The Effect of Business Risk on Corporate Capital Structure: Theory and Evidence

Under corporate and personal taxation, we demonstrate that the relation between optimal debt level and business risk is roughly U-shaped. This result follows from the fact that the tax liability is an option portfolio that is long in the corporate tax option and short in the personal tax option. Therefore, the net effect of a change in business risk on the optimal debt level depends upon the relative magnitudes of the resultant marginal changes in the values of these two options. Results of empirical tests offer support for the predicted U-shaped relationship.     

人力资本投资:风险与风险规避

自美国经济学家发现人力资本对经济发展的巨大贡献以来,人们的注意力主要集中于阐述人力资本投资的高收益性,而人力资本投资的风险性却很少被论及。实现有效的人力资本投资,必须建立在充分认识人力资本投资特点的基础上,而规避人力资本投资风险的根本途径是明晰人力资本产权和建立人力资本市场。     

Risk Management, Risk Capital, and the Cost of Capital

In a recent JACF article, Prakash Shimpi proposed a new way of calculating a firm's cost of capital that incorporated a concept of "risk capital" as well as operational capital. The premise of the Shimpi approach was that purchasing hedging instruments effectively "releases" equity that is no longer needed to ensure the firm's creditworthiness.
This article shows that Shimpi's cost of capital calculations incorporate this released equity in a misleading way, exaggerating the capital base and underestimating its true cost. It also demonstrates how conventional cost of capital approaches can be modified to integrate risk capital, thereby avoiding such distortions and accurately representing the cost of capital of a company with a policy of active risk management.     

Dynamic Capital Structure Choice: Theory and Tests

This paper develops a model of dynamic capital structure choice in the presence of recapitalization costs. The theory provides the optimal dynamic recapitalization policy as a function of firm-specific characteristics. We find that even small recapitalization costs lead to wide swings in a firm's debt ratio over time. Rather than static leverage measures, we use the observed debt ratio range of a firm as an empirical measure of capital structure relevance. The results of empirical tests relating firms' debt ratio ranges to firm-specific features strongly support the theoretical model of relevant capital structure choice in a dynamic setting.     

首航节能“欺诈门”风险乍观

市场最大的风险是信用风险,如果首航节能"商业欺诈"属实,也必将会被市场处于极刑。电厂直接空冷系统供应商北京首航艾启威节能技术股份有限公司(以下简称"首航节能")自2012年3月上市,短短半年时间,已卷入多起负面事件。近期更深陷"商业诈骗"漩涡,虽然公司发布澄清公告,然后其股价     

Liquidity Risk and Venture Capital Finance

This article provides theory and evidence in support of the proposition that venture capitalists adjust their investment decisions according to liquidity conditions on IPO exit markets. We refer to technological risk as a choice variable in terms of the characteristics of the entrepreneurial firm in which the venture capitalist invests, and liquidity risk as the current and expected future external exit market conditions. We show that in times of expected illiquidity of exit markets (high liquidity risk), venture capitalists invest proportionately more in new high-tech and early-stage projects (high technology risk) in order to postpone exit requirements. When exit markets are liquid, venture capitalists rush to exit by investing more in later-stage projects. We further provide complementary evidence that shows that conditions of low liquidity risk give rise to less syndication. Our theory and supporting empirical results facilitate a unifying theme that links related research on illiquidity in private equity.     

汇丰银行风险与资本管理

汇丰银行(HSBC)是老牌国际活跃银行之一,2007年资产规模达2.35万亿美元,在英国权威杂志<银行家>2008金融品牌500强排名中名列榜首,成为全球最具价值的银行品牌.     

资本结构影响因素：理论和证据

国外研究表明，资产结构、公司规模、非债务税盾、成长性、财务困境成本、投资额、独特性、产生内部资源能力等因素影响资本结构的选择。实证分析显示，除了财务困境成本因素外，影响国外公司的特征因素几乎也可以同样的方式影响中国上市公司的资本结构。     

资产定价:理论演进及应用研究

资产定价理论是现代金融理论的核心.本文通过对资产定价理论的综述,揭示了从传统资产定价理论到行为资产定价理论的演进脉络,并对各理论及相应模型的内涵和应用进行了描述,最后对传统资产定价理论和行为资产定价理论进行了比较,以期对我国金融理论和实践的发展有所帮助.     

Risk in Banking and Capital Regulation

This paper investigates the role of bank capital regulation in risk control. It is known that banks choose portfolios of higher risk because of inefficiently priced deposit insurance. Bank capital regulation is a way to redress this bias toward risk. Utilizing the mean-variance model, the following results are shown: (a) the use of simple capital ratios in regulation is an ineffective means to bound the insolvency risk of banks; (b) as a solution to problems of the capital ratio regulation, the “theoretically correct” risk weights under the risk-based capital plan are explicitly derived; and (c) the “theoretically correct” risk weights are restrictions on asset composition, which alters the optimal portfolio choice of banking firms.     

Distortion Risk Measures and Economic Capital

Abstract

To provide incentive for active risk management, it is argued that a sound coherent distortion risk measure should preserve some higher degree stop-loss orders, at least the degree-three convex order. Such risk measures are called tail-preserving risk measures. It is shown that, under some common axioms and other plausible conditions, a tail-preserving coherent distortion risk measure identifies necessarily with the Wang right-tail measure or the expected value measure. This main result is applied to derive an optimal economic capital formula.     

Hedge Funds: Performance, Risk, and Capital Formation

We use a comprehensive data set of funds-of-funds to investigate performance, risk, and capital formation in the hedge fund industry from 1995 to 2004. While the average fund-of-funds delivers alpha only in the period between October 1998 and March 2000, a subset of funds-of-funds consistently delivers alpha. The alpha-producing funds are not as likely to liquidate as those that do not deliver alpha, and experience far greater and steadier capital inflows than their less fortunate counterparts. These capital inflows attenuate the ability of the alpha producers to continue to deliver alpha in the future.     

International Capital Markets and Foreign Exchange Risk

Relations between foreign exchange risk premia, exchange ratevolatility, and the volatilities of the pricing kernels forthe underlying currencies, are derived under the assumptionof integrated capital markets. As predicted, the volatilityof exchange rates is significantly associated with the estimatedvolatility of the relevant pricing kernels, and foreign exchangerisk premia are significantly related to both the estimatedvolatility of the pricing kernels and the volatility of exchangerates. The estimated foreign exchange risk premia mostly satisfyFama’s (1984) necessary conditions for explaining theforward premium puzzle, but the puzzle remains in several caseseven after taking account of the pricing kernel volatilities.     

Perquisites,Risk, and Capital Structure

In a corporate agency problem, perquisites and risk interact to produce novel, complex comparative statics. For example, even if additional debt induces risk-neutral insiders to increase risk, they never seek to increase the market value of their stock; instead, insiders decrease the present value of their subsequent, conditionally optimal perquisites. Also, the firm's optimal capital structure includes a risky bond with an agreement to remove insiders whenever the bond defaults. However, the optimal sharing rule between corporate claimants cannot be supported solely by standard securities such as bonds, stocks, options, and their hybrids.     

经济资本配置与操作风险管理

对我国的商业银行来说,操作风险管理历来是一个薄弱环节,而针对操作风险的经济资本配置更是一个"盲区",引起业界的广泛关注.本文在巴塞尔新资本协议的框架下,从理论和实务两个方面,探讨了关于操作风险的经济资本计量模型、配置方法与管理流程,并结合我国银行业的实际情况,提出了一个较为可行的操作风险经济资本管理的实施路线.