Forward-Looking Tail Risk Exposures at U.S. Bank Holding Companies

This paper develops a simple method for quantifying banks’ exposures to large (negative) shocks in a forward-looking manner. The method is based on estimating banks’ share prices sensitivities to (market) put options and does not require the actual observation of tail risk events. We find that estimated (excess) tail risk exposures for U.S. Bank Holding Companies are negatively correlated with their share price beta, suggesting that banks which appear safer in normal periods are actually more crisis prone than their beta would suggest. We also study the determinants of banks’ tail risk exposures and find that their key drivers are uninsured deposits and non-traditional activities that leave assets on banks’ balance sheets.     

Stronger Risk Controls,Lower Risk: Evidence from U.S. Bank Holding Companies

We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these results suggest that a strong and independent risk management function can curtail tail risk exposures at banks.     

The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies

We have examined the impact of derivatives activity on commercial banks based on panel data from 18 large U.S. bank holding companies (BHC). This paper found that in general the larger the notional values of non-traded derivatives, the more derivative positions held by banks, meaning potentially better performance. The derivatives activity increased the BHCs’ overall risk level, the reason is that most US BHCs are able to take more speculative positions in derivatives contracts in the name of risk management, excluding the impact of held-for-trading positions. Additionally, we found that while participative banks took more speculative positions in derivatives contracts in the name of risk management, while dominant banks preferred to hold derivatives positions for the sake of hedging the underlying risks. Furthermore, we found that the BHCs take more speculative positions in derivatives contracts in the name of risk management before the sub-prime mortgage loan crisis than after the sub-prime mortgage loan crisis, so they assumed more risks before the sub-prime mortgage loan crisis. Overall, our findings suggest that the usage of derivatives for commercial banks is a double-edged sword. Using derivatives maybe a matter of managerial risk appetite to hedge underlying risks for commercial banks, however, it maybe also increase the commercial banks’ overall risks if the derivatives positions are used to speculate, though derivatives activity could increase the profitability of BHCs.     

美国银行控股公司的监管实践、监管改革及其借鉴

本文分析了美国银行控股公司立法动因和市场最新发展,阐述了美联储对银行控股公司的持续性监管、监管评级和监管协调,详细分析了美国金融监管改革方案中有关银行控股公司的改革建议。在此基础上,提出了我国金融集团监管和银行控股股东监管的相关建议。     

An Examination of Multiple Governance Forces within Bank Holding Companies

This study explores multiple means of governance and monitoring in bank holding companies and their impact on performance and executive compensation. We exploit variables unique to the banking industry to aid in our understanding of this simultaneous relationship. Our primary finding is that after controlling for both regulatory oversight and capital market discipline, a strong board is associated with higher firm performance, lower levels of executive pay and lower growth rates of executive pay. The findings support the fundamental role of corporate governance in overseeing management and ultimately firm performance.     

美国投资银行治理结构的实证分析

美国投资银行以其完善有效的内部管理机制、锐意进取的开拓精神、推陈出新的创新意识而在全球资本市场中独占鳌头。实证分析表明，美国十大投资银行的股权结构、董事会结构、激励约束机制等治理结构诸方面均对绩效产生了积极影响，值得借鉴。     

美国证券市场高科技上市公司研究

高科技的宠儿——YAHOO公司，是一个靠借款建立起来的网络公司，通过上市，一夜之间取得了令人难以置信的财富，股价最高时达到450美元。在证券市场的协助下，“知识就是财富”的内涵获得了淋漓尽致的表现，也改写了资本称霸证券市场的历史。     

Bank Contingent Capital: Valuation and the Role of Market Discipline

This paper develops a structural model to evaluate contingent capital notes (CCN) of Basel III under alternative regulatory closure rules. Our dynamic model has a fixed default barrier and at specific discrete time points an additional higher default barrier depending on the closure threshold. The closed-form expressions of CCN and subordinated debts (SD) in the simple Merton model are presented to understand the convex relationship between the price and capital ratio trigger of CCN and to examine the effects of closure rules on CCN and SD through their derivatives’ properties. Our numerical results in the more general model show that a lax closure rule increases the price of SD and distorts the risk information of issuing banks, but not so for CCN. The policy implications are that CCN are more effective than SD in terms of enhancing market discipline because the price/yield information of CCN is more sensitive to the issuing bank’s risk than SD and will not be distorted by regulatory closure rules.     

Procyclicality of U.S. Bank Leverage

In light of the current debate about the link between accounting and financial stability, we investigate the determinants of procyclical book leverage for U.S. commercial and savings banks. We find that total asset growth and GDP growth are both positively related to book leverage growth. Our evidence is not consistent with the notion that fair value accounting contributes to procyclical leverage or that historical cost accounting reduces procyclicality. Overall, the business model of banks is more important for procyclical leverage than accounting or regulatory risk weights.     

