中国黄金期货保证金水平——基于非正态分布下的研究

中国目前静态的期货保证金水平只是一个经验数字,对价格波动并不敏感,大部分时间投资者资金被过度占用,当市场波动剧烈时又不能覆盖足够的风险。本文研究了基于非正态分布下黄金期货保证金水平,利用广义极值分布和广义帕累托分布来拟合尾部风险。结果显示:黄金期货存在尖峰厚尾现象,在考虑流动性风险后,现有的保证金水平有下调空间,应设定为4.38%,当风险加大时应提高到5.15%。     

Dividend Payouts and Corporate Governance Quality: An Empirical Investigation

Motivated by agency theory, we investigate how a firm's overall quality of corporate governance affects its dividend policy. Using a large sample of firms with governance data from The Institutional Shareholder Services, we find that firms with stronger governance exhibit a higher propensity to pay dividends, and, similarly, dividend payers tend to pay larger dividends. The results are consistent with the notion that shareholders of firms with better governance quality are able to force managers to disgorge more cash through dividends, thereby reducing what is left for expropriation by opportunistic managers. We employ the two‐stage least squares approach to cope with possible endogeneity and still obtain consistent results. Our results are important as they show that corporate governance quality does have a palpable impact on critical corporate decisions such as dividend policy.     

Self-insurance vs. self-financing: A welfare analysis of the persistence of shocks

We study the welfare cost of market incompleteness in a generalized Bewley model where idiosyncratic risk takes the form of entrepreneurial productivity shocks. Market incompleteness in our framework has two dimensions. First, in the Bewley tradition, only a limited set of instruments for consumption smoothing is available. Second, entrepreneurs? capital rental is subject to collateral constraints. As is well known, it is harder to self-insure against more persistent shocks, and the welfare cost of missing consumption insurance increases with shock persistence. On the other hand, with collateral constraints, an increase in shock persistence leads to better allocation of production factors through entrepreneurs? self-financing, and the welfare cost of imperfect capital rental markets decreases with shock persistence. The overall welfare cost of market incompleteness can be increasing, decreasing, or even non-monotone in shock persistence, depending on the relative strengths of its two components—the cost of missing insurance and the cost of imperfect capital markets.     

Distributive justice in Korean politics after the IMF Bailout∗

The Korean reform policy in the aftermath of the 1997 economic crisis has been confronted with the problem of distributive justice. In relation to distributive justice in the reform process, this paper addresses the communitarian‐liberal solution of ‘more burden on the better‐off, less burden on the worse‐off,’ which accords with the ‘difference principle’ of Rawls. This solution may be reasonably supported by all sectors of society for two reasons. One reason lies in the fact that the current social stratification in Korea has been largely affected by the economic policies of the past developmental state rather than individual choices, and that each individual sector, especially the advantaged group, has a weak legitimate claim over its social position. Thus, it seems fair to share the social burden in the extensive reform process according to the principle of capability. The other reason is based on the principle of minimizing social cost accruing from social economic conflict Indeed, this solution reflects a blend of liberal values and the good of the community.     

The Determinant of the Hospitality Industry's Unsystematic Risk: A Comparison Between Hotel and Restaurant Firms

ABSTRACT

Unsystematic risk is accepted as an important factor in stock valuation. Despite the importance, little has been done to study the relationship of unsystematic risk to stock values in the hospitality industry. This study attempted to advance the understanding of financial variables that could be related to unsystematic risk of hospitality firms. Regression models were developed for hotel and restaurant firms, using unsystematic risk as the dependent variable and financial variables as independent variables. The major findings of this study indicate: 1) more profitable hospitality companies have less unsystematic risk, 2) reducing reliance on debt financing could reduce unsystematic risk, 3) the positive relationship between operating leverage and unsystematic risk, suggesting that decreasing operating leverage could mitigate the stock price volatility of hospitality firms, and 4) large hotel and restaurant firms have less unsystematic risk than small firms. This study should help management of hospitality firms incorporate effects of shareholder expectations into their operational decision making as an integral part of long-range financial planning.     

The estimates of philanthropic behavior and attitude in South Korea: Methodological consideration

Estimates on philanthropic giving are one of the major topics within nonprofit studies globally. South Korea has engaged in measuring philanthropic behaviors and attitudes since the early 2000s, however, little is known about the validity of the measures that are used to collect giving and volunteering data. This study aims to investigate the methodological matters of the empirical philanthropy datasets in South Korea. A total of nine datasets were identified that measure philanthropic behaviors and attitudes in South Korea. Among the nine datasets, six were used to analyze the methodological matters for the purposes of this study. This article discusses the challenges associated with research methods including definitional challenges, instrument design issues, and other research methodological issues on the identified philanthropic giving datasets in South Korea. Results of this study suggest insights for improving measures of charitable giving and volunteering in South Korea. The findings are significant because differences in approaches to measuring donation behavior produce substantial differences in reported estimates.     

THE MARKET REACTION TO THE 1986 TAX OVERHAUL: A STUDY OF THE CAPITAL GAIN TAX CHANGE

The Tax Reform Act of 1986 (TRA) eliminated the favorable tax treatment on long-term capital gains in the US. Using a standard event study… CONTENTS AND ABSTRACTS 111 methodology, this paper examines daily stock return reactions to the tax overhaul. The results show that high dividend yield stocks earned a significant positive abnormal return and low yield stocks a significant negative return during the legislation period. This finding is consistent with the notion that the TRA made the market valuation of stocks shift in favor of high yield stocks.     

Openness and Growth in North Korea: Evidence from Time–Series Data

New growth theories suggest that an economy's increased openness raises domestic productivity, and hence must have a positive effect on the living standards of a nation. The North Korean economy, isolated from world trade for several decades and its economy devastated, provides a test for this implied causality. The possibility that the ultimate source of declining real gross national product since 1974 is a decrease in trade liberalization of the North Korean economy cannot be rejected. The results are more definitive when the sample is split into two subperiods, pre–1974 and post–1974. These findings are generally consistent with the conventional model in which free trade stimulates economic growth.     

Investor Recognition, Liquidity, and Exchange Listings in the Reformed Markets

We examine multiple facets of firms' descisions to list on the NYSE. Although the average Nasdaq spreads are now comparable to the average NYSE spreads, we find that firms continue to switch from Nasdaq to the NYSE, and that they experience positive cumulative abnormal returns on listing. Using a simultaneous ststem of equations approach, we establish that enhanced investor recognition mainly explains this phenomenon. A logistic regression suggesrts that corporate listing choice is consistent with these findings, since eligible unlisted firms already have high volumes and recognition and might not benefit as much as do firms that actually switch.