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摘要:This study aimed to investigate the impact of seasonal fluctuations in annual and long-term inventory on stock returns of companies listed on the Stock Exchange in Tehran. A sample of 84 listed in the Tehran Stock Exchange, which their data for a period of 5 years (1388 to 1392) were the statistical analysis. Model study of research Steinker and Hoberg (2014) has been adapted where long-term stock return as the dependent variable is a function of the independent variables. The findings suggest that there is a significant relationship between annual and seasonal abnormal growth of inventory and long-term stock returns. This finding indicates that the capital market has reacted to inventory changes at different times. Based on the above results, it can be covered in the basic hypotheses accepted....
摘要: style="text-align:justify;"> style="font-size:10pt;line-height:1.5;font-family:Verdana;">The 2007-2008 crisis highlighted liquidity management troubles. We witness a real estate asset price boom during the pre-crisis period and a difficulty for banks to raise funding afterwards. Consequently, bank choices in response to the conduct of the monetary policy along the cycle can be studied. Despite usual financial accelerator, the excessive (lack of) confidence of banks in the upward (down) phase explains procyclical balance sheet movements. Moreover, the monetary policy effects on bank behaviors vary according to their initial specifications. From a theoretical point of view, this paper examines the response of the banking sector to monetary authorities impulses, in function of their initial characteristics. So, the paper highlights a theoretical model, based on accounting identities, in which banks are distinguished in different categories according to their level of capitalization and liquidity. The principal result is that the less capitalized and liquid banks have more procyclical behaviors.

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摘要:Banks are subject to higher capital charges for transactions that are uncollateralized and typically incorporate the cost of counterparty credit risk into the prices of derivative contracts quoted to commercial end-users. Many banks have adopted a framework under which they incorporate the cost of funding and liquidity into the risk-neutral price of uncollateralized derivative contracts. The Law of One Price no longer holds, as the inclusion of credit risk and funding results in different banks quoting inconsistent prices for the same transaction. The purpose of this paper is to outline and quantify the effects of counterparty credit risk, one's own credit risk and funding costs on the pricing of uncollateralized financial derivative contracts. We examine Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA) and Funding Valuation Adjustment (FVA)....
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style="font-size:8.5pt;">This paper proposed a risk assessment model with which supervisory authorities can calculate the money laundering risk (MLR) level of financial institutions and make comparisons among multiple institutions. The model is based on the Analytic Hierarchy Process (AHP) and decomposes MLR into two second-tier criteria, i.e. Inherent Risk & Control Risk. AHP pair wise comparisons made by the experts from various fields are processed through AHP software to get the weight of each factor. Using this model, MLR of each financial institution could be obtained and certain comparison among them could be carried out. style="font-size:8.5pt;">

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摘要: style="text-align:justify;"> style="font-family:Verdana;">Using a sample of listed companies in China from 2009 to 2014, this paper investigates relation between litigation risk and the directors' and officers' liability insurance (D&O insurance). The research results show that the higher the risk of litigation, the stronger motivation of the company to buy the D&O insurance, and the judicial transparency has positive moderating effect on the above relationship. It is found that the demand of D&O is influenced by the previous company's litigation risk and the continuous purchase of the D&O insurance could be promoted by the company's litigation. Our study enriched the D&O insurance demand motive theory, the research conclusion for the D&O insurance in the development of our country and popularity to provide policy and suggestions for reference.
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摘要:This paper examines the transmission of pricing information and the volatility of dual-listed stocks between class A and H shares of Chinese companies. First, using firm level data, we show that there is a large price discount for H shares relative to the A shares. Second, when we divide the firms into a high price disparity group and a low price disparity group, we find that the high price disparity group's pricing information transmission is stronger than the low price disparity group during the pre-liberalization period (in terms of significant mean coefficients). Third, when we divide the entire sample period into a pre-liberalization period and a post-liberalization, we find that the mean value spillover is stronger during the post-liberalization period for the low price disparity group. Finally, we report that during the post-liberalization period, the volatility spillover increases from A shares to H shares while it decreases from H shares to A shares. This implies that there is an information advantage of H shares, disappearing with the liberalization of A shares....
摘要:The objective of this article is to analyze the tie between the financings of the Decentralized Financial System (DFS) and the agricultural growth in Senegal. We use a linear equation model. The survey covers the active period of 1999 to 2013. Results show that the Decentralized Financial System has a positive and significant impact on the agricultural GDP in Senegal....
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style="font-size:12px;">We investigate if Subordinated Note and Debenture (SND) holders make banks to take less risk by analyzing balance sheet data of Japanese commercial banks. The cross-section regression shows that banks take less risk as the amount of SNDs increase. Specifically, it is shown that the loan risk measure (the ratio of impaired loans to the total loans) and the stock investment risk measure (the invested stocks over bank capital) have decreased with the increase of SND amounts. These results provide evidence that SNDs are effective instrument for the market discipline.

