Can mergers ensure the survival of credit unions in the third millennium?

The survival of small financial institutions in the third millennium depends on their competitiveness against large bank rivals. Accordingly, credit unions in Australia and the United States have attempted to increase efficiency through mergers. Our paper uses the data envelopment analysis methodology to evaluate the post-merger gains in technical and scale efficiency achieved by 31 Australian credit union mergers in 1993/1994 and 1994/1995, relative to non-merging credit unions. When compared with the only US study of credit union mergers [Journal of Banking & Finance 23 (1999) 367–386], our findings suggests that mergers are not associated with improvements in efficiency superior to those achieved by internal growth.     

Effective or Manipulated Crawling Pegged? Examining the Efficiency of China’s Foreign Exchange Markets

Through data on the balance of payments, this article examines the performance of the crawling peg system in China’s foreign exchange markets. We are interested in whether the exchange rates are steered by the market fundamentals or manipulation. We investigate the changes in market efficiency for the RMB against 12 major currencies in the past decade. Our findings reveal that even with a small floating band in China’s foreign exchange markets, if the market allows the exchange rate to adjust according to the price mechanism, then market efficiency does improve significantly. When the RMB was pegged to the USD at 6.83 during the global financial crisis, there was a severe market failure. That also occurred in 2014, when the China government began to depreciate the RMB to stimulate exports.     

Competition from Large, Multimarket Firms and the Performance of Small, Single-Market Firms: Evidence from the Banking Industry

We offer and test two competing hypotheses for the consolidation trend in banking using U.S. banking industry data over the period 1982–2000. Under the efficiency hypothesis , technological progress improved the performance of large, multimarket firms relative to small, single-market firms, whereas under the hubris hypothesis , consolidation was largely driven by corporate hubris. Our results are consistent with an empirical dominance of the efficiency hypothesis over the hubris hypothesis—on net, technological progress allowed large, multimarket banks to compete more effectively against small, single-market banks in the 1990s than in the 1980s. We also isolate the extent to which technological progress occurred through scale versus geographic effects and how they affected the performance of small, single-market banks through revenues versus costs. The results may shed light as well on some of the research and policy issues related to community banking.     

A Bayesian approach to testing portfolio efficiency

This paper develops a Bayesian test of portfolio efficiency and derives a computationally convenient posterior-odds ratio. The analysis indicates that significance levels higher than the traditional 0.05 level are recommended for many test situations. In an example from the literature, the classical test fails to reject with p-value 0.082, yet the odds are nearly two to one against efficiency under apparently reasonable assumptions. Procedures for testing approximate efficiency and for aggregating subperiod results are also considered.     

The false prosperity and promising future: Effects of data resources on bank efficiency

This study investigates the impact of data resources on bank efficiency. Based on data management theory, we measure bank data resources and find that higher data resources are associated with lower cost efficiency using data on Chinese banks over the period 2013 to 2019. However, data resources have no significant impact on profit efficiency. We discover that data resources reduce cost efficiency possibly due to increased overheads and decreased capital adequacy ratio. Furthermore, we conclude that emerging data technologies can reduce the cost burden of data resources on commercial banks, resulting in synergistic technical benefits. The findings are of timely policy importance and practical relevance for regulators, policy-makers, and bank managers. Our main results hold for a battery of endogeneity and robustness tests.     

激励约束双重缺失下企业年金税收体系的构建

企业年金在我国发展缓慢主要源于税收体系的不完备性。单一的税惠比例无法兼顾效率与公平,使所得税惠政策无法起到必要的激励作用;同时,缺少优税合格资格规定的企业年金计划运行也缺乏必要的约束。激励约束机制的双重缺失成为企业年金发展的桎梏。当前,税收体系的完善既要求确立EET税惠模式保持效率性,也要防止对高薪雇员过度优惠兼顾公平,同时需规定税惠政策的适格条件形成约束,使企业年金制度在统一的税收体系框架内顺利运行。     

我国农村小额信贷效率低下的成因探析

针对我国农村小额信贷宏观效率与微观效率均较低下的现状,本文从农村金融体制、农村小额信贷风险度量、农村小额信贷运营成本、政府财政基础等方面出发,对我国农村小额信贷效率低下的原因进行了探讨。     

Return and risk in initial public offerings of both shares and warrants

In the past few years there has been an increasing number of new issues of shares of common stock together with warrants intended to raise interest in initial public offerings of relatively young, growing firms. In this study we examine the pricing efficiency of stocks and warrants offered simultaneously to the public as a single unit. We present a model for evaluating the warrants in such offerings and test it empirically against data from the Tel-Aviv Stock Exchange, where such offerings have become standard. We find that the issued units are usually undervalued, allowing for significant abnormal positive returns. But, while the warrants are usually underpriced, the stocks are overpriced. Largely consistent with the evidence from other financial markets around the world, we also find abnormal negative rates of return in the long run.     

