共查询到20条相似文献,搜索用时 15 毫秒
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Gregory-Allen Russell B. Shalit Haim 《Review of Quantitative Finance and Accounting》1999,12(2):135-158
This paper examines a mean-Gini model of systematic risk estimation that resolves some econometric problems with mean-variance beta estimation and allows for heterogeneous risk aversion across investors. Using the mean-extended Gini (MEG) model, we estimate systematic risks for different degrees of risk aversion. MEG betas are shown to be instrumental variable estimators that provide econometric solutions to biases generated by the estimation of mean-variance (MV) betas. When security returns are not normally distributed, MEG betas are proved to differ from MV betas. We design an econometric test that assesses whether these differences are significant. As an application using daily returns, we estimate MEG and MV betas for U.S. securities. 相似文献
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MARKUS PELGER 《The Journal of Finance》2020,75(4):2179-2220
Based on a novel high-frequency data set for a large number of firms, I estimate the time-varying latent continuous and jump factors that explain individual stock returns. The factors are estimated using principal component analysis applied to a local volatility and jump covariance matrix. I find four stable continuous systematic factors, which can be well approximated by a market, oil, finance, and electricity portfolio, while there is only one stable jump market factor. The exposure of stocks to these risk factors and their explained variation is time-varying. The four continuous factors carry an intraday risk premium that reverses overnight. 相似文献
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The Determinants of Enterprise Risk Management: Evidence From the Appointment of Chief Risk Officers
Enterprise risk management (ERM) has captured the attention of risk management professionals and academics worldwide. Unlike the traditional "silo-based" approach to corporate risk management, ERM enables firms to benefit from an integrated approach to managing risk that shifts the focus of the risk management function from primarily defensive to increasingly offensive and strategic. Despite the heightened interest in ERM, little empirical research has been conducted on the topic. This study provides an initial attempt at identifying the determinants of ERM adoption. We construct a sample of firms that have signaled their use of ERM by appointing a Chief Risk Officer (CRO) who is charged with the responsibility of implementing and managing the ERM program. We use a logistic regression framework to compare these firms to a size- and industry-matched control sample. While our results suggest a general absence of differences in the financial and ownership characteristics of sample and control firms, we find that firms with greater financial leverage are more likely to appoint a CRO. This finding is consistent with the hypothesis that firms appoint CROs to reduce information asymmetry regarding the firm's current and expected risk profile. 相似文献
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This study uses the option valuation framework to identify andinvestigate the factors affecting the cross-sectional difference inindividual corporate bonds' default risk. The dollar value of defaultrisk (DVDR) is measured by subtracting the observed trading price of arisky corporate bond from a Cox-Ingersoll-Ross model value of acorresponding pseudo-default-free bond. From an option pricingperspective, DVDR can be modeled as the value of a put option on thefirm's risky assets. The DVDR of an individual investment-grade corporatebond is hypothesized to be related to the bond rating, time to maturity ofthe bond, size of the issuing firm, volatility of firm value, and dividendyield of the issuing firm. In the case of the first four factors, theempirical results are consistent with the predictions from a put optionperspective. There is a mixed relationship between DVDR and dividendyield, however, which provides a weaker support for the prediction of theoption valuation model. Such a mixed relationship documents the importantrole that dividend payments play in signaling a firm's future earnings andreducing overall agency costs. ["In particular, the formula can be usedto derive the discount that should be applied to a corporate bond becauseof the possibility of default." (Black and Scholes (1973), Journal of Political Economy, Abstract, p. 637.)] 相似文献
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从"太大而不能倒"和"联系太紧而不能倒"两个维度,分别运用因子分析和转移熵网络分析测度地方政府的个体风险与信息传染风险,综合识别我国系统重要性地方政府。结果表明:两个维度综合确定的我国系统重要性地方政府名单更为符合系统重要性之要义;根据个体风险指数和传染风险指数的排名组合情况,可将31个地方政府归为四类;针对不同类型的系统重要性地方政府,监管部门应采取针对性的监管措施;传染风险对系统重要性的贡献更大,处于风险传染网络中心的地方政府需要实行更加严格的管控。 相似文献
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《新兴市场金融与贸易》2013,49(1):49-71
