A Value at Risk Approach to Background Risk

This paper studies the effects of an uninsurable background risk (BR) on the demand for insurance (proportional and with deductible). We study both the case of BR uncorrelated with the insurable one and the perfectly correlated one, in a Gaussian world. In order to perform our study, we exploit the new risk measure known as Value at Risk (VaR) and consider insurance contracts which are Mean-VaR efficient. We obtain results which depend on the parameters (moments) of both risks and on the magnitude of loadings charged by the insurance company, instead of depending on the risk attitudes of the insured, such as risk aversion and prudence.We demonstrate that, if loadings are not too high, the demand for insurance increases with positively correlated BR; it decreases with BR negatively correlated if the latter is less risky than the insurable one (in this case it can even go to zero, if loadings are too high); it goes to zero with BR which is negatively correlated and more risky than the insurable one.     

Inventory Decision under Demand Uncertainty: A Contingent Claims Approach

This study uses the discrete-time option pricing model for the evaluation of the firm's inventory decision under demand uncertainty. The paper establishes the following optimal inventory decision implications: the optimal order quantity is positively related to the product selling price, product salvage value, interest rate, and the size of the outstanding orders; and negatively related to the product cost. The effect of demand uncertainty on the optimal order quantity is shown to be ambiguous. This study also shows that the maximum present value of profit from the contingent claims approach can be substantially different from that of the modified standard newsboy problem.     

Background Uncertainty and the Demand for Insurance Against Insurable Risks

Theory suggests that people facing higher uninsurable background risk buy more insurance against other risks that are insurable. This proposition is supported by Italian cross-sectional data. It is shown that the probability of purchasing casualty insurance increases with earnings uncertainty. This finding is consistent with consumer preferences being characterized by decreasing absolute prudence.     

A Note on Risk Aversion,Prudence and Portfolio Insurance

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of absolute prudence to absolute risk aversion.     

Changes in Background Risk and the Demand for Insurance

The demand for insurance against loss from a particular risky asset is likely to depend on other risks the decision-maker faces. For independently distributed other risks, referred to as background risk, Eeckhoudt and Kimball [1992] determine the effect on insurance demand of introducing background risk. Recently, Eeckhoudt, Gollier, and Schlesinger [1996] determine conditions on preferences such that first- and second-degree stochastic deteriorations in background risk lead to a decrease in the decision-maker's willingness to accept other risks. These results, although formulated in a general decision model, also apply to insurance demand. This article continues analysis of this question by determining the effect on insurance demand of several other general changes in background risk.     

台风风险的可保性及其市场供求行为分析

台风灾害每年都给中国东部沿海地区造成巨大的经济损失,但到目前我国保险市场还没有单一责任的台风保险来分担此风险。台风保险是一种准公共物品,如果政府能够介入该保险市场,其可保性则得以提高。对有政府支持的台风保险供求行为博弈分析表明,农户购买台风保险的保险费用占其总产出的百分比在农户和保险公司的决策中至关重要。     

A Fundamental Analysis Approach to Oil and Gas Firm Valuation

Most fundamental analysis studies have focused on fundamentals selected by a data-driven approach on large samples of firms from numerous industries. This paper reports the results of a fundamental analysis of a single industry, the US oil and gas exploration and production industry, using variables identified by industry financial analysts. The results demonstrate a significant relationship between a number of the fundamentals with both the market value of equity and cumulative stock return. The results also suggest that the fundamentals provide incremental information beyond earnings, change in earnings, and book value of equity when explaining equity values and stock returns.     

A Shrinkage Approach to Model Uncertainty and Asset Allocation

This article takes a shrinkage approach to examine the empiricalimplications of aversion to model uncertainty. The shrinkageapproach explicitly shows how predictive distributions incorporatedata and prior beliefs. It enables us to solve the optimal portfoliosfor uncertainty-averse investors. Aversion to uncertainty aboutthe capital asset pricing model leads investors to hold a portfoliothat is not mean-variance efficient for any predictive distribution.However, mean-variance efficient portfolios corresponding toextremely strong beliefs in the Fama–French model areapproximately optimal for uncertainty-averse investors. Theempirical Bayes approach does not result in optimal portfoliosfor investors who are averse to model uncertainty.     

Security Choice, Information Effects and Firm Characteristics: A Factor Analytic Approach

Abstract:   We examine the marginal choice between debt and equity securities using a factor analytic approach. This data reduction property eliminates the need to select the one best variable to proxy for a particular theoretical construct. Our results reinforce numerous existing findings using traditional methods and suggest both static tradeoff and asymmetric information based considerations are relevant in determining security choice. Two new results are presented related to the accounting liquidity of the firm. First, the preference for equity is increasing with liquidity as suggested by the window of opportunity hypothesis. Secondly, the market response to equity issuance announcements is inversely related to the liquidity of the firm. Profitability and growth measures support Jensen's (1986) agency cost of free cash flow as a potential explanation for the second finding.     

