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on Corporate Finance |
| By: | Luigi Cannari (editor) (Bank of Italy, Structural Economic Analysis Department); Marcello Pagnini (editor) (Bank of Italy, Bologna); Paola Rossi (editor) (Bank of Italy, Milan) |
| Abstract: | The volume collects the papers presented at the Conference on "Banks, Local Credit Markets and Credit Supply" held in Milan, on 24 March 2010. The papers presented at the two sessions of the Conference analyse how banks' lending activities are organized and how this affects the supply of credit to small and medium-sized enterprises (SMEs). The first session focuses on new lending technologies and banking organization. The second session studies how these organizational variables affect the lending activity to SMEs. The papers draw on the results of a sample survey of more than 300 Italian banks conducted by the Bank of Italy in 2007. |
| Keywords: | banking organization, credit scoring, relationship lending, soft information |
| JEL: | G2 L2 |
| Date: | 2010–08 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:workpa:sec_5&r=cfn |
| 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 that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy before, during and after a financial crisis, it will lead to comparatively low daily capital charges and violation penalties for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is generally GFC-robust. 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. In the empirical analysis, we choose several major indexes, namely French CAC, German DAX, US Dow Jones, UK FTSE100, Hong Kong Hang Seng, Spanish Ibex35, Japanese Nikkei, Swiss SMI and US S&P500. The GARCH, EGARCH, GJR and Riskmetrics models, as well as several other strategies, are used in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other criteria. The Median is shown to be a profitable and safe strategy for risk management, both in calm and turbulent periods, as it provides a reasonable number of violations and daily capital charges. The Median also performs well when both total losses and the asymmetric linear tick loss function are considered |
| Keywords: | Median strategy, Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, global financial crisis (GFC). |
| JEL: | G32 G11 C53 C22 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:kyo:wpaper:757&r=cfn |
| By: | Korkeamäki, Timo; Takalo, Tuomas |
| Abstract: | We estimate the private value of Apple’s iPhone by observing abnormal stock market reactions to news announcements and patent publications related to the innovation. Our estimate of the lower bound on the market valuation of iPhone is fairly high, at minimum 30 billion U.S. (event day) dollars. We find that patentable technology explains about 25% of that total value. We also find a weak negative reaction among Apple’s rivals to the news about iPhone but no significant reaction to the publication of patent documents concerning iPhone can be observed. The evidence suggests that the value of iPhone primarily stems from Apple’s management and marketing abilities and efforts rather than from underlying "hard" technologies and intellectual property. |
| Keywords: | innovation; R&D; patent; iPhone; valuation |
| JEL: | G14 O34 O32 |
| Date: | 2010–12–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:28042&r=cfn |
| By: | Marin Bozic (The Institute of Economics, Zagreb) |
| Abstract: | Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more consistent with observed option premiums. However, most models are motivated solely from the standpoint of the time series properties of futures prices and need for improvements in forecasting and hedging performance. In this paper I propose a novel arbitrage pricing model motivated from the economic theory of optimal storage and consistent with implications of plant physiology on the importance of weather stress. I introduce a pricing model for options on futures based on a generalized lambda distribution (GLD) that allows greater flexibility in higher moments of the expected terminal distribution of futures price. I use times and sales data for corn futures and options for the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for changes in planned acreage, I find a statistically significant negative relationship between ending stocks-to-use and implied skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that uncertainty in corn supply is resolved between late June and early October, i.e., during corn growth phases that encompass corn silking and grain maturity. Impacts of storage and weather on the distribution of terminal futures price jointly explain upward-sloping implied volatility curves. |
| Keywords: | arbitrage pricing model, options on futures, generalized lambda distribution, theory of storage, skewness |
| JEL: | G13 Q11 Q14 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:iez:wpaper:1003&r=cfn |