产能、流动性"双过剩"给银行业带来的风险及监管对策

产能过剩和流动性过剩是近年来宏观经济运行出现的新问题,反映了我国宏观经济产业结构的深层次矛盾,二者具有内在的联系。本文从银行监管角度阐述产能和流动性“双过剩”对商业银行风险管理带来的压力,为防止产能和流动性“双过剩”带来银行系统性风险,提出针对性的监管建议。     

Ownership changes and access to external financing

This paper examines access to external financing in the privatization context and provides new evidence on the effects of financing constraints on performance and investment. Ownership reforms increase firms’ reliance on external financing. Empirically, performance and investment changes around ownership reforms are increasing in country-level measures of access to credit. The presence of a severe prior public financing constraint contributes to stronger investment growth after privatization. Privatized enterprises do not outperform publicly owned industries, all else given. Our analyses rely on new international sector- and firm-level data and correct for potential endogeneity of ownership changes.     

Equity ownership segregation, shareholder preferences, and dividend policy in China

We investigate how listed Chinese firms pay different types of dividend to satisfy shareholders, different dividend preferences shaped by institutional factors such as share tradability and asymmetrical taxation. We find that the cash dividend level is significantly and positively related to the proportion of non-publicly tradable shares and this relation is mainly driven by legal person shareholders' preferences for cash dividends. In contrast, the stock dividend level is significantly and positively associated with the proportion of publicly tradable shares. These findings provide an empirical rationale for the current reform on the segregation of equity ownership rights in China.     

我国国有(控股)商业银行道德风险治理研究

道德风险普遍存在于商业银行经营管理之中,严重影响银行的稳健经营和持续发展。本文回顾了道德风险治理的基本理论,探讨了我国国有(控股)商业银行道德风险的主要表现、治理经验和监管新原则。文章认为,产权主体缺位、激励机制不当、政府隐性担保以及社会信用缺失是诱发我国国有(控股)商业银行道德风险的主要因素。最后文章结合我国实际,从完善公司治理、实施激励相容监管、强化市场约束和文化建设等方面,提出了我国国有(控股)商业银行道德风险治理的建议,以提高防范和控制银行道德风险的能力和水平。     

Corporate investment and financing under asymmetric information

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of corporate actions and their debt-equity mix. Using this result, we show that asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option value of waiting to invest. Additionally, we demonstrate that informational asymmetries may not translate into a financing hierarchy or pecking order over securities. Finally, we generate a rich set of testable implications relating firms’ investment and financing strategies, abnormal announcement returns, and external financing costs to a number of managerial, firm, and industry characteristics.     

Costly external financing, investment timing, and investment–cash flow sensitivity

This paper examines the effects of costly external financing on the optimal timing of a firm's investment. By altering the optimal investment timing, costly financing affects current investment and the sensitivity of investment to internal cash flow. Importantly, the relation between the cost of external funds and investment–cash flow sensitivity is non-monotonic. Investment–cash flow sensitivity is decreasing in the cost of external financing when it is relatively low and is increasing in the financing cost when it is high. Empirical tests examining investment–cash flow sensitivities within groups of firms classified by proxies for their costs of external funds provide evidence consistent with the model. The model and the empirical results complement recent studies by Cleary, Povel and Raith [Cleary, S., Povel, P. and Raith, M., 2007. The U-shaped investment curve: theory and evidence, Journal of Financial and Quantitative Analysis 42, 1–39.] and Almeida and Campello [Almeida, H. and Campello, M., in press, Financial constraints, asset tangibility and corporate investment, Review of Financial Studies.] that show a non-monotonic relation between firms' investment and the availability of internal funds.     

Dilution,Dividend Commitments and Liquidity: Do Dividend Changes Reflect Information Signaling?

