Optimal Utilization of Capital and a Financial Sector in a Classical Gravitation Process

In a production price framework, a two‐sectoral gravitation process with cross‐over adjustments of prices and quantities is advanced. To overcome an inconsistency in the treatment of fixed capital in disequilibrium, the socio‐technological input coefficients are assumed to vary with the sectoral output–capital ratio, such that for each relative price there exists an optimal degree of capital utilization which maximizes the sectoral rate of profit. Production prices prevail if these maximizing rates of profit are equalized. In addition, a financial sector determining the rate of interest is incorporated into the model. The mathematical analysis establishes a broad scope for local stability of the long‐run equilibrium position once a condition applies that ensures stability of the output adjustments in the short period.     

An examination of restaurant firm financing and the cost of borrowing

The use of debt is prevalent in the restaurant industry. While there have been numerous studies on restaurant capital structure, this study examines the relationship between firm performance and effective interest rate on debt used by restaurant firms. This study uses a sample of 56 publicly traded U.S. restaurant firms for the years 2012–2014. We examine the relationship between effective interest rates and firm performance as measured by approximate Tobin’s Q, return on assets, and return on equity. We find a significant and positive relationship between effective interest rates and return on equity.     

Is Indonesia's stock market different when it comes to predictability?

We construct a unique dataset consisting of 342 firms aimed at stock return predictability. Using seven predictors, we show that unlike in conventional markets, it is capital expenditure that is the most successful predictor of returns. However, the overall evidence of out-of-sample predictability when using other conventional return predictors is weak. Capital expenditure-based forecasting models do lead to profits also although these are small. This tends to imply that for markets that are at the nascent stages of development, such as Indonesia, capital expenditure might have a role to play in shaping the market. Our results are in sharp contrast to the literature on emerging markets.     

人力资本投资收益的比较研究

在人力资本投资理论中 ,一个被广泛认同的观念是投资者要不要进行人力资本投资和投资量的多少 ,取决于这种投资的收益率。国际、国内运用成本收益率法和收入函数法计算 ,并对收益率的估算结果进行比较研究 ,从而提出了中国提高人力资本收益的对策。     

Bank Profitability and Capital Regulation: Evidence from Listed and non-Listed Banks in Africa

This study investigates the determinants of African bank profitability while controlling for bank capital regulation. Using static and dynamic panel estimation techniques, the findings indicate that bank size, total regulatory capital, and loan loss provisions are significant determinants of the return on assets of listed banks compared to non-listed banks. Also, regulatory capital has a more significant (and positive) impact on the return on assets of listed banks than non-listed banks particularly when listed banks have sufficient regulatory capital ratio. We also find that higher regulatory thresholds have a negative impact on the return on asset of non-listed banks.     

Shadow banking in Asia: Foreign versus domestic lending to real estate projects

We compare the types of loans and their rates of returns for domestic versus offshore small and mid-sized private real estate credit funds. The data indicate offshore private credit funds issue smaller and subordinated loans to residential projects. Offshore lenders prefer projects in developed Asian markets, and obtain higher rates of return even after controlling for other things such as loan size, seniority, and borrower location. Our findings suggest the presence of pronounced segmentation across real estate lending markets in Asia as offshore lenders are not a substitute for domestic capital.     

EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET

We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of , the weighted average of the requested rate of return of individual investors, which tends to infinity as approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.     

Publicly traded venture capital funds: implications for institutional “fund of funds” investors

