Foreign government loan issues on the London capital market, 1870-1913, with special reference to JapanSuzuki, Toshio January 1991 (has links)
This thesis examines foreign government loan issues on the London capital market in the period from 1870 to 1913, with special reference to Japan. Chapter One provides an overview of foreign government loan issues in London. Chapter Two deals with a number of more specific topics: the development of the loan issue organisations on the market, and the role and involvement of various types of financial institutions in loan issue business. Later Chapters mainly take up the detailed history of Japanese government loan issues, referring to domestic Japanese financial conditions. Chapters Three to Seven examine the development of Japanese government loan issues on the international capital markets. Throughout these operations Japan enhanced its creditworthiness by successfully spreading its loan issue operations from London to New York, Berlin and Paris. Chapter Eight discusses municipal and company loan issues, with a view to comparing them with the government's. Chapter Nine discusses the role of the Japanese government's deposits in London under the international gold standard system, and the effects of the Japanese government loan issues on Japan's foreign trade. The Conclusion summarises the main arguments of the thesis.
Global financial governance and the question of influence : examining the role private actors play in international financial standardisationWann, Joy January 2010 (has links)
This study addresses the question of how international financial standardisation is influenced by private actors. It firstly proposes that private influence is part of a 'supply and demand' relationship where regulators demand private power capabilities to enhance their own political or policy needs and private actors willingly supply these capabilities to influence outcomes. Captured outcomes as a result of this relationship are likely to arise when demand for a specific private capability is high; that is, when regulators are not able to fulfil their regulatory roles and policy requirements without private power capabilities, due to the specialised and technical nature of specific regulatory issue areas. However, captured outcomes are not likely to arise when demand for private capabilities is low. Demand for private power may be low when private power capabilities have fulfilled the regulator's initial policy purpose, or when regulators perceive the capability to be a threat to their political and/or policy making authority. Following on from this, the study then explores how supply and demand relationships produce outcomes that are captured or not. The study's central thesis is relationships that mutually benefit both regulators and private market actors are bound by institutions and as a result, private influence may be enhanced and/or constrained in institutionalised settings. Regulators will use institutional mechanisms to include private actors when the demand for private power is high, and exclude private actors when the demand for private power is low. This means that whilst institutions can facilitate capture, they can also frustrate and constrain private actors from producing outcomes which are favourable to their vested interests. As a result, financial standards outcomes are likely to encapsulate both public and private interests, the extent of either depending on the supply and demand dynamics interceding with institutional mechanisms.
The research examines the effectiveness of governance systems in venture capital (VC)-backed technology-based new ventures that are not yet at the initial public offering stage of their life cycle. Venture capital syndicated investments introduce two types of agency issues: principal-agent between the founders and the venture capitalists, and principal-principal that is between the venture capitalists involved in the technology-based new firms. The research argues that to conduct monitoring to mitigate the additional agency risk between the venture capitalists, as well as with the founder, the board would strive to be more independent, and they could only be effective when they possessed the capabilities and resources to aid in the development of the new venture. The research considers the influence of foreign venture capitalists involved in the syndication, as they put further strain on the governance system, calling for boards to be even more independent and particularly focus on replacing the Founder-CEO with a Professional-CEO. The theoretical framework advances the understanding that boards monitor and provide resources to their new ventures to develop and be competitive. The study empirically tests an integrated model combining both the agency and resource-based views to analyze the governance mechanisms.
