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on Corporate Finance |
| By: | Kiyotaka Nakashima; Makoto Saito |
| Abstract: | Using secondary market data on corporate bonds issued in Japan between 1997 and 2005, this paper explores the determinants of the credit spread of corporate bond rates over interest swap rates. We find that credit spreads properly reflect financial factors at the firm level, including debt-to-equity ratios, volatility, and maturity, particularly for longer-term bonds. In addition, an economy-wide factor common among bond issues unable to be captured by firm-level factors, plays an important role in determining credit spreads, and these economy-wide effects to a great extent cancel out firm-level factors for some subsample periods. We also identify possible factors responsible for the significant economy-wide effects. |
| Keywords: | credit spreads, corporate bonds, market liquidity |
| JEL: | G12 G13 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:hst:ghsdps:gd09-68&r=cfn |
| By: | Hodonou DANNON (labrii, ULCO) |
| Abstract: | L’objectif de cette étude est d’une part de mesurer les effets des réformes financières sur l’efficacité et la productivité des banques de la zone UEMOA sur la période de 1996 à 2006 et, d’autre part, de faire ressortir les principaux déterminants managériaux de l’efficacité de ces banques. L’estimation des scores de productivité et d’efficacité est effectuée au moyen de l’analyse de l’enveloppement des données (DEA). Les résultats montrent premièrement que les inefficiences techniques pures dominent les inefficiences d’échelle au niveau de tous les pays la zone excepté le Sénégal. Ainsi, l’inefficience relève plus d’une sous-utilisation des inputs que de rendements d’échelle inappropriés. Deuxièmement, la productivité globale des facteurs a connu une amélioration due essentiellement à la variation positive des progrès technologiques au détriment de l’efficacité technique sur toute la période de l’étude. Ceci laisse penser que les réformes financières n’ont pas permis aux banques de la zone d’améliorer leur efficacité technique. L’évolution de leur productivité est avant tout expliquée par les progrès technologiques existants dans le secteur bancaire de l’espace UEMOA. Troisièmement, les banques de petite taille de la zone UEMOA font plus d’efforts pour réduire la consommation des inputs que celles de grande taille. Par ailleurs, l’efficience d’échelle augmente pour ensuite descendre plus bas qu’à son niveau initial. Cette observation révèle l’existence d’une taille optimale au-delà de laquelle les banques subiraient des déséconomies d’échelle. Quatrièmement, les banques domestiques privées ont un léger avantage en termes d’efficience technique globale et d’efficacité d’échelle sur les banques étrangères tandis que les banques d’Etat ont enregistré les plus faibles scores en termes d’efficacité et de productivité. L’analyse des déterminants des scores d’efficacité montre que l’origine de la propriété, la taille des banques et l’étendue du réseau bancaire ne constituent guère des facteurs déterminants de l’efficacité des banques, du moins pour ce qui concerne les pays de l’UEMOA. En revanche, l’efficacité est influencée par le ratio de capitalisation des banques de l’Union. Enfin, la structure du portefeuille d’actifs des banques et la part des dépôts dans le total bilan sont des variables qui se sont avérées déterminantes aussi bien de l’efficacité technique globale que de l’efficacité technique pure. The purpose of this study is firstly to measure the effects of financial reforms in banks productivity and efficiency in the WAEMU area during the 1996-2006 period, and secondly, to draw the mains managerial determinants of banks efficiency. The productivity and efficiency scores are estimated through the Data Envelopment Analysis (DEA). Our empirical results show firstly that pure technical inefficiencies are higher than scale inefficiencies in all the countries of the area except for Senegal. Thus, the inefficiency stems rather from an under-use of inputs than from an inappropriate return to scale. Secondly, we notice a growth of the global productivity factors which is essentially due to the positive variation of technological progress. Consequently, financial reforms did not permit to banks to increase their technical efficiency. Thirdly, small banks make more efforts to reduce their inputs consumption than great banks. One the other hand, scale efficiency at first increases to decrease then below its initial level. This observation means that there is an optimal size