Research in Finance, Volume 24

cover.jpg......Page 1
sdarticle.pdf......Page 2
sdarticle_001.pdf......Page 3
List of contributors......Page 4
Introduction......Page 7
Competition in IPO underwriting: time series evidence......Page 9
Introduction......Page 10
Sample description......Page 12
Median Issue Size Has More than Tripled between 1980 and 1998 and the Average Issue Size Has Increased More than Five-Fold......Page 15
Post-IPO Stock Volatility is Negatively Related to Issue Size and Has Increased Over Time......Page 17
Spread Clustering Has Shifted to Lower Spreads Over Time......Page 20
Clustering Behavior Varies by Issues’ Relative Size......Page 23
IPO Underwriting Spreads are Negatively Related to IPO Size......Page 26
Conclusions......Page 30
Notes......Page 31
References......Page 33
Can delegating bank regulation to market forces really work?......Page 34
The Setup for the Bank......Page 37
The Monitoring Technology......Page 39
The bank’s quality decision with no monitoring......Page 41
The bank’s quality decision with direct monitoring......Page 42
The Regulator’s Problem......Page 43
A Comparison of Optimal Monitoring Levels......Page 44
Discussion of Comparisons......Page 45
The bank’s quality decision in the absence of direct monitoring......Page 46
Indirect Monitoring and Puttable Subordinated Debt......Page 47
The Bank’s Problem......Page 48
Comparing Optimal Monitoring Levels......Page 49
Convertible Subordinated Debt: A Case of No Monitoring......Page 50
An alternative mechanism: solving the moral hazard problem......Page 52
Conclusions......Page 55
Notes......Page 57
References......Page 61
Internal model-based capital standard and the cost of deposit insurance......Page 64
Introduction......Page 65
The Dynamic of Bank Asset Return......Page 67
Insolvency Resolution and Insurance Payoffs......Page 68
Capital Standards......Page 69
Moral Hazard......Page 71
Parameter Values......Page 72
Premium for the Building Block Approach......Page 73
Premium for the Basel II’s IMB Approach......Page 75
Notes......Page 78
References......Page 79
Introduction......Page 81
Bank Size......Page 83
Bank Risk......Page 84
Proxies for Borrower and Loan Characteristics......Page 85
Data......Page 87
Empirical results......Page 89
Other Bank Effects......Page 93
Borrower and Loan Effects......Page 94
Simultaneous Equation Model......Page 95
Multiple Loan Facilities......Page 99
Conclusions......Page 102
Notes......Page 103
References......Page 105
Regional economic conditions and aggregate bank performance......Page 108
Introduction......Page 109
Literature review......Page 112
Regional Coincident Indicator......Page 114
Other Regional Indicators......Page 115
Bank-Specific Regional Indicators......Page 116
In-Sample Importance of Regional Variables......Page 117
All Banks......Page 119
Interstate and Intrastate Banks......Page 121
Forecasts of relative state rankings of bank condition......Page 124
Notes......Page 129
Acknowledgments......Page 130
References......Page 131
Who benefits more from global diversification? An over-time perspective......Page 133
Introduction......Page 134
Literature reviews......Page 136
Measures of the global diversification benefits......Page 137
Data......Page 140
Long-Term Trends of Diversification Benefits......Page 148
Over-Time International Comparison of Diversification Benefits......Page 151
Constraints of weighting and feasibility of strategies......Page 159
Conclusions......Page 168
Notes......Page 169
References......Page 170
Introduction......Page 172
Overreaction......Page 173
Seasonality......Page 175
Computation of Returns......Page 177
Initial Data Analysis Results of Overreaction......Page 178
Regression Analysis Results of Overreaction......Page 181
Methodology for Seasonality Analysis......Page 184
Preliminary Analysis of Seasonality......Page 185
Regression Analysis Results of Seasonality......Page 186
Notes......Page 195
References......Page 196
A mean-Gini approach to asset allocation involving hedge funds......Page 199
The Gini coefficient......Page 200
Data......Page 203
Methodology......Page 205
Hedge funds......Page 211
Notes......Page 213
References......Page 214
Incentive stocks and options with trading restrictions: not as restricted as we thought......Page 215
Introduction......Page 216
The Setup......Page 219
Optimal Consumption-Portfolio Policies: Theoretical Results......Page 222
Non-Trivial Role of the Index......Page 225
Impacts of Trading Restrictions on Optimal Portfolio Choices and Non-Systematic Risk......Page 226
The State Price Deflator......Page 231
Private Valuation of the Restricted Stock......Page 232
Private Value and Incentive Effects of European Options on Restricted Stocks......Page 235
Options with Early Exercise and Vesting Features......Page 237
Conclusion......Page 243
Notes......Page 245
References......Page 246
Proof of Proposition 1......Page 247
Proof of Valuation Formula for European Options......Page 248
Board size and firm performance in the property-liability insurance industry......Page 251
Introduction......Page 252
Theory and literature review......Page 253
Hypotheses development, alternative explanations, and control variables......Page 255
Board Activity (ACTIV)......Page 256
Leverage (LEV)......Page 257
Board Independence (BDIND)......Page 258
Agency Control Variables......Page 259
Market Power (CONC)......Page 260
Sample Selection......Page 261
Descriptive Statistics......Page 263
Univariate Analysis......Page 264
Multivariate Analysis......Page 266
Changes in Board Size and Past Insurer Performance......Page 276
Past Board Size and Insurer Performance......Page 277
Conclusions and limitations......Page 283
Note......Page 284
References......Page 285
The role of higher oil prices: A case of major developed countries......Page 288
Introduction......Page 289
Managerial Implications for Financial Services and Standards......Page 290
Changes in inflation expectations......Page 291
Long Term Relationship......Page 294
Short Term Influence......Page 295
Stock market impacts......Page 297
Summary......Page 299
References......Page 300
The futures hedging effectiveness with liquidity risk under alternative settlement specifications......Page 301
Introduction......Page 302
The basic framework......Page 304
Bivariate lognormal distributions......Page 307
Hedging under liquidity risk......Page 309
Numerical results......Page 310
Conclusion......Page 318
References......Page 319