We develop new tests of the dividend signaling hypothesis by focusing on the role of liquidity. We allow for two different types of signaling models: one where current dividends signal firm value and the objective is to prevent current dilution, and the other where commitments to future dividends constitute the signal. We find that the results differ by the sign of the dividend surprise. Signaling models of the commitment type explain the market reaction to negative dividend surprises. Interestingly, this result is significant only for the earlier sub-period in our sample due, perhaps, to the well-documented increase in institutional investors with longer horizons. The market reaction to positive dividend surprises, on the other hand, is shown to be consistent with the over-investment and wealth transfer hypotheses. We show that the failure of the signaling model for these firms could be due to lower costs of dividend increases.     

Asymmetric information,adverse selection,and the pricing of CMBS

We demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors and securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private information to liquidate lower quality loans in commercial mortgage-backed securities (CMBS) markets. Conduit lenders, who originate loans for direct sale into securitization markets, mitigate problems of asymmetric information and adverse selection in loan sales. Our theory provides an explanation for the pricing puzzle observed in CMBS markets, whereby conduit CMBS loans are priced higher than portfolio loans, despite widespread belief that conduit loans are originated at lower quality. Consistent with theoretical predictions of a lemons discount, our empirical analysis of 141 CMBS deals and 16,760 CMBS loans shows that, after controlling for observable determinants of loan pricing, conduit loans enjoyed a 34 basis points pricing advantage over portfolio loans in the CMBS market.     

Institutional ownership,volatility and dividends

We find that the sign of the correlation between institutional ownership and volatility depends on the firm’s dividend policy: institutional ownership is negatively (positively) related to volatility among non-dividend (dividend) paying stocks. The empirical results are consistent with an interaction between institutional preference for low volatility and the tendency of higher levels of institutional ownership to increase volatility through their trading behavior. This result is robust to many control variables and possible endogeneity concerns. Supporting our conjecture that institutions herd on dividend signals we find that the correlation between turnover and institutional ownership is higher for dividend paying stocks, and that the positive correlation between turnover and institutional ownership is higher on dividend declaration days. Finally, we also find that the level of institutional ownership drops following an increase in volatility for both dividend payers and non-payers, and that volatility rises following increased institutional ownership for dividend paying stocks.     

Controlling the incentive problems in real estate leasing

This paper develops a formal model that characterizes potential conflicts of interest between real-estate landlords and tenants. The model demonstrates a tenant's incentive to undermaintain or overuse (i.e., abuse) a leased property while highlighting the moral hazard problem as a cause of the failure of the lease irrelevance proposition. As a consequence, the lease irrelevance proposition's faiure implies that if tenant abuse incentives are left unrestricted, the market for leased real estate may cease to function.The efficacies of various lease arrangements suggested by Smith and Wakeman (1985) and other researchers in controlling the tenant abuse incentives are evaluated in this framework as a means of counteracting the inherent problems. Our analysis supports the greater use of variable lease schemes (e.g., security deposits and penalty clauses), which peg real-estate lease rates to the level of property abuse rather than more traditional fixed payment contracting arrangements.     

Binomial basis for linear information dynamics: real options, dividends and the valuation of equity

Analytical research has confirmed that real options give rise to the kind of nonlinearities observed in practice between equity prices and the figures appearing on corporate financial statements. We develop these real option values in terms of a quasi 'supply-side' model of linear information dynamics based on simple discrete time binomial filtration processes. Our analysis shows that the linear models that pervade the empirical (and analytical) work of the area, will almost certainly suffer from an omitted variables problem. Parameter estimation will then be inconsistent and inefficient.     

Universal Banking,Conflicts of Interest and Firm Growth

This paper studies the relationship between universal banking and firm performance. With 40 developing and developed countries, I find that the overall effect of universal banking on firm growth is negative. This suggests that the negative effect of conflicts of interest dominates the positive effect of economies of scale and scope in universal banking. However, in countries with stronger protection of creditors’ rights and higher information efficiency, conflicts of interest are less likely and the negative relationship between universal banking and firm growth is significantly weaker.

Asymmetric information and target firm returns

This article examines the relationship between asymmetric information and target firm returns in mergers and acquisitions (M&As). We argue that if managers possess favourable (unfavourable) asymmetric information, they will offer, ceteris paribus, a high (low) premium, affecting target firm returns accordingly. We propose several proxies of asymmetric information. The empirical evidence strongly supports our hypothesis as we find that target firm returns are significantly negatively related to asymmetric information regarding synergy gains. Our results are robust after controlling for several target and deal characteristics.     