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摘要:This study presents an analysis of the impact of asset price bubbles on standard credit risk measures, including Expected Loss (“EL”) and Credit Value-at-Risk (“CVaR”). We present a styled model of asset price bubbles in continuous time, and perform a simulation experiment of a 2 dimensional Stochastic Differential Equation (“SDE”) system for asset value determining Probability of Default (“PD”) through a Constant Elasticity of Variance (“CEV”) process, as well as a correlated a Loss-Given-Default (“LGD”) through a mean reverting Cox-Ingersoll-Ross (“CIR”) process having a long-run mean dependent upon the asset value. Comparing bubble to non-bubble economies, it is shown that asset price bubbles may cause an obligor's traditional credit risk measures, such as EL and CVaR to decline, due to a reduction in both the standard deviation and right skewness of the credit loss distribution. We propose a new risk measure in the credit risk literature to account for losses associated with a bubble bursting, the Expected Holding Period Credit Loss (“EHPCL”), a phenomenon that must be taken into consideration for the proper determination of economic capital for both credit risk management and measurement purposes....
摘要:I examine portfolio risk management implications of using hypothetical investment returns from a sample of mutual funds in a variety of investment objective classifications to select mutual funds. While early research supported this practice by showing that risk is homogeneous within investment objective groups and heterogeneous between groups, more recent research suggests that earlier findings are no longer true. Research also suggests that load and no-load funds may exhibit risk differences. I examine whether risk is homogeneous within investment classification and heterogeneous between classes after controlling for potential load effects. Results reveal that significant risk differences exist even after controlling for the load structure of the fund and that those risk differences can have significant implications for portfolio risk management....
摘要:Generating and utilizing are the two sources of the information risk, reflecting the quality of financial reporting and investors' information interpreting ability respectively. Using accrual quality to represent the financial reporting quality and the earnings transparency to represent investors' information interpreting ability, we examine the correlation among them. By combining the generating and utilizing steps of information, we construct a two-dimensional information risk factor, which equals the excess return of portfolios in high-risk areas subtract that in low-risk areas. Then, taking the Fama-MacBeth two-stage cross-sectional regression procedure, we test whether the information risk factor is a pricing factor with individual stocks and industry portfolios respectively, and the empirical results support the point that information risk is priced by market....
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style="font-size:8.5pt;">This paper constructs the multi-period model of spatial bank competition between the local bank and the foreign bank with financing cost (efficiency) advantage, the results show that: 1) when the amount of the high risk borrowers in the marker reaches a threshold, both banks will use collateral as screening device to distinguish different risk borrowers, only low risk borrowers will borrow money from the bank; 2) the space distance (production differentiation) can help local bank confront the foreign bank style="font-size:8.5pt;">' style="font-size:8.5pt;">s cost (efficiency) advantage. Further comparative static analysis shows: the bank's profit decreases with its financing cost, and the bank will require higher loan rate and less collateral with its financing cost increasing; Decreasing transaction cost and better legal environment will facilitate the bank to require more collateral and lower loan rate. style="font-size:8.5pt;">

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摘要: style="text-align:justify;"> style="line-height:2;"> style="font-family:Verdana;line-height:2;"> style="font-size:12px;line-height:1.5;">This paper examines the impact of state laws on foreclosure starts using mortgage, borrower, and economic data at the state level. Several models are studied to capture the impact of state-specific foreclosure laws and statutes, i.e. loss mitigation requirement before foreclosure, right to cure, and right to reinstate before sale. Data sources include Mortgage Bankers Association, Home Mortgage Disclosure Act, US Census, National Consumer Law Center-Survey of State Foreclosure Laws, and Experian. The study shows that statewide pre- and post-sale foreclosure-prevention statutes impact foreclosure starts. The results indicate statutory programs involving housing emergency assistance funds statistically slow foreclosure starts.
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摘要:Linear price systems, typically used to model “perfect” markets, are widely known not to accommodate most of the typical frictions featured in “actual” ones. Since some years, “proportional” frictions (taxes, bid-ask spreads, and so on) are modeled by means of sublinear price functionals, which proved to give a more “realistic” description. In this paper, we want to introduce two more classes of functionals, not yet widely used in Mathematical Finance, which provide a further improvement and an even closer adherence to actual markets, namely the class of granular functionals, obtained when the unit prices of traded assets are increasing w.r.t. the traded amount; and the class of star-shaped functionals, obtained when the average unit prices of traded assets are increasing w.r.t. the traded amount. A characterisation of such functionals, together with their relationships with arbitrages and other (more significant) market inefficiencies, is explored....