Institutional investors supply the bulk of the funds which are used by venture capital investment firms in financing emerging growth companies. These investors typically place their funds in a number of venture capital firms, thus achieving diversification across a range of investment philosophy, geography, management, industry, investment life cycle stage and type of security. Essentially, each institutional investor manages a “fund of funds,” attempting through the principles of portfolio theory to reduce the risk of participating in the venture capital business while retaining the up-side potential which was the original source of attraction to the business. Because most venture capital investment firms are privately held limited partnerships, it is very difficult to measure risk adjusted rates of return on these funds on a continuous basis.In this paper, we use the set of twelve publicly traded venture capital firms as a proxy to develop insight regarding the risk reduction effect of investment in a portfolio of venture capital funds, i.e., a fund of funds. Measurements of weekly total returns for the shares of these funds are compared with similar returns on a set of comparably sized “maximum capital gain” mutual funds and the daily return of the S&P 500 Index. A comparison of returns on an individual fund basis, as well as a correlation of daily returns of these individual funds, were made. In order to adjust for any systematic bias resulting from the “thin market” characteristic of the securities of the firms being observed, the Scholes-Williams beta estimation technique was used to reduce the effects of nonsynchronous trading.The results indicate that superior returns are realized on such portfolios when compared with portfolios of growth-oriented mutual funds and with the S&P 500 Index. This is the case whether the portfolios are equally weighted (i.e., “naive”) or constructed to be mean-variant efficient, ex ante, according to the capital asset pricing model. When compared individually, more of the venture funds dominated the S&P Market Index than did the mutual funds and by much larger margins. When combined in portfolios, the venture capital funds demonstrated very low beta coefficients and very low covariance of returns among portfolio components when compared with portfolios of mutual funds. To aid in interpreting these results, we analyzed the discounts and premia from net asset value on the funds involved and compared them to Thompson's findings regarding the contribution of such differences to abnormal returns. We found that observed excess returns greatly exceed the level which would be explained by these differences.The implications of these results for the practitioner are significant. They essentially tell us that, while investment in individual venture capital deals is considered to have high risk relative to potential return, combinations of deals (i.e., venture capital portfolios) were shown to produce superior risk adjusted returns in the market place. Further, these results show that further combining these portfolios into larger portfolios (i.e., “funds of funds”) provides even greater excess returns over the market index, thus plausibly explaining the “fund of funds” approach to venture capital investment taken by many institutional investors.While the funds studied are relatively small and are either small business investment companies or business development companies, they serve as a useful proxy for the organized venture capital industry, despite the fact that the bulk of the funds in the industry are institutionally funded, private, closely held limited partnerships which do not trade continuously in an open market. These results demonstrate to investors the magnitude of the differences in risk adjusted total return between publicly traded venture capital funds and growth oriented mutual funds on an individual fund basis. They also demonstrate to investors the power of the “fund of funds” approach to institutional involvement in the venture capital business. Because such an approach produces better risk adjusted investment results for the institutional investor, it seems to justify a greater flow of capital into the business from more risk averse institutional investment sources. This may mean greater access to institutional funds for those seeking to form new venture capital funds. For entrepreneurs seeking venture capital funds for their young companies, it may also mean a lower potential cost of capital for the financing of business venturing. From the viewpoint of public policy makers interested in facilitating the funding of business venturing, it may provide insight regarding regulatory issues surrounding taxation and the barriers and incentives which affect venture capital investment.     

Determinants of required return in venture capital investments: a five-country study

Using two complementary theoretical perspectives, we develop hypotheses regarding the determinants of the return required by venture capitalists and test them on a sample of over 200 venture capital companies (VCCs) located in five countries. Consistent with resource-based theory, we find that early-stage specialists require a significantly higher return than other VCCs when investing in later-stage ventures. Consistent with financial theory, we find that acquisition/buyout specialists require a significantly lower return than other VCCs when investing in expansion companies. Furthermore, in comparison to specialists, highly stage-diversified VCCs require a significantly higher return for early-stage investments. Independent VCCs require a higher rate of return than captive or public VCCs. In general, higher required returns are associated with VCCs who provide more intensity of involvement, have shorter expected holding period of the investment, and being located in the US or UK (in comparison to those in France, Belgium, and The Netherlands).     

城市经济转型时期人力资本回报率研究

基于Mincer基本模型和扩展模型的估算结果显示 ,中国城市地区的教育回报率比其他发展中国家的平均水平低 ,但这一回报率在不断上升 ;职工工资收入达到最高水平所需工作的年限在下降 ,工作年限的边际回报率在下降 ,尤其是女性工作年限的边际回报率下降速度更快。在 1986 /1987年 ,广东城市职工平均工资收入比湖南和四川高出 30 % ,而在 1993/1994年 ,广东城市职工平均工资收入比湖南和四川高出 70 % ,表明地区收入不平等的现象在扩大。令人费解的是 ,广东省的教育回报率并不高 ,尽管在这期间广东省男女两性的工作经验回报率大大下降。文章还发现 ,无论是工资性别歧视 ,还是职业性别歧视都似乎存在于中国城市的劳动力市场中     

中国房地产公司股权收益与资本回报率、债务利率关系

本文结合中国房地产公司的动态资本结构特征,建立房地产公司动态资本结构模型,利用该模型进行了数据仿真实验,研究中国房地产公司资本结构对股权收益的影响情况。研究发现股权收益率随着资本回报率标准差增长,呈现出骤降后平稳上升一定水平的规律,并且资产负债率档位越高,收益率水平越不稳定;而当资产负债率处于较低水平时,债务利率水平的差异并不会对股权收益率造成较为明显的区别,而随着资产负债率水平的提高,股权收益率开始随着债务利率水平的差异而产生不同,在盈利能力相等时,股权收益率均随债务成本的增大而降低。     

