The Role of Multiple Large Shareholders in the Choice of Debt Source

This paper examines the effect of multiple large shareholders (MLS) on debt choice. Using a sample of 654 French‐listed firms over the period 1998‐2013, we find that reliance on bank debt increases with the presence and voting power of MLS. This result is robust to endogeneity concerns and to several sensitivity tests. Moreover, we find that the effect of MLS on debt choice is more pronounced when agency problems between controlling and minority shareholders are more severe. Taken together, our results suggest that MLS reduce the controlling owner's incentive to avoid bank monitoring, leading to greater reliance on bank debt.     

Trading uncertainty and the cash-in-advance constraint

It is argued that when money and bonds are distinct and money yields a lower rate of return, the quantity of private bonds that is exchanged for money is a signal for demand in the near future. Therefore, competitive price setters who observe transactions in the capital market will find it easier to quote prices when money and bonds are distinct relative to the case in which money and bonds are perfect substitutes. In the example analyzed, imposing a cash-in-advance constraint leads to fewer price-setting mistakes and to a Pareto improvement.     

Eksamen i Forsikringsvidenskab og Statistik ved Köbenhavns Universitet. 2. Del. Den skriftlige Pröve

Abstract

This paper develops a Pareto scale-inflated outlier model. This model is intended for use when data from some standard Pareto distribution of interest is suspected to have been contaminated with a relatively small number of outliers from a Pareto distribution with the same shape parameter but with an inflated scale parameter. The Bayesian analysis of this Pareto scale-inflated outlier model is considered and its implementation using the Gibbs sampler is discussed. The paper contains three worked illustrative examples, two of which feature actual insurance claims data.     

Multiple Large Shareholders and Financial Reporting Quality: Evidence from China

In this paper, we examine the effect of multiple large shareholders (MLS) on financial reporting quality. Using a sample of Chinese listed firms over the period 2007–2018, we find that firms with MLS tend to have lower financial reporting quality. Our findings are robust to an array of robustness tests, including controlling for possible omitted variables, a Heckman two-step sample selection model, and a difference-in-differences analysis based on a propensity score matched sample. We further show that the effect of MLS on financial reporting quality is attenuated for firms followed by more analysts, cross-listed on the Hong Kong Stock Exchange, and held by institutional blockholders. Finally, we find that agency problems appear to be the possible underlying mechanisms through which MLS lower financial reporting quality.     

监督,抑或共谋?——我国上市公司股权结构与公司价值的关系研究

本文通过扩展LLSV(2002)的模型,在监督与共谋的视角下分析了大股东之间分享控制权的治理模式对公司价值的影响,并利用2000—2004年间我国上市公司的样本数据进行实证检验。研究发现:(1)股权集中度、股权制衡度与公司价值之间均存在显著的正相关关系;(2)在不同股东性质的公司中,股权制衡的效果存在明显差异,尤其当第一、二大股东均属于非国有性质时,股权制衡难以发挥积极作用。这些研究结果表明其他大股东虽然能够起监督作用,但也可能与控股股东达成共谋以分享控制权收益。     

Pareto-Optimal Insurance Policies in the Models with a Premium Based on the Actuarial Value

This article analyzes the problem of designing Pareto‐optimal insurance policies when both the insurer and the insured are risk averse and the premium is calculated as a function of the actuarial value of the insurer's risk. Two models are considered: in the first, the set of admissible policies is constrained by a given size of the premium; in the second, the premium size is not constrained so that it varies with the actuarial value of a policy chosen by the agents. For both cases a characterization of the Pareto‐optimal policies is derived. The corresponding optimality equations for the Pareto‐optimal policies are obtained and compared with the results on the classical risk exchange model.     

Who You Going to Call? Performance of Realtors and Non-realtors in a MLS Setting

This study attempts to shed some light on the extent of non-realtor broker listings on the MLS and their resulting price and time-on-the markets effects. Using duration, probit and selling price models, this study empirically examines whether the REALTOR designation provides a signal of quality that is reflected in the price and time on the market for sellers. Results indicate that properties listed by non-realtors on the MLS setting sell at lower prices, take slightly longer to sell, and are less likely to sell than properties listed by REALTORs in a MLS setting. Working with a REALTOR in a MLS setting appears to be advantageous to the seller.