Mortgage Redlining: Race,Risk, and Demand

Charges that geographical redlining is widely practiced by mortgage lenders and is associated with racial discrimination have received much attention. However, empirical research in this area has yet to document a convincing answer to the question of whether redlining even exists. Much of the previous research in this area has suffered from failure to account for variations in risk, and/or failure to adequately control for geographical differences in demand. This study addresses these problems in an effort to determine whether the disparity in the flow of mortgage credit can be explained by differences in risk and demand.     

Equity Risk, Conversion Risk, and the Demand for Insurance

Existing insurance theory fails when applied to real property because it does not account for variations in the economic environment. The article studies optimal property insurance in the presence of two sources of variation: equity risk and conversion risk. Equity risk is randomness of the value of a property. It tends to raise demand for conventional insurance. In contrast, conversion risk is randomness in the value the property would have if, after severe damage, it were converted to the highest‐valued use. It is distinct from equity risk because the highest‐valued use is typically not the current one. Under independent conversion risk, the optimum upper limit is a compromise among underlying conversion thresholds. Absent independence, the optimum can be quite different. Conversion risk can raise or lower the demand for property insurance. Insurance contracts that fail to address conversion tend to undermine the orderly disposition of obligations and reduce the gains from reallocation of risks through insurance.     

Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis

We show that sorting reveals the time-varying market risk exposuresof the firm-specific investment opportunity set. Sorting onthe basis of firm characteristics uncovers information on firm-specificdistress or growth, and this leads to more efficient estimationof conditional risk sensitivity. We demonstrate the effectivenessof the sorting methodology with an empirical exercise that teststhe conditional capital asset pricing model (CAPM). When measuredproperly using sorting and firm characteristics, conditionalbetas, along with size and the book-market ratio, are significantdrivers of expected returns.     

会计信息供需矛盾的探讨

会计信息是一种特殊的商品,即"公共商品",因此也适用经济学的供求定理。根据这一定理,当会计信息的供给与需求不相等时,就会产生会计信息的供需矛盾。会计理论本身固有的局限性是会计信息供需矛盾产生的内在因素,会计环境的不断变化是会计信息供需矛盾产生的外在原因。解决会计信息供需矛盾的对策:一是充实与改进会计理论与会计方法;二是完善会计准则与会计制度;三是改善会计环境。     

供应链金融——解决农民贷款难问题新途径探析

近年来,供应链金融作为商业银行的一种新的金融服务,成为商业银行新的重要业务增长点。本文在分析农民贷款难原因的基础上,分析供应链金融及其对解决农民贷款问题的作用,并针对农产品供应链金融的实施进行可行性分析,提出将供应链金融服务引入农村金融服务中,为解决农民融资难问题提供有效途径。     

Regulation and Systematic Risk in the Electric Utility Industry: A Test of the Buffering Hypothesis

In this paper, the authors test Peltzman's [19] buffering hypothesis—whether regulatory environment impacts systematic risk for regulated electric utilities. The paper differs from previous research in that an exogenously defined measure of regulatory environment, a large sample, and a method that controls for time-series and crosssectional autocorrelation are used. The results are consistent with the buffering hypothesis but only in years of increasing input factor prices for the utilities. Using causality tests, the results also show that it is the regulatory environment that influences systematic risk and not vice versa.     

Systemic Risk, Dollarization, and Interest Rates in Emerging Markets: A Panel-Based Approach

This study investigates the impact of systemic risks and financialdollarization on real interest rates in emerging economies.Higher systemic risks induce both higher real interest ratesand increased dollarization. Using appropriate instruments forthe dollarization ratio, the study overcomes the simultaneousequation problem and correctly estimates a negative coefficientfor the dollarization ratio in the interest rate equation. Itconfirms the theoretical prediction that a strategy of "dedollarizing"the economy will raise the equilibrium domestic real interestrate if the strategy fails to address fundamental macroeconomicrisks. Even so, it also finds that this effect is small, aftercontrolling for the risks of dilution and default. The resultsbring to light the systemic-risk reasons for high interest ratesin emerging economies—and contribute to evaluating thedifficulties of dedollarization policies.     

On the Interaction of Real and Financial Decisions of the Firm Under Uncertainty

This study analyzes the interaction between the optimal level of investment and debt financing. For this purpose, a model is structured in which a firm, facing an uncertain price, has to decide on its optimal level of investment and debt. The amount of investment sets a limit on output whose optimal level is determined after price is realized. The debt involved is risky (there exists a possibility of bankruptcy). The analysis proves that investment and its optimal financing have to be simultaneously determined and that a negative relationship exists between operating and financial leverage. We also demonstrate that as the tax rate increases, optimal capacity decreases and optimal leverage increases. An analysis of the impact of changes in the expected price shows that under some conditions, an increase in expected price would lead to an increase in optimal investment (firm size) and a decrease in optimal debt.     

人口老龄化背景下长寿风险管理方法的探讨

伴随着长寿风险的累积,养老保障型产品提供者管理长寿风险的压力逐步凸显,本文主要对比分析了不同长寿风险管理方法,并通过研究Swiss Re死亡率证券和EIB/BNP长寿债券的设计,分析了各类养老基金通过资本市场实现长寿风险转移与对冲管理的可能方式。