Crises,Liquidity Shocks,and Fire Sales at Commercial Banks

If liquidity shortages cause financial crises, a lender of last resort can provide funds to banks facing potential fire sales. However, if funding problems primarily occur at banks with existing solvency problems, then government liquidity programs may not spur bank lending. We find that commercial bank funding does not typically dry up in a crisis, not even during the subprime crisis. Rather, weak banks are more likely to borrow less. Furthermore, banks rely more on deposits and newly issued equity than fire sales. When they do sell assets, they cherry pick assets in order to alleviate pressure from capital regulations.     

Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach

This paper examines the determinants of the time it takes foran index options market to return to no arbitrage values afterput-call parity deviations, using intraday transactions datafrom the French index options market. We employ survival analysisto characterize how limits to arbitrage influence the expectedduration of arbitrage deviations. After controlling for conventionallimits to arbitrage, we show that liquidity-linked variablesare associated with a faster reversion of arbitrage profits.The introduction of an Exchange Traded Fund also affects thesurvival rates of deviations, but this impact essentially stemsfrom the reduction in the level of potential arbitrage profits.     

The Role of Information Precision in Determining the Cost of Equity Capital

We examine the association between the cost of equity capital and the quality of public and private information. We find an inverse relationship between the cost of capital and the precision of public information, but the effect is more than offset by a positive relationship between the cost of equity capital and the precision of private information. Public and private information precisions are positively correlated, and a model that fails to include both is vulnerable to a correlated omitted variable bias. The association between public and private information combined with their opposing effects on the cost of capital implies mangers should consider the relationship between public and private information when assessing their reporting strategy.     

The Role of Internal Capital Markets in Financial Intermediaries: Evidence From Insurer Groups

We exploit the transparency of internal capital markets (ICMs) within insurance groups to investigate the activity and efficiency of ICMs within insurance groups. Specifically, we compare the relationship between internal capital transfers and investment to that between capital from other sources and investment. The ability to track the actual ICM transactions allows for more direct analysis of ICM activity than most previous studies. Consistent with theory, we find evidence that ICMs play a significant role in the investment behavior of affiliated insurers. We then use these detailed data to execute a more direct test of ICM efficiency than currently exists in the literature. Consistent with ICM efficiency, results suggest that capital is allocated to subsidiaries with the best expected performance.     

Firm Internationalization and Capital Structure in Developing Countries: The Role of Financial Development

We investigate the relationship between internationalization and the level of debt financing for more than 18,000 firm/year observations from thirty-one developing countries in the period 1991-2006. We argue that this relationship can be affected by both country-level and firm-level factors. The results show that in developing countries with relatively higher financial development, firm internationalization corresponds with a greater level of debt when firms have more growth opportunities (which also indicate a higher level of asymmetric information). This evidence suggests that relatively developed financial markets in developing countries at least partially mitigate the effect of asymmetric information and decrease the agency cost of debt for firms with higher levels of internationalization.     

财务报告内部控制:一个悖论

从历史发展、实践考察和理论逻辑等三个视角来看,财务报告内部控制面临着两难困境。从历史发展看,围绕资产保护展开的一桩历史公案表明,财务报告内部控制无法离开资产保护而单独存在。但若广义理解资产保护,就须定位为内部控制;而狭义理解资产保护,会导致人为割裂经营活动与财务报告之间的关系。从实践考察看,无论是横向分离还是纵向分离,都无法从内部控制系统中分离出一个所谓的财务报告内部控制系统。从理论逻辑看,财务报告内部控制是审计和监管当局自我界定责任范围的一个权宜之计。总之,财务报告内部控制研究陷入了一个为不能独立存在的系统寻找独立存在的理由的尴尬境地。因此,应该尽早用"内部控制"取代"财务报告内部控制"。     

股票流动性对公司资本结构的影响研究

本文分析了流动性对公司资本结构的影响。理论分析表明,一个公司股权交易流动性的提高,使得公司股权融资成本得以降低,公司更倾向于采用增发、配股等股权融资的方式融资,这会降低公司的财务杠杆率。同时,借鉴资本结构动态调整的思想分析,发现个股流动性越高,资本结构的调整速度越快。本文基于2002—2010沪深两市发行的非金融业A股数据,采用面板数据回归等方法研究了股票流动性等因素对公司资本结构的影响,本文的经验结果支持这一理论假设。     

贷款证券化、监管资本套利与资本监管改进

巴塞尔协议的资本充足率指标可以反映银行部门吸收风险损失的能力,但是无法监测和控制银行体系外的贷款总额和累积的信用风险。20世纪70年代的贷款证券化创新导致银行进行监管资本套利,并使得资本充足率监管趋于失效。本文基于贷款证券化下银行贷款余额与社会贷款余额的差异,分析银行监管资本套利的微观机制并提出改进资本监管的建议。     

Discussion of “The Role of Information Precision in Determining Cost of Equity Capital”

Botosan, Plumlee, and Xie (this issue) demonstrate an association between a proxy for cost of capital and proxies for public and private information precision. These proxies have limitations that suggest caution in interpreting their results, absent evidence of proxy validity. The proxy for cost of capital is based on Value Line's beliefs about expected returns, not actual expected returns. The proxy for private information measures information revealed by analysts, not information used by inside traders. In this paper, Botosan, Plumlee, and Xie (this issue; hereafter BPX) empirically explore the joint effect that public and private information precision have on the cost of equity capital. Their key findings are that more precise public information lowers the cost of capital, while more precise private information raises the cost of capital. The paper considers whether public and private information are substitutes or complements but finds no evidence of an interactive effect. This is an important question with significant policy implications for firms, investors, and regulators. While there is (as the authors discuss) considerable prior literature on the topic, the matter is empirically unsettled, so further evidence is welcome. Also, the authors make an important point that, given the correlation between public and private information, it is essential to control for one when analyzing the effect of the other. The reliability of the results in BPX depends on whether the proxies used in the paper effectively measure the underlying economic constructs. Cost of equity capital is proxied by a formula using Value Line forecasts, while public and private information measures are based on analyst forecast dispersion and accuracy. Most of the following discussion considers how reliable these proxies might be.     

