素的实证研究

本文利用我国深沪两市A股上市公司2003年年报中披露的数据,对可能影响我国上市公司年度审计费用的主要因素,运用多元线性回归进行实证分析。研究结果发现,上市公司资产总额、纳入合并报表的控股子公司数目、其他应收款占总资产的比例、公司和事务所是否位于经济发达地区和董事会规模与年度审计费用显著正相关,而独立董事人数与年度审计费用显著负相关;应收账款占总资产的比例、存货占总资产的比例、审计意见、当年和前一年度的盈利状况等因素对年度审计费用的影响并不显著。因此,我国上市公司审计费用主要由审计的产品费用所决定,从而会计师事务所的审计收费主要反映了现实的审计成本,而审计风险等潜在风险成本并没有在审计收费中体现出来。     

Decompositions of profitability change using cost functions

The paper presents a decomposition of a production unit’s cost ratio over two periods into explanatory factors. The explanatory factors are growth in the unit’s cost efficiency, output growth, changes in input prices and technical progress. In order to implement the decomposition, an estimate of the industry’s best practice cost function for the two periods under consideration is required. Profitability at a period of time is defined as the value of outputs produced by a production unit divided by the corresponding cost. Using the earlier work by Balk and O’Donnell, the paper provides a decomposition of profitability growth over two periods into various explanatory factors that are similar to the cost ratio decomposition except that change in outputs explanatory factor is replaced by two separate factors: an index of output price growth and a measure of returns to scale.     

Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities

We consider the problem of governing systemic risk in an assets–liabilities dynamical model of a banking system. In the model considered, each bank is represented by its assets and liabilities. The net worth of a bank is the difference between its assets and liabilities and bank is solvent when its net worth is greater than or equal to zero; otherwise, the bank has failed. The banking system dynamics is defined by an initial value problem for a system of stochastic differential equations whose independent variable is time and whose dependent variables are the assets and liabilities of the banks. The banking system model presented generalizes those discussed in Fouque and Sun (in: Fouque, Langsam (eds) Handbook of systemic risk, Cambridge University Press, Cambridge, pp 444–452, 2013) and Fatone and Mariani (J Glob Optim 75(3):851–883, 2019) and describes a homogeneous population of banks. The main features of the model are a cooperation mechanism among banks and the possibility of the (direct) intervention of the monetary authority in the banking system dynamics. By “systemic risk” or “systemic event” in a bounded time interval, we mean that in that time interval at least a given fraction of banks have failed. The probability of systemic risk in a bounded time interval is evaluated via statistical simulation. Systemic risk governance aims to maintain the probability of systemic risk in a bounded time interval between two given thresholds. The monetary authority is responsible for systemic risk governance. The governance consists in the choice of assets and liabilities of a kind of “ideal bank” as functions of time and in the choice of the rules for the cooperation mechanism among banks. These rules are obtained by solving an optimal control problem for the pseudo mean field approximation of the banking system model. Governance induces banks in the system to behave like the “ideal bank”. Shocks acting on the banks’ assets or liabilities are simulated. Numerical examples of systemic risk governance in the presence and absence of shocks acting on the banking system are studied.

     

The impact of corporate governance on state-owned and non-state-owned firms efficiency in China

The purpose of this paper is to expand the literature on the corporate governance of transition economies by analyzing the relationship between corporate governance and productive efficiency in China's publicly listed manufacturing industry firms. We use the principal component analysis and the hybrid meta-frontier DEA model, separating inputs into radial inputs that change proportionally and non-radial inputs that change non-proportionally to measure the technical efficiency and technology gap ratios of publicly listed Chinese firms in different manufacturing industries during 2010–2013. The input variables are the net value of fixed assets, staff number, and the characteristics of the corporate governance system, while the output variables are gross revenue and total profit. The empirical result shows that inefficiency due to corporate governance is the main reason for lower efficiency in most manufacturing firms. For the technology gap ratio (TGR), the metal and mineral and the machinery, equipment and instrument are the two highest efficient sectors, whereas the paper and allied products sub-industry has the lowest efficiency during 2010–2013. In addition, the ratio of state-owned firms whose inefficiency is mainly caused by corporate governance to total state-owned firms is greater than that of non-state-owned firms in each year. The TGR analysis shows that the efficiency performance of non-state-owned firms is greater than state-owned firms.     

