Performance of Thailand banks after the 1997 East Asian financial crisis

The performance of commercial banks and government-owned specialized banks in Thailand is estimated after the 1997 East Asian financial crisis. Commercial banks exhibit increasing returns to scale, whereas government-owned specialized banks exhibit decreasing returns to scale, implying further increases in bank size and market concentration in the commercial bank sector but not for government specialized banks. Cost inefficiency varies by bank and is a function of the ratio of nonperforming loans (NPLs) to total loans, equity to total assets and liquid assets to total assets, as well as the number of branches. On average, banks with fewer NPLs, that are well capitalized and with adequate liquidity are efficient. Thus, stricter rules to regulate credit risk management and ensure capital and liquidity adequacy would enhance efficiency in the banking sector. Although estimated input substitutability appears to be low, labour and loanable fund are substitutes. However, labour and physical capital as well as physical and loanable funds are complements in commercial banks. All the three inputs of labour, physical capital and loanable funds are substitutes for the government specialized banks.     

Do bitcoins follow a random walk model?

Bitcoins have become a fad among investors despite of the ambiguity surrounding on its nature and characteristics. This study aims to contribute to the existing literature of examining bitcoin returns under a financial asset purview. Through multiple robust tests, the market efficiency of daily bitcoin returns is analyzed for the time frame of July 2010 till March 2018. Strong evidence of market inefficiency characterized by absence of random walk model is found. The market inefficiency was found attributable to the presence of asymmetric volatility clustering. More studies are needed to examine the temporal dynamics of bitcoin returns.     

Scale and efficiency measurement using a semiparametric stochastic frontier model: evidence from the U.S. commercial banks

In this paper, we use the local maximum likelihood (LML) method proposed by Kumbhakar et al. (J Econom, 2007) to estimate stochastic cost frontier models for a sample of 3,691 U.S. commercial banks. This method relaxes several deficiencies in the econometric estimation of frontier functions. In particular, we relax the assumption that all banks share the same production technology and provide bank-specific measures of returns to scale and cost inefficiency. The LML method is applied to estimate the cost frontiers in which a truncated normal distribution is used to model technical inefficiency. This formulation allows the cost frontier, inefficiency effects and heteroskedasticity in both noise and inefficiency components to be quite flexible.      

Reputation for quality and adverse selection

We analyze a dynamic market with a seller who can make a one-time investment that affects the returns of tradable assets. The potential buyers of the assets cannot observe the seller׳s investment prior to the trade or verify it in any way after the trade. The market faces two types of inefficiency: the ex-ante inefficiency, i.e., the seller׳s moral hazard problem, and the ex-post inefficiency, i.e., inefficient ex-post allocations due to the adverse selection problem. We analyze how the observability of information by future buyers, through which the seller builds a reputation, affects the two types of inefficiency as well as the interplay between them.     

Economic Significance of the Predictable Movements in Futures Returns

This paper tests whether the variation in expected futures returns reflects rational pricing in an efficient market or weak-form market inefficiency. The issue is investigated by looking at the abnormal performance of a trading rule based on available information. Once one allows for time-varying risk and time-varying risk premia, the investment strategy can be used consistently to generate abnormal returns in seven out of 26 markets. With relatively few exceptions therefore, the predictable movements in futures returns reflect weak-form market efficiency. The paper also shows that wrongly assuming constant expected returns may lead to incorrect inferences regarding market efficiency.
(J.E.L.: G14, G12).     

The Inefficiency of Litecoin: A Dynamic Analysis

We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multifractality of Litecoin returns.

     

Too little or too much R&D?

According to the first generation models of endogenous growth based on expanding product variety, the market economy unambiguously generates too little R&D. Later, by disentangling returns to specialization from the market power parameter, it was shown that with sufficiently low returns to specialization too much R&D can occur. The present paper takes a step further, disentangling the market power parameter from the capital share in final output. At a theoretical level this helps finding too much R&D as well. On the other hand, in view of the empirically realistic order of magnitude between the parameters, disentangling market power and capital share tends to diminish the scope for excess R&D. Finally, by differentiating between net and gross returns to specialization we demonstrate what drives the differing inefficiency results in this literature.     