Bank Capital and Liquidity Creation: Granger-Causality Evidence

We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an exhaustive data set of Czech banks, which mainly includes small banks from 2000 to 2010. We observe a strong expansion in liquidity creation until the financial crisis that was mainly driven by large banks. We show that capital negatively Granger-causes liquidity creation in this industry, where majority of banks are small. But we also observe that liquidity creation Granger-causes a reduction in capital. These findings support the view that Basel III can reduce liquidity creation, but also that greater liquidity creation can reduce banks’ solvency. Thus, we show that this reverse causality generates a trade-off between the benefits of financial stability induced by stronger capital requirements and the benefits of increased liquidity creation.     

Fire Sales in a Model of Complexity

We present a model of financial crises that stem from endogenous complexity. We conceptualize complexity as banks' uncertainty about the financial network of cross exposures. As conditions deteriorate, cross exposures generate the possibility of a domino effect of bankruptcies. As this happens, banks face an increasingly complex environment since they need to understand a greater fraction of the financial network to assess their own financial health. Complexity dramatically amplifies banks' perceived counterparty risk, and makes relatively healthy banks reluctant to buy risky assets. The model also features a novel complexity externality.     

Constraints on Loan Sales and the Price of Liquidity

In the syndicated loan market, borrowers and syndicate arrangers sometimes employ contractual restrictions that influence a loan’s liquidity. We analyze two types of constraints on loan resales: (1) prior consent constraints implemented by the borrower or the syndicate’s lead arranger and (2) a minimum denomination requirement for loan sales. We hypothesize that constraints could be mechanisms for fostering relationships and/or facilitating the resolution of financial distress and find some support for each notion. We find that resale constraints are more likely when borrowers are small and have relatively poor credit ratings. We also find that loans with any type of constraint have higher all-in-spreads and are more likely to be secured than unconstrained loans and that the marginal cost of constraining liquidity is relatively high.

交叉性金融创新的监管套利路径与博弈策略

金融危机以来,"监管套利"被多个国家和国际组织视为引发危机的一个重要因素。当前国内金融监管套利的易发部位和治理难点即存在于跨部门的交叉性金融创新中。本文从金融功能交叉、渠道交叉、政策许可交叉等视角考察了交叉性金融创新对金融机构经营策略、业务形态、交易条件的实质性影响,并由此归纳了监管套利的三类路径和手法特征。同时,通过基于非竞争性金融监管环境和非对称信息条件下的套利行为与监管博弈分析,考察了有效监管的关键性条件,并就减少政策制度重构时滞以及强化金融机构的自我约束机制提出了具体策略建议。     

Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues

We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose money. The effects are nonlinear and most prominent when inventories are big or trading results have been particularly poor. These sensitivities are smaller after specialist firm mergers, consistent with deep pockets easing financing constraints. Finally, compared to low volatility stocks, the liquidity of high volatility stocks is more sensitive to inventories and losses.     

Exporting Liquidity: Branch Banking and Financial Integration

Using exogenous liquidity windfalls from oil and natural gas shale discoveries, we demonstrate that bank branch networks help integrate U.S. lending markets. Banks exposed to shale booms enjoy liquidity inflows, which increase their capacity to originate and hold new loans. Exposed banks increase mortgage lending in nonboom counties, but only where they have branches and only for hard‐to‐securitize mortgages. Our findings suggest that contracting frictions limit the ability of arm's length finance to integrate credit markets fully. Branch networks continue to play an important role in financial integration, despite the development of securitization markets.     

网销:财务新一课

据第三方调研机构艾瑞咨询监测研究显示,2009年中国网络购物交易规模(实物类商品为主)达2630亿元,较2008年增长105.2%。其中,仅淘宝网的交易规模就达2083亿元,连续5年实现100%以上的增长。快速增长的网络消费市场成为零售业中无法忽视的一部分。由此可见,网上商品购销已成为一大流行趋势。     

CARE/CEASA Roundtable on: Liquidity and Capital Management

Five distinguished banking and accounting scholars explore the role of liquidity at not only the “macro” level of the economy, but also at the level of individual companies. The first of the four main speakers, who is the author of the preceding article, restates his argument that the stability of financial systems can be increased by directing bank regulators and executives to find the optimal combination of liquidity and capital requirements. The second of the four speakers shifts the focus to liquidity management by non‐financial companies, with particular emphasis on their use of lines of credit and their role in helping companies weather the financial crisis. The third speaker places liquidity in the context of capital markets, and presents suggestive evidence that improvements in corporate disclosure and transparency have beneficial effects on both the level and volatility of liquidity in those markets. The panel is rounded out by a discussion of liquidity in corporate bond markets and the proposal of a new way to measure such liquidity.     

金融市场流动性波动溢出效应的实证分析

金融资产流动性是影响其收益率的重要因素.本文在设计债券市场连续的综合流动性指标和股票市场波动调整的流动性指标的基础上,利用允许均值系统方程间互相关的AVAR-TVGARcH模型,并结合wald检验和LR检验对于股票、债券和人民币汇率市场间的流动性波动溢出效应进行检验.研究发现:三个市场间存在较为显著的流动性波动溢出效应.回归系数显示市场流动性间的波动溢出效应较小.同时,本文发现外汇和股票市场流动性序列间的条件协方差都存在明显的时变特征和程度不一的聚类现象.