beyond which banks would undergo diseconomies of scale. Fourthly, private domestic-owned banks have a slight advantage on foreign banks in terms of global technical efficiency and scale efficiency while State-owned banks recorded the weakest efficiency and productivity scores. We furthermore conclude that the ownership’s origin, the size of banks and the breadth of the financial network are not much determinant factors of banks efficiency, at least in the WAEMU countries. However, the efficiency is influenced by the capitalization’s ratio of the banks of the Union. Finally, the structure of the banks' portfolio of assets and the proportion of their deposits in the total balance are revealed to be determinants of global as well as pure technical efficiency. |
| Keywords: | banks, efficiency, productivity, data envelopment analysis, financial reforms |
| JEL: | G21 O23 O43 O00 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:rii:riidoc:216&r=cfn |
| By: | Demirguc-Kunt, Asli; Levine, Ross |
| Abstract: | This paper critically reviews the literature on finance and inequality, highlighting substantive gaps in the literature. Finance plays a crucial role in most theories of persistent inequality. Unsurprisingly, therefore, economic theory provides a rich set of predictions concerning both the impact of finance on inequality and about the relevant mechanisms. Although subject to ample qualifications, the bulk of empirical research suggests that improvements in financial contracts, markets, and intermediaries expand economic opportunities and reduce inequality. Yet, there is a shortage of theoretical and empirical research on the potentially enormous impact of formal financial sector policies, such as bank regulations and securities law, on persistent inequality. Furthermore, there is no conceptual framework for considering the joint and endogenous evolution of finance, inequality, and economic growth. |
| Keywords: | Access to Finance,Economic Theory&Research,,Debt Markets,Inequality |
| Date: | 2009–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:4967&r=cfn |
| By: | Bruhn, Miriam; Love, Inessa |
| Abstract: | This paper examines the effects of providing financial services to low-income individuals on entrepreneurial activity, employment, and income. The analysis exploits cross-time and cross-municipality variation in the opening of Banco Azteca in Mexico to measure these effects with a difference-in-difference strategy. Banco Azteca opened more than 800 branches simultaneously in 2002, focusing on low-income clients. The results show that the opening of Banco Azteca led to an increase in the number of informal business owners by 7.6 percent. Total employment also increased, by 1.4 percent, and average income went up by about 7 percent. |
| Keywords: | ,Access to Finance,Banks&Banking Reform,Labor Policies,Corporate Law |
| Date: | 2009–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:4981&r=cfn |
| By: | Daouk, Hazem; Ng, David |
| Abstract: | Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, book-to-market, or operating leverage, explains volatility asymmetry on a firm-by-firm basis. Our results reveal that, at the firm level, financial leverage explains much of the volatility asymmetry. This result is robust to different unlevering methodologies, samples, and measurement intervals. However, we find that financial leverage does not explain index-level volatility asymmetry, which is consistent with theoretical results in Aydemir, Gallmeyer and Hollifield (2006). |
| Keywords: | Volatility asymmetry, Financial leverage, Financial Economics, Research Methods/ Statistical Methods, G12, |
| Date: | 2009–06–16 |
| URL: | http://d.repec.org/n?u=RePEc:ags:cudawp:51182&r=cfn |
| By: | Bhattacharya, Uptal; Daouk, Hazem |
| Abstract: | This paper argues, both theoretically and empirically, that sometimes no securities law may be better than a good securities law that is not enforced. The first part of the paper formalizes the sufficient conditions under which this happens for any law. The second part of the paper shows that a specific securities law - the law prohibiting insider trading - may satisfy these conditions. The third part of the paper takes this prediction to the data. We find that the cost of equity actually rises when some countries enact an insider trading law, but do not enforce it. |
| Keywords: | insider trading, cost of capital, emerging markets, securities law, enforcement, International Development, G15, G18, K22, K42, |
| Date: | 2009–06–16 |
| URL: | http://d.repec.org/n?u=RePEc:ags:cudawp:51184&r=cfn |