Factor Exposures of Foreign Equity Capital in a Domestic Stock Market: Evidence from Korea

In this paper, we examine the factor exposures of foreign equity capital in a domestic stock market in order to understand its risk‐taking behavior and sources of returns in the market. Using data from Korea for the 1999–2013 period, we find that foreigners are strongly exposed to the idiosyncratic volatility (IVOL) factor, which is long on low‐IVOL stocks and short on high‐IVOL stocks. That is, foreign equity capital is typically allocated to low‐IVOL stocks and profits from the return differential between low‐IVOL and high‐IVOL stocks. We also find that foreign equity capital moves in a way that it is loaded more on the IVOL factor when the IVOL factor premium is larger. We discuss the comparative advantage of foreign equity capital in bearing the IVOL factor risk and the role of information asymmetry between locals and foreigners in this risk sharing. We also provide additional empirical results that support our interpretation.     

A Probability Based Approach to Estimating Cost of Capital for Small Business

While discount rates of listed companies can be readily estimated using "betas" and the Capital Asset Pricing Model, the same is not true for small business. Entrepreneurs often have to rely on subjective assessments of the financial viability of their business ventures. This paper suggests an alternative to estimate the costs of capital for small businesses. Costs of capital are derived from the probability of success for similar business. These required rates of return can be used as minimum hurdle rates to assess the viability and profitability of the business under consideration. Since risk neutrality is assumed of investors in this approach, the costs of capital established should only be regarded as minimum returns required by risk-averse investors. Therefore, this suggested approach attempts to provide a refined "rule-of-thumb" which may be of value to small business entrepreneurs and financiers, especially when detailed accounting and financial data of similar business are not readily available.     

生产性服务资源集聚模式会影响制造业资本回报率吗？

文章在测算出生产性服务资源三类集聚程度的基础上,运用空间计量方法首次深入剖析集聚模式对制造业资本回报率的作用机制,并进一步从时间异质性和距离异质性视角刻画上述机制。得到的结论主要有：首先生产性服务资源自身集聚及其与制造业协同集聚均有助于制造业资本回报率的提升,生产性服务资源与农业的协同集聚则会对制造业资本回报率产生负向冲击,这一负向冲击主要产生于2012年后;其次虽然生产性服务资源与制造业协同集聚对制造业资本回报率的作用力大于生产性服务资源自身集聚,但生产性服务资源与制造业协同集聚对制造业资本回报率正向作用的显著性上限为300公里,地理距离对生产性服务资源自身集聚正向效应的制约力则不显著;最后就业密集度、人力资本深化和生产率提升均有助于制造业资本回报率的提升,研发投入对制造业资本回报率的作用力不显著,中国制造业资本回报率持续提升还有赖于劳动者技能提升和技术进步。     

资本回报率、人力资本投资与收入不平等——基于Galor-Zeira模型的扩展

资本回报率下降对人力资本投资、收入不平等程度有较大影响。本文将可变资本回报率加入Galor-Zeira模型,理论推导发现:收入不平等陷阱并非不可逾越的障碍。当技能劳动力工资高于受教育固定成本时,随着资本回报率下降,接受教育的遗赠临界水平将降低,更多家庭将发现投资人力资本是有利的,稳态的技能劳动力比例将提高。在当前资本回报率下降的大背景下,提高技能劳动力工资、降低受教育成本、对教育贷款实施财政减免优惠、为农村中等教育支出减负和提升农村教育质量、倡导节俭和重视遗赠的文化氛围在长期都有助于提高技能劳动力比重以及缓和收入不平等。     

资本市场与中国经济社会发展

世界资本市场的发展历程表明,资本市场与一国经济社会发展相伴相生,脱离经济社会需求的金融发展会带来灾难;资本市场代表着市场化资源配置方式,但诚信缺失和非理性因素也会带来市场失灵;金融危机对全球化时代的资本市场发展和监督提出了新的挑战,对世界经济金融格局将产生深远影响。我国的资本市场存在着市场发展水平不高、投资回报未能充分体现、法制建设和监管需要加强、国际竞争力不强等问题,应该采取措施完善市场体系,加快场外市场建设;提高监管水平,改革监管体制;强化投资者保护机制,加强投资者教育;推动社会保障和养老体系与资本市场的良性互动发展。     

