Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)‐preferences

From the expected‐utility approach, relative risk aversion being smaller than one and relative prudence being smaller than two emerge as preference restrictions that fully determine the optimal responses of decisions under uncertainty to certain shifts in probability distributions. We characterize the magnitudes of relative risk aversion and relative prudence in terms of the two‐parameter, mean‐standard deviation approach. We demonstrate that this characterization is instrumental in obtaining comparative static results in the two‐parameter setting. We further relate our findings to the results in the expected‐utility framework.     

The composition of interest: The judaic prohibition

An interest charge is made up of an award for waiting known as the real rate of interest, a premium for risk and compensation for transaction costs. Where inflation exists the lender seeks further compensation. In order to understand the composition and evolution of different versions of the usury prohibition it is necessary to ask which components of an interest charge are prohibited by each version. The Judaic prohibition has two aspects which are of particular interest to business historians and students of usury. First, the general rule is that a reward for waiting is prohibited. This focuses on the time-based part of interest charge. Second, interest is prohibited because it amounts to placing a stumbling block before the blind. This focuses on the typical gullibility of the borrower confronted by a more expert, better funded lender. Economics confirms and enriches our understanding of these important aspects of the prohibition. They achieve this by increasing our understanding of two facts: first, that the borrower is a gullible individual subject to irrational and inconsistent behaviour; and, second, that this behaviour relates to the waiting aspect of interest which is proscribed in the prohibition. How far these insights apply to other civilisations' prohibition, particularly those which derive from the Judaic prohibition, merits further study; so also do the ethical lessons of the Mosaic rules for a globalised society based on capitalism.     

Sources of Bank Interest Rate Risk

We investigate bank stocks'sensitivity to changes in interest rates and the factors affecting this sensitivity. We focus on whether the exposure of commercial banks to interest rate risk is conditioned on certain balance sheet and income statement ratios. We find a significantly negative relation between bank stock returns and changes in interest rates over the period 1991–1996. We also find that bank characteristics measured from basic financial statement information explain bank stocks'sensitivity to interest rate changes. These results suggest that bank managers, analysts, and regulators can use this information to assess the relative risk exposure of banks.     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

资本约束下我国商业银行的风险偏好现状与对策研究

随着巴塞尔协议Ⅲ和中国银监会印发的《中国银行业实施新监管标准指导意见》的出台,确立了我国银行业实施新监管标准的政策框架。受此影响,当一部分银行资本充足率不迭标时,可以约束盲目信贷扩张,抑制经济过热的手段之一,调控商业银行整体风险水平;当大部分银行都达到了最低资本充足率要求时,资本约束效应将明显弱化,其他政策工具将是调控信贷的主要手段;而大部分银行为了降低风险。会选择“分母”对策,调整其资产组合。监管部门应我国银行业现状出发,以平滑信贷供给的过度波动为目标,逆风向调整资本充足率,以满足监管要求。     

资金约束下供应商的融资模式及风险防范

当前,商品市场的竞争越来越明显地体现在商品供应链上面,而矛盾的焦点在于很多供应商受资金短缺的约束,已与上下游企业之间产生严重的不协调现象,进而影响到下游制造商或零售商的利润,最终导致整体上供应链利润减少。面对资金约束问题,供应商应积极动员上下游企业尽可能地采取经济援助策略,增强融资的风险防范能力。其基本模式主要有：企业预付款融资模式、企业直接投资融资模式、企业担保下的银行融资模式。并通过采用价格折扣、收益共享、供应链保险等方法规避风险,达到供应链条及供应链上各企业可持续发展的目的。     

The Impact of a Third-Party Assurance Seal in Customer Purchasing Intention

ABSTRACT

Although e-commerce is evolving at an incredible speed, asymmetric information and opportunism have increased online purchasing risks and market inefficiencies. The lack of face-to-face contact and the inability of the customer to touch and feel tangible products necessitate that online business must provide customers with reliable information and convince customers of their trustworthiness. While the research on Third-Party Assurance Seals (TPAS) is not new, the effectiveness of TPAS has not been persuasively addressed by empirical studies. Our study is different from previous efforts in that it is comprehensive because it combines consumer trust, perceived risk, and influences of TPAS in the B2C e-commerce context. The results of the study show that (1) the effects of TPAS on perceived risk are channeled through perceived trustworthiness, thus demonstrating the mediating role of perceived trustworthiness in B2C e-commerce, (2) perceived risk, perceived usefulness of website, and subjective norm appear to be significant predictors of intention to purchase from the website, (3) a third-party assurance seal strongly affects online shoppers' perceived trustworthiness toward online retailers, while the seal appears to have little effect on perceived risk directly; perceived risk is strongly associated with intention to purchase from the website.     

Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange

This paper investigates the use of tick-by-tick data for intraday market risk measurement. We propose a method to compute an Intraday Value at Risk based on irregularly spaced high-frequency data and an intraday Monte Carlo simulation. A log-ACD–ARMA–EGARCH model is used to specify the joint density of the marked point process of durations and high-frequency returns. We apply our methodology to transaction data for three stocks actively traded on the Toronto Stock Exchange. Compared to traditional techniques applied to intraday data, our methodology has two main advantages. First, our risk measure has a higher informational content as it takes into account all observations. On the total risk measure, our method allows for distinguishing the effect of random trade durations from the effect of random returns, and for analyzing the interaction between these factors. Thus, we find that the information contained in the time between transactions is relevant to risk analysis, which is consistent with predictions from asymmetric-information models in the market microstructure literature. Second, once the model has been estimated, the IVaR can be computed by any trader for any time horizon based on the same information and with no need of sampling the data and estimating the model again when the horizon changes. Backtesting results show that our approach constitutes reliable means of measuring intraday risk for traders who are very active in the market.