Bank dividends,risk, and regulatory regimes

This paper investigates the relation between bank dividends and bank risk over the period 1984–2011, and assesses the existence of risk-taking and risk-shifting in the US commercial banking sector subject to regulatory regime changes. The introduction of PCA in 1992 and TARP in 2008 constitute significant regulatory regime changes, and provide the necessary framework to explore whether regime-dependent risk-shifting or risk-taking is present. We find strong evidence of risk-shifting and risk-taking over the post-PCA regime spanning the period 1992–2008. We interpret this evidence as indication of ineffectiveness of PCA in controlling risk-taking and risk-shifting. The finding of risk-taking just prior to the recent financial crisis suggests that risk-taking may be a factor contributing to this crisis. As risk-taking and risk-shifting are important aspects of bank behavior (Basel Committee on Banking Supervision, 2009), these results are of interest to bank regulators and important to Basel III.     

内部监督、监管替代与银行价值

本文以银行内部监督为例,通过建立一个简单模型并进行实证检验,深入研究了监管对内部治理机制的替代关系及其对银行价值的影响。研究结果表明,监管确实改变了银行内部监督机制,产生了监管替代。监管对内部监督进而对银行价值的影响较为复杂,不同监管措施的影响存在差异。事前严格的监管降低了内部监督强度,对银行价值产生负面影响;事中监管监督的影响取决于对内部监督的替代程度,当替代效应大时会降低银行价值,反之,当替代效应小时则会提高银行价值。监管替代的存在表明良好的银行公司治理有赖于恰当的监管政策。为减少监管过度替代带来的问题,我国现行由监管部门主导银行改革的监管政策需要作出调整。     

Accruals and the performance of stock returns following external financing activities

This paper investigates the relation of the external financing anomaly with the accrual anomaly, by focusing separately on working capital accruals and long-term accruals. We find that external financing and accrual hedge portfolios not only generate superior returns, but they also constitute statistical arbitrage opportunities. Portfolio-level analysis and firm-level cross-sectional regressions show that the ability of external financing measures in predicting future returns remains strong, after controlling for working capital accruals. However, this ability is substantially reduced after controlling for long-term accruals. Our results appear to be consistent with investors’ failure to recognise agency-related overinvestment and/or opportunistic earnings management.     

Leases with Purchase Options and Double Moral Hazard

Abstract:  The purpose of this paper is to explain why leases have a purchase option and how the exercise price of this option is determined. We follow Demski and Sappington's (1991) approach by using a double moral hazard setting. One limitation of their model is that the agent has unlimited liability. The agent has to have enough wealth and the obligation to buy the firm when the principal decides to exercise the put option. In our paper, this problem is resolved by using a call option, which is a feature of many lease contracts. We show that leases with a purchase option can completely resolve the double moral hazard problem even if all the variables in the model are unverifiable. It is the threat of being the residual claimant that induces the lessor to provide an efficient level of effort. On the other hand, it is the opportunity of being the residual claimant that induces the lessee to maintain the asset efficiently. Finally, the model predicts that certain leased assets are not properly accounted for under the current accounting standards for leasing.     

责任保险:市场失灵、立法强制与道德风险管理

责任保险看起来能够解决安全事故受害者的补偿问题,但单靠市场力量很难形成有规模的责任保险交易.为保证对受害人的赔偿,政府可以在一些关乎百姓生存权的领域实行强制责任保险.不幸的是,强制责任保险会带来被保险人(致害人)的道德风险问题,从而可能降低整个社会的安全水平.鉴于保险人控制被保险人(致害人)道德风险的目标与社会安全目标的一致性,政府和社会应该允许保险人使用社会已有的风险监控系统、支持建立有效的信息共享系统、给予保险人拒绝承保的权利以及由保险人对特殊行业进行强制风险监控.