Voter turnout in a multidimensional policy space

Many factors influence the likelihood of citizens turning out to vote. In this paper we focus our attention on issue voting, that is, on the likelihood that different policies offered by politicians affect the probability of voting. If voters consider both the benefits and the costs of voting, rational voters will only vote when politicians offer differentiated policies. In a multidimensional policy space this implies that citizens only vote when they perceive enough difference on the issues they care about the most. We investigate the role of voter abstention due to indifference in a unidimensional and a multidimensional policy setting using data from the US National Election Studies for 1972–2000 and find support for our predictions: voters perceiving a small difference between the platforms of the Democratic and Republican parties are less likely to vote; and voters who perceive the two parties as more different on a larger number of issues are significantly more likely to vote.     

Factor pricing of cryptocurrencies

In this paper, we study the cryptocurrency pricing factors. We review the literatures which state that the cryptocurrency market is weakly efficient. We use the Fama–MacBeth method to investigate the pricing factors. The classical equity-based risk factors including size, momentum, and value to growth from the Fama–French three factor model are studied. We use crypto-unique coin-to-token as a proxy for value-to-growth. For volatility risk factor category, we investigate realized volatility, skewness and jump. We also investigate liquidity factors including bid–ask, volume growth and Roll’s measure. The macro factors are found not to be an explanatory factor. The attention factor works sometimes. The factor model constructed by the significant factors explain most of the excess return of cryptocurrencies.     

A Test for a Functioning Market Economy: Seton'S Eigenprices of Turkey

We use Seton's eigenprices to see if some evidence can be found in support of the European Commission's official statement that the Turkish economy can be considered as a functioning market economy. Given an input–output flows matrix, there is a unique set of prices for outputs and production factors compatible with final demand, generating demand for factors. The findings based on Turkey's most recent I–O table and comparable I–O matrices for Romania and Poland (two EU members) in 2005 show that price distortions were on average five times larger in Turkey. Hence, based on price distortions alone, there was no solid evidence in support of the statement that Turkey had a functioning market economy.     

Interest rate derivatives and risk exposure: Evidence from the life insurance industry

Our primary aim in this study is to determine the relation that exists between the use of interest rate derivatives by public-traded life insurance firms and their exposure to interest rate risk. Based upon the annual reports and 10-K filings of US life insurers, covering the years 2000–2016, we find that those insurers with greater inherent exposure to interest rate risk also have a propensity for extensive engagement in the use of interest rate derivatives. We further reveal that life insurers with a propensity for the extensive use of such instruments during the 2000–2009 sub-period tend to have greater observable exposure to interest rate risk. However, during the 2010–2016 sub-period life insurers that use more interest rate derivatives tend to have smaller interest rate exposure. Since restructuring the balance sheet of a life insurer is costly, our results suggest that managers probably use derivatives as a means of modifying their risk tolerance to achieve the same results of direct duration matching.     

The Mystery of Regional Unemployment Differentials: Theoretical and Empirical Explanations

Abstract.  This paper provides an integrated overview of theoretical and empirical explanations used in the applied literature on regional unemployment differentials. On the basis of 41 empirical studies, four different model types covering nine theoretical constructs of regional unemployment determination and 13 sets of explanatory variables are identified. The overall conclusion is that theoretical and empirical explanations help to reduce the weaknesses in each other. While theory is found to predict that the regional unemployment rate depends on labour supply factors (a collection of factors which affect natural changes in the labour force, labour force participation, migration and commuting), labour demand factors and wage‐setting factors, it is the empirical studies that provide a more profound understanding of the explanatory variables involved. Conversely, whereas most empirical studies provide clear‐cut explanations for the signs of the explanatory variables, it is theory that shows that some of these explanations might be out of proportion. By grouping many studies together, this paper shows that there are indeed clear‐cut trends.     

Geographical Proximity and Mutual Funds' Proxy Voting Behavior

This paper examines the influence of geographical proximity on mutual fund proxy voting decisions. Using mutual fund proxy voting data for the sample period July 1, 2003 to June 30, 2004, we find that fund managers vote more in favor of management of locally headquartered firms. The results are strong for proposals related to executive compensation, anti‐takeover provisions, social and political issues. We provide evidence to show that bias in proxy voting is not being driven by informational advantage; voting bias is prevalent in small as well as large size companies. Additionally, the voting pattern suggests that geographical proximity does not facilitate in better corporate monitoring as revealed in their voting decisions. We find that local fund managers vote more favorably in those proposals which do not increase shareholders' wealth and rights. Our results suggest that familiarity and social interaction between fund managers and firm executives located in the same geographic area might explain the local bias in mutual fund proxy voting behavior. Copyright © 2011 John Wiley & Sons, Ltd.     