Odd Pareto families of distributions for modeling loss payment data

A three-parameter generalization of the Pareto distribution is presented with density function having a flexible upper tail in modeling loss payment data. This generalized Pareto distribution will be referred to as the Odd Pareto distribution since it is derived by considering the distributions of the odds of the Pareto and inverse Pareto distributions. Basic properties of the Odd Pareto distribution (OP) are studied. Model parameters are estimated using both modified and regular maximum likelihood methods. Simulation studies are conducted to compare the OP with the exponentiated Pareto, Burr, and Kumaraswamy distributions using two different test statistics based on the ml method. Furthermore, two examples from the Norwegian fire insurance claims data-set are provided to illustrate the upper tail flexibility of the distribution. Extensions of the Odd Pareto distribution are also considered to improve the fitting of data.     

The Efficiency of Categorical Discrimination in Insurance Markets

Crocker and Snow (1986) show that banning categorization based on risk‐related characteristics such as gender or race in pricing insurance policies is inefficient whenever categorization is costless. Their analysis, by contrast, suggests ambiguous welfare effects of banning costly categorization. I show that this latter conclusion is incorrect: categorical pricing bans are inefficient even when categorization is costly. Whenever the ban‐imposing government can instead provide breakeven partial social insurance, it can remove its ban in such a way that the insurance market will choose to employ the categorizing technology only when doing so is Pareto improving.     

The Trading Decision and Market Clearing under Transaction Price Uncertainty

This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.     

Composite Lognormal–Pareto model with random threshold

This paper further considers the composite Lognormal–Pareto model proposed by Cooray & Ananda (2005) and suitably modified by Scollnik (2007). This model is based on a Lognormal density up to an unknown threshold value and a Pareto density thereafter. Instead of using a single threshold value applying uniformly to the whole data set, the model proposed in the present paper allows for heterogeneity with respect to the threshold and let it vary among observations. Specifically, the threshold value for a particular observation is seen as the realization of a positive random variable and the mixed composite Lognormal–Pareto model is obtained by averaging over the population of interest. The performance of the composite Lognormal–Pareto model and of its mixed extension is compared using the well-known Danish fire losses data set.     

Pareto‐archived evolutionary wavelet network for financial constrained portfolio optimization

The multi‐objective portfolio optimization problem is too complex to find direct solutions by traditional methods when constraints reflecting investor's preferences and/or market frictions are included in the mathematical model and hence heuristic approaches are sought for their solution. In this paper we propose the solution of a multi‐criterion (bi‐objective) portfolio optimization problem of minimizing risk and maximizing expected return of the portfolio which includes basic, bounding, cardinality, class and short sales constraints using a Pareto‐archived evolutionary wavelet network (PEWN) solution strategy. Initially, the empirical covariance matrix is denoised by employing a wavelet shrinkage denoising technique. Second, the cardinality constraint is eliminated by the application of k‐means cluster analysis. Finally, a PEWN heuristic strategy with weight standardization procedures is employed to obtain Pareto‐optimal solutions satisfying all the constraints. The closeness and diversity of Pareto‐optimal solutions obtained using PEWN is evaluated using different measures and the results are compared with existing only solution strategies (evolution‐based wavelet Hopfield neural network and evolution‐based Hopfield neural network) to prove its dominance. Eventually, data envelopment analysis is also used to test the efficiency of the non‐dominated solutions obtained using PEWN. Experimental results are demonstrated on the Bombay Stock Exchange, India (BSE200 index: period July 2001–July 2006), and the Tokyo Stock Exchange, Japan (Nikkei225 index: period March 2002–March 2007), data sets. Copyright © 2010 John Wiley & Sons, Ltd.     

Litteraturanmälningar

Abstract

In 1977 Thorin introduced the class of generalized Γ-convolutions and proved that the Pareto distribution belongs to this class. In subsequent papers Thorin, Bondesson and others have shown that several important distributions are generalized Γ-convolutions.

The purpose of the present paper is to provide a very short proof of Thorin's result that the Pareto distribution is a generalized Γ-convolution. The proof is based on an old stability property of the Stieltjes cone due to Reuter (1956) and Itô (1974).     

