| 38791. |
- Chen, Yinghong, 1964
(författare)
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Essays on Voting Power, Corporate Governance and Capital Structure
- 2004
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This dissertation is divided into 4 essays. Each focuses on different aspect of firm risk and corporate governance issues. It mainly deals with corporate governance issues in the context of strong owner control and its implications to market efficiency. The interrelationship between corporate governance, takeovers, firm performance, capital structure and voting structure is explored. The first paper integrates existing knowledge in owner control and corporate governance using Swedish data. First it provides different measurements of voting power, and then links the voting power with private benefits of control in an analysis of control rent. The implication of dual class of shares in a takeover contest is explored. As an application, the power structures of a group of Swedish listed firms are examined using the Shapely-Shubik power index and the Banzhaf power index. The second paper employs agency theory and findings in corporate governance to study a group of listed firms with dual class of shares and pyramidal structure in Sweden. 44 listed firms with both A and B shares traded on SSE are studied using market data and accounting statements. Determinants of voting concentration are analyzed both by using a single equation Tobit model and by a simultaneous equations model where power of the controlling owner, and firm performance are treated as endogenous. The single equation Tobit model indicates that growth rate in terms of increase in total assets is negatively related to the voting concentration. Also, firms with better performance in terms of (accounting) return on assets tend to have a more concentrated voting structure. However, performance in terms of market-to-book ratio is negatively and significantly correlated to voting concentration when voting power of the controlling owner is evaluated at simple majority but not when evaluated at the super majority. The third paper studies the effects of a voting scheme change on the stock market prices of both Electrolux and SKF AB using standard event study methodology and a clinical approach. The economic effect of the voting scheme change is assessed using the market model. We investigate the loss of control due to the change in the voting scheme. The degree of change in power is calculated using the Shapley-Shubik power index and the Banzhaf power index. There is a wealth transfer from the high vote shareholders to the low vote shareholders in the process. The last paper analyzes factors influencing firm leverage. We use market capital ratio, book capital ratio and book debt ratio as measures of leverage and an unbalanced panel data of seven countries: Canada, Denmark, Germany, Italy, Sweden, the UK, and the US. We find that firm size, profitability, tangibility, and market-to-book ratio have significant impact on the capital structure choices of firms. Tangibility is positively related to leverage, while profitability shows a negative significant relation to leverage across all seven countries. The impact of the market-to-book ratio varies in the book debt ratio model but shows a negative and significant relation in the market leverage model for all countries except Denmark, which shows an insignificant parameter value. Evidence from the seven countries is consistent with the findings in capital structure theories, i.e. more profitable firms borrow less. Smaller firms borrow less, etc.
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| 38792. |
- Chen, Yan, et al.
(författare)
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Identifying systemic risk drivers of FinTech and traditional financial institutions: machine learning-based prediction and interpretation
- 2024
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Ingår i: European Journal of Finance. - : ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD. - 1351-847X .- 1466-4364.
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Tidskriftsartikel (refereegranskat)abstract
- We study systemic risk drivers of FinTech and traditional financial institutions under normal and extreme market conditions. We use machine learning (ML) techniques (i.e. random forest and gradient boosted regression trees) to evaluate the role of macroeconomic variables, firm characteristics, and network topologies as systemic risk drivers and perform the ML-based interpretation by Shapley individual and interaction values. We find that (i) the feature importance in driving systemic risk depends on market conditions; namely, market volatility (MVOL), individual stock volatility (IVOL), and market capitalization (MC) are positive drivers of systemic risk under extreme (downside and upside) market conditions, while under normal market conditions, institutions with high price-earnings ratio, large MC, and low IVOL play an essential role in stabilizing markets; (ii) macroeconomic variables are the most important extreme systemic risk drivers, while firm characteristics are more important under normal market conditions; and (iii) the interaction between IVOL and MC or MVOL is the significant source of extreme systemic risk, and MC is the most crucial interaction attribute under normal market conditions. The interactions between macroeconomic variables are the most prominent in systemic risk under different market conditions.