Optimal Fiscal Policies,Congestion and Over‐entry*

By shedding light on market imperfections and the congestion of public goods, we show that free entry in a market equilibrium will lead to excessive entry relative to the social optimum. Moreover, by specifying a generalized congestion function, it is also shown that different fiscal policies, including labor income tax, capital income tax and government expenditure, play a distinct role in terms of remedying market distortions. Specifically, optimal income taxes decrease with the degree of market imperfections in order to remove the monopoly inefficiency, while they increase with the degree of congestion in order to remedy the adverse externality caused by congestion distortion. Since a higher degree of increasing returns to an expansion in the variety of intermediate goods is found to intensify the congestion effect of government infrastructure expenditure, the optimal rule of government expenditure proposed by Barro (1990) should be modified.     

Determinants of banks’ Nerlovian economic efficiency: a DEA-bootstrap approach

ABSTRACT

This study aims to evaluate the Nerlovian economic efficiency of Taiwanese commercial banks and its determinants by assuming the presence of an imperfectly competitive market using a two-stage estimation procedure: Nerlovian economic inefficiency and its components’ price, technical and allocative efficiencies computed and decomposed in the first stage, which are regressed on the explanatory variables with a bootstrapped truncated approach in the second stage. The estimation results show that in the first-stage analysis, the Nerlovian economic inefficiency of banks is primarily due to allocative inefficiency, and indicate the existence of price inefficiency in Taiwan. In the second-stage analysis, the results confirm that both the years in operation of the bank and the ratio of credit loans are the main determinants of banking profit efficiency. In addition, this study not only shows that publicly owned banks contribute to better price efficiency but also proves that loan loss reserve to total assets is negatively associated with technical efficiency. The equity ratio exerts an insignificant favourable impact on allocative efficiency. The findings of this research are essential for bank managers in Taiwan.     

Efficiency in the NFL betting market: modifying and consolidating research methods

Modifying and consolidating previous research methods to generate more reliable estimates, some fairly weak evidence is found of inefficiency in the NFL betting market resulting from a bias favouring home underdog (against away favourite) teams. In contrast to previous research, no evidence is found that ‘momentum strategies’ generate significant returns in this market.     

不同经济制度条件下的区域差异

在以私有制为基础的市场经济制度下,生产要素按回报最大化原则在区域间转移,结果导致区域差异的变化呈威廉逊所论的倒"U"型趋势。建立在公有制基础上的计划经济制度虽有一定的使区域差异趋同的机制,但效率损失较大,就中国经验而论,没能有效地导致区域差异缩小。在以公有制基础的市场经济制度条件下,由于地方国有的制度安排往往出现市场分割、生产要素难以按回报最大化原则在区域间转移,导致区域差异难以有效缩小。国有经济退出竞争性领域和建立统一市场是缩小区域差异的关键。     

Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?

In this project, our topic pertains to examination of market efficiency, employing data from closed-end funds (CEFs) trading in the American stock market. Employing both aggregate and individual data, we examine whether or not moderate market performance is a sufficient condition in order to achieve abnormal returns, in the short-run, through exploitation of discount deviations from its mean value. The main hypothesis tested is that market performance affects the mean-reverting properties of CEFs’ discount. Moderate market performance ensures the mean-reversion of CEFs’ discount and points to cointegration between the share prices of CEFs and their net asset value (NAV). Furthermore, when NAV is identified as the common stochastic trend of the system then, market inefficiency is detected.     

Are Co-integrated Stock Prices Consistent with the Efficient Market Hypothesis?

