INTERVALLING EFFECTS IN HONG KONG STOCKS

This paper investigates the intervalling-thinness effect in the Hong Kong stock market and compares the results with previous studies of United States and French data. The approach follows the three pass technique of Cohen, Hawawini, Maier, Schwartz, and Whitcomb. Various functional forms of an intervalling bias decay function are analyzed, both in the aggregate and for individual stocks. Careful modeling of the flattening of the beta profile at a finite interval value leads to robust estimated asymptotic betas.     

从香港到伦敦离岸市场“离岸”渐远

一种货币的离岸市场,是指在这种货币发行主体境外进行交易和投资的场所,资源集中、交易量大的市场会成为离岸中心。比如,美元流出美国,在伦敦进行大规模使用,伦敦就是美元的离岸中心。世界上所有主要的储备货币都有庞大的离岸市场,人民币国际化进程中也离不开发达的离岸市场和离岸中心。     

BANK PRIVATIZATION AND CONVERGENCE OF PERFORMANCE: INTERNATIONAL EVIDENCE

We trace the extent of performance deviation of privatized banks from established private banks in 30 countries from 1994 to 2005 and investigate the role of bank regulatory and supervisory norms, market competition, ownership structure, deposit insurance scheme, and governance structure affecting the deviation. Evidence shows that privatization does improve the performance of banks in the first year of being privatized, but performance gradually declines, which is consistent with the government restructuring argument before the privatization. Governance, foreign ownership, banking freedom (regulations), and the deposit insurance scheme in respective economies are found to affect performance deviation significantly.     

INFORMATIONAL VERSUS PRICE-PRESSURE EFFECTS: EVIDENCE FROM SECONDARY OFFERINGS

The negative market reaction to secondary offerings is the likely result of informational or price-pressure effects. We find a more negative announcement-period reaction for larger offerings, which supports both explanations. However, we also find a more negative issuance-day reaction for larger offers. Unless issuance reveals new information, this finding can only be associated with price-pressure effects. After issuance, we observe a price recovery directly related to the relative size of the offer, which additionally supports the price-pressure hypothesis.     

THE EFFECTS OF INSIDER TRADING RESTRICTIONS: EVIDENCE FROM HISTORICAL DIVIDEND INITIATIONS AND OMISSIONS

We investigate whether insider trading restrictions had their intended effects during the 1960s and 1970s. We examine insider trading and stock market behavior before dividend initiations and omissions announced between 1935 and 1974. Contrary to existing research and commentary, we show that restrictions had meaningful effects. During the 1960s and 1970s, insiders sold less frequently before dividend omissions, and the average profitability of insider trades declined. In addition, the positive (negative) stock price runup before dividend initiations (omissions) decreased after 1961. The results provide some vindication for the Securities and Exchange Commission's adjudicative approach toward insider trading regulation.     

STOCK PRICE DYNAMICS IN OVERLAPPED MARKET SEGMENTS: INTRA AND INTER-INDUSTRY CONTAGION EFFECTS

This study examines stock price dynamics of contagion effects in overlapping markets using an exponential ARCH (Autoregressive Conditional Hetero-scedastic) model. Specifically, the stock price dynamics among the oil and oil-related industries of the US are examined to see how stock price movements in one industry affect those of the related industries. The results suggest that when the amount of price innovations is larger than the expected amount, volatility of stock returns will be affected. The results further show that this influence comes from the oil-service industry and spreads to the oil industry and the gas industry. That is, inter-industry contagion effects do exist. In addition, when the firms of the oil industry are grouped into three size categories - large, medium and small - the results indicate that the source of contagion is from the large and the small oil firms. The influence of their price innovations spread to medium-sized oil firms, the oil-service industry and the gas industry. That is, the inter-industry and intra-industry contagion effects exist simultaneously.     

INTERSTATE BANK MERGERS: THE EARLY EVIDENCE

This study examines the wealth effects of interstate bank mergers to both the acquired and acquiring firms' shareholders. While the overall results are consistent with the findings of research on nonfinancial mergers — that acquired firms' shareholders gain and acquiring firms' shareholders break even — there is evidence that the acquiring banks cannot be considered a homogeneous group. Specifically, banks involved in relatively large acquisitions earn positive and statistically significant abnormal returns and significantly outperform those involved in relatively smaller mergers. The results suggest there are differential opportunities for gain from interstate mergers, dependent upon the relative size of the acquisition and the degree to which it expands the geographic market served by the bank.     