Dewidar, Omar Aly
Value premium, which is the return difference between value and growth stocks, is one of the most important asset pricing anomalies. Value stocks tend to have more returns than growth stocks. And though, researchers agree about the existence of value premium, they tend to disagree about the reasons behind it. There are three main explanations of the value premium. Firstly, value premium is a compensation for risk. This risk is captured systematically by asset pricing models, raised by firm characteristics or measured through business cycle phases. Secondly, value premium is a result of misspricing caused by investors’ behaviour. Finally, value premium is not an anomaly at all, it is a result of data bias. The unsettled debate around value premium shows the need for more re- search into this problem. This study is different from previous work in several important areas. Firstly, the period of study is divided into two subperiods, the pre-1992 and the post-1992 period. This division will (i) reduce the effect of the missing data: and (ii) test the efficent market hypothesis, where the value premium becomes more known. Secondly, the risk of value and growth stocks is really tested by comparing their risk at the same level of returns. Thirdly, the reaction to earnings surprises around the quarterly returns in- stead of yearly returns is investigated. Finally, whether optimized value and growth portfolios can produce more returns than equal weighted ones is tested. I find that: (i) value premium is significant for the pre-1992 and post-1992 periods alike. But after controlling for size, value premium exists only for the smallest size quintile; (ii) the January effect causes the value premium for the smallest size quintile in the post-1992 period but not on the pre-1992 period; (iii) Fama and French’s three factor model fails to explain the returns of the small size portfolios in the post-1992 period; (iv) value premium is not an effect of worsening conditions of the business cycle; (v) value stocks are riskier than growth stocks, but this is not the cause of value premium. Growth stocks have more returns than value stocks at the same levels of risk; (vi) analysts are more optimistic about value stocks but this is not the cause of value premium. Growth stocks are more affected by negative earnings surprise than value stocks; finally, (vii) the optimised value and growth portfolios can produce more out of sample returns than the equally weighted ones regardless of the length of the estimation period.
Schaffer, Mark Edwin
This thesis examines a number of aspects of a government policy of rescuing firms or enterprises that are in difficulties, with particular attention to the East European context. The first part of Chapter 2 examines a concept introduced by Janos Kornai, the "soft budget constraint", and argues that it should be interpreted as a state policy of bailouts of enterprises in financial difficulties. The second part of the chapter examines the effect on incentives of a state policy of bailouts, arguing that in principle a bailout policy has an ambiguous effect on enterprise performance. Chapter 3 looks at the causes behind a government policy of bailouts. A game-theoretic model is presented in support of the argument that a cause of a bailout policy may be that the government is unable to make a credible commitment not to bail out an enterprise. The model also shows that if the government can acquire a "reputation for toughness", its threat of "no bailouts" may be credible. The phenomenon of "storming" or rush-work to meet a deadline is also analysed. In Chapter 4 a model of economic natural selection is developed. The model demonstrates that profit-maximisation does not "summarise appropriately" the conditions for firm survival. If firms have market power, profit-maximisers are not necessarily the best survivors. The economic model presented derives from the biologists' "evolutionarily stable strategy" (ESS) model. An appendix presents a version of the ESS model for finite populations. Finally, the thesis looks at empirical evidence on financial bailouts using data from the 500 largest enterprises in Polish industry, 1983-88. Chapter 5 discusses the data and the tax/subsidy system. Chapter 6 looks at how these enterprises were subsidised, and presents evidence, based on econometric estimates of government subsidy policy, that subsidies were used to rescue loss-making enterprises.
Financial market runs are the equivalent of a bank run outcome in financial markets. They occur because traders have an incentive to sell when others do so. In our model, traders with market impact who are subject to a loss limit and face uncertainty about market liquidity sell in the fear that other sellers may beat them to the market. The result is a coordinated sell-off that leaves all traders worse off. Using global game techniques, we characterize a unique equilibrium in which this run outcome or liquidity black hole comes into existence. Counter to common intuition, we argue that traders, who are active in the same market and hence expose themselves to identical risks, may overcome these liquidity black holes through sufficiently strong financial interlinkages.
