流动性对中国商业银行业绩影响的实证研究

金融危机反映了银行在面对资金压力时持有的流动性资产不足,同时也凸显了银行流动性监管的重要性。为了建立既能够确保金融体系稳定,又能够兼顾银行盈利能力最大化目标的监管标准,有必要对银行流动性资产对业绩的影响进行实证研究,本文利用2003～2010年中国14家上市商业银行数据,检验了流动性资产对于银行业绩的影响,研究发现流动性资产和银行业绩之间存在非线性关系,而且四大国有商业银行和十家股份制商业银行流动性管理行为存在显著差异。     

创业板无形资产的价值相关性——来自创业板公司的经验证据

随着知识经济时代的来临,无形资产将在经济舞台上发挥更加重要的作用.论文着眼于分析无形资产对于我国创业板公司的贡献程度,经过实证研究发现：第一,现阶段我国创业板公司的无形资产无法有效提升其盈利能力;第二,市场没有对创业板公司的无形资产给予显著正向的评价;第三,相对于无形资产,有形资产对创业板公司的贡献更大.以上结论说明,目前我国创业板市场公司的无形资产整体质量一般,与发达国家以高新技术企业为代表的二板市场仍有不小差距.     

管理者短视偏差对企业投资行为影响研究——一个基于股东短期利益压力视角的实证

基于股东短期利益压力的视角,以沪深两市2003～2009年间的A股上市公司为对象,采用多元回归分析就管理者短视偏差与企业短期投资间的关系及其对企业未来盈利能力、业绩水平和财务困境的影响进行研究。实证结果表明,管理者短视偏差越大,企业短期投资水平越高;管理者短视偏差越大,企业短期投资对企业未来盈利能力和业绩水平的削弱作用越强,意味着管理者短视偏差企业进行的短期投资降低了企业未来盈利能力和业绩水平;管理者短视偏差越大,企业短期投资对企业当期陷入财务困境可能性的削弱作用越弱,说明管理者短视偏差企业进行的短期投资虽然增大了企业风险,但是并不会加大企业当期陷入财务困境的可能性。     

Firm-specific intangible assets and subsidiary profitability: The moderating role of distance,ownership strategy and subsidiary experience

How does distance attenuate the value of MNC parent intangible assets on affiliate profitability? Beyond the basic assumption of internalization theory about the positive relationship between parent intangibles and foreign affiliate performance, we test how this relationship, is contingent on ownership strategy, subsidiary experience, and is moderated by the distance between home and host economies, in terms of differences in technological capacity, intellectual property regimes, economic development, language and geography. Based on newly-available accounting data on intangible assets, we test hypotheses on a sample of over 2000 multinationals and 5000 of their overseas affiliates in 45 home and host economies.     

Growing profitable or growing from profits: Putting the horse in front of the cart?

Firm growth is almost universally portrayed as a good thing, and is commonly used as a measure of success. Applying resource-based reasoning, we argue that growth is often not a sign of sound development. Specifically, we hypothesize that firms which grow without first securing high levels of profitability tend to be less successful in subsequent periods compared to firms that first secure high profitability at low growth. Empirical tests using two large, longitudinal data sets confirm that the profitable low growth firms are more likely to reach the desirable state of high growth and high profitability. In addition, they have a decreased risk of ending up performing poorly on both performance dimensions compared with firms starting from a high growth, low-profitability configuration. The results suggest that academics, managers, investors and policy-makers may benefit by adopting a more nuanced view of firm growth that explicitly incorporates its intricate relationship with profitability.     

The information content of a limit order book: The case of an FX market

In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that the order book would dominate. Using Dollar Sterling tick data, we find that despite the in-sample statistical significance of variables describing the structure of the limit order book in explaining tick-by-tick returns, they do not consistently add significant economic value out-of-sample. We show this using a simple linear model to determine trading activity, as well as a model-free genetic algorithm based on price, order flow, and order book information. We also find that the profitability of all trading rules based on genetic algorithms dropped substantially in 2008 compared to 2003 data.     

Non-interest income,profitability, and risk in banking industry: A cross-country analysis

Using bank accounting data for 22 countries in Asia over the period 1995–2009, this article applies the dynamic panel generalized method of moments technique to investigate the impacts of non-interest income on profitability and risk for 967 individual banks. We find that non-interest activities of Asian banks reduce risk, but do not increase profitability on a broad sample basis. Specifically, when considering bank specialization and a country's income level, the results become complicated. Non-interest activities decrease profitability as well as increases risk for savings banks. The impact is also different for commercial, cooperative, and investment banks either by increasing profitability or reducing risk. On the other hand, non-interest activities raise risk for banks in high income countries, while increasing profitability or reducing risk for banks in middle and low income countries. Finally, our results reveal that the persistence of risk is greatly affected by bank specialization and a country's income level, as all risk variables present persistence from one year to the next. Our findings suggest that the type of bank specialization matters for the effect of diversifying revenue sources.     

Understanding the divergence of manufacturing enterprisesʼ profitability in China

ABSTRACT

The transition of the Chinese economy is placing increasing pressure on manufacturing enterprises to become more profitable. In this article, we first calculate and analyze the profitability of Chinese manufacturing enterprises based on data from the 2015 Chinese Enterprises–Employees Survey (CEES 2015), and find that there is an obvious profitability divergence tendency of manufacturing enterprises. We then analyze the different actions and strategies that may cause the profitability divergence and find that aggressive strategies in innovation, diversification, market development, and conservative strategies in production expansion tend to result in a good profitability, while the opposite strategies in each action lead a poor profitability. The different adoption of strategies in diverse actions may the possible causes of profitability divergence.

Abbreviations: CEES: China Employer-Employee Survey, PGR: Profit growth rate, SME: Small and medium-sized enterprise     

Generating currency trading rules from the term structure of forward foreign exchange premia

The quality of an exchange rate forecasting model has typically been judged relative to a random-walk in terms of out-of-sample forecast errors. The difficulty of outperforming this benchmark is well documented, although Clarida and Taylor have demonstrated how the random walk can be beaten in this metric by exploiting information embedded within the term structure of forward exchange rate premia. But this achievement does not guarantee success within an investment context. We therefore assess whether the Clarida-Taylor framework can be used to generate significant trading profits in combination with an acceptable degree of risk in a realistic investment portfolio context.     

Market share,advertising, R&D,and profitability: An empirical analysis of leading industrial firms in Japan

This paper develops a dynamic model of a leader firm which chooses the time paths of R&D and advertising inputs so as to maximize the present value of expected profits. From this theoretical model simultaneous-equations system for market share, advertising, R&D, and profitability is derived and estimated using the data on the leading industrial firms in Japan. Our results show that, as far as top firms are concerned, market share and demand growth have significant positive effects on profitability, and an increase in the stock of goodwill increases market share as well as profitability.This study was financially supported by the Ministry of Education in Japan. Helpful comments were provided by H. Odagiri. Also I am indebted to an anonymous referee for advice and criticism on various points.