The Continuing Overreaction in the REIT Market

The Journal of Real Estate Finance and Economics - We find that REITs, which are most held by institutional investors and are characterized as being passive investment instruments, exhibit price...     

中小企业贷款利率偏高的理论解释与经验证据

现有贷款定价理论一般认为商业银行应该对中小企业贷款实行高定价以实现当期收益最大化,却对中小企业后续业务价值缺乏考虑。本文认为后续业务价值可以用期权收益表示,进而利用期权定价方法构建了同时考虑当期收益和期权收益的贷款定价模型,并以广东省某股份制商业银行2011年中小企业贷款数据为基础进行了实证应用与比较。分析结果表明,当前市场条件下商业银行没有综合考虑中小企业贷款后期权风险与价值的合理匹配,商业银行对中小企业短期贷款利率水平偏高,而长期贷款又过度集中于传统行业并有定价偏低迹象。总体而言,商业银行高估了中小企业短期贷款风险制定了较高贷款利率,这可能超过了中小企业融资负担承受能力,并进一步阻碍中小企业发展壮大与商业银行后续业务拓展。     

Improving momentum strategies using residual returns and option-implied information

This paper provides an alternative method for enhancing momentum profits by combining residual returns and option-implied information. The results show that the main benefit of applying residual returns to construct momentum portfolios is generating stable returns. Additionally, the incorporation of implied volatility (IV) spread or IV skew into a residual momentum portfolio is found to significantly raise profits, particularly during bad times and high-sentiment periods. This is because IV spread and IV skew can dissociate winners/losers with a price underreaction from those with a price overreaction, which suggests that informed traders who perceive price underreactions/overreactions trade in option markets.     

Performance impacts of interorganizational cooperation: a transaction cost perspective

This study builds on the transaction cost theory to examine the performance effects of interorganizational cooperation and develops an understanding of how different forms of cooperative relationships affect organizational performance within a major service sector, namely the healthcare industry. The authors study, in particular, two cooperative forms applied to hospitals: hospital-based health networks and health systems. An empirical investigation of 382 hospitals in Taiwan shows that interorganizational cooperation exerts positive effects on hospital performance. In addition, health systems have greater positive effects on hospital efficiency than health networks. Furthermore, this study finds that the positive impact of participation in health systems is especially significant for private hospitals, local community hospitals, and hospitals in highly competitive regions. The findings reveal that performance impacts of interorganizational cooperation are contingent on the cooperative arrangements in the healthcare industry.