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1.
Publicly traded versus privately held: implications for conditional conservatism in bank accounting 总被引:1,自引:0,他引:1
Compared with privately held banks, publicly traded banks face greater agency costs because of greater separation of ownership
and control but enjoy greater benefits from access to the equity capital market. Differences in control and capital market
access influence public versus private banks’ accounting. We predict and find that public banks exhibit greater degrees of
conditional conservatism (asymmetric timeliness of the recognition of losses versus gains in accounting income) than private
banks. We predict and find that public banks recognize more timely earnings declines, less timely earnings increases, and
larger and more timely loan losses. Although public ownership gives managers greater ability and incentive to exercise income-increasing
accounting, our findings show that the demand for conservatism dominates within public banks and that the demand for conservatism
is greater among public banks than private banks. Our results provide insights for accounting and finance academics, bank
managers, auditors, and regulators concerning the effects of ownership structure on conditional conservatism in banks’ financial
reporting.
相似文献
James M. WahlenEmail: |
2.
Relationship Banking and the Pricing of Financial Services 总被引:2,自引:1,他引:1
Charles W. Calomiris Thanavut Pornrojnangkool 《Journal of Financial Services Research》2009,35(3):189-224
We investigate pricing effects of the joint production of loans and security underwritings. We control for firm and borrower
characteristics, including differences in sequencing, which are important for pricing. Contrary to previous studies, when
banks combine lending and underwriting within the same customer relationship they charge premiums for both loans and underwriting
services. Abstracting from effects of joint production within relationships, depository banks engaged in underwriting price
lending and underwriting more cheaply than stand alone investment banks. One advantage borrowers enjoy from bundling products
within a banking relationship is a form of liquidity risk insurance, which is manifested in a reduced demand for lines of
credit. We also find evidence of a “road show” effect; firms enjoy loan pricing discounts on loans that are negotiated at
times close to the debt underwritings, whether or not the same bank provides both services. Relationship effects are only
visible when lending and underwriting both occur, and are stronger for equity-loan relationships than for debt-loan relationships.
Electronic supplementary material The online version of this article (doi:) contains supplementary material, which is available to authorized users.
相似文献
Thanavut PornrojnangkoolEmail: |
3.
The relationship between (a) private and public equity market valuations and (b) financial statement information is examined
for a sample of 502 venture capital backed companies from six different industries over the 1993–2003 period. Financial statement
information explains a sizable component of the levels of and changes in valuation in both the Pre-IPO and Post-IPO periods.
The findings support prior research for Post-IPO companies that revenues are value enhancing and costs are value diminishing.
For the Pre-IPO period, we find that cost of sales; sales, marketing, general and administrative; and research and development
are value enhancing—even when revenues are included in the analysis. This is consistent with costs incurred by early-stage,
venture-backed companies having a strong “investment aspect” as the companies build a platform/infrastructure to grow revenue
and validate their business model(s). We document the growth of early stage companies for revenues and costs in both calendar
time (by round of private equity financing) and event time (relative to their eventual IPO).
相似文献
George FosterEmail: |
4.
Seow Eng Ong Tien Foo Sing Alan Hwee Loon Teo 《The Journal of Real Estate Finance and Economics》2007,35(3):253-280
This paper extends the extant literature in understanding the effects of equity and debt on delinquency and default by focusing
on a variant of borrower equity where part of equity is “protected”. The CPF scheme in Singapore stipulates that the refund
of borrower’s retirement funds utilized for property purchase prior to September 2002 takes priority over loan obligations.
A decision to utilize CPF for property purchase actually increases ex post delinquency and default risk as it effectively
reduces cash equity commitment. In particular, any erosion in house value that places protected equity at risk translates
into potential wealth reduction or financial liability for the borrower. While loss aversion is evident for non-distressed
sellers, the effect of equity losses for distressed borrowers is not as clear. Our research suggests that averting losses
in committed equity may be a secondary consideration for borrower subject to income shocks, recognizing that delinquency and
default are precursors to foreclosure. Interestingly, we find that the borrowers are strongly averse to incurring protected
equity-induced wealth loss or financial liability. This study suggests that the first-lien “anomaly” associated with CPF refund
may reduce delinquency and default risks for mortgage backed securities.
相似文献
Seow Eng OngEmail: |
5.
Rocco Ciciretti Iftekhar Hasan Cristiano Zazzara 《Journal of Financial Services Research》2009,35(1):81-98
Very little is known about how adopting Internet activities impact traditional banks. By tracing the experience of Italian
commercial banks, we provide evidence and implications for banks’ use of new Internet technology and innovative banking products
as they relate to performance. Using different definitions for what is considered as Internet activity and by examining alternative
proxies for bank return and risk, we find a significant link between offerings of Internet banking products and bank performance.
Although this link is significantly positive for bank returns, we find a negative, marginally significant, association between
the adoption of Internet activities and bank risk.
