Effect of Internationalization on the Cost Efficiency of Taiwan’s Banks

Abstract:

We focus on the effect of internationalization on the cost efficiency of banks by studying Taiwan as a sample for developing countries. We find that (1) increasing overseas businesses and foreign exchange deposits increases cost efficiency; (2) expanding offshore banking units increases bank efficiency; and (3) the profitability of a bank’s overseas branch is not a critical factor behind the differences in cost efficiency across both financial holding company (FHC) banks and non-financial holding company (non-FHC) banks. Finally, our metafrontier empirical results illustrate that FHC banks in Taiwan show better technical performance in cost control than non-FHC banks.     

On the pricing of forward starting options in Heston’s model on stochastic volatility

We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution within Hestons stochastic volatility framework applying distribution properties of the volatility process. In this paper we develop a new and more suitable formula for pricing forward starting options. This formula allows to cover the smile effects observed in a Black-Scholes environment, in which the extreme exposure of forward starting options to volatility changes is ignored.Received: July 2004, Mathematics Subject Classification (2000): 91B28, 60G44, 60H30, 60E10JEL Classification: G13It is a pleasure to thank the anonymous referee for his valuable comments and suggestions on this paper. Furthermore, we would like to thank Holger Kraft, University of Kaiserslautern, and Alexander Giese, HypoVereinsbank AG Munich, for fruitful discussions and suggestions.     

On the IASB’s construction of legitimacy – the case of the agenda consultation project

As an expertise-based private standard-setter, the International Accounting Standards Board (IASB) needs to work continuously to maintain its position as the uncontested rule-making authority of financial reporting in the international regulatory arena. The present paper analyses how the IASB constructs legitimacy in interaction with its constituents. We focus on the specific case of the IASB’s agenda consultation in 2011/2012 as this project was explicitly introduced by the IASB to promote its legitimacy. We carry out a comprehensive study of the agenda consultation that takes into account all board meetings, comment letters and public board activities. We show that the consultation activities in this project were used by the IASB to pronounce its user (investor) orientation, which, however, might be formal rather than substantial, and to integrate a loyal circle of constituents further. It is also shown that the IASB increasingly tried to portray agenda-setting (and standard-setting) as an objective and evidence-based procedure that resonates with constituents’ demands, although it might in fact enlarge the discretionary leeway of IASB (and staff) members.     

On the ‘Review of Structure and Effectiveness of the IFRS Foundation’: the EAA’s Financial Reporting Standards Committee’s View

In July 2015 the International Financial Reporting Standards (IFRS) Foundation launched its third five year review of its structure and effectiveness of the organisation. In a public call, the Trustees solicited stakeholders’ input on the relevance of IFRS Standards with respect to broadening the IFRS scope and to the impact of new technology, on the consistent application of IFRS and on the governance and funding of the International Accounting Standards Board and the IFRS Foundation. The European Accounting Association (EAA)’s Financial Reporting Standards Committee responded to this request for views by submitting a comment letter based on research-informed opinions. This article provides an overview of this Review of Structure and Effectiveness of the IFRS Foundation and the EAA’s opinions in response to this Review.     

A note on the existence of the power investor’s optimizer

Karatzas et al. (SIAM J. Control Optim. 29:707–730, 1991) ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less than one. In this note, we explain a simple trick that allows us to use this result to provide the existence of utility maximizers for arbitrary coefficients of relative risk aversion. The simplicity of our approach is to be contrasted with the general existence result provided in Kramkov and Schachermayer (Ann. Appl. Probab. 9:904–950, 1999).     

Research on the Transmission of the Influence of the Quantitative Easing Policy on China’s Housing Price Bubble

The Federal Reserve has implemented the second round of quantitative easing monetary policy (QE2) in November 4th 2010, which has dealt a heavy blow upon the liquidity of China.The sudden dollar overhang causes great pressure of RMB appreciation. Based on the analysis of the following chain-reactions, this paper discovers and concludes the potential transmission mechanism of how QE2 influence China’s housing price bubble. At last, related policy recommendations are proposed.     

Depositors’ Assessment of Bank Riskiness in the Russian Federation

In the period after the crises in the late 1990s, the banking industries in most emerging markets have undergone significant restructuring consistent with the Basel II Accord. The Central Bank of Russia’s efforts since 2000 have contributed to the consolidation and improvement of the banking industry. To measure the extent of market discipline in the Russian banking industry, we study the reaction of Russian depositors to excessive risk taking by large banks between 2000:1 and 2005:1. We find that during our analysis period, well-capitalized, more liquid banks significantly increase their deposits.     

Effect of respondents’ personality on resistance to change and the sales force

The purpose of this study is to investigate the effect of the Big Five Personality dimensions on resistance to change (RTC). Data from a sample of 200 sales people was collected from a large financial services firm in South Africa. Principal components factor analysis followed by varimax rotation was undertaken to test the factor structure and internal validity of the measures used. Correlation analysis was undertaken to determine whether insurance salespersons’ personality types are related to reported levels of RTC. Results are reported, limitations are noted and directions for future research are indicated.     

