FDICIA and bank failure contagion: Evidence from the two failures of first city bancorporation

We investigate contagion effects from the two failures of First City Bancorporation—the only large regional bank to fail before and after FDICIA. FDICIA imposes changes in the bank failure resolution process that expose uninsured depositors to substantially greater risk. We find that shocks to First City’s weekly returns affect the conditional volatility of all but the most financially sound banks in the 1985–1987 period. This risk spillover effect is not evident in the period leading up to First City’s 1992 failure, however, which suggests that the regulatory changes embodied in FDICIA have not contributed to a more risky banking system. We appreciate the comments of Richard Cebula, Ken Kroner, Jim Pappas, Joseph Mason, an anonymous reviewer, and seminar participants at the 1996 meetings of the Financial Management Association.     

The Challenge of Self-adaptive Systems for E-commerce

For future E-commerce systems that are engaged in many dynamic trading relationships, the ability to adapt themselves smoothly will increasingly become a critical property. In this paper, we first define the basic semantic structure of a collaborative process. Then we introduce a formal framework for self-adaptive systems. We argue that self-adaptive systems should specify goals explicitly, and propose a goal-based architecture. We further argue that for systems that operate in a shared environment with other systems, self-adaptation should be extended with co-adaptation. We define four levels of co-adaptation, and present an argumentation mechanism that can be used to enable co-adaptation at the higher levels.     

Machine learning in empirical asset pricing

Financial Markets and Portfolio Management - The tremendous speedup in computing in recent years, the low data storage costs of today, the availability of “big data” as well as the...     

Does the Governed Corporation Perform Better? Governance Structures and Corporate Performance in Germany

Although there has been an intensive debate on the relative merits of different systems of corporate governance, empirical evidence on the link between corporate governance and firm performance almost exclusively refers to the market-oriented Anglo-Saxon system. This paper therefore investigates the more network- or bank-oriented German system. In panel regressions for 361 German corporations over the time period 1991 to1996, we find ownership concentration to affect profitability significantly negatively. However, this effect depends intricately on stock market exposure, the location of control rights, and the time horizon (short-run vs. long-run). We conclude from our results that (1) the presence of large shareholders does not necessarily enhance profitability, (2) ownership concentration seems to be sub-optimal for many German corporations, and, finally, (3) having financial institutions as largest shareholders oftraded corporations improves corporate performance.     

B2B Negotiation Support: The Need for a Communication Perspective

Negotiation support is an important challenge for business-to-business e-commerce that is still poorly supported in current information systems. One reason is that negotiation processes are much harder to formalize than the business processes in the fulfilment phase. The goal of this paper is to provide the basis for a formal analysis of different types of electronic negotiations which can help developers of future negotiation support systems. The analysis is performed from a communication perspective, in particular, Habermas' theory of communicative action. Using this perspective, a distinction can be made between norm-oriented, goal-oriented and document-based negotiation. Whereas traditional modeling methods take a data-oriented view, the theory of communicative action supports a communication-oriented view that provides more insight in the logic of negotiation processes. The analysis forms the basis for the negotiation support prototype implemented within the ESPRIT project MeMo (Mediating and Monitoring Electronic Commerce) which was aimed at B2B e-commerce for SMEs in Europe.     

Merger remedies involving restructuring costs in a Cournot framework

We analyze the effects of structural merger remedies in a Cournot framework. In particular, we extend a basic model approach by introducing restructuring investments that are necessary to implement divestiture remedies. We assume that such investments increase the merging parties’ marginal cost of production and show that they therefore reinforce the effect of divestitures on post-merger competition. As a consequence, if the competition authority does not take restructuring investments into account while fixing the remedies, the size of the divestiture will be too large and hence over-fix the competition issue. This not only causes an unduly increase of the market power of the competitor but also reduces the synergy gains of the merging parties and therefore hurts consumers in the affected markets.