金融衍生工具与银行系统性风险

从巴林银行倒闭到中航油、中石化衍生品交易巨亏,重新审视金融衍生工具与系统性风险的关系成为必然。金融衍生工具运用规模和比例呈急剧上升趋势,其初衷为对冲风险,契合金融服务实体经济功能,但由于其交易规则具有复杂性和不透明性,实施效果亟待检验。本文采用金融衍生工具视角,探索了分类金融衍生工具对银行系统性风险的影响及作用机理。结果表明,金融衍生工具会加剧银行系统性风险,包括外汇类和利率类金融衍生工具。金融衍生工具运用总体效果并不理想,且存在情境依赖,作用发挥呈现异质性。在后金融危机时代以及股市处于熊市时,金融衍生工具均加剧了银行系统性风险,在危机前则降低了银行系统性风险,但当处于牛市时则无显著影响。此外,在市场化进程高、机构持股比例高时,金融衍生工具加剧银行系统性风险的作用更为明显。本文从一个新的视角检验了银行系统性风险的影响因素,为探究其成因提供了新解释,也为未来系统性风险防控提供了新思路。     

Information content of mandatory quarterly foreign sales data of U.S. multinational companies under SFAS 131

This paper investigates the information content of mandatorily disclosed quarterly foreign sales data of U.S. multinational companies under SFAS No. 131. We examine two types of companies. Predisclosing companies had voluntarily disclosed quarterly foreign sales data prior to implementation of SFAS No. 131. Non-predisclosing companies had not voluntarily disclosed quarterly foreign sales data prior to implementation of SFAS No. 131. We analyze the behavior of stock prices surrounding the filing date of the 10Q using short-window event study methodology and the market model for the initial years after enacting SFAS No. 131. We discover that the quarterly foreign sales data has information content to investors for both predisclosing firms and non-predisclosing firms except for 1 year. The data has no information content for non-predisclosing companies during the first year of implementation of SFAS No. 131. Except for the first year of implementation of SFAS No. 131, we find no difference in the information content of this data between predisclosing and non-predisclosing companies.     

“An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris,January 2007

Knowledge of strong predictors of mortality and longevity is very important for actuarial science and practice. Earlier studies found that parental characteristics as well as early-life conditions and midlife environment play a significant role in survival to advanced ages. However, little is known about the simultaneous effects of these three factors on longevity. This ongoing study attempts to fill this gap by comparing centenarians born in the United States in 1890–1891 with peers born in the same years who died at age 65. The records for centenarians and controls were taken from computerized family histories, which were then linked to 1900 and 1930 U.S. censuses. As a result of this linkage procedure, 765 records of confirmed centenarians and 783 records of controls were obtained. Analysis with multivariate logistic regression found the existence of both general and gender-specific predictors of human longevity. General predictors common for men and women are paternal and maternal longevity. Gender-specific predictors of male longevity are occupation as a farmer at age 40, Northeastern region of birth in the United States, and birth in the second half of year. A gender-specific predictor of female longevity is the availability of radio in the household according to the 1930 U.S. census. Given the importance of familial longevity as an independent predictor of survival to advanced ages, we conducted a comparative study of biological and nonbiological relatives of centenarians using a larger sample of 1,945 validated U.S. centenarians born in 1880–1895. We found that male gender of centenarian has a significant positive effect on survival of adult male relatives (brothers and fathers) but not female blood relatives. Life span of centenarian siblings-in-law is lower compared to life span of centenarian siblings and does not depend on centenarian gender. Wives of male centenarians (who share lifestyle and living conditions) have a significantly better survival compared to wives of centenarians' brothers. This finding demonstrates an important role of shared familial environment and lifestyle in human longevity. The results of this study suggest that familial background, some early-life conditions and midlife characteristics play an important role in longevity.     