This paper investigates the determinants of currency risk management in nonfinancial firms in Argentina, Brazil, Chile, and Mexico, based on a panel data sample of firms that list as American depositary receipts from 2001 to 2004. Our evidence indicates that derivatives held for hedging purposes can yield cash flows of the same order of magnitude of capital expenditures, operational earnings, and financial expense, unlike what was previously found by Guay and Kothari (2003) for U.S. firms. We study not only the decision to use derivatives, but also the magnitude of derivatives holdings and the importance of operational hedging in firms' risk management strategies. We find that economies of scale, financial distress costs, informational asymmetry, and growth opportunities are important for risk management decisions, and that firms do not hedge because of potential tax benefits. 相似文献
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Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk‐based explanation for this phenomenon, whereby investors use announcements to revise their expectations for nonannouncing firms, but can only do so imperfectly. Consequently, the covariance between firm‐specific and market cash flow news spikes around announcements, making announcers especially risky. Consistent with our hypothesis, announcer returns forecast aggregate earnings. The announcement premium is persistent across stocks, and early (late) announcers earn higher (lower) returns. Nonannouncers' response to announcements is consistent with our model, both over time and across firms. Finally, exposure to announcement risk is priced. 相似文献
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Systematic Risk and Revenue Volatility 总被引:1,自引:0,他引:1
We introduce the degree of economic leverage (DEL) as an extension of the existing method of decomposing beta and assess its incremental explanatory power through empirical testing. The DEL is defined as the percentage change in the firm's sales resulting from a unit percentage change attributable to an exogenous economic disturbance. The exogenous economic disturbance employed is the ratio of long‐term T‐bond rates to short‐term T‐bill rates. The evidence supports the DEL's role in explaining systematic risk at both the industry and portfolio levels. However, we find mixed results at the firm level. 相似文献
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We show here that risky asset returns generating processes stated in terms of factors which include both accounting and non-accounting based measures of risk (e.g. book to market ratios) imply, under fairly standard regularity conditions, that the Sharpe-Lintner-Black asset pricing model beta is a 'sufficient' statistic in the sense that it captures all important attributes of the returns generating process in a single number. We then derive the parametric relationship between betas based on inefficient index portfolios and betas based on the market or tangency portfolio. We demonstrate that the relationship between risky asset expected returns and betas computed on the basis of inefficient index portfolios is both consistent with the predictions of the Capital Asset Pricing Model and the multi-factor asset pricing models of Fama and French (1992, 1993, 1995 and 1996). The 'trick' is to realise that inefficient index portfolios are composed of the market portfolio and a collection of inefficient but self financing 'kernel' or 'arbitrage' portfolios. It then follows that there is a perfect linear cross sectional relationship between risky asset expected returns, betas based on inefficient index portfolios and the arbitrage portfolios. Hence, if we happen to stumble across variables that span the same subspace as the vectors representing the arbitrage portfolios, it is easy to create the illusion that risky asset expected returns depend on variables other than 'beta'. 相似文献
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A number of problematic issues have arisen in anticipation of the potential role of molecular tests for genetic predispositions to illness in risk assessment by insurance underwriters. We argue in this paper that the regrettable history and current risks of genetic discrimination warrant a presumption that genetic predisposition status should not be used in any nonmedical contexts, unless compelling evidence can demonstrate that serious harm will result to third-party interests without such use. We argue that insurers should not be able to initiate testing for genetic predisposition. We also argue that there are many reasons to doubt whether patients’ test results will result in such serious adverse selection as to cause substantial harm to insurance markets, except possibly at higher policy amounts in life or disability income insurance. We conclude that the burden of proof must be on insurers to demonstrate necessity of use in specific cases in which test availability shows high probability of imminent, serious harm to insurance markets. 相似文献
