风险收益论：投资银行的管理轴心

与“资产负债管理论”是商业银行的管理轴心不同，投资银行的管理轴心是“风险收益对应论”。其中，投资银行资产结构优化和促其流动性最大化，是投资银行资金营运的根本原则。多方式的投资银行管理策略，是投资银行防范风险并获得最大资产营运效益的成功途径。     

On the Capital Structure of Real Estate Investment Trusts (REITs)

Much of the literature on capital structure excludes Real Estate Investment Trusts (REITs) due mainly to the unique regulatory environment of these firms. As such, the issue of how REITs choose among different financing options when they raise external capital is largely unexplored. In this paper, we explore two issues on the capital structure of REITs: is there a relationship between market-to-book and leverage ratios, and, is the relationship between market-to-book and leverage ratio temporary or persistent. Our results suggest that REITs with historically high market-to-book ratio tend to have persistently high leverage ratio. In essence, REITs with high growth opportunity and high market valuation raise funds through debt issues. This finding, which is robust to various specifications and econometric tests, is contrary to the financing decisions of non-regulated firms. We attribute it to the special regulatory environment of REITs where, despite no apparent benefits to debt financing, management issues debt. Comments from Robert Edelstein and others at the Maastricht–Cambridge 2005 Symposium, and an anonymous referee are gratefully acknowledged. Any remaining errors are our own.     

信托投资公司风险管理:透过年报的思考

随着各类金融机构业务交叉日益扩大,信托投资公司作为资产管理公司面临着激烈的竞争,其风险管理水平的高低直接关系着信托投资公司的生存与发展。目前国内信托投资公司在风险管理理念、组织结构、管理能力等方面均存在不足。信托投资公司应以构建完善、有效的风险管理体系为目标,在引入现代风险管理理念的基础上,通过建立真正意义上的风险管理部门,依托公司信息管理系统,全面提升公司风险管理能力。     

Interactions between control and organizational learning in the case of a municipality: A comparative study with Kloot (1997)

Control systems are frequently described as hindering organizational learning. The reality is far more complex. In this framework this article tries to complete Kloot's work (1997) by coming up with a more comprehensive approach. Indeed, it highlights through an analysis grid the impact of controlling systems on the questioning of organizational methods and objectives. In this research on a local community our standpoint consists notably in taking account of the political aspect, more concretely, of the influence of elected representatives whose role is predominant in questioning the validity as well as the rationality of controlling tools.     

Risk and return: The case of merging firms

This study examines the market for acquisitions and the impact of mergers on the returns to the stockholders of the constituent firms. While employing the two-factor market model as recently developed and applied by Black-Jensen-Scholes and Fama-MacBeth, this study also considers changes in risk in analyzing the impact of mergers on stock prices. The results of the study are consistent with the hypothesis that the market for acquisitions is perfectly competitive and with the hypothesis that information regarding mergers is efficiently incorporated in the stock prices. Stockholders of acquiring firms seem to earn normal returns from mergers as from other investment-production activities with commensurate risk levels. Stockholders of acquired firms earn abnormal returns of approximately 14%, on the average, in the seven months preceding the merger.     

Retail banking and behavioral financial engineering: The case of structured products

We apply cumulative prospect theory and hedonic framing to evaluate discount reverse convertibles (DRCs) and reverse convertible bonds (RCBs) as important examples of structured products from a boundedly rational investor’s point of view. While common expected utility theory would also conclude that DRCs and RCBs are of interest to investors with moderate return expectations and underestimated stock return volatility, that theory would overestimate the market success of DRCs and underestimate that of RCBs in comparison to a situation with bounded rationality. Hedonic framing and relatively low subjectively felt competence levels of investors are decisive for the demand for RCBs.     

Risk disclosure and cost of equity: The Spanish case

In this paper we make an empirical study of the relationship between risk disclosure and the cost of equity. In particular, the objective being pursued is to contrast whether or not the cost of equity for the company is related to its financial and non-financial risk disclosure. Our results show no statistically significant relationship between the latter and the cost of equity; and a statistically significant relationship, with a positive sign, between this cost and financial risk disclosure. This suggests that company risk disclosures appear to introduce unknown contingencies and risk factors rather than only update information about known risks.     

基于博弈均衡的中小企业融资契约安排

融资难是制约我国中小企业发展的瓶颈,也是摆在广大研究工作者面前的重大课题。本文从关系专用性投资的视角,考察了中小企业对融资关系的处理以及融资契约的安排,通过数学建模检验了静态博弈的非效率性,以及动态博弈下不同融资模式的子博弈完美纳什均衡的参与约束条件,进而为解决我国中小企业融资难问题提出了政策性建议。     

Executive compensation and risk: The case of internet firms

A major prediction of agency theory is that there is a trade-off between risk and incentive compensation. Aggarwal and Samwick (1999) [Aggarwal, R., Samwick, A., 1999. The other side of the trade-off: the impact of risk on executive compensation. Journal of Political Economy, 107, 65–105.] directly test and find results consistent with agency theory—pay-performance sensitivity is decreasing in risk. However, Prendergast, 2002, Prendergast, 2000 [Prendergast, C. 2002. The tenuous trade-off between risk and incentives. Journal of Political Economy 110 (5), 1071–1102; Prendergast, C. 2000. What trade-off risk and incentives? The American Economic Review 90 (2), 421–425.] offers a number of reasons why the sensitivity of pay to performance can be higher in risky environments. We use data from a sample of Internet firms for 1997–1999 to provide empirical evidence on these competing arguments regarding the relation between risk and CEO compensation. Consistent with Aggarwal and Samwick (1999), our results show that pay–performance sensitivity declines with increases in variance in a base model. After controlling for size, we find that pay–performance sensitivity is positively related to risk, consistent with the theoretical predictions in Prendergast, 2002, Prendergast, 2000. However, sensitivity tests in later periods show that the Aggarwal and Samwick (1999) results are more robust to changes in the economic environment.     