摘要: style="text-align:justify;"> style="font-family:Verdana;line-height:1.5;">This article divides the cooperation style between start-ups and venture investors into non-property cooperation and property cooperation. On the basis, it sets up a dynamic game model of complete information to figure out the corresponding Nash equilibrium. And the game analysis results indicate that during the cooperative game process of start-up and venture investor, the higher extra input the venture investor needs to provide, the more likely the both sides are to choose non-property cooperation; the higher profits the success of the venture project may bring, the more likely the entrepreneurial firm is to choose property cooperation.
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摘要:Dividend policy has been one of the most important research topics in modern corporate finance. From the practitioners' viewpoint, dividend policy of a firm has implications for investors, managers, lenders and other stakeholders. The current study aims to examine critically the managers' perception towards dividends and Dividend Policy of companies listed on Dhaka Stock Exchange (DSE) of Bangladesh. The study employed a practical survey on the perception of managers' of twenty four companies to test the behavior of Bangladeshi listed firms towards dividend payout policy. Investigation of different dividend theories reveals that the bird-in-hand theory and the relevant value theory receive the highest support among the surveyed managers. It is also evident from the analysis that external factors related to the current financial market crises together with the state of the capital market and restrictions imposed by debt providers are all important factors in formulating dividend policy. The current study extends limited previous research based on questionnaire and survey related dividend policy. It thus provides new evidence from an emerging and fast growing economy like Bangladesh....
摘要:An ANAR-TGARCH model is adopted in this paper. By using a first-order asymmetric autoregressive mean equation, we conduct a series of robust tests on overreaction and underreaction in the Chinese stock market by taking the abnormal value, run length, time scale, size, industry, style, and market cycle into account. We then comprehensively compare the intensities of the first-order autocorrelation by using Wald coefficients tests. Results could provide strong empirical support for generating stock market investment strategies....
摘要:In this paper, we use the futures exchange copper trading data of Shanghai as a sample for the VaR quantitative analysis. Through empirical analysis, the results showed that VaR method based on GARCH model can be a good fit in the insurance value of copper futures. Therefore, we can consider it as an important means of futures risk management in our country, and with reference t to establish corresponding risk warning system....
摘要:After the financial crisis of 2008, we are facing possibility of a global financial crisis further. Most of the financial crises have occurred in situations when there is so much money in the financial market, but they have not often occurred in cases when the market does not have?enough money. This thought, however, is not general common sense in the financial academic field. Based on general understanding, the cause of financial crisis is the lack of money with the rise of interest rates in the financial market. If the lack of money is the reason for financial crisis, then we have never met with any financial crisis, because most leading countries have much money in the financial market in nowadays. According to theory of Economics, government deficit plus current account surplus means surplus of savings in the private sector of the country. Currently, most countries with big-scale economy have big deficits in their national accounts. But there is enough money in the business sector. I focus on this aspect and then analyze the base money policy of the central bank of some countries, and analyze its effect or the meaning of excessive base money in the financial market. As a general economic rule, the excess of money in a financial market causes a low interest rate. On the other hand, governments are faced with less money. If enough money in the money market flows to the treasury account, the government gets national fiscal balance. But it is not easy for most governments to create the balance. The reason behind this is the failure of a national economic and fiscal policy, including tax policy. Many countries and communities are facing problems with the flow of money from the private sector to the government. This problem is one of the biggest international issues which should be solved immediately (Taylor, 2009). Of course, we cannot neglect the fact that there are countries having little money even their private sector like Greece, Italy, Spain, and so on. Economic growth is the only measure to solve the financial problem in these countries. I do not consider these countries in this paper. The financial markets that I focus on in this paper are the US, the EURO Area, China and Japan. Many experts and economic politician worldwide consider “Abenomics” noteworthy. It aims at increasing base money in the financial market of Japan. The biggest purpose of this policy is for breaking away from deflation. Japanese Prime minister Abe also expects devaluation of the Yen, and increase in Japanese export. Later in this paper, we will see that the amount of Japanese base money had been decreased by the Central Bank of Japan before the global financial crisis of 2007. The hypothesis is that the cause of a financial crisis in recent years is in the excessive financial resources in a financial market. This paper attempts to elucidate the relation between the trend of global base money and the financial crisis....
摘要:Risks faced by the trading firms cannot be eliminated completely due to the reasons arising from the structure of international trade. Therefore, minimizing risk and managing it well lay down the foundation of modern risk approach. The most important element of risk management is to define and categorize the risk. This study aims at perceptual description of risk within the scope of the firms exporting agricultural products in Turkey. The main purpose is to classify the risks faced by these firms. The study uses factor analysis to determine the behavioral and perceptional dimensions of the firms; and also uses multidimensional scaling in positioning the firms' risk perceptions. The findings show that seven dimensions namely political, economic, trade, financial, food safety and goods delivery formulate risk perception of the firms. Multi-dimensional scaling technique maps the perception under two dimensions. The results of the research can be helpful for the managers of agri-products export firms in designing risk management strategies....
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