LEVERAGE, RESOURCE ALLOCATION AND GROWTH

The effects of resource allocation on firms comprising the competitive economy are examined within the structure of a simple general equilibrium model. The study shows that capital structure of a firm is independent of its value, — a result that can be characterized as the mirror-image of the celebrated Modigliani-Miller proposition. The structure of present analysis highlights how costs of capital assets change, what affects the prices of the firms, and how these changes are reflected in the operations of the firms in an overall economic set up. The paper then establishes that if debt is increased, and the (relatively) levered firm expands, its stock price goes up and the (relatively) less levered firm shrinks and moves in the opposite direction in all respects. The appropriate conditions for profitable leveraged buyout are spelled out, and other conditions are also specified as to when merger is unprofitable. Finally, the paper is concluded with some thoughts on possible future research along the lines outlined in this work.     

ON THE LINKAGE BETWEEN FINANCIAL RISK TOLERANCE AND RISK AVERSION

We explore the linkage between financial risk tolerance (FRT) and risk aversion. To do this, we obtain FRT scores from a psychometrically validated survey and conduct a battery of online lottery choice experiments involving the same nonstudent participants. We contrast: real and hypothetical payoffs, low and high stakes, decisions involving gains and losses, and order effects. Our key finding is that the two approaches to analyzing decision making under uncertainty are strongly aligned. We present evidence that this is particularly the case for the female participants in our sample and when high‐stake gambles are employed.     

HUMAN CAPITAL AND LIFE-CYCLE EFFECTS ON RISK AVERSION

This paper provides additional evidence on life-cycle patterns of relative risk aversion, using spline functions generated on Consumer Expenditure Survey data. Human capital is hypothesized to affect relative risk aversion; age has been used in previous work as a proxy for human capital. The objective of this study is to determine whether there is a life-cycle pattern that is independent of the effect of human capital. The results suggest an affirmative answer. Moreover, this independent life-cycle pattern is the opposite of that estimated in a previous study that used age as a proxy.     

IDENTIFYING, MEASURING, AND HEDGING CURRENCY RISK AT MERCK

The authors would like to thank Francis H. Spiegel, Jr., Senior Vice President and CFO of Merck & Co., Inc., and Professors Donald Lessard of M.I.T. and Darrell Duaffie of Stanford for their guidance throughout.     

风险防范是今年的主旋律--访中国保险监督委员会主席马永伟

中国保监会主席马永伟在今年金融工作会议期间谈到,去年我国保险业三大经营风险提到有效控制,今年防范经营风险仍是保险业及金融改革的主旋律.     

TIME VARIABILITY IN MARKET RISK AVERSION

We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption-smoothing behavior. As income increases, or as the consumption-to-income ratio falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.     

我国商业银行风险防范模型的建立与分析

随着我国金融体制改革的日益深化,商业银行风险也日趋增大,因此,有必要建立健全商业银行金融风险防范模型.本文首先探讨了如何建立商业银行流动性业务风险测控模型,即流动性资产余额的确定;然后探讨了我国商业银行资产负债业务风险测控缺口管理模型、证券业务风险测控模型、国际业务风险测控模型和商业银行中间业务风险测控模型;最后,在以上各微观业务模型的基础上探讨了建立商业银行风险综合测控模型系统,以从总体上监测及防范商业银行金融风险.本文所建立的风险模型涵盖了商业银行的主要经营业务,可以有效监控并防范我国商业银行的各类金融风险,提高其抵御风险的能力.