Bringing mutual gains bargaining to labor negotiations: The role of trust,understanding, and control

Mutual gains bargaining (MGB) is an approach to labor negotiations that has gained widespread popularity among consultants in recent years. Yet little is known about what factors affect negotiator support for MGB. In this article longitudinal survey data from three negotiations are examined to find out the degree to which trust, understanding, and control contribute to support for MGB. The results for labor and management negotiators are compared, as well as the findings before, during, and after negotiations. This exploratory study revealed several findings, including: (1) the one factor that is consistently most important is trust, (2) trust is more important to labor negotiators than it is to management negotiators, and (3) early in negotiations, understanding of the tactical implications of MGB (rather than of MGB “ideas”) is most important. These issues should be addressed during MGB training, and during broader, nontraining interventions into labor–management relations. © 1993 by John Wiley & Sons, Inc.     

Detecting falsified financial statements: a comparative study using multicriteria analysis and multivariate statistical techniques

Falsifying financial statements involves the manipulation of financial accounts by overstating assets, sales and profit, or understating liabilities, expenses or losses. This paper explores the effectiveness of an innovative classification methodology in detecting firms that issue falsified financial statements (FFS) and the identification of the factors associated to FFS. The methodology is based on the concepts of multicriteria decision aid (MCDA) and the application of the UTADIS classification method (UTilités Additives DIScriminantes). A sample of 76 Greek firms (38 with FFS and 38 non-FFS) described over ten financial ratios is used for detecting factors associated with FFS. A jackknife procedure approach is employed for model validation and comparison with multivariate statistical techniques, namely discriminant and logit analysis. The results indicate that the proposed MCDA methodology outperforms traditional statistical techniques which are widely used for FFS detection purposes. Furthermore, the results indicate that the investigation of financial information can be helpful towards the identification of FFS and highlight the importance of financial ratios such as the total debt to total assets ratio, the inventories to sales ratio, the net profit to sales ratio and the sales to total assets ratio.     

Urban amenities as determinants of selecting a logo type in Korea: the multinomial logit approach with the bootstrap sample

Each city in South Korea has its own city logo to advertise and showcase the distinctive regional assets, attractions, and activities of the city. A well-made city logo enables targeted groups to form a good image of both the city and its productions. This idealistic image is positively correlated to the local economy through encouragement of tourism activity. The logos of Korean cities can be classified into three types: a nature-anchored logo type; a history-anchored logo type; and a spirit-anchored logo type. The purpose of this study is to examine determinants for selecting a city logo type in the context of urban amenity assets. To achieve the purpose of the study, a multinomial logit regression model is used. The three logo types are nominal dependent variables, while literature-driven urban amenities, such as natural, historic, socio-economic and tourism factors, are explanatory variables.     

The consequences of pandemic-driven inequality

• ▀ According to our analysis, the Covid-19 pandemic is likely to exaggerate global inequality, leading to more aggregate debt among lower earners and higher savings for those at the top. The surge in savings will raise demand for safe assets, which would put downward pressure on long-term government bond yields - already depressed from a chronic shortage of safe assets.
• ▀ Historically, pandemics can trigger a rise in inequality, even over medium-term periods. Pandemics damage confidence in using in-person services, which disproportionately exposes low-skilled work to displacement. A unique feature of this pandemic is that the ability to work from home is proving a key factor in determining job losses - those that can are typically in higher paid jobs.
• ▀ The poorest households spend more of their income on essentials such as housing and basic food. When their incomes fall, they still have to spend on these essentials and so are often forced to take on debt. Conversely, the richest often consume near maximum capacity, so any additional income goes into savings to support future consumption.
• ▀ Higher aggregate savings would, all else equal, drive up demand for safe assets and therefore lower interest rates. Other factors such as weak nominal GDP growth, demographics and a chronic shortage of safe assets will also contribute to keeping yields depressed over the next five years.

     

Does it pay to be green? A disaggregated analysis of U.S. firms with green patents

The objective of this paper is to investigate the relationship between environmental performance and financial performance on a sample of 361 U.S. firms over the 2007–2016 period. We contribute to the literature by considering firms active in sustainable innovations by obtaining green patents. We also contribute to the literature by using disaggregated measures of environmental performance collected from the Bloomberg ESG database, including environmental disclosure score, greenhouse gas emissions, waste emissions and water use. Panel data regressions' results show that environmental transparency positively influences current accounting and stock market performance, but negatively influences the return on capital employed. Furthermore, lower pollution emissions tend to improve the current return on assets, while being harmful for the efficiency of long‐term capital employment at the same time. The empirical results also indicate that the Global Financial Crisis (2007–2010) increased the environmental transparency of firms with green patents but negatively impacted their price to earnings ratio. At the same time, lower waste disposal diminishes stock valuation while the opposite is true with water use. Taken together, our results suggest that environmental transparency and greenhouse gas emissions generally appear to be the most important environmental variables influencing financial performance, with increasing importance attributed to them by the market after the global crisis period.