INVESTMENT OPPORTUNITIES AND MULTINATIONALITY: EVIDENCE FROM CAPITAL STRUCTURE CHANGES

I examine shareholder valuation effects of capital structure changes for multinational (MNC) and domestic (DC) corporations. The internalization theory of foreign direct investment posits that MNCs create value by internalizing the market for their assets across national borders. If the financing decision is related to the rents from future investments, MNCs may have differential valuation effects to capital structure changes vis-à-vis DCs. I find that MNCs have lower (greater) excess returns for debt-for-equity (equity-for-debt) exchanges than DCs. The cross-sectional analyses show that the valuation effects are differentially related to the investment opportunities of MNCs and DCs.     

香港银行业个人理财服务发展的背景及内容比较

随着香港居民财富的增加和文化水平及理财观念的提高,加上低息及经济欠佳的环境,人们对未来生活保障的需求日趋增大,而银行个人理财服务可以为客户提供免费的投资分析,度身订造理财计划,客户可以利用有关服务为未来的保障做好部署。故此,银行的个人理财服务受到越来越多的欢迎。个人理财服务无疑是未来零售银行业务的主流项目之一,值得银行投放较多资源去拓展这项业务。各银行要以客户需要为导向,采用周详及有效的竞争策略,将银行形象、产品与服务、信息科技系统、服务环境、人员配置、营销宣传等多方面有效地结合起来,以在激烈的同业竞争中占据一部分业务市场份额。     

RETHINKING BANK REGULATION: A REVIEW OF THE HISTORICAL EVIDENCE

The debate over bank powers has taken on special urgency with the recent flurry of proposed mergers, such as the Citicorp-Travelers Group combination, that would break down the barriers between commercial and investment banking. After more than a decade of failed attempts to expand the scope of permissible bank activities, the House of Representatives recently voted for the first time in favor of a bill to end these Depression era limitations. The issue will be taken up by the Senate this fall. Most of the rationales for regulating banks fall into two broad categories: (1) the need to control potential conflicts of interest stemming from banks' multiple roles as deposit-takers, lenders, securities underwriters, and investment advisers; and (2) the perceived need to protect against the possibility of bank panics and widespread financial instability. In reviewing the historical evidence compiled by banking and finance scholars over the years, this article finds remarkably little cause for concern and suggests the regulatory cure may be far worse than the disease. On the first issue, the article cites a number of recent studies suggesting that market forces deal more effectively than regulation with conflicts of interests that can arise when commercial banks are engaged in securities underwriting. Contrary to the conventional wisdom, investors during the pre-Glass-Steagall era appear to have been better off when they purchased securities from commercial banks rather than investment banks. Moreover, to enhance their credibility in the market, many commercial banks during this period chose to put some distance between their lending and underwriting activities by establishing separate securities affiliates, thereby creating voluntary “firewalls.” In examining the issue of how the expansion of bank powers would affect economic stability, the second half of the article cites a large body of research–including studies of different historical periods and countries–attesting to the durability of commercial (and universal) banking systems. Indeed, one of the most important findings issuing from this research is that the regulatory safety net has often had the unfortunate impact of undermining rather than promoting financial stability.     

SHORT SELLING AND PRICE DISCOVERY: EVIDENCE FROM AMERICAN DEPOSITARY RECEIPTS

The underlying shares of some American Depositary Receipts (ADRs) can be short sold in their home markets, and others cannot. This institutional feature offers a unique opportunity to investigate the relation between short selling and price discovery. We hypothesize and confirm that ADR short selling on a U.S. exchange is more informative when the ADRs’ underlying shares cannot be short sold in the home market. These and related results suggest that short sellers make a significant contribution to price discovery. Short sellers’ trading activity, representing more than 20% of total ADR share volume, increases the benefits of cross‐listing on U.S. exchanges.     

MATCHING FINANCIAL AND REAL INVESTMENT OPTIONS: EVIDENCE FROM WARRANT CALLS

We provide new evidence on the sequential financing explanation for the use of warrants. Consistent with sequential financing, capital spending starts increasing in the year of the call and peaks three years after the call. In addition, both equity and debt financing increase significantly in the year of the call and remain at high levels. Warrant contract features—the exercise price and the presence or absence of a price condition for callable warrants—are also consistent with the sequential financing hypothesis.     

EARNINGS CONFERENCE CALLS AND INSTITUTIONAL MONITORING: EVIDENCE FROM TEXTUAL ANALYSIS

We document the effects of institutional investors on the qualitative information disclosure of firms during earnings conference calls. Using conference call and institutional ownership data between 2005 and 2016, we find that aggregate institutional ownership dampens conference call tone. The effects of institutional investors on tone are causal based on results from indexed firms. Consistent with hypotheses regarding investors' horizons, short-term institutional investors are associated with a more positive conference call tone, as well as more opportunistic trading, whereas long-term investors are associated with a more negative tone. Market participants can generally disentangle the impact of institutional investors on tone based on investor type.