Indirect tax harmonization and global public goods

This paper identifies conditions under which, starting from any tax-distorting equilibrium, destination- and origin-based indirect tax-harmonizing reforms are potentially Pareto improving in the presence of global public goods. The first condition (unrequited transfers between governments) requires that transfers are designed in such a way that the marginal valuations of the global public goods are equalized, whereas the second (conditional revenue changes) requires that the change in global tax revenues, as a consequence of tax harmonization, is consistent with the under/over-provision of global public goods relative to the (modified) Samuelson rule. Under these conditions, tax harmonization results in redistributing the gains from a reduction in global deadweight loss and any changes in global tax revenues according to the Pareto principle. And this is the case independently of the tax principle in place (destination or origin).     

Out-of-Pocket Health Expenditures: A Suggested Role for Social Security

We present economic data to demonstrate that the (random) out-of-pocket health-related expenses of seniors who face medical problems are significant and increasing over time. This remains the case even when we take into account the availability of supplemental health insurance. We propose to apply a modest part of Social Security benefits, without increasing the total expenses of this system, to provide mandatory supplemental health insurance for all recipients. Using a theoretical framework we demonstrate that introducing such additional role for Social Security makes individuals (ex ante) better off and hence results in a Pareto dominating new regime for Social Security.     

IMITATION AND COORDINATION IN SMALL‐WORLD NETWORKS

We study aggregate behaviour in a setting where individuals repeatedly interact via a network to play a minimum‐effort (stag hunt) game. Of interest is whether play converges on the Pareto‐optimal or risk‐dominant outcome. We contrast the best‐reply dynamic with the imitate‐the‐best dynamic. We also contrast forms of lattice, small‐world and random networks. Our main finding is that play is far more likely to converge on the Pareto‐optimal outcome if individuals learn by imitation. We find that play in small‐world networks is similar to that in a regular network. Copyright © 2014 John Wiley & Sons, Ltd.     

Price Effects of Non-Traditionally Broker-Marketed Properties

This study investigates whether or not non-traditional marketing has an effect on the prices paid for residential real estate. Non-traditionally broker-marketed properties are defined as those properties that are sold with the aid of a real estate broker, but not marketed through a Multiple Listing Service (MLS). An analysis of properties that sold in this fashion offers further insight into the intermediation role of the real estate broker, as well as an opportunity to further investigate the efficiency of residential real estate markets. Specifically, we can assess whether MLS participation generates higher prices by determining whether like-kind properties price equivalently despite differences in their mode of marketing. The results show a significant and positive impact by non-traditionally broker-marketed properties on property price suggesting, for this sample, a premium of over 6% compared to like-kind properties marketed through the MLS. This premium may be a result of brokers intermediating a better matching of buyers and sellers. The observed premium also suggests a degree of market inefficiency.     

Liquidity Coinsurance, Moral Hazard, and Financial Contagion

We study the propagation of financial crises among regions in which banks are protected by limited liability and may take excessive risk. The regions are affected by negatively correlated liquidity shocks, so liquidity coinsurance is Pareto improving. The moral hazard problem can be solved if banks are sufficiently capitalized. Under autarky a limited amount of capital is sufficient to prevent risk‐taking, but when financial markets are open capital becomes insufficient. Thus, bankruptcy occurs with positive probability and the crisis spreads to other regions via financial linkages. Opening financial markets is nevertheless Pareto improving; consumers benefit from liquidity coinsurance, although they pay the cost of excessive risk‐taking.     

The origin principle and the welfare gains from indirect tax harmonization

This paper establishes a parallelism between indirect tax harmonization when taxes are levied according to the destination principle and its counterpart when taxes are imposed on an origin basis. Using a simple two-country model of international trade it is argued that, under normal circumstances, indirect tax harmonization under the origin principle, considered as a movement of domestic taxes toward an appropriately designed average tax structure, is potentially Pareto improving. It is also shown that if the initial position is a Nash equilibrium, there are exceptional situations under which the above-mentioned reform may generate an actual Pareto improvement, so that both countries improve their welfare without any need for a compensating international transfer.