创业风险投资与中小企业的发展

由于技术、管理、人才等方面的不足,中小企业在市场竞争中总是面临压力和挑战,特别是融资困难成为中小企业发展的首要问题.创业风险投资是一种介于间接融资和直接融资之间的投资形式,它有效地将中小企业与资本市场连接起来,不仅解决了资金短缺问题,而且还能提高技术创新能力,改善经营管理,对中小企业的发展有很大的促进作用.     

制约我国风险投资发展的因素及对策

本从风险投资的退出机制、投资主体、法律制度等方面分析了制约我国风险投资发展的因素，并对发展我国风险投资的对策进行了探讨。     

美国西部风险投资及启示

风险投资在国际金融市场上占有举足轻重的地位，是推动经济发展的有效途径。美国的西部风险投资起步早，成效大，有力地推进了西部乃至整个美国经济的发展。我国西部大开发战略尚处于萌芽阶段，有待于进一步完善。因此，有必要借鉴美国西部风险投资的经验，进一步推进我国的西部大开发。     

Risk and risk management of spillover effects: Evidence from the literature

In this article, we provide a comprehensive review of the existing theoretical and empirical literature regarding spillover effects (effects of a crisis event in an announcing firm on other firms). In particular, we focus on the mechanism behind spillover effects and investigate factors that drive spillover effects. The results of our literature analysis show that spillover effects are most often significantly negative, that is, lead to losses in nonannouncing firms and depend on certain events and firm characteristics. On this basis, we derive implications for the risk management of spillover effects. Taking previous work on certain individual risk‐management measures into account, we are the first to provide a holistic spillover risk‐management process.     

Mortality Risk and the Value of a Statistical Life: The Dead-Anyway Effect Revis(it)ed

In the expected-utility theory of the monetary value of a statistical life, a well-known result found by Pratt and Zeckhauser [1996] asserts that an individuals’ willingness to pay (WTP) for a marginal reduction in mortality risk increases with the initial level of risk. Their reasoning is based on the so-called “dead-anyway effect” which states that marginal utility of a dollar in the state of death is smaller than in the state of survival. However, this explanation is based on the absence of markets for contingent claims, i.e. annuities and life insurance. This paper reexamines the relationship between WTP and the level of risk under more general circumstances and establishes two main results: first, when insurance markets are perfect, for a risk-averse individual without a bequest motive, marginal WTP for survival does increase with the level of risk but this occurs for a different reason, namely an income effect. Secondly, when the individual has a bequest motive and is endowed with a sufficient amount of wealth from human capital, the effect of initial risk on WTP for survival is reversed: the higher initial risk the lower the value of a statistical life. In the imperfect-markets case we interpret this result as a “constrained-bequest effect”.JEL Classification No.: D8, H43, I18     

Risk management,nonlinearity and aggressiveness in monetary policy: The case of the US Fed

We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: (i) risk in the inflation outlook and in financial markets are a more powerful driver of monetary policy regime changes than variables typically suggested in the literature, such as the level of inflation and the output gap; (ii) estimation of regime switching models shows that the response of the US Fed to the inflation outlook is invariant across policy regimes; (iii) however, in periods of high economic risk monetary policy tends to respond more aggressively to the output gap and the degree of inertia tends to be lower than in normal circumstances; and (iv) the US Fed is estimated to have responded aggressively to the output gap in the late 1980s and beginning of the 1990s, and in the late 1990s and early 2000s. These results are consistent with Mishkin (2008)’s view that in periods of high economic risk monetary authorities should respond aggressively to changes in macroeconomic conditions while the degree of inertia should be lower than in normal circumstances.     

On the determination of the external debt: The case of Israel

This paper pursues the econometric implementation of an intertemporal optimization model of the foreign debt with Israeli data. In this model the private sector faces perfect capital markets and maximizes utility from consumption over an infinite horizon. The intertemporal budget constraint recognizes the intertemporal finance equation of the government. Under these conditions the effect of current disturbances (in output, government spending, and unilateral transfers) on private consumption and foreign borrowing is determined by their perceived future persistence. The model passes a formal econometric test. However, some results are also suggestive of omitted considerations.     

Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)

Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predicts that idiosyncratic risk should be priced when investors hold sub-optimally diversified portfolios, and cross-sectional stock returns should be positively related to their idiosyncratic risk. However, the literature generally finds a negative relationship between returns and idiosyncratic risk, which is more consistent with Miller's [1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168] analysis of asset pricing under short-sale constraints. We examine the cross-sectional effects of idiosyncratic risk while explicitly recognizing the confounding effects that dispersion of beliefs and short-sale constraints produce in the Merton framework. We find strong support for Merton's [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] model among stocks that have low levels of investor recognition and for which short selling is limited. For these stocks, the relation between idiosyncratic risk and expected returns is positive, as predicted by Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510].