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on Corporate Finance |
| By: | Roy Mersland; Ludovic Urgeghe |
| Abstract: | Using data from 319 microfinance institutions (MFIs) in 68 developing countries, we study the degree to which international debt investments are related to the financial and social performances of MFIs. We find that commercial investments are mainly related to financial performance and level of professionalisation of the MFIs. The targeting of women is not a priority, even though international commercial investors target MFIs that provide small loans. Subsidised investments, however, are mainly driven by the targeting of women, while financial performance and the level of professionalisation of the MFI is not a priority. |
| Keywords: | microfinance,; commercialisation; socially responsible investors; microfinance investment vehicles; social performance |
| JEL: | G11 G23 L20 O16 O17 |
| Date: | 2011–11 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:2013/103401&r=cfn |
| By: | Meilin Yan (School of Business and Economics, Loughborough University, UK); Maximilian J. B. Hall (School of Business and Economics, Loughborough University, UK); Paul Turner (School of Business and Economics, Loughborough University, UK) |
| Abstract: | This paper provides a long-term cost-benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will have a significant net positive long-term effect on the United Kingdom economy. The estimated optimal tangible common equity capital ratio is 10% of risk-weighted assets, which is larger than the Basel III target of 7%. We also estimate the maximum net benefit when banks meet the Basel III longterm liquidity requirements. Our estimated permanent net benefit is larger than the average estimates of the BCBS. This significant marginal benenfit suggests that UK banks need to increase their reliance on common equity in their capital base beyond the level required by Basel III as well as boosting customer deposits as a funding source. |
| Keywords: | Basel III, Cost-Benefit analysis, Tangible Common Equity Capital, Liquidity |
| JEL: | C32 C53 G21 G28 |
| Date: | 2011–11 |
| URL: | http://d.repec.org/n?u=RePEc:lbo:lbowps:2011_05&r=cfn |
| By: | Sarah Draus (CSEF) |
| Abstract: | The model developed in this chapter shows that differences in incentives of firms to list can have an impact on the decision of exchanges concerning the level of listing requirements they set, and on the gains obtained by firms when they list on an exchange with stringent listing requirements. When firms bear listing costs that are uncorrelated with their quality, changing the level of listing requirements or introducing additional segments with different listing requirements changes the distribution of listed firms and affects thereby indirectly the values of listed firms. This indirect effect can either enforce or weaken the direct impact of more precise information on the value of firms. If the difference in the incentives to list among firms of the same quality is small, the exchange might be induced to set a high level of listing requirements, which leads to a high information efficiency in the economy. If these differences are large, the exchange never sets a high level of listing requirements and efficiency is impeded. |
| Keywords: | listing, disclosure requirements, compliance costs |
| JEL: | G10 G14 |
| Date: | 2011–11–14 |
| URL: | http://d.repec.org/n?u=RePEc:sef:csefwp:297&r=cfn |
| By: | Silvia Muzzioli |
| Abstract: | Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers. Corridor implied volatility is implicitly linked with the concept that the tails of the risk-neutral distribution are estimated with less precision than central values, due to the lack of liquid options for very high and very low strikes. However, there is no golden choice for the barriers levels’, which will probably change depending on the underlying asset risk neutral distribution. The latter feature renders its forecasting performance mainly an empirical question. The aim of the paper is twofold. First we investigate the forecasting performance of corridor implied volatility by choosing different corridors with symmetric and asymmetric cuts, and compare the results with the preliminary findings in Muzzioli (2010b). Second, we examine the nature of the variance risk premium and shed light on the information content of different parts of the risk neutral distribution of the stock price, by using a model-independent approach based on corridor measures. To this end we compute both realised and model-free variance measures which accounts for drops versus increases in the underlying asset price. The comparison is pursued by using intra-daily synchronous prices between the options and the underlying asset. |
| Keywords: | corridor implied volatility, variance swap, corridor variance swap, variance risk |
| JEL: | G13 G14 |
| Date: | 2011–11 |
| URL: | http://d.repec.org/n?u=RePEc:mod:wcefin:11112&r=cfn |