Index
Advances in Pacific Basin Business, Economics and Finance
ISBN: 978-1-78973-286-3, eISBN: 978-1-78973-285-6
ISSN: 2514-4650
Publication date: 21 August 2019
This content is currently only available as a PDF
Citation
(2019), "Index", Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 7), Emerald Publishing Limited, Leeds, pp. 279-287. https://doi.org/10.1108/S2514-465020190000007013
Publisher
:Emerald Publishing Limited
Copyright © 2019 Emerald Publishing Limited
INDEX
Agency theory
, 112–113
AQR. See Asset quality review (AQR)
ARMA model
, 95
Asian financial crisis
, 214
Asian firms
, 214
Asian markets
, 64, 66, 68–69, 75, 84
monthly stock returns for
, 69
Asset pricing model
capital asset pricing model (CAPM)
, 89–90
intertemporal
, 66
Sharpe-Lintner CAPM
, 89–90
five-factor
, 105–106
intertemporal capital
, 66
Asset quality review (AQR)
, 202
Asymmetric capital gain taxes
, 29, 44, 55–56
Asymmetric taxation
, 29
Autoregressive conditional duration (ACD) model
, 164–165
Autoregressive conditional heteroskedasticity (ARCH) model
, 163
Banco Bilbao Vizcaya Argentaria (BBVA)
, 257
Banco de Crédito e Inversiones (BCI)
, 256
Bank leverage decisions
, 232–233
Bank of Mongolia (BoM)
, 110
Bank performance (Chile, Colombia, and Mexico)
commercial loans, consumer loans, and housing loans
, 271
data and methodological study
, 262–268
in emerging markets
, 258
hypotheses development
, 259–262
net income and administrative expenses
, 273
nonperforming loans
, 269–270
Bank’s leverage behavior
following a SCR/UCR change
, 242–243
near a SCR or UCR change
, 239–242, 245–246
Bank-specific factors
, 205
Barclays Bond Index
, 21–22
BBVA. See Banco Bilbao Vizcaya Argentaria (BBVA)
BCI. See Banco de Crédito e Inversiones (BCI)
Bond
bondholder
, 34–35
investors
, 32
pricing, tax effects on defaultable
, 28
See also specific types of bonds
Bond market
catastrophe
, 1–2
treasury
, 157–158
Bond market, cat
, 5–7
and consumption growth rates
, 3
performance of
, 3
quantitative evaluation
calibration
, 13–17
cat bond returns
, 17–18, 19
habit sensitivity
, 24–25
market price of cat risks
, 18–21
Bond prices, effects of microstructural factors on government
, 157–158
Bond spreads
, 2–4
Book-to-market ratio (B/M)
, 90–91
Breusch–Godfrey test
, 95–96
Buy-and-hold trading strategy
, 29–30, 33–34
Capital asset pricing model (CAPM)
, 89–90
intertemporal
, 66
Sharpe-Lintner CAPM
, 89–90
Capital gain
, 28, 30–31, 55, 56
long-term
, 31, 32
and losses
, 31
short-term
, 31, 32
tax penalty on
, 44–45
Capital gain tax
, 31
asymmetric
, 29, 44, 55–56
rate
, 30
CAPM. See Capital asset pricing model (CAPM)
Catastrophe bond market
, 1–2, 9
Catastrophic risks, market price of
, 20
Cat bond
, 16
feature of
, 5
individual
, 2–4
origination
, 5
portfolio using
, 2
quantitative evaluation of
, 2
returns
, 17–18, 19
vs. corporate bonds
, 21–24
Cat bond market
, 5–7
and consumption growth rates
, 3
performance of
, 3
quantitative evaluation
calibration
, 13–17
cat bond returns
, 17–18, 19
habit sensitivity
, 24–25
market price of cat risks
, 18–21
Cat risk, market price of
, 18–21
CFP. See Corporate financial performance (CFP)
Chile
economy
, 256
GDP of
, 256
macroeconomic indicators
, 263
worldwide business indicators
, 265
worldwide governance indicators
, 266
CO-AR
estimation
, 91–95
estimator
, 91, 92, 96–99, 101, 103–105
method
, 98–99, 101–103, 105
Cobb-Douglas technology
, 225
Cochrane-Orcutt transformation
, 91
Colombia
Central Bank
, 256–257
economy
, 256–257, 264
International Monetary Fund (IMF)
, 256–257
macroeconomic indicators
, 263
worldwide business indicators
, 265
worldwide governance indicators
, 266
Commercial banks, non-performing assets (NPAs) of
, 201–202
Conflict of interest argument
, 232–233, 234
Constant relative risk aversion (CRRA) preferences
, 4, 9, 18
Corporate bonds
, 28, 32
coupon payments on
, 30
investors, income tax rate
, 46
returns
, 28
vs. cat bonds
, 21–24
Corporate financial performance (CFP)
, 109–110, 111
measurement
, 115–116
vs. Corporate social responsibility (CSR)
, 116, 117
Corporate governance
, 214
Corporate social responsibility (CSR)
, 109–110, 111
altruistic
, 116
correlation tests
, 131–134
descriptive statistics
, 128–131
disclosure
, 118–120
content analysis
, 114–115
effect of CSR on profitability
, 112
indicators
, 121
measurement
, 117–122
of CSR index
, 114–115
in Mongolian banking sector
, 112
multiple regression analysis result
, 135–140
regression models
, 124–128