This paper responds to the unsatisfactory argument that there is no correspondence between co-integration and the efficient market hypothesis. A law of one co-integrating vector of prices is proposed for the exchange rate and domestic and overseas stock prices. Markets must therefore be efficient in long-run equilibrium because no arbitrage opportunities exist. However, arbitrage activity via the disequilibrium error correction allows above-average (risk-adjusted) returns to be earned in the short run. The elimination of these arbitrage opportunities means that stock market inefficiency in the short run ensures stock market efficiency in the long run.     

Agency Cost of Debt and Credit Market Imperfections: A Bargaining Approach

This paper studies the effect of credit market imperfections, measured by the relative bargaining power of banks, on the agency costs of debt finance. The threshold of obtaining loan finance is shown to be independent of the relative bargaining power of the financier. However, lower relative bargaining power of banks leads to lower lending rates and investment return distributions with lower, but less risky returns. Thus, our analysis does not support the view, presented in a large existing literature, that there would be a trade‐off between reduced credit market imperfections and higher agency costs of debt finance.     

Recreational versus professional bettors: Performance differences and efficiency implications

Using a novel dataset, which allows comparisons across heterogeneous sub-groups of pari-mutuel bettors, we demonstrate significant behaviour and performance distinctions between recreational and professional investors. Professionals’ ability to earn abnormal returns on short odds horses in high volume markets challenges the existing empirical consensus, which offers very limited evidence of betting market inefficiency. The results offer important lessons for betting operators and regulators and highlight the potential for similar avenues of investigation in other speculative markets.     

Conditional value-at-risk: Aspects of modeling and estimation

This paper considers flexible conditional (regression) measures of market risk. Value-at-Risk modeling is cast in terms of the quantile regression function – the inverse of the conditional distribution function. A basic specification analysis relates its functional forms to the benchmark models of returns and asset pricing. We stress important aspects of measuring the extremal and intermediate conditional risk. An empirical application characterizes the key economic determinants of various levels of conditional risk. Received: September 30, 1999/Revised version: November 20, 2000     

我国省份之间的要素流动和边际生产率的差异分析

本文讨论了我国各省份之间的生产要素配置的有效性问题。首先 ,在估计各省份的生产函数的基础上 ,给出了各省份资本存量和劳动的边际回报率的大小。其次 ,本文引入了刻划边际回报差异程度的指标———离差指标。通过分析发现 ,从 1 970— 1 989年 ,资本存量的边际生产率的差异水平在缩小 ,从 1 989年起 ,边际生产率的差异水平保持在一个稳定水平 ;劳动的边际生产率的差异从 1 970— 1 993年也在缩小 ,但是 ,从 1 994年开始 ,劳动的边际生产率的差异水平反而开始上升。最后 ,本文对出现的资本存量和劳动的边际回报率差异的变化趋势进行了初步的解释。     

Government Interventions, Market Imperfections, and Technical Inefficiency in a Mixed Economy: A Case Study of Indian Agriculture

This paper uses an output-maximizing framework in the presence of expenditure constraint to measure output loss and input misallocation resulting from market distortions and technical inefficiency. A generalized indirect production function accommodating allocative distortions and technical inefficiency is used. Allocative distortions are captured in terms of effective (shadow) prices in which distortion parameters are both farm- and input-specific. The stochastic frontier approach is used to model technical inefficiency. Using farm-level data on 105 jute growers from West Bengal, India, we find that average output losses due to allocative distortions and technical inefficiency are 6.3% and 14%, respectively.     

How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold market

Although the gold market over the past decade has been soaring relative to its prior history, there have been few studies on the relationship between the gold market and other major financial markets based on the past decade of data. To re-investigate how the gold market interacts with the stock market and the bond market, we re-visit economic and financial characteristics of gold using the past 10-year data in terms of co-integration, causality, predictive power, and extreme returns. We find that while gold returns are not co-integrated with stock returns and bond returns, gold returns have a unidirectional causality with both of them. Also, we discover that gold returns have some predictive power on subsequent short-term stock returns. Under extreme market scenarios, it turns out that gold returns tend to deteriorate more simultaneously with bond returns than stock returns. This means that gold can better serve as a safe haven for stock in a relative sense during temporary market downturns.