The Impact of Sampling Errors on the Choice of Portfolio Efficiency Analysis Rules with Borrowing and Lending of a Riskless Asset

This paper evaluates the impact of sampling errors on portfolio decisions using mean-variance and stochastic dominance rules where riskless borrowing and lending opportunities exist. The paper establishes criteria for comparing the alternative decision rules (for example, mean variance versus stochastic dominance) according to their effectiveness and the cost (in sampling error terms). Normal distributions are simulated using various assumed means, standard deviations, correlations, and sample sizes. These simulations enable one to evaluate the impact of sampling errors on the potential effectiveness of the empirical stochastic dominance and mean variance rules that include borrowing and lending of a riskless asset.     

Loan Portfolio Swaps and Optimal Lending

Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the banks portfolio, and relates them to the market loan rate, counterparty loan rate, swap default risk, capital-to-deposits ratio, and deposit insurance. We find that in the bilateral default risk approach, the comparative static results are generated by four factors: the banks risk magnitude about the equity market value, loan composition in the swap contract, the substitution effect in the loan portfolio, and the income effect from the swap transaction. The results imply that changes in the payoff asymmetry in the event of swap default and the banks regulatory parameters have a direct effect on the banks loan portfolio for lending and swap transactions.We would like to thank two anonymous referees for helpful comments and advice.     

转融通基本问题研究

转融通实质上就是证券金融公司对证券公司的融资融券。证券金融公司是转融通业务的唯一主体,具有一定的垄断地位,但证券金融公司在开展转融通业务时,与证券公司是交易对手,处于平等的民事主体地位,证券金融公司不应定位为交易的中央对手方或者市场组织者。在《转融通业务监督管理试行办法》规定的框架下,证券金融公司可以根据实际情况和需要设计出不同的业务操作模式,但效率与安全应当是考虑设计转融通操作模式的两大基本出发点。从长远看,比照现有的融资融券业务操作模式构建证券金融公司的转融通业务操作模式,是一种可取的选择,值得作进一步的思考。     

Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints

We examine the optimal dynamic portfolio decisions for investorswho acquire housing services from either renting or owning ahouse. Our results show that when indifferent between owningand renting, investors owning a house hold a lower equity proportionin their net worth (bonds, stocks, and home equity), reflectingthe substitution effect, yet hold a higher equity proportionin their liquid portfolios (bonds and stocks), reflecting thediversification effect. Furthermore, following the suboptimalpolicy of always renting leads investors to overweigh in stocks,while following the suboptimal policy of always owning a housecauses investors to underweigh in stocks.     

Borrowing and Lending in a Mathematical Programming Model of Capital Budgeting

Weingartner, in 1963, published his solution to the Lorie and Savage problem of choosing the optimal combination of projects given that capital rationing occurs in more than one period. This paper discusses the rationale of the Weingartner model and develops a systematic way of treating lending. Indeed not to include lending can lead to sub-optimal results. Borrowing is then included into the model at the cost of making certain restrictive assumptions.     

CEO Incentives,Relationship Lending,and the Cost of Corporate Borrowing

We investigate how lending relationships attenuate the conflict of interest between creditors and shareholders that arises from chief executive officer (CEO) compensation contracts. We find that lending relationships mitigate the influence of CEO risk‐taking incentives on loan spreads, especially for informationally opaque firms. In addition, lending relationships attenuate the impact of CEO risk‐taking incentives on maturity and collateral requirements. This article highlights the importance of bank monitoring through lending relationships to mitigate managerial risk‐shifting activities that arise from equity incentives.     

Modigliani and Miller Again Revisited: The Cost of Capital with Unequal Borrowing and Lending Rates

The financial literature asserts that financial managers must borrow at least to some degree if they are to optimise the value of their companies. This result has been described in the literature as ‘perhaps the single most important result in the theory of corporate finance obtained in the last 30 years’ (Copeland and Weston, 1988, p. 443). Based on US tax systems, the value added to a company by debt has been estimated as high as 35 to 50% of the debt's market value. More recently in this journal, Ashton (1989b) has argued that under the present UK tax system, the theoretical tax advantage afforded by debt should be estimated at no more than 13% of the debt's market value. The contribution of this paper is to draw attention to an aspect of borrowing that has largely escaped attention, but which nevertheless affects the above conclusions: namely, that the market spread between borrowing and lending constitutes a ‘cost’ for corporate borrowing. This paper demonstrates that in the context of the present UK tax system, this ‘cost’ of borrowing is sufficient to nullify entirely the formerly perceived financial tax benefits of corporate borrowing. We conclude that, at present, corporate borrowing could imply a net disadvantage for the valuation of a company's equity by about 6 or 7% of the debt's market value.     

商业银行融资融券业务探讨

开展融资融券业务是我国商业银行在寻求经营转型过程中实施的一项重要创新措施.本文结合融资融券的现实和发展情况,提出商业银行开拓此项业务的新思路.     

破解农信社与农民贷款“两难”问题

支持新农村建设,必须解决好农村资金来源问题,促使"三农"融资向优化发展,目前由于农业保险体系、担保体系和农村信用建设体系不健全,再加上农业分散经营和高风险性的特点,农民可变现抵押的资产有限,使农信社在拓展农户贷款上困难重重,造成"难贷款"问题,另一方面农民对贷款"望穿秋水",有着巨大的信贷需求,苦于达不到农信社规定的贷款要求,出现了农民"贷款难"的问题.     

