nep-cfn New Economics Papers
on Corporate Finance
Issue of 2010‒10‒23
four papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. Is the luxury industry really a financier’s dream ? By Kapferer, Jean-Noël; Tabatoni, Olivier
  2. GFC-Robust Risk Management Strategies under the Basel Accord By Michael McAleer; Juan-Ángel Jiménez-Martín; Teodosio Pérez-Amaral
  3. Economic Transition, Firm Organization, and Internal Control Determinants of Audit Structure in Russian firms By Iwasaki, Ichiro
  4. The role of trading frictions in real asset markets By Gavazza, Alessandro

  1. By: Kapferer, Jean-Noël; Tabatoni, Olivier
    Abstract: Although modest in terms of sales, compared to most other sectors, luxury does get a high share of investors', financial analysts’ and media attention. Why would this sector receive a share of attention much bigger than its actual weight? Is it because of its glamourous image, or the incredible prices attached to its products, now displayed in all the media for mass desire? Are the financiers dreaming too?
    Keywords: luxury brands; sales; investment; performance; profitability; finance;
    JEL: G10 L25
    Date: 2010–06–29
  2. By: Michael McAleer (Erasmus University Rotterdam, Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University); Juan-Ángel Jiménez-Martín (Department of Quantitative Economics, Complutense University of Madrid); Teodosio Pérez-Amaral (Department of Quantitative Economics, Complutense University of Madrid)
    Abstract: A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.
    Keywords: Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis
    JEL: G32 G11 C53 C22
    Date: 2010–10
  3. By: Iwasaki, Ichiro
    Abstract: With a unique dataset of joint-stock companies, this paper aims to thoroughly describe the corporate audit structure in transition Russia and empirically analyze its determinants. When compared to the international standard, Russian firms have a weak audit structure in terms of the independence and expertise of the board of auditors and the accounting auditor. We found that board composition, affiliation with a business group, and presence of foreign investors are the most important factors determining the audit structure of Russian firms. The scope of the impact of these three factors, however, differed considerably with each other. We also found that government ownership, company size, fund procurement activities, and overseas advancement also have statistically significant impacts on the corporate audit structure in Russia.
    Keywords: audit structure, board composition, business integration, foreign investment, economic transition, Russia
    JEL: G34 K22 L22 M42 P31 P34
    Date: 2010–09
  4. By: Gavazza, Alessandro
    Abstract: This paper investigates how trading frictions vary with the thickness of the asset market by examining patterns of asset allocations and prices in commercial aircraft markets. The empirical analysis indicates that assets with a thinner market are less liquid—i.e., more difficult to sell. Thus, firms hold on longer to them amidst profitability shocks. Hence, when markets for assets are thin, firms’ average productivity and capacity utilization are lower, and the dispersions of productivity and of capacity utilization are higher. In turn, prices of assets with a thin market are lower and have a higher dispersion.
    Keywords: decentralized markets; search; productivity; asset prices; aircraft.
    JEL: G12 C78 E22 L62 D83
    Date: 2010–01

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