风险厌恶、失望厌恶和期货套期保值

本文考察失望厌恶对期货套期保值的影响。我们把一个不变的绝对风险厌恶（CARA）效用函数放进Gul（1991）的失望厌恶框架之内。它显示出，一个更厌恶失望的套期保值者会比一个厌恶失望程度较低的套期保值者选择一个更接近于最小方差套期保值的最优期货头寸。当套期保值者厌恶风险的程度较低时，失望厌恶的效应更强。对失望很小程度的厌恶会使一个接近于风险中性的套期保值者持有一个截然不同的头寸。此外，一个更厌恶风险或失望的套期保值者会有一个较低的参考点reference point。数字上的结果显示，厌恶失望的套期保值者的参考点往往会低于传统的厌恶损失的套期保值者的参考点。于是，厌恶失望的套期保值者的行动会更加保守，利用机会牟利的行为会少于传统的厌恶损失的套期保值者。     

Optimal Entrepreneurial Financial Contracting

This paper studies the optimal financing (capital structure) of entrepreneurial activity in the context of risk-aversion by incorporating the deadweight costs of bankruptcy and taxes. Unlike the extreme debt ratio (corner solution) predicted by scholars using linear models, this paper provides unique interior results for risk-free as well as risky debt, irrespective of corporate taxes. The paper also shows the necessary and sufficient conditions for both forms of debt, and the pareto-optimality of one over the other. The important findings of this paper are: (i) the existence of an equilibrium, where the borrowing interest rate is greater than the lending rate, despite the violation of Fisher separation theorem (1930); (ii) wealth plays a critical role in determining the debt ratio and the equilibrium risk-free rate of interest, complementing the De Meza and Webb (1987 and 1999) studies; (iii) an explanation for the preferred stock and income bond puzzles, extending Fooladi et al. (1991) and McConnell and Schlarbaum (1991).     

A model of a systemic bank run

This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two different motives for outside investors and their interaction with banks trading asset-backed securities: uncertainty aversion versus adverse selection. I shall argue that the version with uncertainty averse investors is more consistent with the stylized facts than the adverse selection perspective: in the former, the crisis deepens, the larger the market share of distressed core banks, while a run becomes less likely instead as a result in the adverse selection version. Therefore, the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the financial crises as well as provide tax payers with returns above those for safe securities.     

完全信息状态下保险市场主体间的静态博弈研究

保险市场主体的行为以及他们之间的复杂关系直接影响着保险市场的发展,特别是投保人的逆向选择、道德风险和保险代理人的违规操作广泛存在,长期困扰着保险界。本文针对投保人和保险代理人的问题行为,通过建立完全信息静态博弈模型,来深入研究保险人与投保人、保险代理人之间的博弈关系,探讨解决问题的现实对策。     

More on Properness: The Case of Mean-Variance Preferences

This paper focuses on the situations where individuals with mean-variance preferences add independent risks to an already risky situation. Pratt and Zeckhauser (Econometrica, 55, 143–154, 1987) define a concept called proper risk aversion in the expected utility framework to describe the situation where an undesirable risk can never be made desirable by the presence of an independent undesirable risk. The assumption of mean-variance preferences allows us to study proper risk aversion in an intuitive manner. The paper presents an economic interpretation for the quasi-concavity of a utility function derived over mean and variance. The main result of the paper says that quasi-concavity plus decreasing risk aversion is equivalent to proper risk aversion.     

Disappointment aversion and the equity premium puzzle: new international evidence

Drawing upon the seminal study of Ang, Bekaert, and Liu [2005. “Why Stock May Disappoint?” Journal of Financial Economics 76 (3): 471–508], we incorporate disappointment aversion (DA, that is, aversion to outcomes that are worse than prior expectations) within a simple theoretical portfolio-choice model. Based on the results of this model, we then empirically address the portfolio allocation problem of an investor who chooses between a risky and a risk-free asset using international data from 19 countries. Our findings strongly support the view that DA leads investors to reduce their exposure to the stock market (i.e. DA significantly depresses the portfolio weights on equities in all cases considered). Overall, our study shows that in addition to risk aversion, DA plays an important role in explaining the equity premium puzzle around the world.     

Order and price in a sequential auction

A sequential auction of commercial properties produced evidence that bid timing matters. Prices declined as the auction proceeded, an outcome consistent with expectations when bidders are either risk averse or quantity constrained.     

