A New Application of Sustainable Growth: A Multi‐Dimensional Framework for Evaluating the Long Run Performance of Bank Mergers

Abstract:   We study the mergers of US publicly traded bank holding companies during 1987–2000 and find that the acquiring firm's sustainable growth rate is an important determinant of the cross‐sectional variation in the merged entity's long‐term operating and stock performance. The most economically significant determinants of the merged bank's abnormal stock return performance are the acquiring bank's estimated sustainable growth rate prior to the acquisition, as well as post‐acquisition changes in this growth rate, and the bank's dividend payout ratio. Our findings are robust even after controlling for several potentially confounding factors.     

Firm Characteristics as Cross‐sectional Determinants of Adverse Selection

Abstract:   We analyze the role of firm characteristics in determining the extent of adverse selection, and therefore liquidity, in securities markets. After controlling for the effects of the well‐established determinants of adverse selection, we find evidence that a firm's ratio of plant, property, and equipment to total book assets and its status as a public utility have additional explanatory power. To the extent that these variables are reasonable proxies for the firm's transparency of assets and regulatory environment, we assert these factors contribute to the adverse selection cost of transacting for our sample of NYSE listed S&P 500 firms.     

Target Company Cross‐border Effects in Acquisitions into the UK

We analyse the abnormal returns to target shareholders in cross‐border and domestic acquisitions of UK companies. The cross‐border effect during the bid month is small (0.84%), although cross‐border targets gain significantly more than domestic targets during the months surrounding the bid. We find no evidence for the level of abnormal returns in cross‐border acquisitions to be associated with market access or exchange rate effects, and only limited support for an international diversification effect. However, the cross‐border effect appears to be associated with significant payment effects, and there is no significant residual cross‐border effect once various bid characteristics are controlled for.     

Shareholder Wealth Effects of European Domestic and Cross‐border Takeover Bids

This paper analyses the short‐term wealth effects of large intra‐European takeover bids. We find announcement effects of 9% for the target firms compared to a statistically significant announcement effect of only 0.7% for the bidders. The type of takeover bid has a large impact on the short‐term wealth effects with hostile takeovers triggering substantially larger price reactions than friendly operations. When a UK firm is involved, the abnormal returns are higher than those of bids involving both a Continental European target and bidder. There is strong evidence that the means of payment in an offer has an impact on the share price. A high market‐to‐book ratio of the target leads to a higher bid premium, but triggers a negative price reaction for the bidding firm. We also investigate whether the predominant reason for takeovers is synergies, agency problems or managerial hubris. Our results suggest that synergies are the prime motivation for bids and that targets and bidders share the wealth gains.     

Earnings Conservatism, Litigation and Contracting: The Case of Cross‐Listed Firms

Abstract:   We compare earnings conservatism of UK companies cross‐listed in the US to that of UK companies without a US‐listing. We expect that conservatism will be more pronounced for cross‐listed firms than for firms with a UK listing only, because the cross‐listed firms face a stricter enforcement regime. Furthermore, cross‐listed firms may use a listing on a US exchange to signal high‐quality reporting to investors. Using a matched‐pairs research design, we find that earnings of UK cross‐listed firms are significantly more conservative than earnings of UK firms without a US listing. Moreover, cross listed firms display particularly high levels of conservatism during the early years of their cross‐listing. This indicates that firms use earnings conservatism to commit to highly demanding reporting requirements and in doing so communicate a perception of investor care.     

The Impact on UK Acquirers of Domestic, Cross‐border, Public and Private Acquisitions

Abstract:   We examine the announcement and post‐acquisition share returns of UK acquirers in over 4,000 acquisitions of domestic, cross‐border, public and private targets. Domestic public acquisitions result in negative announcement and post‐acquisition returns, whilst cross‐border public acquisitions result in zero announcement returns and negative post‐acquisition returns. In contrast, both domestic and cross‐border private acquisitions result in positive announcement returns and zero post‐acquisition returns. The main differences between private and public acquisitions are that glamour acquirers underperform in public acquisitions but not in private acquisitions, and that acquirers using noncash methods of payment underperform in domestic public acquisitions but not in domestic private acquisitions. Overall, cross‐border acquisitions result in lower announcement and long run returns than domestic acquisitions. In cross‐border acquisitions, those involving high‐tech firms perform relatively well, as do those with low national cultural differences.     

Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis

Abstract:   This paper studies the performance of 60 European funds from four countries. The paper extends the UK matched pair approach for fund evaluation developed by Mallin et al. (1995) to a European setting. The findings suggest that there is no difference between ethical and non‐ethical funds according to the performance measures employed. Neither type of fund displayed any ability to time the market. Finally, the results indicate that the management fee is a significant explanatory variable for the Jensen measure as Chen et al. (1992) and Grinblatt and Titman (1994) suggested.     

Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests

In this paper we examine the stationarity of all the rates comprising the USD, GBP, DM and JPY spot and forward term structures. Instead of focussing on short maturity interest rates, as most other papers do, we perform a detailed analysis of the whole range of spot and forward interest rates of the 4 main currencies. We investigate the issue of stationarity within the framework of an equilibrium interest rate model such as Vasicek (1977), that defines the cross-sectional and time series properties that interest rates of various maturities must satisfy. We show that within a one-factor interest rate model, such as Vasicek, all interest rates are restricted to exhibit the same mean reverting behaviour. This restriction allows us to apply more powerful panel unit root tests. This methodology increases considerably the number of observations available and as a result the power of the unit root tests. The higher power of these tests allows us to demonstrate that there does exist mean reversion on the spot and forward US interest rates and the forward DM and GBP interest rates.     

Insider Trading and Pay‐Performance Sensitivity: An Empirical Analysis

Abstract:   We examine whether the sensitivity of pay to performance is associated with the amount of insider trading that managers undertake. Because insider trading profits represent an alternative form of compensation, we expect that firms will consider the compensation component provided by insider trading when designing remuneration contracts. Employing a proxy for insider trading that captures the degree to which managers trade on private information, we find evidence that an increased (a decreased) level of insider trading is associated with a decreased (an increased) pay‐performance sensitivity.     

Board Share‐Ownership and Takeover Performance

Abstract:   We investigate the relation between takeover performance and board share‐ownership in the acquiring company for a sample of 363 UK takeovers completed in the period 1985–96. In investigating this relationship we pay particular attention to the composition of board shareholdings as well as their size. Thus, in addition to the analysis of total board holdings, we analyse the separate impact of CEO shareholdings and of the pattern of non‐executive and executive holdings within the board. In addition to our detailed examination of board holdings we assess the impact of non‐board holdings. Our analysis controls for a number of non‐shareholding constraints on discretionary director behaviour and for a variety of other influences on takeover outcomes including: the means of payment; acquirer size and market to book value; the relative size of the acquirer and the target; the nature of the bid in terms of hostility and industrial direction; and the pre‐takeover performance of the acquiring company. We assess performance in terms of announcement returns, long run share returns and a portfolio of accounting measures. We find evidence that overall board ownership has a strong positive impact on long run share returns and a weak positive impact on operating performance. However, much stronger effects are found when the overall board measure is split into CEO, executive, and non‐executive directors. We find strong evidence of a positive relation between takeover performance and CEO ownership, which holds for both long run returns and operating performance measures. This finding is robust to controlling for other factors that determine takeover performance and holds in a two stage least squares framework that controls for endogeneity effects. Shareholdings of other executive directors, non‐executive directors, and non‐board holdings are found to have no significant effect on takeover performance.     

