风险投资企业治理模式比较及效率研究

风险投资企业的治理问题作为一个新兴的研究领域日益受到理论界和实践部门的关注。本文通过构建风险投资企业治理模式的简单模型,对三种典型的风险资本运作模式进行了比较和相应效率分析,提出我国风险投资企业应采取强制性制度变迁和诱致性制度变迁相结合的治理模式。     

基于报酬机制失效下的创业投资企业声誉机制分析

创业投资的报酬分配机制并不是一种有效的激励机制,因为它未能使投资者的效用达到最大化,为了弥补报酬激励合同的不完备性,通过构建声誉模型,分析了声誉机制对创业投资企业的激励作用,并对我国构建创业投资企业声誉机制提出了政策建议。     

对称双支柱模式:当代金融体系发展的新趋向

经验分析表明：金融体系正在从不对称的双支柱模式或者单支柱模式向对称双支柱模式演变。对银行和资本市场功能的分析也支持了这一结论。在这一转变过程中,金融体系还表现出了“非银行化”特征。但是“非银行化”并不是金融体系发展的最终方向,而只是对称双支柱模式转变中的一个附属物。     

Tax avoidance and ex ante cost of capital

This study examines the association between tax avoidance and ex ante cost of equity capital. Based on prior research, we develop two proxies for investors’ expectations of tax avoidance and explore whether deviations from those expectations result in higher ex ante cost of equity capital. We find that the ex ante cost of equity capital increases with tax avoidance that is either below or above investor expectations and that the increase is larger for tax avoidance that exceeds investors’ expectations. We then examine whether firms that alter their future tax avoidance exhibit a lowering of their ex ante cost of equity capital and find that tax avoidance decreases (increases) from the prior year for firms that were above (below) investors’ expectations in the prior year. These results are consistent with the trade‐off suggested by the Scholes and Wolfson framework and reinforce the notion that balancing tax benefits and non‐tax costs is an important feature of firms’ tax planning.     

Venture capital trusts and the expiration of IPO lock-up provisions

Venture capital trusts (VCTs) were introduced to provide private equity capital for small expanding companies and to promote innovation. Investors in initial public offerings are rewarded with tax relief on the cost of lock-up provisions to stabilize the market. This paper examines the market reaction and trading activity around the expiration of lock-up provisions of 148 VCTs listed on the London Stock Exchange from 1995 to 2006. Downward-sloping demand curve theory suggests that an increased supply of VCT shares at the expiry date could shift their value to a new equilibrium at a lower price. Supporting this prediction, we document evidence of negative abnormal returns as well as permanent increases in the price discount relative to net asset value and trading volumes at and around the expiries of the required holding periods of VCTs. In addition, less negative abnormal returns, lower abnormal discounts and lower abnormal trading volumes are associated with VCTs that invest in AIM-listed companies due to lower information asymmetry, that experience lower prior performance due to a less pronounced disposition effect, and that are subject to a shorter lock-up horizon or are offering more generous tax benefits.     

Why is credit-to-GDP a good measure for setting countercyclical capital buffers?

We examine banks’ loan losses in Europe in 1982–2012 using a nonlinear three-factor model that takes into account output growth, real interest rate, and the ratio of private credit to GDP relative to its trend (i.e., “excessive indebtedness”). We find that a drop in output has an intensified impact on loan losses if the private sector is excessively indebted. Because increased bank credit risk should be matched with higher bank capital, the result motivates the Basel III's countercyclical capital buffers as a function of private indebtedness relative to its trend. The result also helps to explain differences in the amount of loan losses in different recessions across time and across countries. The model also indicates that low interest rates during the recent recession have clearly mitigated loan losses.     

An Application of the Dynamic Network DEA Model: The Case of Banks in Taiwan

ABSTRACT

In this study, we apply the dynamic network slack-based measure data envelopment analysis model (DNSBM) to measure the efficiency of Taiwanese banks during the period 2005–11. Using the network structure, we define intellectual capital creation capability as one of the production stages. In order to capture the dynamics of the transformation process, the nonperforming loans and loan loss reserves are defined as carryover items. This study offers sufficient information for managers to understand not only the overall performance of their banks but also the efficiency of each production stage and the dynamic changes of the overall and divisional efficiencies.     

Reputation,risk-taking,and macroprudential policy

This paper examines the role of macroprudential capital requirements in preventing inefficient credit booms in a model with reputational externalities. In our model, unprofitable banks have strong incentives to invest in risky assets when macroeconomic fundamentals are good in order to avoid the stigma of being assessed as low ability by the market. We show that across-the-system countercyclical capital requirements that deter such gambling are constrained optimal when fundamentals are neither extremely weak nor extremely strong.     

Flight to liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. A financial crisis, simulated as an abrupt decline in the collateral value of bank assets, triggers a flight to liquidity, which strongly amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks’ asset portfolios.     

FX Intervention in the New Keynesian Model

We develop an open-economy New Keynesian Model with foreign exchange (FX) intervention in the presence of a financial accelerator and shocks to risk appetite in international capital markets. We obtain closed-form solutions for optimal monetary and FX intervention policies assuming the central bank cannot commit to future policies, and we compare the solution to that under policy commitment. We show how FX intervention can help reduce the volatility of the exchange rate, of inflation, and of the output gap, thus mitigating welfare losses associated with shocks in the international capital markets. We also show that, when the financial accelerator is strong, there is a risk of indeterminacy (self-fulfilling currency and inflation movements) although FX intervention can reduce this risk and thus reinforce the credibility of the inflation targeting regime. Model simulations match well the impact of a VIX shock obtained by local projections on a panel of inflation targeting emerging markets.