羊群行为影响下P2P网贷市场投资组合优化研究

本文基于投资者视角,结合网贷市场的信息不对称性和无担保、无抵押的纯信用贷款特征及行为金融理论,分析了投资者羊群行为的产生机理、影响因素和对网贷市场的影响,建立了基于数据挖掘、Kernel回归和现代投资组合优化理论的辅助决策模型。实证研究表明,在预期回报率固定条件下,该模型可以得出风险最小化的投资组合,为P2P网贷投资者规避羊群行为和选择网贷标的提供决策支撑。     

Portfolio Performance Manipulation and Manipulation-proof Performance Measures

Numerous measures have been proposed to gauge the performanceof active management. Unfortunately, these measures can be gamed.Our article shows that gaming can have a substantial impacton popular measures even in the presence of high transactionscosts. Our article shows there are conditions under which amanipulation-proof measure exists and fully characterizes it.This measure looks like the average of a power utility function,calculated over the return history. The case for using our alternativeranking metric is particularly compelling for hedge funds whoseuse of derivatives is unconstrained and whose managers' compensationitself induces a nonlinear payoff.     

存在融资约束的可能性均值—方差模型及其应用研究

在可能性均值—方差组合投资决策模型中引入融资条件的限制,用模糊数的可能性均值作为证券投资未来收益率的预期,用模糊数的可能性方差作为对证券投资收益未来风险的度量,建立存在融资条件的可能性均值—方差的组合投资决策模型,并研究了该模型的求解方法及实际应用。实证分析的过程中,给出一种根据证券交易的历史收益数据获取模糊预期收益率的方法,该方法将证券投资收益率用对称三角模糊数来表示,以反映证券收益率每个交易日的波动情况。     

我国融资融券担保制度的法律困境与解决思路

2006年6月30日，中国证监会发布了《证券公司融资融券业务试点管理办法》，为我国融资融券业务的开展提供了具体的法律依据。《管理办法》在构建融资融券的担保制度时，充分借鉴了美国等国家和地区的做法，创造性地引入了让与担保。然而，当前我国法律尚未确立让与担保制度，这就导致了我国按照让与担保模式设定的融资融券担保制度陷入了法律困境。本文试以境外市场的成功经验为借鉴，探讨我国现行融资融券担保制度法律困境的解决思路。     

民间借贷:现状与抉择

民间借贷是一种资金资源的市场化配置行为,民间借贷的信用性表明民间借贷存在的市场必然性。民间借贷既具有积极意义也存在消极因素。应当科学表述民间融资的政策定位与法律定位,并建立民间借贷登记制度。     

Modeling Foreign Bank Performance and Lending Behavior

This paper examines the profitability and commercial loan growth of foreign banks using a simultaneous‐equation framework. Maximizing behavior provides a two‐equation system in which bank profitability depends on variables related to expected returns, costs, and risks and in which loan growth is determined by risk and return variables. The model is tested to evaluate the determinants of foreign bank performace and lending behavior in the United States between 1987 and 1991. Overall the results indicate that factors such as capital strength, commercial and industrial loan growth, and assets composition were important in determining foreign banks' return‐on‐assets in the period under study. The role of capital appears to be particularly important in explaining foreign bank performance. The single significant determinant of loan growth was found to be previous period's loan growth.     

Discrete Expectational Data and Portfolio Performance

In this article we examine the information content in analysts' recommendations which are made on a five-point buy, hold, or sell scale. Our data set includes data on 10,000 forecasts per month. Unlike most prior studies, our data set does not suffer from selection or survivorship bias. We find information in analysts' changes in recommendations. Approximately 4.5% extra return can be earned by purchasing new buys rather than new sells.     

Improving Portfolio Performance with Option Strategies: Evidence from Switzerland

This paper investigates the performance of a global investment strategy that combines diversification and option strategies, in particular the covered call strategy, on the Swiss Exchange over the period 1989–96. As the return distributions of portfolios including options are possibly non-normal, the mean-variance framework may not be appropriate to assess the relative performance of such portfolios. Stochastic dominance and modified betas are the alternative approaches, robust to departure from normality, used in this paper to compare the performance of portfolios. The results show that the use of option strategies consistently improves the performance of stock portfolios, even in the presence of transaction costs.     

Portfolio management without probabilities or statistics

Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available—or deemed too difficult. On that assumption this paper explores how an adaptive procedure, which totally dispenses with statistics and associated competence, nonetheless may solve the problem over time.     

Portfolio Manager Ownership and Mutual Fund Performance

This paper examines the association between a mutual fund manager's personal fund investment and mutual fund performance. From a data set of newly released managerial ownership disclosures, I find that fund ownership levels are diverse and, in many instances, quite large. Mutual fund returns are increasing in the level of managerial investment, consistent with personal ownership realigning decision-maker and shareholder interests. Also consistent with the reduction of agency costs, I find that managerial ownership is inversely related to fund turnover. However, there is no evidence of an association between managerial ownership and a mutual fund's tax burden.     

Ethical Investing Has No Portfolio Performance Cost

We guide investors in three ethical investment applications by comparing ethically constrained versus unconstrained optimal portfolio methods that force well-behaved weights. With optimal readjustment upon constrained investing, in Sharpe ratio analysis, we find no evidence of a performance cost for sin-free, carbon-free, or Shariah portfolios even though, in the most exacting case, Shariah investing excludes roughly 65% of common shares from security selection. In each case, we identify the specific portfolio adjustments needed to prevent an ethical portfolio performance cost.