相似文献
Cristiano ZazzaraEmail: |
6.
In a survey of banks founded from 1994–2002, we find over 85% of respondents think their small-business market was underserved,
72% felt the market needed more competition, almost half indicated they were likely to start a bank because takeover activity
displaced them, and 75% entered due to a market merger. Markets of banks started by displaced managers or following a merger
have performance and lending characteristics similar to comparable banks, but larger changes in asset growth rates. Managers
who responded that small-businesses were underserved have higher numbers and amounts of small-business loans 3 years after
entry. Managers responding that entry was due to mergers eliminating community banks have lower ROA, but larger changes in
market ROA. Markets had smaller changes in ROA when entry was to provide competition or when managers thought the small business
market was underserved.
相似文献
James W. WansleyEmail: |
7.
Bank Competition,Risk, and Subordinated Debt 总被引:2,自引:2,他引:0
Jijun Niu 《Journal of Financial Services Research》2008,33(1):37-56
This paper studies a dynamic model of banking in which banks compete for insured deposits, issue subordinated debt, and invest
in either a prudent or a gambling asset. The model allows banks to choose their level of risk after the interest rate on subordinated
debt is contracted. We show that requiring banks to issue a small amount of subordinated debt can reduce their gambling incentives.
Moreover, when equity capital is more expensive than subordinated debt, adding a subordinated debt requirement to a policy
regime that only uses equity capital requirements is Pareto improving.
相似文献
Jijun NiuEmail: |
8.
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific
observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using
a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the
“underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.
相似文献
Susan WachterEmail: |
9.
We report new findings on bank efficiency in East Asian countries for the pre- and post-IMF restructuring periods. We find
that bank efficiency has improved, but only to the pre-IMF intervention level, and that restructured banks are not more efficient
than their unrestructured counterparts. Different restructuring measures have different effects. Bank closures are economically
justified, but mergers show short-term efficiency losses. Recapitalization and reprivatization of badly performing banks lead
to efficiency improvement, but also increase government ownership. Ease of entry that has allowed for more foreign bank participation
results in slightly improved performance of badly performing banks.
相似文献
Luc Can (Corresponding author)Email: |
10.
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference
entities consists of large, internationally active German banks and the observation period covers 3 years.
By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity
risk, we gain important insights into modeling the dynamics of CDS spreads. The impact of systematic risk, for example, has
three components; one is related to the overall state of the economy, another related to the risk of the internationally active
banking sector, and the third is an unobservable systematic factor.
Default probabilities, inferred from a tractable reduced form model for CDS spreads, are compared with expected default frequencies
from the Moody’s KMV model. The results lend empirical support to the hypothesis that structural models can be less informative
than reduced-form models of CDS spreads in the case of banks with major investment banking activities as the leverage loses
explanatory power.
Although the CDS market appears to have matured over the observation period, during certain periods premiums for liquidity
risk can increase substantially thus limiting the value of CDS spreads as market indicators. We conclude that equity prices
and CDS premia should be considered together to fully exploit the information content of both market indicators and to mitigate
their respective drawbacks.
相似文献
Agnieszka SosinskaEmail: |
11.
The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements 总被引:1,自引:1,他引:0
Allan A. Zebedee Eric Bentzen Peter R. Hansen Asger Lunde 《Financial Markets and Portfolio Management》2008,22(1):3-20
We examine the impact of monetary policy on the S&P 500 using intraday data. The analysis shows an economically and statistically
significant relationship between S&P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude
of the response is dependent on whether the change was expected or unexpected. An expected change in the Fed funds target
rate has no impact on prices in the broad equity market; however, an unexpected change of 25 basis points in the Fed funds
target rate results in an approximate 48 basis points decline in the broad equity market’s return. The speed of these market
reactions is rapid with the equity market reaching a new equilibrium within 15 minutes.
相似文献
Allan A. ZebedeeEmail: |
12.
This paper examines whether the mispricing of accruals documented in equity markets extends to bond markets. The paper finds
that corporate bonds of firms with high operating accruals underperform corporate bonds of firms with low operating accruals.
In the first year after portfolio formation, the underperformance is 115 basis points using an accrual measure that includes
capital investments and 93 basis points using an accrual measure that is based only on working capital investments. The Sharpe
ratios of the zero-investment bond accrual portfolios are comparable to those of the corresponding zero-investment stock accrual
portfolios. The results are also robust to risk adjustments based on both a factor model consisting of the Fama and French
(J. Financial Econ 33 (1993) 3) stock and bond market factors and a characteristics model based on bond ratings and duration. Cross-sectional Fama–MacBeth
regressions that use individual bond data and control for stock and bond issuances in addition to ratings and duration also
confirm the time-series portfolio findings. Overall, our results reveal an accrual anomaly among bonds similar to that observed
among stocks.
相似文献
Bhaskaran SwaminathanEmail: |
13.