盯市风险下的期货套期保值

本文把盯市风险引入传统的期货套期保值框架，论证了在考虑盯市风险的情况下，一个关注每日最大亏损值的套期保值者会显著地减少他的期货头寸。在一个中期的套期保值期内，该套期保值者的期货套期保值头寸约为其现货头寸的80％。盯市风险的影响随着套期保值期的延长而缓慢减弱。如果套期保值者关注的是每日平均亏损值，在一个中期的套期保值期内盯市风险的影响极小。     

Does Branch Religiosity Influence Bank Risk‐Taking?

Using branch‐level data on public and private US banking institutions, we investigate the importance of branch religiosity in shaping bank risk‐taking behavior. Our results show robust evidence that branch religiosity is negatively related to bank risk‐taking. This effect persists after controlling for several bank‐level and county‐level variables that might correlate with religiosity. Moreover, this result is robust to controlling for headquarter religiosity, suggesting that the effect of branch religiosity is additive and not washed out by headquarter religiosity. Overall, our findings document that headquarter religiosity does not capture the full effect of religiosity on bank behavior, as claimed by previous research, but that the religiosity of the geographic area in which the bank operates significantly influences bank behavior.     

CEO inside debt and investment‐cash flow sensitivity

This paper provides a new explanation for investment‐cash flow sensitivity from the perspective of CEO inside debt holdings. We examine the effect of CEO pensions and deferred compensation (inside debt) on investment‐cash flow sensitivity for a sample of U.S. manufacturing firms from 2006 to 2012. We find that the firms with higher relative CEO leverage ratios (CEO's debt/equity ratio scaled by the firm's debt/equity ratio) generate higher investment‐cash flow sensitivity. Moreover, one standard deviation increase in the logarithm of the relative CEO leverage ratio enlarges investment‐cash flow sensitivity by 50 per cent. This positive relationship still holds even after we take account of endogeneity and financial constraints.     

A Model of Return Volatility with Application to Estimating Relative Risk Aversion

We estimate a monthly return volatility model that allows for the abrupt changes in volatility often observed in returns data. Using this model we are able to identify key months likely to correspond to draws from a high volatility regime. Using our model in conjunction with Merton's (1980) model relating expected risk premia to risk we obtain reasonable estimates of the coefficient of relative risk aversion.     

Risk aversion vs. individualism: what drives risk taking in household finance?

Despite a considerable premium on equity with respect to risk-free assets, many households do not own stocks. We ask why the prevalence of stockholding is so limited. We focus on individuals’ attitudes toward risk and identify relevant factors that affect the willingness to take financial risks. Our empirical evidence contradicts standard portfolio theory, as it does not indicate a significant relationship between risk aversion and financial risk taking. However, our analysis supports the behavioral view that psychological factors rooted in national culture affect portfolio choice. Individualism, which is linked to overconfidence and overoptimism, has a significantly positive effect on financial risk taking. In microdata from Germany and Singapore, as well as in cross-country data, we find evidence consistent with low levels of individualism being an important factor in explaining the limited participation puzzle.     

城镇化建设中工商银行面临的商机和经营对策

近年来城镇化建设已成为推动我国经济发展的主要动力之一,对此,商业银行应主动研究和分析我国城镇化建设对商业银行业务经营和拓展带来的影响.本文分析了当前我国城镇化建设的现状及发展方向,认为城镇化进程将会给工商银行带来较大的市场机遇.从实际出发,工商银行应加大对城镇基础公共设施建设、中小企业发展和城市土地经营管理的支持力度;积极发展个人消费信贷业务,努力拓展优质信贷市场,扩大同业市场占比;适应城镇化投融资体制改革的需要,加快金融业务创新步伐.同时,采取措施切实防范城镇化建设中可能出现的信贷风险.     

Managerial Ownership and Corporate Hedging

Abstract:  Using information on 443 UK non-financial companies, this work provides evidence supporting the hypothesis that managerial risk aversion is an incentive to deviate from the optimal hedging position. Conflicts of interest between shareholders and managers are at the centre of the decision about the firm's risk profile but are not relevant as determinants of the decision to hedge. This is rather associated with factors enhancing the firm's expected value (underinvestment, scale economies, tax savings).