The determinants of U.S. banks’ international activities

This paper develops a model and structural dynamic estimation of bank behavior to map the relationship between U.S. banks’ choices of foreign banking activities, and bank and foreign market traits. This estimation framework is applied to a unique bank-level dataset compiled from regulatory sources, covering U.S. banks’ foreign activities in 83 host markets over the 2003–2013 period. Bank traits are better able to explain the evolving patterns of foreign banking than host market characteristics. After controlling for these traits, the post-financial crisis period shows a structural shift away from cross-border claims towards foreign affiliate activities. Structural estimates of foreign market entry costs and regulatory attitudes towards risk are derived. Simulation exercises confirm the strong impact of banks’ and regulators’ risk stance on bank profits and portfolio composition.     

Summary Analvsis of Circular No. 106

SAEF will promulgate Circular 106 to heighten the threshold for foreign private equity funds into domestic enterprises, to facilitate the development of local Funds and capital market besides continuing to absorb foreign capitals.[第一段]     

Greenspan:More Than 50 Percent Chance of U.S.Recession

There is more than a 50 percent chance the UnitedStates could go into recession,former Federal Reservechairman Alan Greenspan told El Pais newspaper in an     

The U.S. left behind? Financial globalization and the rise of IPOs outside the U.S.

From 1990 to 2011, the share of world IPO activity by non-U.S. firms increased because of financial globalization and because of a decrease in U.S. IPO activity. Financial globalization reduces the impact of national institutions on domestic IPO activity and enables more non-U.S. firms from countries with weak institutions to go public with a global IPO. U.S. IPO activity does not benefit from financial globalization. Compared to other countries, the rate of small-firm IPO activity in the U.S. is abnormally low in the 2000s. This abnormally low rate cannot be explained by the regulatory changes of the early 2000s.     

An examination of the impact of the Sarbanes–Oxley Act on the attractiveness of U.S. capital markets for foreign firms

We examine whether voluntary deregistrations after the passage of Sarbanes–Oxley Act of 2002 (SOX) were intended to benefit common shareholders by avoiding firms’ costs of complying with SOX or to protect the control rents of managers or controlling shareholders (MCOs). We find that, compared with foreign firms that maintained their SEC registrations, foreign firms that voluntarily deregistered on average had weaker corporate governance, had a significantly less negative stock market reaction when SOX was passed, and suffered a significant price decline when they announced their decision to deregister. We also find evidence indicating that the deregistrations were (to a lesser extent) motivated by firms’ compliance costs related to SOX. Taken together, our results suggest that both agency costs (that is, private benefit of control of the MCOs) and the compliance cost of SOX play a role in motivating foreign firms to withdraw from the U.S. market.     

Does a change in dividend tax rates in the U.S. affect equity prices of non-U.S. stocks?

Review of Accounting Studies - I investigate the link between dividend taxes and stock prices in a global setting. Based on findings from an open-economy after-tax capital asset pricing model, I...     

Cao Guowei, New CEO of Sina.com

On May 10th, 2006, the first Chinese gateway, Sina.com, proclaimed formally to the public that its administrative team will be adjusted. Wang Yan will not hold the post of CEO any more and he was transferred to be the vice board chairman of Sina.com. The primary president and CFO, Cao Guowei, will be promoted to be president and CEO as well as the member of the board of Sina.com.     

Uninvited U.S. Investors? Economic Consequences of Involuntary Cross‐Listings

We study the economic consequences of a recent Securities and Exchange Commission securities regulation change that grants foreign firms trading on the U.S. over‐the‐counter (OTC) market an automatic exemption from the reporting requirements of the 1934 Securities Act. We document that the number of voluntary (sponsored) OTC cross‐listings did not increase following the regulation change, suggesting that it did not achieve its intended purpose of increasing voluntary OTC cross‐listings through a reduction in compliance costs. We do find that the design of the regulation allowed financial intermediaries to create an unprecedented number of involuntary (unsponsored) OTC ADRs: 1,700 unsponsored ADR programs for 920 firms were created for companies that had previously chosen not to cross‐list in the United States. Our difference‐in‐differences analysis based on a matched sample approach documents that foreign firms forced into the U.S. capital markets experience a significant decrease in firm value, and we further show that the decrease in firm value is related to an increase in U.S. litigation risk. We also find that depositary banks’ propensity to involuntarily cross‐list firms is positively related to banks’ expected fee revenue, and that banks chose firms that incur high costs when involuntarily cross‐listed. Our results provide evidence that securities regulation can be exploited for private gain and result in costly unintended consequences.     

Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics™

This work describes applications of probability and statistics in RiskMetrics, J.P. Morgan's methodology for quantifying market risk. The methodology implements an analytical approach to financial risk in trading, arbitrage, and investment based on the statistics of market moves in equities, bonds, currencies and commodities. The public unveiling of RiskMetrics in October of 1994 attracted widespread interest among regulators, competing financial institutions, investment managers, and corporate treasurers, while the available technical documentation offers us a unique opportunity for informed statistical research on the theory and practice of financial risk management. For the purpose of identifying problems for further research, this discussion focuses on five applications of statistics in RiskMetrics, which range from data analysis of daily returns and locally Gaussian processes to stochastic volatility models and Itô processes for the term structure of interest rates. Another important theme of this discussion, however, is devoted to attracting statisticians to the study of financial risk management and developing the foundations for collaborative work with financial economists and practicing risk managers. For this reason, this is also an expository document that touches several areas of active statistical research with applications to problems of risk management.     

Rate regulation of U.S. electric utilities: Does it deter earnings management?

This study is the first broadly-based examination of earnings management within the rate-regulated U.S. electric utility industry. In a three-phase analysis using extant discretionary accrual models in the earnings-management literature, we provide evidence that: (1) on average, rate regulation appears to deter earnings management; (2) relaxing rate regulation (i.e., deregulation) tends to increase the potential for earnings management; and (3) in those situations in which utilities are seeking increased rates from regulators, sufficient accounting latitude exists under GAAP to allow utility management to depress reported earnings. As this last finding may persuade regulators to approve a utility's rate request, triggering increased electricity rates, the potential exists for wealth transfers between “captured” rate-paying customers and shareholders. The study's results also provide for the first time empirical justification for accounting researchers to exclude rate-regulated firms from cross-sectional, inter-industry research designs examining discretionary accruals.     

A practitioner's perspective: Comments on “Analysis of U.S. savings bonds”

In this issue, Potts and Reichenstein describe features of U.S. savings bonds and discuss their evaluation. The article can serve as a reference for busy practitioners who may not follow changes in the savings bond market closely, especially those who tend to rely on product-related education for updates on financial instruments.Savings bonds remain an important investment for individuals; on March 31, 1994, individuals held $174.9 million in U.S. savings bonds, a 7% increase from one year prior (Williams, 1994). Further, as Table 1, “Demographic Characteristics of Individual Savings Bond Holders,” indicates, the holding of savings bonds is not exclusive to any particular age group or income level (Federal Reserve Bulletin, 1994).     

How did the financial crisis alter the correlations of U.S. yield spreads?

We investigate the pairwise correlations of eleven U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007–09. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise correlations between yield spreads were systematically and significantly altered in the sense that spreads comoved with one another much more than in normal times. We find evidence that, for almost half of the fifty-five pairs under investigation, the crisis has left spreads much more correlated than they were previously. This evidence is particularly strong for liquidity- and default-risk-related spreads, long-term spreads, and the spreads that were most likely directly affected by policy interventions.     

Job Market Signaling: What Drives the Productivity of Finance Ph.D.s?

We study the research productivity of new finance Ph.D.s as measured by the number of quality publications. A commonly accepted notion is that the highest ranked schools produce the candidates with the greatest potential for high‐quality publications. Our results, however, find publications or revisions in top‐tier journals during the doctoral program are a stronger measure of potential research productivity than the school attended. Our findings demonstrate how candidates outside of the top schools can signal their future research productivity. Even though we examine the specialized labor market, our results have broader implications for markets outside academics.