交叉持股公司的"做大做强"与资本市场的泡沫化——基于创业板受益公司股价飙升的思考

本文考察在会计准则框架内,公司交叉持股行为可能导致公司账面价值虚增.在大量创业板公司陆续发行上市,发行市场和交易市场存在较高股票价差的背景下,这种交叉持股行为可能进一步导致公司实体资产的真实价值与公司市值出现严重背离,引发资本市场的泡沫化.     

Valuation Effects of New Securities Issuance by Bank Holding Companies: New Evidence

This study examines the announcement impact of bank holding company (BHC) security offerings on shareholder wealth. The results from this study regarding the effects of preferred stock, convertible debt, and straight debt issuances are largely consistent with previous studies. However, in contrast to previous studies pertaining to both BHCs and nonfinancial firms, this study does not find statistically significant negative announcement effects of common stock issues. This particular finding is consistent with the argument that an increase in the capital ratio may have a positive impact on common stock prices of BHCs under certain circumstances.     

活跃的美国社区金融

社区金融活动在美国的经济金融运行中占据了相当重要的地位,这些以社区银行为代表的区域性的金融机构在大状银行的市场竞争压力下获得了活跃的发展空间.     

欧元vs美元:并非零和博弈

欧元的实行提供了一种更完善的公共产品,它将被证明对欧元区内外的使用者都有利,包括所有在欧元区内和与欧元区有商业往来的部门。欧元具有改善欧元区国家经济表现的作用,从更广泛的意义上,欧元也是合作与和平一体化的标志,从这两方面,所有非欧元区的国家都可以间接得益。     

Institutional Ownership,Diversification, and Riskiness of Bank Holding Companies

We examine the relationship among the level and stability of institutional ownership, diversification, and riskiness of publicly traded bank holding companies. We find that large and stable institutional ownership is associated with a higher (lower) level of geographic, revenue, and nontraditional banking (asset) diversification and lower risk, suggesting that institutional investors are prudent and favor risk‐reducing diversification strategies. The association between institutional ownership level and diversification is more pronounced under deregulation and during the crisis, suggesting a substitution effect between regulation and market discipline, and a greater level of monitoring and/or advising by institutional investors during the crisis, respectively.     

A Framework for Market Discipline in Bank Regulatory Design

Abstract:   Given current debates on the future direction of regulatory design, the first objective of this paper is to contextualise the issues surrounding bank market discipline. Accordingly, the paper raises awareness of the current key themes within incentive‐based regulatory design and analyses the theory underlying market discipline. This leads to the creation of a theoretical framework of market discipline, which provides a powerful tool for understanding the conditions necessary for effective market discipline and for assessing the findings of market discipline‐related empirical research. The second objective is to emphasise the suitability of the theoretical framework for debates on contemporary market discipline and aiding future bank regulatory policy design, in particular, how to incorporate suitable, incentive mechanisms in international banking regulation.     

Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?

Although accurate bond prices are difficult to come by, many have advocated that bank supervisors use subordinated debt spreads in the surveillance of large banking organizations. Our findings indicate that subordinated debt spreads are most consistent across data sources for the most liquid bonds (i.e., those of relatively large issuance size, relatively young age, issued by relatively large firms) traded in a relatively robust overall bond market. We also find a high degree of concordance in rankings of firms by their minimum spreads across bonds with especially strong agreement about which large firms are in the tails of the spread distribution at each point in time. Our time-series results further support and provide additional guidance for the use of subordinated debt spreads in supervisory monitoring, support the need for careful judgment when interpreting such spreads, highlight difficulties with currently available data sources, and motivate the need for further research.     

Size Anomalies in U.S. Bank Stock Returns

The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk‐adjusted returns than small‐ and medium‐sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk‐adjusted returns. This factor measures size‐dependent exposure to bank‐specific tail risk. These findings are consistent with government guarantees that protect shareholders of large banks, but not small banks, in disaster states.     

美国个人股票持有结构分析

二战后,美国个人的金融资产结构发生了显著变化,直接持有股票的比重降低而机构性资产的份额大幅度上升。从微观家户层面角度,美国家庭的直接股票持有与家庭收入呈明显的正向关系,低收入家庭群体直接持股比例低,而收入越高的家庭群体直接持股的比例也越高。基于美联储的消费者金融调查数据,我们从户主年龄、户主受教育程度、户主就业状况以及住房状况等方面详细分析了美国的家庭收入分布状况与直接持有股票状况,也印证了上述结论。借鉴美国的发展经验,笔者对我国个人金融资产结构的改善提出若干建议。     

中国银行控股公司资本充足率管理的实证研究

本文认为在当下金融危机环境下,研究银行资本充足问题是当下之急。因此,文章在对我国资本充足率现状总体描述之后,做出了细致的实证研究。具体实证过程通过一个变速一部分调整模型,来实现对我国资本充足水平和商业银行自身资本调整速度的影响因素的分析,并针对实证结果,给出了一些财务管理上的政策建议。