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on Corporate Finance |
| By: | Andrea Beltratti; Claudio Morana (SEMEQ Department - Faculty of Economics - University of Eastern Piedmont) |
| Abstract: | We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio and the timing of the breaks in the volatility of SMB. Moreover, analyses of the break free series show that two common long memory factors drive the long-run evolution of the series. The first factor mainly affects the volatility of the market and the volatility of SMB, while the second one mainly affects the volatility of HML. These results imply that the time-varing volatility of stocks is driven mainly by the time-varying volatility of the market as a whole and of the HML portfolio, while the volatility of SMB does not seem to be an independent driving force. |
| Keywords: | risk factors, structural change, long memory, fractional cointegration, portfolio allocation |
| JEL: | C32 F30 G10 |
| Date: | 2005–07 |
| URL: | http://d.repec.org/n?u=RePEc:upo:upopwp:105&r=cfn |
| By: | Francisco Covas |
| Abstract: | The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk. In particular, he addresses the impact of these frictions on entrepreneurial investment and illustrates the trade-off between production risk and precautionary savings faced by the entrepreneur. In contrast to other studies, the author's results suggest that, when entrepreneurs' earnings are poorly diversified and production risk mainly affects the total output produced, the underaccumulation of capital in the entrepreneurial sector of the model economy is less likely to hold, because of a strong precautionary savings motive. Furthermore, the presence of these frictions on entrepreneurial investment exacerbates the overaccumulation of capital in the corporate sector of the economy that is reported in Bewley models with uninsurable labour income risk. |
| Keywords: | Economic models; Financial institutions; Financial markets |
| JEL: | E22 G11 M13 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:05-26&r=cfn |
| By: | Yu-Chu Shen; Karen Eggleston; Joseph Lau; Christopher Schmid |
| Abstract: | We apply meta-analytic methods to conduct a quantitative review of the empirical literature since 1990 comparing financial performance of US for-profit, not-for-profit, and government-owned general acute hospitals. We find that the diverse results in the hospital ownership literature can be explained largely by differences in authors' underlying theoretical frameworks, assumptions about the functional form of the dependent variables, and model specifications. Weaker methods and functional forms tend to predict larger differences in financial performance between not-for-profits and for-profits. The combined estimates across studies suggest little difference in cost among all three types of hospital ownership, and that for-profit hospitals generate more revenue and greater profits than not-for-profit hospitals, although the difference is only of modest economic significance. There is little difference in revenue or profits between government and not-for-profit hospitals. |
| JEL: | I11 L30 |
| Date: | 2005–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11662&r=cfn |
| By: | Andrew Cornford |
| Abstract: | A major aim of Basel II has been to revise the rules of the 1988 Basel Capital Accord in such a way as to align banks´ regulatory capital more closely with their risks, taking account of progress in the measurement and management of risk and of the opportunities which these provide for strengthened supervision. Achievement of this aim has involved the incorporation in Basel II of methods for quantifying banking risks introduced since the late 1980s. The task of the designers of Basel II has been complicated by the way in which the BCBS´s rules for banks´ capital, originally intended for the internationally active banks of its member countries, have become a global standard widely applied in developing as well as developed countries. Acceptance of this role by the BCBS has entailed a global consultation process, whose results have been reflected in three consultative papers and the RF, and the different approaches and options for setting numerical capital requirements which are intended to accommodate banks and supervisors of different levels of sophistication. As well as providing a commentary on the main features of the RF this paper documents the response of the BCBS to some of the more important points which were raised during this consultation process, including the outcome of decisions taken at a meeting in Madrid in October 2003 following comments on the consultative paper of April 2003, and summarises the results of the most recent of the BCBS´s initiatives to estimate the quantitative impact of the Basel II rules on banks´ capital. This discussion includes a review of papers issued by the BCBS as part of the last stage of its work preceding the RF. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:unc:dispap:178&r=cfn |
| By: | Doris Neuberger (University of Rostock) |
| Abstract: | The financial systems in continental Europe are subject to profound changes in the institutions of market exchange. Banks traditionally holding close relationships with firms are substituted by non-bank institutional investors. The present paper examines whether this implies a substitution of relationship finance by arm’s length finance or of firm-like organization by market exchange. Within the contractual theory of the firm, we seek common features of relationship banking and relationship investing. Extending the governance structure approach, we show that both are hybrid organizations, whose comparative advantages depend on two kinds of asset specificity. They are complements to finance and control firms with different redeployability and information opaqueness of assets. |
| Keywords: | banks, institutional investors, financial systems, corporate governance, markets vs. hierachies, theory of the firm |
| JEL: | G20 G30 L14 L22 |
| Date: | 2005–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpfi:0510001&r=cfn |
| By: | Andrea Beltratti; Claudio Morana (SEMEQ Department - Faculty of Economics - University of Eastern Piedmont) |
| Abstract: | What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model shows that the key mechanisms explaining income distribution in the US operate through the labour market rather than through the stock market, even though stock market shocks appear to have some short time relevance for the dynamics of income distribution. |
| Keywords: | common trends model, economic growth, stock market, income distribution |
| JEL: | C32 O41 G10 D3 |
| Date: | 2005–08 |
| URL: | http://d.repec.org/n?u=RePEc:upo:upopwp:106&r=cfn |