nep-cfn New Economics Papers
on Corporate Finance
Issue of 2008‒09‒13
five papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. The Impact of Macroeconomic Uncertainty on Firms' Changes in Financial Leverage By Christopher F. Baum; Atreya Chakraborty; Boyan Liu
  2. Managerial Ownership and Accounting Conservatism: Empirical Evidence from Japan By Akinobu Shuto; Tomomi Takada
  3. L'effet des activités hors bilan sur la rentabilité et la volatilité des revenus des banques canadiennes By Nicolas Pellerin
  4. Accounting for Defined Benefit Plans: An International Comparison of Exchange-Listed Companies By Clara Severinson
  5. Operational Risk - Scenario Analysis By Milan Rippel; Petr Teply

  1. By: Christopher F. Baum (Boston College; DIW Berlin); Atreya Chakraborty (University of Massachusetts-Boston); Boyan Liu
    Abstract: We investigate the relationship between a firm’s measures of corporate governance, macroeconomic uncertainty and changes in leverage. Recent research highlights the role of governance in financing decisions. Previous research also indicates that macroeconomic uncertainty affects a firm’s ability to borrow. In this paper we investigate how both these channels of influence affects firms' financing decisions. Our findings show that macroeconomic uncertainty has an important role to play, both by itself and in interaction with a measure of corporate governance.
    Keywords: macroeconomic uncertainty, corporate governance, leverage
    JEL: D81 G32 G34
    Date: 2008–08–18
  2. By: Akinobu Shuto (Research Institute for Economics and Business Administration, Kobe University); Tomomi Takada (Graduate School of Business Administration, Kobe University)
    Abstract: We examine the effect of managerial ownership on the demand for accounting conservatism as measured by the asymmetric timeliness of earnings (Basu, 1997). The separation of ownership and control as reflected by the levels of managerial ownership induce two agency problems between managers and shareholders: the incentive alignment effect and the management entrenchment effect. Since accounting conservatism is expected to mitigate agency problems between managers and shareholders, we predict that these agency problems increase the demand for accounting conservatism. We empirically test the relationship between managerial ownership and the asymmetric timeliness of earnings using a cubic form model for Japanese firms. We find that within the low and high levels of managerial ownership, managerial ownership is significantly negatively related to the asymmetric timeliness of earnings, which is consistent with the implication of the incentive alignment effect. We also find a significant positive relationship between managerial ownership and the asymmetric timeliness of earnings for the intermediate levels of managerial ownership, as suggested by the management entrenchment effect. Our results hold after controlling the market-to-book ratio, leverage, firm size, and year. These evidences support our prediction and suggest the possibility that accounting conservatism contributes to addressing the agency problem between managers and shareholders.
    Keywords: Managerial ownership; accounting conservatism; alignment effect; entrenchment effect
    JEL: M41 G32
    Date: 2008–08
  3. By: Nicolas Pellerin (Département des sciences administratives, Université du Québec (Outaouais))
    Abstract: Plusieurs études antécédentes montrent que depuis les années 80, la proportion des revenus bancaires provenant d’activités hors bilan n’a cessé d’augmenter. Ces études indiquent aussi que les revenus hors bilan sont beaucoup plus volatils que les revenus nets d’intérêts, et quelques auteurs suggèrent du même coup que le transfert des activités traditionnelles de prêts vers des activités générant des revenus de service ne réduit pas le risque de revenu d’opération et de rendement. Le rendement ne serait pas augmenté non plus par ces activités. Notre analyse, appliquée aux données comptables les plus récentes des banques canadiennes, montre un changement de tendance et suggère que les banques canadiennes se soient mises à mieux gérer l’intégration des activités hors bilan et aient exercé un meilleur contrôle sur celles-ci. La volatilité du revenu d’opération net, telle qu’exprimée par sa variance, a diminué substantiellement au cours de la période 2003-2007, principalement en raison de la diminution de la volatilité des revenus hors bilan. Nos résultats indiquent aussi qu’une hausse la proportion des revenus provenant d’activités hors bilan exerce un effet positif sur les rendements comptables, ce qui diffère des résultats présentés par Calmès et Liu (2007).
    Keywords: banque, revenu, hors bilan, diversification, volatilité, rendement.
    JEL: G21
    Date: 2008–01–09
  4. By: Clara Severinson
    Abstract: Defined benefit pension plans can entail one of the biggest liabilities that an exchange-listed company has on its balance-sheet. There exist comprehensive requirements for the reporting of such liabilities. This paper examines the impact that defined benefit pension plans had on the financial results of exchange-listed companies in 2007. This impact has been compared and analysed at the aggregated country level, as well as in more detail for some specific companies that sponsor large defined benefit pension plans. <P>Comptabilité des regimes de retraite à prestations définies : Une comparaison internationale de sociétés cotées <BR>Les plans de retraite à prestations définies peuvent entrainer une des dettes les plus importantes qu'une société cotée puisse inscrire à son bilan. Il existe des conditions requises détaillées afin de comptabiliser de tels engagements. Ce document examine l'impact de ces plans de retraite à prestations définies sur les résultats financiers des sociétés cotée en 2007. Cet impact est comparé et analysé au niveau agrégé du pays ainsi qu’à un niveau plus détaillé pour quelques société qui commanditent des plans de retraite à prestations définies de grande taille.
    Keywords: pension fund, fond de pension, defined benefit pension plans., IAS 19, FAS 87, projected benefit obligation, defined benefit obligation, PBO, DBO, pension accounting, pension plan assets, plans de retraite à prestations définies, IAS 19, FAS87, valeur actuelle probable des droits acquis, droits acquis des régimes à prestations définies, PBO, DBO, comptabilité des régimes de retraite, actifs des systèmes de retraite
    JEL: G23 G32 M41 M52
    Date: 2008–08
  5. By: Milan Rippel (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic); Petr Teply (EEIP, a.s)
    Abstract: Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons are the Basel II requirements that were to be complied with by all international active financial institutions by the end of 2006 and recent severe operational risk loss events. This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the Extreme Value Theory are considered. One of the methods used for operational risk management is a scenario analysis. Under this method, custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main problems are assessed in this paper – what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling because its results are consistent even while using a scenario analysis method. The method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates for the financial institution and allows to measure impact of very extreme events and also to mitigate operational risk exposure.
    Keywords: operational risk, scenario analysis, economic capital, loss distribution approach, extreme value theory
    JEL: G21 G32 C15
    Date: 2008–09

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