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| 38793. |
- Chen, Yinghong, 1964
(författare)
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Valuation of Voting Scheme Changes
- 2004
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper studies the effects of the change of voting scheme on the market prices of Electrolux and SKF AB using standard event study methodology and a clinical approach. The economic effect of the voting scheme change is assessed using the market model. We investigate the loss of control due to the change of the voting scheme. The degree of the change of power is calculated using Shapley power index (SPI) and Banzhaf power index. There is a wealth transfer from the high vote shareholders to low vote shareholders in the process since in both cases the high power shareholders required no compensation. We expect that share price to have a positive response to such an announcement due to the reduced power discount and corporate governance improvement. The magnitude of the response on the event day depends also on the information structure of the period leading to the announcement. A bigger effect on the value of the firm is to be expected if the voting powers of the major owner(s) shifts away from absolute control to moderate control which indicating a significant change in governance pattern.
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| 38794. |
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| 38795. |
- Chernov, Mikhail, et al.
(författare)
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Currency Risk Premiums : A Multi-horizon Perspective
- 2023
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
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| 38796. |
- Chernov, Mikhail, et al.
(författare)
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Pricing Currency Risks
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- The currency market features a relatively small cross-section and conditional expected returns can be characterized by only a few signals - interest differentials, trend and mean-reversion. We exploit these properties to construct a conditional projection of the stochastic discount factor onto excess returns of individual currencies. Our approach is implementable in real time and prices all currencies and prominent strategies conditionally as well as unconditionally. We document that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
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| 38797. |
- Chernov, Mikhail, et al.
(författare)
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Pricing Currency Risks
- 2023
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Ingår i: Journal of Finance. - : Wiley. - 1540-6261 .- 0022-1082. ; 78:2, s. 693-730
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Tidskriftsartikel (refereegranskat)abstract
- The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, and mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. The portfolio is updated in real time and prices all prominent currency trading strategies, conditionally and unconditionally. The fraction of risk in these assets that does not affect their risk premiums is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
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| 38798. |
- Cheung, YW, et al.
(författare)
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Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments
- 2004
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Ingår i: Journal of International Economics. - 1873-0353. ; 64:1, s. 135-150
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Tidskriftsartikel (refereegranskat)abstract
- The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the speed of PPP convergence. Moreover, nominal exchange rates are found to converge much more slowly than prices. With the reversion being driven primarily by nominal exchange rates, real exchange rates also revert at a slower rate than prices, as identified by the PPP puzzle [J. Econ. Lit. 34 (1996) 647]. (C) 2003 Elsevier B.V. All rights reserved.
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| 38799. |
- Cheung, Y W, et al.
(författare)
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Exchange rates and Markov switching dynamics
- 2005
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Ingår i: Journal of Business & Economic Statistics. - : Informa UK Limited. - 0735-0015 .- 1537-2707. ; 23:3, s. 314-320
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Tidskriftsartikel (refereegranskat)abstract
- This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are considered. Quarterly data yield inconclusive evidence; the test rejects neither random walk nor Markov switching. Monthly data, on the other hand, offer unambiguous evidence of the presence of Markov switching dynamics. The results suggest that data frequency, in addition to sample size, is crucial for determining the number of regimes.
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| 38800. |
- Chevalier, Arnaud, et al.
(författare)
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Monotonicity and the Roy Model
- 2004
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Ingår i: Manchester School. - : John Wiley & Sons. - 1463-6786 .- 1467-9957. ; 72:4, s. 560-567
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Tidskriftsartikel (refereegranskat)abstract
- In this note we study the implications on a bivariate normal Roy model of two sets of monotonicity hypotheses proposed recently by Manski and Pepper (Econometrica, Vol. 64 (2000), pp. 997–1011). In that simple context, we show that these hypotheses imply strong restrictions on the correlations structure between the decision and the rewards.
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