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This article explains the implications of asset market integration for the decision making process of market participants and tests the integration between futures and spot markets. Integration is investigated with respect to the hypothesis that the sources of systematic risk in futures and spot markets command identical risk premia. While the futures and the spot markets for currencies and equities are integrated, we present new evidence that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use asset pricing models to adjust the risk-return trade-off of their portfolio and evaluate portfolio performance. 相似文献
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New Evidence on the Determinants of Bank Risk 总被引:1,自引:1,他引:0
Kevin J. Stiroh 《Journal of Financial Services Research》2006,30(3):237-263
This paper uses equity returns for publicly traded US bank holding companies (BHCs) from 1997 to 2004 to identify the determinants
of risk, measured by equity market volatility, and examine how they have evolved. The results indicate that balance sheet
items such as commercial and industrial loans and consumer lending and income statement items such as other noninterest income
drive the cross-sectional differences in BHC risk. Newly mandated regulatory data on the components of other noninterest income
show that investment banking, servicing, securitization income, gains from loan sales, gains other asset sales, and other
noninterest income are particularly volatile activities. This highlights the value of increased transparency as a means to
improve market discipline and reduce the opacity of complex financial institutions. Finally, in the years after 2000, the
locus of risk has shifted off of the balance sheet and onto the income statement as investors identify the new risks associated
with evolving and expanding bank activities. 相似文献
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Elyasiani Elyas Guo Lin Tang Liang 《Review of Quantitative Finance and Accounting》2002,19(4):351-377
We examine the determinants of corporate debt maturity while taking into account the interdependent relation between maturity and leverage. We do this by estimating a simultaneous-equations model on debt maturity and leverage for a sample of bond-issuing firms. To compare with previous studies, we also estimate a single-equation model on debt maturity using OLS. We define debt maturity as either the maturity of bonds at issuance (incremental approach), or the percentage of a firm's total debt that matures in more than three years (balance-sheet approach). Corroborating the findings of many previous studies, our single-equation OLS results support the underinvestment hypothesis purporting that firms with greater growth opportunities have shorter-term debt. However, under the simultaneous-equations model, the negative relation between a firm's debt maturity and its growth opportunities ceases to hold. Instead, it is the leverage decision that is influenced by growth opportunities. This suggests that existing models may overestimate the effect of growth opportunities on debt maturity. 相似文献
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We show that unpriced cash flow shocks contain information about future priced risk. A positive idiosyncratic shock decreases the sensitivity of firm value to priced risk factors and simultaneously increases firm size and idiosyncratic risk. A simple model can therefore explain book‐to‐market and size anomalies, as well as the negative relation between idiosyncratic volatility and stock returns. Empirically, we find that anomalies are more pronounced for firms with high idiosyncratic cash flow volatility. More generally, our results imply that any economic variable correlated with the history of idiosyncratic shocks can help to explain expected stock returns. 相似文献
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论系统性金融风险的识别与控制 总被引:5,自引:0,他引:5
系统性金融风险破坏性极大,直接影响了经济系统、区域、甚至一个国家的信用与安全,也影响到社会生活的稳定,识别系统性金融风险,建立健康的风险预警机制和控制机制非常必要,也是十分有益的。同时,风险等级评价无论对事前主导性控险抑或是事后督导型化险都有着十分重要意义,能够提高运作金融资源效率,使金融主体的功能达到耦合和高效。 相似文献
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In this paper, the authors test Peltzman's [19] buffering hypothesis—whether regulatory environment impacts systematic risk for regulated electric utilities. The paper differs from previous research in that an exogenously defined measure of regulatory environment, a large sample, and a method that controls for time-series and crosssectional autocorrelation are used. The results are consistent with the buffering hypothesis but only in years of increasing input factor prices for the utilities. Using causality tests, the results also show that it is the regulatory environment that influences systematic risk and not vice versa. 相似文献