Foreign cultures, Sarbanes–Oxley Act and cross-delisting

Using a sample of foreign firms listed in U.S. and delisting shares over the period 2000 and 2010, this paper studies the impact of Sarbanes–Oxley Act (SOX) on the cross-delisting behavior of foreign firms based on the firm characteristics, legal tradition, overall culture and degree of individualism of the country of domicile. Pre-SOX, the propensity to delist is lower for firms from countries with cultural similarities to the U.S. and higher for firms from individualistic societies. Post-SOX these trends are reversed. Consistent with the existing research we find that the delisting decision of foreign firms cross-listed in the U.S. is based on the potential gains from listing based on the growth opportunities, length of presence in the U.S. and legal regulations of the country of domicile. Out findings provide evidence of the cultural factors that impact the competitiveness of U.S. capital markets.     

关税冲击与中国进口行为

在美国频繁发起贸易保护措施的背景下,中国加征反制关税予以还击。本文基于2017年1月至2020年6月中国海关月度贸易数据,采用双重差分模型考察了对美反制关税的实际效果,即是否抑制美国对华产品输出以及对中国总进口和产业链的影响。研究表明:(1)中国对美反制关税精准有力,中国自美进口额和进口数量显著下降;随着关税排除清单的实施,进口下降幅度有所减缓。(2)反制关税的影响总体可控。随着中国不断调低MFN关税税率,对美进口贸易转移至经济规模较大的贸易伙伴国,中国总进口以及国内产业链并未受到明显冲击。(3)尽管富有弹性产品、非燃料初级产品及高技术产品对美进口,以及民营企业对美进口均受到一定冲击,但这些产品和企业的总进口并未受到波及,总体外贸形势依然稳中向好。     

The Contribution of Non-U.S. Institutions to Academic Accounting Journals

This study uses the weightings of accounting journal quality derived by Howard and Nikolai (HN, 1983) to produce a ranked list of the publishing contribution of the twenty-five top non-U.S. institutions for the ten-year period 1977–86. A data base was created of all the contributions by non-U.S. academics to the ten academic accounting and finance journals ranked highest in the HN study. The results of the analyses of this data base indicate: (a) the contribution of non-U.S. countries to the accounting and finance literature; (b) the proportion of publications accounted for by the top twenty-five non-U.S. institutions; and (c) a ranking of the contributions of the top twenty-five non-U.S. institutions.     

2012年11月“中国票据”网市场综述

2012年11月,共有12家金融机构向全国银行间同业拆借中心提交加入“中国票据”网的申请材料．并通过审核成为“中国票据”网成员。截至11月末,”中国票据”网机构会员累计2101家。     

Coming Through in a Crisis: How Chapter 11 and the Debt Restructuring Industry Are Helping to Revive the U.S. Economy

During the recent financial crisis, U.S. bankruptcy courts and debt restructuring practitioners were faced with the largest wave of corporate defaults and bankruptcies in history. In 2008 and 2009, $1.8 trillion worth of public company assets entered Chapter 11 bankruptcy protection—almost 20 times the amount during the prior two years. And the portfolio companies of U.S. private equity firms faced a towering wall of debt that, many observers predicted, was about to wipe out most of the industry. But far from the death of private equity or a severe contraction of corporate America, the past three years have seen an astonishingly rapid working off of U.S. corporate debt overhang, allowing corporate profits and values to rebound with remarkable speed and vigor. And as the author of this article argues, corporate America's recovery from the recent financial crisis provides a clear demonstration of the importance of U.S. bankruptcy laws and restructuring practices in maintaining the competitiveness of U.S. companies and the long‐run growth of the U.S. economy.     

The exchange rate exposure of U.S. and Japanese banking institutions

In this paper, we examine the foreign exchange exposure of a sample of U.S. and Japanese banking firms. Using daily data, we construct estimates of the exchange rate sensitivity of the equity returns of the U.S. bank holding companies and compare them to those of the Japanese banks. We find that the stock returns of a significant fraction of the U.S. companies move with the exchange rate, while few of the Japanese returns that we observe do so. We next examine more closely the sensitivity of the U.S. firms by linking the U.S. estimates cross-sectionally to accounting-based measures of currency risk. We suggest that the sensitivity estimates can provide a benchmark for assessing the adequacy of existing accounting measures of currency risk. Benchmarked in this way, the reported measures that we examine appear to provide a significant, though only partial, picture of the exchange rate exposure of U.S. banking institutions. The cross-sectional evidence is also consistent with the use of foreign exchange contracts for the purpose of hedging.     