Can small investors exploit the momentum effect?

This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic research, and thus this study uses extreme performance companies to implement the strategy. We find that strong momentum gains appear when extreme winners and losers are employed. These returns remain strong even after considering the transaction costs of implementing such strategies, including commissions, stamp duty, selling-short costs, and bid-ask spread. Overall, we show that a relatively large number of small investors can enjoy momentum gains, providing some evidence against stock market efficiency.     

Heuristic learning in intraday trading under uncertainty

Until recently economists focused on structural models that were constrained by a lack of high-frequency data and theoretical deficiencies. Little academic research has been invested in actually trying to build successful real-time trading models for the high-frequency foreign exchange market, which is characterized by inherent complexity and heterogeneity. The present work opens new directions for inference on market efficiency in an attempt to account for the use of technical analysis by practitioners over many years now. This paper presents a heuristic model that efficiently emulates the dynamic learning of intraday traders. The proposed setup incorporates agent beliefs, preferences and expectations while it integrates the calibration of technical rules by means of adaptive training. The study focuses on EUR/USD which is the most liquid and widely traded currency pair. The data consist of a very large tick-by-tick sample of bid and ask prices covering many trading periods to enhance robustness in the results. The efficiency of a technical trading strategy based on the proposed model is investigated in terms of directional predictability. The heuristic learning system is compared against many non-linear models, a random walk and a buy & hold strategy. Based on statistical testing it is shown that, with the inclusion of transaction costs, the profitability of the new model is consistently superior. These findings provide evidence of technical predictability under incomplete information and can be justified by invoking the existence of heterogeneity caused by many factors affecting market microstructure. Overall, the results suggest that the proposed model can be used to improve upon traditional technical analysis approaches.     

Efficiency Barriers to the Consolidation of the European Financial Services Industry

Cross-border consolidation of financial institutions within Europe has been relatively limited, possibly reflecting efficiency barriers to operating across borders, including distance; differences in language, culture, currency, and regulatory/supervisory structures; and explicit or implicit rules against foreign competitors. EU policies such as the Single Market Programme and European Monetary Union attenuate some but not all of these barriers. The evidence is consistent with the hypothesis that these barriers offset most of any potential efficiency gains from cross-border consolidation. Banks headquartered in other EU nations have slightly lower average measured efficiency than domestic banks and non-EU-based foreign banks.     

Golden parachutes: credible commitments or evidence of shirking?

External agents are frequently characterized as necessary for efficiency in team production settings. At the same time, these agents must be constrained from opportunistically exercising their enforcement capabilities. I argue that collective action costs and formal institutions (e.g., golden parachute agreements) can act as substitute factors in producing this constraint. The incidence of golden parachutes in a sample of S&P 500 firms is consistent with this conjecture: golden parachutes are more likely in firms with concentrated ownership. Interpreted in this light, golden parachutes enhance efficiency by increasing the credibility with which owners can commit against opportunism.     

Market efficiency and accounting research: a discussion of ‘capital market research in accounting’ by S.P. Kothari

Much of capital market research in accounting over the past 20 years has assumed that the price adjustment process to information is instantaneous and/or trivial. This assumption has had an enormous influence on the way we select research topics, design empirical tests, and interpret research findings. In this discussion, I argue that price discovery is a complex process, deserving of more attention. I highlight significant problems associated with a naı̈ve view of market efficiency, and advocate a more general model involving noise traders. Finally, I discuss the implications of recent evidence against market efficiency for future research.     

Seasonals,price adjustment delays and estimated systematic risk

This article analyzed potential interactions between seasonals and price adjustment delays on estimated systematic risk. It was shown that seasonals in unobservable true security returns can induce inconsistencies into the generalized Scholes and Williams estimator of systematic risk. An alternative estimator was proposed that is consistent in the presence of seasonals in the unobservable true returns. The direction of induced bias is unpredictable a priori, thereby representing a potentially important research consideration in market efficiency tests using abnormal returns. NASDAQ and Dow Jones 30 Industrial return data for the period 1983–87 were used to evaluate the proposed estimator against the OLS and generalized Scholes and Williams (GSW) alternatives. The absolute difference between the GSW and our estimator, that is the seasonal-induced bias, for NASDAQ stocks was negatively correlated with market capitalization. Moreover, seasonal-induced bias was larger for NASDAQ stocks than more highly capitalized Dow stocks. These empirical findings indicate that seasonals and price adjustment delays can interact to bias estimated systematic risk, where price adjustment delays would be projected to be more acute for smaller capitalization stocks.     

