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- 学会誌のご紹介
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- International Review of Finance
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- 「International Review of Finance」/No.1-2
Security Markets versus Bank Finance: Legal Enforcement and Investor’s Protection
Franco Modigliani/Enrico Perotti
Security Markets versus Bank Finance: Legal Enforcement and Investor’s Protection
Franco Modigliani (MIT Sloan School of Management)
Enrico Perotti (University of Amsterdam and CEPR)
When minority investors’ rights are poorly protected, the ability of firms to raise equity capital is impaired, leading to less finance for new ventures. Fewer firms will be financed with outside equity, resulting in a low market capitalization relative to GNP. External funding requires easily enforceable claims such as debt or requires long-term relationships with institutions. Provision of funding shifts from risk capital to debt, and to a predominance of intermediated over market finance. We report supporting evidence for a few countries. To measure investor protection, we use a price measure, the premium on voting stock, related to the control premium. In countries where the voting premium is large, corporate financing is dominated by bank lending and equity markets are much smaller.
*We owe thanks to Frans Tempelaar, Sheridan Titman and Luigi Zingales for useful comments. We retain all responsibility for content.
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Yield Curve Risk in Japanese Government Bond Markets
Kenneth J. Singleton
Yield Curve Risk in Japanese Government Bond Markets
Kenneth J. Singleton (Graduate School of Business, Stanford University)
Kenneth J. Singleton (Graduate School of Business, Stanford University)
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A Variable Reduction Technique for Pricing Average-rate Options
Hua He/Akihiko Takahashi
A Variable Reduction Technique for Pricing Average-rate Options
Hua He (Yale School of Management)
Akihiko Takahashi (Tokyo University)
*An earlier draft of this paper was written while Hua He was at the Haas School of Business, University of California at Berkeley. Akihiko Takahashi is a PhD candidate at the Haas School of Business. We thank Dr Simon Babbs for conversations on some of the related ideas in the early stage of this research project.
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Excess Risk Premia of Asian Banks
Jianping(J.P.) Mei/Zheng Wang
Excess Risk Premia of Asian Banks
Jianping (J.P.) Mei (Department of Finance, New York University)
Zheng Wang (Baruch Collage, CUNY, USA)
This paper develops a framework for gauging the risks of emerging market banks by using stock market data. Employing a multifactor asset pricing model that allows for time-varying risk premia, we find the presence of large excess risk premia on Asian bank stocks, especially in those markets affected by the Asian financial crisis. We find that the excess risk premia appear to be negatively related to the degree of economic freedom of a country but positively related to its corruption level. Thus, our findings are consistent with the view that crony capitalism in Asia may have distorted the market mechanism or the systematic risk exposure of banks. This suggests that the excess risk premium provides useful information on risk exposure for opaque banking systems where quality accounting information is not available.
*We are grateful to Anthony Saunders for providing some key insights and comments used in the paper. We thank the editor, Sheridan Titman, and an anonymous referee for many helpful comments. We have also benefited from helpful discussion with Arnaud Boot, Alex Galetovic, Burton Malkiel and Enrico Perotti. The paper has also benefited from seminar participants at the University of Amsterdam and the Universidad de Chile.
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