银监会--金融监管国际化的选择

当前,中国新一届领导集体的经济工作重点已经明确,加强金融安全是重中之重。作为手段,最引人关注的是设立银监会。 央行从一开始的坚决反击到“银监局说”,再到最后的银监会,步步深化,许多背后的东西不得而知。 是设立央行内部相对独立的银监局,还是设立彻底独立的银监会,与证监会、保监会并列存在,或者是干脆把三大监管机构合而为一,主要取决于高层领导的政治决断和对金融混业形势的具体判断。 尽管目前需要独立的银监会,但最终目标是为了获得一个独立的中央银行。一项研究表明。央行独立性越大则通货膨胀率越低,反之则越高。许多国家尤其是那些经历了重大金融事件和金融危机的国家都纷纷采取分离的模式     

European Bank Performance Beyond Country Borders: What Really Matters?

The paper analyzes bank performance in the context of the integrated EuropeanUnion market and its member countries. First, the paper investigates the technicalefficiency of banks in each country sample using a Data Envelopment Analysis(DEA) model incorporating only banking variables. Then, a second DEA modelis defined incorporating environmental factors together with banking variables inorder to standardize the country-specific environmental conditions. Based on thesemodels, the paper systematically analyzes the efficiency position for each of theEuropean banking industry if average banks decide to operate in any other country.The results indicate that adverse (advantageous) environmental conditions are apositive (negative) factor for the home banking industry and being technicallyefficient appears to be a significant deterrence to foreign competition.     

论我国的金融监管体制

我国现行的分业金融监管体制的不足之处主要表现在：监管重叠和监管缺位同时存在;监管机构膨胀加剧且监管机构之间协调性较差;金融业务各部门发展失衡;金融风险隐患严重。因此,有必要对现行的金融监管体制进行改革,尽早建立一种统一的金融监管体制,推动我国金融市场的健康发展。     

银行并购后绩效问题研究综述

西方学对银行并购绩效问题已经进行了很多的研究,对这些研究进行系统的梳理是有必要的。因为影响银行并购的因素十分多,所以银行并购后的绩效也呈现出十分复杂的结果,市场对并购的反应也不尽相同。     

Accruals, Cash Flows and the Post‐Earnings‐Announcement Drift

Abstract:   Several prior studies have shown that cash flows have significantly greater impact on stock prices than accruals. We examine the implications of these findings for the post‐earnings‐announcement‐drift anomaly. We argue that, if investors under‐react to earnings news, then the larger price impact of cash flows causes the cash flow component of earnings news to predict future returns better than the accruals component. Consistent with this argument, we show that unexpected cash flows are more positively related to future returns, than are unexpected accruals. Also, unexpected cash flows are found to predict future returns above and beyond that predicted by earnings surprises. Finally, we show that a strategy that decomposes earnings news into its components significantly outperforms strategies based on earnings news alone. The results support under‐reaction explanations for the drift.     

资产价格波动与中央银行的目标——理论分析与政策框架

最近几十年来,现代中央银行逐步形成物价稳定和金融稳定两大目标。从中央银行政策实践看,各主要发达国家的中央银行在控制通货膨胀方面取得了很大成效,但与此同时,资产价格波动对中央银行政策决策的影响越来越大。资产价格的波动不仅对中央银行价格稳定目标产生影响,更多次引发信贷紧缩、银行危机等系统性金融风险。本文从理论上分析了资产价格对中央银行物价稳定和金融稳定的影响,构建了中央银行应对资产价格波动的政策框架。     

荷兰合作银行:从小国走出的大银行

荷兰合作银行建立于1864年,其总资产和一级资本在全球大银行中均排 名30位以内,是世界上最有影响力的大银行之一,是全球惟一的一家没 有政府参股的AAA级私人银行,也是全球最安全银行之一。     

基层央行全面预算绩效管理研究:实践价值与逻辑框架

在新时代全面实施绩效管理的总体要求下,人民银行经过多年的实践与探索,初步建立了适应人民银行系统的预算绩效管理制度.本文通过总结分析人民银行在预算绩效管理方面的实践与探索,立足基层行现实业务需要,从基层央行预算绩效管理体系的构建原则、构建思路等方面提炼出构建的逻辑框架,旨在提供完善基层行内部治理结构、提升内部管理水平.