Towards better participatory processes in technology foresight: How to link participatory foresight research to the methodological machinery of qualitative research and phenomenology?

Technological progress does not happen in a social vacuum. Shaping of tomorrow is not possible without qualitative analyses. Therefore, the social and psychological dimensions of reality form an important part of technology foresight. Qualitative research will be needed to understand superficial and deep structures of social realities. So called push and pull factors are always linked to social behaviour. People's relationship to the use of technologies and the utilization of technologies is a complex and not a one-dimensional or monological issue. Monological methodological approaches can be harmful and confusing in the field of participatory foresight. We can conclude that the cycles of deductive and inductive logic are needed in science and in participatory foresight studies. Experts of the FTA community must have a higher level of methodological know-how in this research field and they should use qualitative methods in multi-faceted (external and internal) ways in foresight studies. Still the qualitative parts of many studies are quite monological and these studies can be quite problematic, even confusing. More critical methodological approaches should be taken into serious consideration. As a methodological approach, the principle of triangulation should be used more in the fields of participatory foresight studies and technology foresight.The key focus of this article in the use of qualitative and phenomenological approaches in the fields of FTA and foresight. The aim of this theoretically oriented discussion is to promote the professional use of qualitative methods in foresight and FTA studies. The strength of qualitative analyses is linked to deeper understanding of social change and social patterns and structures. Actually people create and constitute the markets, networks, and crowds where technologies are applied and used.Internal systemic understanding of social realities is an important part of foresight activities, especially in participatory foresight studies. Internal and external analyses can be seen as complementary approaches, like qualitative and quantitative approaches. The use of qualitative methods is a conventional part of the research process in participatory foresight projects. A typical problem may be that the use of methods is not planned carefully enough and people are unaware of the underlying key assumptions of applied methods. Experimenting with phenomenology is not a simple task in foresight research. Therefore, the views and informative platforms expressed and presented in this article may be useful for foresight practitioners.     

民事欺诈与刑事诈骗的类型化区分

刑事诈骗是民事欺诈中的严重部分,两者最主要的区别在于行为人主观上是否具有非法占有目的。刑事诈骗的行为类型多样,具体构造也存在一定差异,非法占有目的的认定应结合诈骗行为的具体构造展开。交易型诈骗中,作为交易对价的基础事实是否存在对于非法占有目的认定具有决定意义。使用型诈骗的场合,应重视对行为人取得财物后的用途和资金走向的考察,以确定非法占有目的是否成立。财物用途和资金走向无法查清的案件,不能简单地认为属于事实不清、证据不足。资格型诈骗中,非法占有目的的认定应同时考虑行为人是否具有特定资格以及财物的具体用途。民事欺诈与刑事诈骗的区分还要注意欺诈事实是否属于核心或者主要事实以及欺诈程度等。     

Macroeconometric testing of the rational expectations and structural neutrality hypotheses for the United States

Empirical tests of the neutrality of money growth found in recent literature are tests of the joint hypothesis of rational expectations and structural neutrality. Although tests of this joint hypothesis are informative, it is also important to gain information on the accuracy of its constituents. This paper presents the application of a methodology capable of providing information on the empirical validity of the rational expectations, structural neutrality, and joint hypotheses. Tests of these hypotheses are performed on the basis of FIML estimation of an extended version of a model recently presented by Robert Barro, using U.S. data for 1946–1973.     