U.S. banking regulators have proposed a bifurcated system of capital regulation where the largest, internationally active
banking organizations would be subject to significantly more risk sensitive regulatory capital requirements than are currently
in place, while most others would remain subject to the current rules. The proposed new capital regime has the potential to
affect the competitive landscape among banking institutions, particularly in the area of residential mortgage lending. We
analyze the potential competitive effects of the proposed, bifurcated regulatory capital system on competition in the residential
mortgage market from the perspective of the theory of regulatory capital arbitrage. We then apply the theory and available
evidence to perform some benchmark calculations that suggest a significant, potential shift of market share and income to
the largest banking institutions in the mortgage market.
相似文献
James R. Follain (Corresponding author)Email: |
14.
Ming-Long Lee Ming-Te Lee Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2008,36(2):165-181
This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor.
The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap
REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions:
(1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation
from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et
al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).
相似文献
Ming-Long LeeEmail: |
15.
Wolf Wagner 《Journal of Financial Services Research》2010,37(1):71-81
Recent literature (Boyd and De Nicoló, J Finance 60:1329–1343, 2005) has argued that competition in the loan market lowers bank risk by reducing the risk-taking incentives of borrowers. Using
a model where competition arises from falling switching costs for entrepreneurs, we show that the impact of loan market competition
on banks is reversed if banks can adjust their loan portfolios. The reason is that when borrowers become safer, banks want
to offset the effect on their balance sheet and switch to higher-risk lending. They even overcompensate the effect of safer
borrowers because loan market competition erodes their franchise values and thus increases their risk-taking incentives. 相似文献
16.
We investigate the relationship between the borrower’s abnormal loan announcement return and the bank’s loan screening and
monitoring using a new ex-ante proxy for loan screening and monitoring. While recent studies have suggested that bank loan relationships and related loan
screening and monitoring services may no longer matter, we find significant loan announcement returns over the 1995–1999 period
and, controlling for borrower and loan characteristics, a statistically significant positive relationship between the proxy
and the borrower’s standardized CAR. While consistent with a bank’s loan screening and monitoring adding value to the borrower,
the economic effect is relatively small.
相似文献
Ian G. SharpeEmail: |
17.
We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession
(DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants
of lending specialization (e.g. lender choice). We find that the choice of lender is not driven by credit risk, but by information
considerations and that this lending specialization has loan pricing effects. In short, banks (non-bank lenders) lend to more
(less) transparent firms and at lower (higher) loan spreads. Our results are consistent with the interpretation that banks
provide important and useful services.
相似文献
Gabriel G. Ramirez (Corresponding author)Email: |
18.
Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of
defaultable bonds and evaluates their spread risk. We introduce “yield spread term-quality surface” (YSTQS) which is defined
on the space of duration and credit reliability of the issuers, and express their yield spread. First, we review the general
pricing theorem of defaultable bonds with unpredictable recovery in the no-arbitrage context based on the external hazard
rates. Second, we show that the dynamics of state variables determine the shape of the YSTQS, and they drive the YSTQS if
the loss-adjusted hazard rates are described by a function of them. Finally, we show an empirical analysis of our model with
daily yield spread, duration, and the credit ratings of corporate bonds.
相似文献
Tomoaki ShoudaEmail: |
19.
Hong Zou Chuanhou Yang Mulong Wang Minglai Zhu 《Review of Quantitative Finance and Accounting》2009,33(2):113-139
This article examines the effect of organizational forms on corporate dividend decisions by exploring the differences in dividend
payout ratios between mutual and stock property–liability (P–L) insurers in the US. Our large sample evidence suggests: (1)
mutual insurers tend to have a lower dividend payout ratio than stock insurers and the observed difference is about 4% points,
holding other factors constant; (2) mutual insurers tend to adjust dividend payout ratios toward their long-run target levels
more slowly than stock firms. These results are consistent with the capital constraints and/or greater agency costs of equity
in mutual insurers.
相似文献
Minglai ZhuEmail: |
20.
Bikki Jaggi Beixin Lin Suresh Govindaraj Picheng Lee 《Review of Quantitative Finance and Accounting》2009,32(2):101-128
We document in this study that investors react positively to restructuring that is expected to be successful in improving
firm performance. Investors’ reaction is significantly negative to unsuccessful firms when the magnitude of restructuring
charges is high. Our results also show that investors’ reaction is significantly positive to restructuring that is intended
to save costs through “workforce reduction” and “facility closings/consolidations”, but it is insignificant when restructuring
is undertaken to recognize decline in asset values by asset write-offs and/or write-downs. Investor reaction is measured by
12-month buy-and-hold abnormal returns, whereas successful restructuring to improve the firm performance is based on the change
in operating performance, measured by the industry-adjusted return on equity (ROE), over two subsequent years after restructuring.
相似文献
Picheng LeeEmail: |