房地产企业财务风险的探讨

随着房地产企业的快速发展,财务风险也会逐渐加大。这是房地产行业自身特点带来的财务风险。同时,利率和通货膨胀、不稳定的现金流、国家宏观调控等因素也带来财务风险。房地产企业财务风险产生的原因,从宏观经济环境角度分析,主要是国家政策调整及宏观经济形势变化、财务管理环境的复杂性、销售资金回笼率较低等因素;从微观经济环境角度分析,主要是资本结构不合理、开发企业风险意识薄弱、人员素质较低、内部控制较为薄弱等因素。     

The Relationship Between the Intensity of Competition in China’s Real Estate Industry and its Return on Equity

Does the rate of return from the Chinese real estate industry correlate with the intensity of competition among real estate firms? If China’s equity market performs efficiently, the rates of return of real estate firms should vary indirectly with their level of monopoly power. Greater monopoly power reduces earnings risk and leads to lower costs of capital. The authors analyze empirical evidence and indicate no relationship exists between returns and competition. Speculation may induce stock prices to deviate from normal values. Because normal values assume no speculation, Chinese markets are not likely to be economically efficient.     

International perspectives on the supply of informal venture capital

Despite major changes in the number and range of sources of finance for new and small ventures in the United Kingdom in recent years, there continues to be a shortage of risk capital for ventures actively seeking external equity finance. In the United States the informal venture capital market plays a major role in filling this equity gap, particularly in the early stages of venture development.However, there is little comparable information on the size of the informal venture capital pool in the United Kingdom or other European economies, despite recent recognition that the apparent underdevelopment of this market in the U.K. represents a major barrier to the development and growth of new ventures. This paper, therefore, presents the first analysis of the informal venture capital market in the U.K. and compares the characteristics and attitudes of U.K. informal investors with those in the U.S.The data reported in this paper have been obtained from a combination of postal survey and snowball sample techniques that generated useable information from 86 informal investors. Informal investors are playing an important role in venture financing in the U.K. in three ways: they make small scale investments in new and early stage ventures, where the equity gap is most significant; they are more permissive in their financing decisions than the formal venture capital industry in terms of having lower rejection rates, longer exit horizons, and lower target rates of return; and they invest locally and can thereby close the regional equity gap arising from the overconcentration of venture capital investment in the core South-East region in the U.K.In terms of demographics, U.K. informal investors share many of the characteristics of North American informal investors: they are predominantly male, with an entrepreneurial background, financially well-off without being super-rich, and identify investment opportunities from friends and business associates. There are a number of key differences, that may be attributable to differences in contextual factors such as personal tax regimes, regulatory environments, wealth distribution, and the structure of the formal venture capital and IPO markets. For example, U.K. informal investors are significantly older than those in the U.S. reflecting the influence of higher U.K. tax rates on the rate of capital and wealth accumulation.More generally, in comparison to U.S. investors, U.K. informal investors: have more investment opportunities brought to their attention; seriously consider more proposals but invest in no more opportunities; operate independently with syndication and joint investment relatively uncommon, reducing the average total investment per financing round available to ventures; fail to identify entrepreneurs themselves as a primary source of information on investment opportunities; have higher rate of return and capital gains expectations; are slightly less patient investors; and are rather less satisfied with the overall performance of their informal investment portfolios, reflecting intercountry and intertemporal variations in investment climate and conditions. It appears, therefore, that the general inefficiency of the informal capital market identified by Wetzel (1987) (which reflects the invisibility of informal investors, the fragmented nature of the market, and the imperfect channels of communication between investor and entrepreneur) is compounded in the U.K. case. The extent to which this reflects contextual differences on the one hand or simply a slower developmental process in the U.K. will only be common methodological basis. Based on the evidence presented in this paper, however, a key conclusion is that the information networks available to U.K. informal investors are less effective than those in North America, and in particular appear to contain lower quality information and a higher degree of redundant information. Specific forms of intervention in the market by, for example, stimulating the flow of information through the promotion of informal investment networking and brokerage services along the lines of U.S. and Canadian examples such as VCN and COIN therefore appear defensible.     

Human capital and financial equilibrium

This article investigates the effect of incorporating human capital—an expansion of the investment opportunity set—into the analysis of portfolio investment decisions. The “production function” of human capital displays decreasing returns to scale. The return on human capital is a product of two factors: a “market” return and return unique to each individual. Financial equilibrium results are derived and tested empirically using U.S. data and an international sample. The main findings are that demand for financial assets relates positively to human capital risk and negatively to financial capital risks.