Benign sacerdotalist or pious assailant. The rise of the professional accountant in British management

Matthews et al.'s The Priesthood of Industry [Matthews, D., Anderson, M., & Edwards, J.R. (1998). The preisthood of industry. The rise of the professional accountant in British management. Oxford: Oxford University Press] charts the encroachment of professional accountants into the realms of management in Britain. It is suggested in this review essay that the brand of economic determinism employed by the authors offers a partial explanation for that fundamental occupational shift. The functionalist and evolutionary foundation of Matthews et al.'s analysis invite a more critical interpretation of the accountants' stratagem. A reading of The Priesthood of Industry also indicates several issues which require the attention of accounting historians. Among these are the shifting character of the professional ideology; responses to entrepeneurialism; the social derivation of professionals; the manner of jurisdictional capture; a fuller understanding of the inter-war climacteric; and the contribution or otherwise of accountants to British economic decline.     

Prognostic features of menopausal and postmenopausal applicants for life insurance

The increasing proportion of the aged in the population is posing significant new challenges to politics, society and medicine as well. Gerontology and geriatrics are playing a role in all areas of preventive and curative medicine. Since the life expectancy of women is approximately eight years longer than that of men, gynecology draws special significance from the fact that the greater part of an aging society will primarily be comprise of women. The medical treatment and care of women in climacteric and postmenopause in the past is seriously inadequate by today's standards. The attitude in earlier years of not making any great investment of cost or personnel in patients over 75 can, in view of the vitality of modern-day senior citizens, no longer be justified or maintained. The necessity of establishing old-age gynecology becomes more and more clear and urgent. The decrease of ovarian function in menopause is without doubt an important turning point in the life of a woman. The first signs of aging are inescapable. Following these years a woman still has more than one third of life expectancy ahead of her which she would like to and should spend in good mental, spiritual and physical health. The principle of postmenopausal hormone replacement has shown itself to be amazingly successful in treating climacteric disorders and their effects on the entire organism. Treatment over many years with as board a spectrum as possible of preventive hormones to combat the long-term consequences of hormone deficiency, like osteoporosis-related fractures, heart attacks, or strokes, is one of the great medical advances of our time. Furthermore, the significance of preventing a number of genital concern manifestations through hormone replacement therapy cannot be overestimated. Gynecology has taken a remarkable step toward its goal of enabling aging women to spend the third part of their lives free of unnecessary diseases and suffering. In 1994, after consultation with representatives of European countries during the World Congress of the International Menopause Society, a statement was published by the menopause society of German-speaking countries. In this consensus paper, a stand was taken on hormone replacement therapy in postmenopause. The purpose of this paper was to serve as an aid in formulating and interpreting the text in the package inserts that are enclosed with hormone preparations. The most important passages were to once again summarize the present status of knowledge on hormone replacement therapy and its risks and benefits: (Estradiol is the estrogen normally produced by a woman's ovaries that exercises all functions of the natural follicle hormone. It is used to treat all symptoms of estrogen deficiency). Estrogen eliminates, or mitigates, all typical symptoms of estrogen deficiency in menopause, including hot flashes, night sweats and other complaints frequently observed like nervousness, sleep disturbance and depression, with great reliability. Estrogen stimulates the cell division of an aging organism, of mucous membranes, of supportive and connective tissue. It improves the blood circulation and the salt and water content. Furthermore, estrogen prevents or eliminates deterioration in the urogenital area and the disorders that result from such deterioration. Estrogen prevents or retards bone deterioration, osteoporosis and spinal, lower arm and femur fractures. By positively influencing HDL- and LDL-cholesterol, blood vessels and circulation, long-term estrogen replacement inhibits the development of arteriosclerosis and nearly halves the frequency of heart attacks and strokes. The mortality rate of women over 50 is therefore decreased significantly and life expectancy increased. (Benefits to the blood vessels of such preventive treatment can already be seen after five years of estrogen therapy and their benefits continue for several years after treatment is stopped.     