由信用创评到信贷交易———潍坊农信社信用创评路径与效应分析

当前以农村信用社为主体对农村信用资源开展的信用创评活动,可以有效降低信用交易主体的信息不对称状况,以标准化的信用信息记录和非正式约束机制实现对担保机构的替代,促进了农村信贷交易效率。     

The Business Risk Audit Approach and Audit Production Efficiency

Essentially, this study asks: Does the business risk audit (BRA) approach increase audit production efficiency? To answer this question empirically, direct and indirect tests are employed using proprietary, working paper data from the larger clients of a major Australian public sector audit provider and an efficiency frontier analytic methodology, data envelopment analysis (DEA). Results based on this proprietary, audit hours data for audit engagements carried out just after BRA approach implementation show that they have high levels of production efficiency and are risk-adjusted, with no significant difference in production efficiency between higher and lower business risk audit engagements. Results based on audit fees data for audit engagements carried out shortly before and after BRA approach implementation show that overall production efficiency significantly improves. Importantly, while this improvement is significant for lower-risk audit engagements, there is no significant improvement for higher-risk audit engagements. In the context of this study's research site, this is consistent with the BRA approach addressing inefficiencies created when lower-risk audit engagements are being over-audited. That is, the BRA approach can result in both risk-adjusted and more efficiently produced audits. With the re-emergence of the BRA approach in the literature and in practice, this study provides empirical evidence to support the claim that this audit approach can lead to ‘creating auditing efficiencies’ (Bell et al., 1997, p. 1).     

Internal and external analysis of community banks' performance

This study explores the efficiency of US community banks and factors that affect it. We present a slacks-based measure model for data envelopment analysis to analyze the efficiency of 3171 community banks in the US, and then conduct a panel data analysis to investigate the factors that affect banks' efficiency. The results show that bank size, community size, and unemployment rate of the region where the community bank is located are positively related to the efficiency, whereas relative affluence of a community has a negative relationship with the community bank efficiency. In addition, community banks providing real estate loans or diversifying their loan services perform better than those concentrating on agricultural loans, which account for a large proportion of the loans provided by US community banks whose traditional role is to provide banking services to rural communities and act as major credit providers for agricultural producers.     

Predicting bank performance with financial forecasts: A case of Taiwan commercial banks

Data envelopment analysis (DEA) has been used as a tool for evaluating past accomplishments in the banking industry. However, due to a time lag, the results usually arrive too late for the evaluated banking institutions to react timely. This paper makes advanced predictions of the performances of 24 commercial banks in Taiwan based on their financial forecasts. The forecasts based on uncertain financial data are represented in ranges, instead of as single values. A DEA model for interval data is formulated to predict the efficiency. The predictions of the efficiency scores are also presented as ranges. We found that all the efficiency scores calculated from the data contained in the financial statements published afterwards fall within the corresponding predicted ranges of the efficiency scores which we had calculated from the financial forecasts. The results also show that even the bad performances of the two banks taken over by the Financial Restructuring Fund of Taiwan could actually be predicted in advance using this study.     

The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets

Cryptocurrencies have gained a lot of attention since Bitcoin was first proposed by Satoshi Nakamoto in 2008, highlighting the potential to play a significant role in e-commerce. However, relatively little is known about cryptocurrencies, their price behaviour, how quickly they incorporate new information and their corresponding market efficiency. To extend the current literature in this area, we develop four smart electronic Bitcoin markets populated with different types of traders using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We apply the STGP technique to historical data of Bitcoin at the one-minute and five-minute frequencies to investigate the formation of Bitcoin market dynamics and market efficiency. Through a plethora of robust testing procedures, we find that both Bitcoin markets populated by high-frequency traders (HFTs) are efficient at the one-minute frequency but inefficient at the five-minute frequency. This finding supports the argument that at the one-minute frequency investors are able to incorporate new information in a fast and rationale manner and not suffer from the noise associated with the five-minute frequency. We also contribute to the e-commerce literature by demonstrating that zero-intelligence traders cannot reach market efficiency, therefore providing evidence against the hypothesis of Hayek (1945; 1968). One practical implication of this study is that we demonstrate that e-commerce practitioners can apply artificial intelligence tools such as STGP to conduct behaviour-based market profiling.     

Cost efficiency and board composition under different takaful insurance business models

This study examines the link between cost efficiency and board composition in non-life takaful insurance firms operating in 17 Islamic countries using panel data for 2004–2007. Nonparametric data envelopment analysis (DEA) is used to compute cost efficiency scores and a second-stage logit transformation regression model is then employed to test the influence of corporate characteristics on these efficiencies. We find that average levels of cost efficiency in takaful insurance markets mirror the efficiency in developed non-life insurance markets. The relative influence of board composition, such as the proportion of non-executive directors on the board, on the cost efficiency of takaful insurers depends on its interaction with other firm-specific characteristics such as board size. Hence, the effect of corporate governance systems on the cost efficiency of takaful insurers can be complicated by various firm-specific factors. Our results could have important commercial and policy implications.