On the relationship between the number of a broker’s real estate listings and transaction outcomes

This paper documents that sellers who employ brokerage offices that list a large number of properties (“active brokerages”) obtain higher selling prices, smaller negotiated discounts from the corresponding list prices, and shorter times on the market for their listed properties. Sellers who employ active brokerages list their properties at prices that are closer to our hedonic model’s predicted prices. Interestingly, properties that are listed at discounts relative to their predicted prices are snapped up more quickly only if they are associated with brokerages that list a relatively small number of properties. In addition, properties listed by active brokerages are less likely to be listed “as is” and are more likely to have their defects repaired prior to being listed. Moreover, because the efficacy of brokerage services varies across brokerage offices, the results also suggest that the use of an indicator variable for the use of brokerage services is not sufficient to capture the complete impact of the use of a real estate broker on transaction outcomes. In addition, the Appendix discusses the concern for potential endogeneities between the number of brokerage listings and transaction outcomes. It documents that the Durban–Wu–Hausman test indicates that exogeneity cannot be rejected.     

On the Legislative Investigation and Analysis of Criminal defendant’s Access to the Right to counsel

我国法律规定了被告人享有辩护权,并且这种权利的行使可以得到律师的帮助,律师在刑事诉讼中的职责就是依据事实和法律为委托人进行辩护,维护其合法权益。但是从现行制度下被告人和辩护律师所享有的权利来考察,很难说被告人真正地、充分地享有辩护权,因为在刑事诉讼中被告人和辩护律师所享有的权利十分有限,辩护律师在刑事诉讼中也不享有完整的辩护权,同时司法现况与被告人获得律师帮助权的基本要求差距甚大。本文对我国被告人获得律师帮助权制度及其运行进行了考察,并对相关问题进行了分析。     

The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns

This paper examines influence of interest rates on bull and bear markets in Tokyo stock exchange. Japan implemented a zero interest rate policy (ZIRP) from February 1999 to August 2000 and quantitative easing (QE) from March 2001 to March 2006. Because the relationship between Japanese equity price and interest rates apparently is inconsistent, it is needed to identify whether and how interest rates might affect a current market trend or initiate a market reversal. This study examines whether changes in Japan’s policy interest rate-the unsecured overnight call rate-prompt changes in the Tokyo Stock Price Index (TOPIX). The question we seek to answer is how TOPIX was affected by policies such as ZIRP and QE from bubble era until today. This paper shows that the call rate altered the direction of the TOPIX, market peaks and troughs appeared after call rates changed, and Japanese equities reacted more strongly to call rates during the 2000s.     

Activation and variation of the United Nation’s cluster coordination model: a comparative analysis of the Haiti and Japan disasters

The coordinated response to extreme events is critical as illustrated by recent disasters in Haiti and Japan. As a way for coordinated provision of international humanitarian assistance to disaster-hit countries, the Office for the Coordination of Humanitarian Affairs (OCHA) developed cluster coordination model (CCM). With content analysis and network analysis of OCHA situation reports, this study checked four premises regarding activation of CCM, interaction between national and international actors, roles of proximity country, and level of cluster coordination. This study found that there were meaningful variations in implementing the CCM for 2010 Haiti and 2011 Japan disasters. From the analyses, we found that the current CCM may be vulnerable to black swan disasters; thus, extensive and active estimation of national disaster management capacities should be conducted to prevent collapse of national disaster management system. However, the reconciliation of state sovereignty and international humanitarian assistance also should be considered.     

Effect of the Sarbanes–Oxley act on CEOs’ stock ownership and pay-performance sensitivity

The main purpose of this paper is to provide evidence on the effect of the Sarbanes–Oxley Act on stock ownership and the various measures of pay-performance sensitivity of CEOs’ wealth. The Sarbanes–Oxley Act (SOX) provides a natural experiment for examining how stock ownership and executive pay structure adapt to a change in regulatory environment. Using annual compensation data of S&P 1,500 firms in 1994–2005, we examine the impact of SOX on stock ownership and pay-performance sensitivity of CEOs. Consistent with our expectations, we find that in light of SOX: (1) stock ownership and (2) the total pay-performance sensitivity of CEOs have decreased substantially, indicating that SOX induces a weaker incentive alignment between shareholders and CEOs. In contrast, we find that after SOX stock ownership and the total pay-performance sensitivity of CEOs have remained unchanged in the regulated industries.     

On asymptotic properties of Bonus–Malus systems based on the number and on the size of the claims

A general framework for a Bonus–Malus system (BMS) based on the number and the size of the claims is presented, the set of the bonus classes being an interval [a,?b], say 0<a<1<b. The BMS is interpreted as a general Markov chain with state space [a,?b]. It turns out that, under certain assumptions, the Markov chain possesses an invariant limit distribution to which it converges with a geometric rate. We show how the invariant distribution can be evaluated by means of simulation. We also deal with the best possible convergence rate and show how it can be presented by means of the spectral theory of Banach spaces.     

Comments on “The Effect of a Common Currency on the Volatility of the Extensive Margin of Trade”

In this note, we correct two typos contained in the published version of Auray et al. (2012), which affect the quantitative results, without modifying the qualitative results and then the message of the paper. In addition, we present a modified pricing rule for exported goods, and allow export prices to be sticky as well. This extension slightly improves the quantitative predictions of the model. Finally, predictions are made closer to the data when considering an alternative inflation target.     

On the ‘Steady State’ Properties of Financial Ratios

This paper uses the methods of continuous time stochastic calculus to investigate the ‘steady state’ properties of financial ratios. Basing our analysis on previous work in the area, we show that, if a financial ratio can be characterised as a diffusion process which possesses an asymptotic equilibrium, then the Fokker-Kolmogorov-Planck forward equation may be used to ‘retrieve’ its probability density. The approach is ‘flexible’ enough to incorporate a wide variety of density functions, many of which have not been investigated in the literature. We demonstrate the procedures which may be used to derive both the cross-sectional and time series tests implied by these distributions. The paper also includes a section dealing with the methods which may be used for parameter estimation, once the underlying distribution has been determined.