Continuous-time term structure models: Forward measure approach

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices and so-called LIBOR rates, rather than on the instantaneous continuously compounded rates as in most traditional models. Forward and spot probability measures are introduced in this general set-up. Two conditions of no-arbitrage between bonds and cash are examined. A process of savings account implied by an arbitrage-free family of bond prices is identified by means of a multiplicative decomposition of semimartingales. The uniqueness of an implied savings account is established under fairly general conditions. The notion of a family of forward processes is introduced, and the existence of an associated arbitrage-free family of bond prices is examined. A straightforward construction of a lognormal model of forward LIBOR rates, based on the backward induction, is presented.     

Efectos de la contratación de exempleados de multinacionales en la capacidad de absorción en empresas locales

Attracting Foreign Direct Investment seeks, among other goals, increase productivity of local firms through knowledge spillovers. Nevertheless the empirical evidence is contradictory. One influential factor is the absorptive capacity of local firms. This article analyzes the effect of the presence of ex-employees of multinational companies, as employees of local firms in the absorption capacity of these firms. The study was conducted in Costa Rica, a country recognized for its successful strategy in this area. The data come from a survey of 1,167 companies conducted by the Costa Rican Observatory of Small and Mediums Enterprises in 2011. It was found that hiring former employees of multinational companies by local firms has a positive effect on the rate of absorption capacity. In short, this engagement of former employees of multinationals increases by nine percentage points the rate of absorption capacity, with differences for sectors and firms sizes.     

The selection of multinational equity portfolios: forecasting models and estimation risk

The problem considered is the selection of a portfolio of international assets, particularly the forecasting of the inputs to a selection algorithm. Four models of the asset return generating process are considered, two of which ignore the international nature of the universe of assets, two which exploit it in different ways. Several estimation methods are considered for each component: expected return, variance and covariance of returns. The combinations of model and estimation method are first evaluated in terms of their forecasting performance for the components mentioned for the individual assets. The universe used is the components of the Financial Times Eurotrack 100 Index. Significant differences were found between the forecasting accuracy of the methods considered for each component. In the final stage of the analysis, a comparison of the returns on portfolios chosen using each combination showed a significant difference. The analysis suggests that the choice of estimation method is more critical than the choice of pricing model.     

万团大战 战火升级

如今,中国的团购网站已经超过5000家,并且还以每日新增7家的速度递增,正向1万家数量迈进。同时,整个行业的竞争进入白热化,洗牌一触即发。     

战略性新兴产业的市场脆弱性及管理者过度自信--基于无锡尚德太阳能电力有限公司破产重组案例研究

利用数量技术方法构建了新兴产业市场脆弱性模型,并且用Matlab软件模拟了市场脆弱性演化趋势,利用文献法总结了管理者过度自信的测量方法和成因,用案例研究方法从市场脆弱性和管理者过度自信双视角分析了无锡尚德破产重组的原因。研究得出：新兴产业市场存在市场脆弱性问题,它受政策、偏好和技术三因素的影响显著;当前,新兴产业处于发展阶段,新兴产业的企业应该具备动态竞争能力,不宜采用规模化和成本化战略,宜采用专业化、小规模和差异化的柔性战略;管理者过度自信会让企业决策偏离对市场脆弱性的客观认识,从而导致企业在决策中采取更冒险的决策行为;战略性新兴产业市场脆弱性和管理者过度自信最终导致了无锡尚德的失败。最后,给出了一些管理建议。     

An Empirical Investigation of U.S. Firms in Reorganization

The purpose of this paper is to understand the institutional features of Chapter 11 from an empirical examination of thirty firms that have emerged from reorganization. We find the recontracting framework of Chapter 11 to be complex, lengthy, and costly. Violations of absolute priority in favor of stockholders are frequently encountered. These deviations may result from the bargaining process of Chapter 11 or from a recontracting process between creditors and stockholders which recognizes the ability of stockholder-oriented management to preserve firm value. An example of such recontracting addresses Myers' underinvestment problem. An investigation of the effects of Chapter 11 on the pricing of risky debt is also provided.