The structure of cross-sectional dependence in analysts forecasts of earnings per share: evidence and implicationsEl-Galfy, Ahmed Mohamed Mohamed January 2003 (has links)
A number of papers have provided empirical evidence suggesting that analysts' earnings forecasts do not conform to Muthian rationality. Analysts' earnings forecasts have been found, in both early research and more recent studies, to be irrational, i.e., biased, inefficient or both (see for instance: Brown et al., 1985 and Easterwood and Nutt, 1999). De Bondt and Thaler (1990), in particular, documented generalised overreaction in the analysts' forecasts, showing that the forecasts, tracked by I/B/E/S, are too optimistic and too extreme to be considered rational. Conversely, a notable study developed by Keane and Runkle (1998) claimed that analysts' forecasts of corporate profits may be rational after all if we take into account two complications: (1) the cross-sectional correlation in contemporaneous forecast errors across analysts and firms, and (2) discretionary asset write-downs, which affect earnings but are intentionally ignored by analysts when they make earnings forecasts. They proposed an estimation technique for testing the rationality of analysts' forecasts based on the GMM of Hansen (1982). This thesis challenges the finding that cross-sectional correlation "explains" the irrationality of analysts' earnings forecasts. The thesis further investigates Keane and Runkle's (1998) claim. The rationality of analysts' earnings forecasts per share is tested in the current study using two data-set samples and employing two complementary empirical methods. Firstly, the quality of "annual" analysts' earnings forecasts for a "balanced panel" of US firms is investigated. In particular, I test for forecast accuracy by using two alternative forecast errors metrics, that are: the "mean absolute percent forecast errors" and the "mean percent forecast errors". Then, I evaluate the superiority of analysts' earnings forecasts by comparing the forecasts of my balanced panel of firms with those generated by a variety of alternative benchmark models, using Theil's if metric which evaluates the adequacy of analysts' forecasts based on the mean-square error of their predictions. Next, the unbiasedness and efficiency are tested by using OLS regression of the actual change of EPS on the forecasted change of EPS. The study is extended in this part to investigate the degree to which the analysts vary in their predictive performance and the impact of some inappropriate forecasts on the adequacy of analysts' forecasts as a whole. Secondly, GMM correction to the variance-covariance matrix is employed to test the rationality of "quarterly" analysts' earnings forecasts per share, allowing for cross-sectional dependence, as well as controlling for the extreme special items. I use in this part the framework advanced by Keane and Runkle (1998), and also introduce some extensions to their framework to try to improve the understanding of this issue.
An empirical analysis of the nature and incidence of credit risk in the Turkish banking sector : a balance sheet approachAyaydin, Hande January 2008 (has links)
This thesis examines credit risk in the Turkish banking sector. The specific focus is an in-depth analysis of the detenninants of changes in the future values of basic on-balance sheet assets, securities, claims on banks, credits, and a contra-asset account, past due loans, as well as off-balance sheet assets, namely guarantees and warranties, derivative financial instruments and repurchase transactions. The thesis jointly considers changes in the values of both on- and off-balance sheet assets which arise from the evolution of micro economic (bank-specific) and macroeconomic variables between the years 1990 and 2005. Although the Basel Committee highlights the importance of credit risk in all on- and off-balance sheet assets, the academic literature customarily focuses only on the credits and past due loans portfolios. Furthennore, existing academic literature concentrates almost exclusively on developed as opposed to emerging economies. We focus upon Turkey for a variety of reasons. In particular, we consider it to be a good example of an emerging economy which has undergone two recent major financial crises, in 1994 and 2001, which significantly impacted upon the banking sector. The analytical approach taken also differs from previous studies in that prior literature undertaking analysis of credits and past due loans concentrates almost exclusively on the effects of the macro economy on these portfolios, while the literature relating to off-balance sheet assets focuses much more on the effects of bank-specific variables. However, in this thesis on- and off-balance sheet assets are analysed in conjunction with each other in order to provide us with a comprehensive understanding of the credit risk in the sector. As a consequence, both bank-specific characteristics, and macro variables are employed in the estimates. The estimations are undertaken using both panel data and time series methodologies. The heterogeneity of the individual banks was taken into account through panel data analyses. Both static (fixed, random effects, Prais- Wins ten and Tobit models) and dynamic (one-step robust Arellano-Bond) estimations are used. Furthennore, the credit risk of the deposit money banks is examined with higher frequency data by means of time series analysis (employing autoregressive 12 distributed lag). In this manner, the interim effects of the evolution of both micro and macro variables on the assets of the banking sector are able to be considered. The analyses concludes that it is excess growth in the credits portfolio of the Turkish banking sector which decreases the quality of borrowers and increases the amount of past due loans and credit risk in the sector. Moreover, credits appear to be extended in order to control the amount of past due loans. Effectively, banks appear to try to postpone writing-off past due loans as losses. However this strategy, known as forbearance lending, does not prevent the inevitable and such loans tum into losses after two years. The change in gross domestic product is the most robust explanatory macroeconomic variable in the panel data analysis. As the economy grows banks invest more in securities, and extend more credits. The results are robust to bank size, different interest rate variables, type of banks and different time periods. Furthermore, when the results are controlled for the bank size we find that smaller banks are those extending more credits which tum into past due loans. Larger banks with higher levels of buffers of total assets prefer to invest in securities portfolios. This excess credit growth by small banks increases the vulnerability of the sector to macroeconomic shocks and increases its credit risk. The results also support the perspective that the Turkish banking sector is dominated by deposit money banks. The signs and significance of the variables do not change even when the investment and development banks are excluded from the data set. From a policy perspective, the results also highlight the necessity of the recent restructuring process which has been undertaken in the Turkish banking sector. This has served to decrease credit risk exposure in the sector. The restructuring process has affected mostly the securities and credit portfolios. Before this restructuring, the majority of the funds available for the banking sector were diverted to securities portfolios, and in addition there was excess credit growth in this time period. The time series analysis presents that after the restructuring process, bank managers pay more attention to the growth of past due loans when extending new credits. However forbearance lending is still a problem. Moreover, we find that the problems in the credits portfolios of banks taken into the savings deposit insurance fund and/or closed increase the credit risk in the sector. Therefore, the restructuring process was 13 inevitable and decrease part of the credit risk but there are yet some points to be improved. The results indicate that credit risk exposure of the Turkish banking sector is more than would be calculated simply by looking at the banks' on-balance sheet credit portfolios. When the economy is in recession or there is financial turmoil, banks are reluctant to lend via extending more on-balance sheet credits. Banks and the beneficiaries prefer to employ off-balance sheet credits, namely guarantees and warrantees in these circumstances. Moreover, smaller banks with less liquid assets and more on-balance sheet credits and past due loans, appear to extend more offbalance sheet credits and increase the risk structure of the sector. Furthermore, the analysis undertaken on repurchase transaction portfolios indicates that the funds which are diverted into securities portfolios between 1990-2000 period are employed in repo transactions, both for liability management purposes and also to meet the bank's liquidity demand. This makes the sector highly vulnerable to interest rate changes. Finally, we find that derivative financial instruments are employed to hedge against interest and exchange rate risk rather than credit risk.
Essays in Foreign Investor Behaviour : Evidence from the Investment strategies of Emerging Market Mutual FundsStokes, Adrian January 2005 (has links)
No description available.
Tolefat, Abdulrahman Khalil
The Islamic finance industry has witnessed a remarkable growth during the last decade. The total shari'ah compliant assets worldwide were estimated at US$700 billion in 2007 compared with US$150 billion in the mid 1990s. The industry is expected to continue its strong growth trend fuelled by increase in oil prices. One of the fastest-growing segments in Islamic finance is the Islamic insurance (takaful) industry which is expected to continue its strong growth rate in the future. This research concerns the Islamic insurance industry and particularly the asset management aspect. This research aims at exploring the investment portfolio compositions for takaful companies in both the Gulf Cooperation Council Countries (GCC) and Malaysia. The exploration was conducted for each type of fund under the takaful structure which are: shareholders, general and family funds. Moreover, the research aims to explore the gaps between actual and desired investment portfolio for takaful- operating companies for each of the above-mentioned funds. The research was conducted by using a multi-strategy research approach which is known as "triangulation". The study was confined to two geographical groups, namely the GCC and Malaysia. Eleven takaful companies in both regions were covered in the research, eight from the GCC and three from Malaysia. However, these companies represented 90% of the GCC market and 95% of the Malaysian market when the research conducted. The data were collected through emailed questionnaire survey followed by a mix of structured and unstructured interviews with individuals from the industry. The conclusion of the study pointed out that there is a divergence between takaful companies in the GCC and Malaysia in the actual investment portfolio composition. The main difference between takaful operating companies was observed in long term investment portfolio whereby the GCC companies invested mainly in equities and real estate while the Malaysian companies invested mainly in sukuk However, a convergence was noted in the desired investment portfolio composition in both regions and in particular toward investment in sukuk The convergence is expected once the primary and secondary markets for sukuk develops in the GCC and international regulatory framework is practiced.
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