reputation ratings
, 115
robustness tests
, 140
testable hypotheses
, 122–124
themes
, 113–114
theories
, 112–113
vs. corporate financial performance (CFP)
, 116, 117
Corporate social responsibility disclosure (CSRD)
, 120–121
content analysis
, 114–115
Corporate social responsibility qualitative disclosure (CSRQD)
, 112, 121–122
Corporate social responsibility reporting disclosure (CSRRD)
, 112, 120–121
CRAs. See Credit rating agencies (CRAs)
Credit-constrained entry
, 227–228
Credit constraint
, 224
Credit rating
, 231–232
Credit rating agencies (CRAs)
, 232, 233–234, 235, 241–242, 248–249
CRHIGH (CRLOW)
, 241–242
CRHOL
, 243
CRIG
, 242, 244
CRRA preferences. See Constant relative risk aversion (CRRA) preferences
CRSG
, 242, 244
CSR. See Corporate social responsibility (CSR)
CSRD. See Corporate social responsibility disclosure (CSRD)
Defaultable bond pricing, tax effects on
, 28
Default-free bonds
tax-timing option values of
equilibrium prices and
, 41–45
prices and
, 38–41
Default risk
, 28, 41
effect of
, 28–29
impact of
, 59
sensitivity of tax-timing option values to
, 47–51
“de minimis” OID
, 30–31
Discount bond
, 34, 44–45
Domestic market, empirical estimations
, 73–76
Downside risk
, 64, 67, 68, 73–74, 75
Dynamics of returns, volatility, and trades
, 159–163
Economic policy uncertainty (EPU)
, 63–64, 65, 67, 69, 75
evidence of international EPU influence
, 77
indexes
, 69
for markets
, 71–72, 73
time effects of
, 81–84
Economic primitives, exogenous risk and
, 7–9
Efficient market
, 91–92
EGSF. See Employment Generation Support Fund (EGSF)
Emerging markets, bank performance in
, 258
Empirical estimation, implications for
, 56–59
Employment Generation Support Fund (EGSF)
, 123
Endogenous firm entry
, 223
as propagation mechanism
, 226–228
Endogenous risk premia and sensitivity parameters
, 9–13
Environmental, social, and governance (ESG) ratings
, 113–114
Equilibrium prices and tax-timing option value, of default-free bonds
, 41–45
Equity price
, 156
Ethical Investment Research Service (EIRIS)
, 113–114
Exogenous risk and economic primitives
, 7–9
Extent of Disclosure Index
, 258
External habit, formation preferences
, 8
Fama and French (FF) three factor model
, 90–92
asset pricing model
, 105–106
FBRs. See Fitch's Bank Individual Ratings (FBRs)
Federal Reserve System
, 157
Federal taxes
, 32
Fed’s policy
, 157
Financial assets, transaction data for
, 156
Financial crisis, Asia
, 214
Financial Industry Regulatory Authority (FINRA)
, 2
Financial Regulatory Commission
, 110
Financial sector, hypotheses development
, 262
Financial Times Stock Exchange (FTSE)
, 64
FINRA. See Financial Industry Regulatory Authority (FINRA)
Firm entry, endogenous
, 223
as propagation mechanism
, 226–228
Fitch’s Bank Individual Ratings (FBRs)
, 233, 237, 238, 241–242
Fixed-income markets
, 156
Fixed income, Merrill Lynch fixed income database
, 24
Flexible-price model
, 223
Forced liquidation
, 28–29
Foreign banks
, 255–256, 257, 258–259, 260–261, 270
Foreign ownership of banks, hypotheses development
, 262
French Financial Security Law
, 215
FTSE. See Financial Times Stock Exchange (FTSE)
GARCH. See Generalized autoregressive conditional heteroscedasticity (GARCH)
GAR tests. See Gradation among rating (GAR) tests
GDP
, 29, 202, 203, 256, 262–264
GEDGARCH- M process
, 84
Generalized autoregressive conditional heteroscedasticity (GARCH)
effect
, 159
model
, 64–65, 73–74, 75
Generalized error distribution (GED)
, 68
Gifted rating scales (GRS) test
, 90–91
Gradation among rating (GAR) tests
, 244
Growth rate of the economy (GR)
, 210
GRS test. See Gifted rating scales (GRS) test
Illiquidity problem
, 242
IMF. See International Monetary Fund (IMF)
Impulse response
analysis
, 196
function
, 164–166, 179–187
Income tax rate, for corporate bond investors
, 46
India non-performing assets (NPAs), trends in
, 203
Inflation (INF)
, 210
Information-based trading
, 158, 159
Informed trading
, 158, 159, 161–162, 166–167, 178, 179
differential effects of
, 194
impact of
, 196
intensity of
, 196
proportion of
, 190, 196
Informed volatility
, 191
Institutional development, hypotheses development
, 262
Institutional investors
, 242
Insurance-linked security
, 5–6
Interdealer trading
, 157
Interest rate volatility, changes in
, 46–47
International Fund for Agricultural Development (IFAD)
, 123
International Monetary Fund (IMF)
, 256–258
Intertemporal capital asset pricing model
, 66
Intertrade arrival time
, 164–166
Investor
, 9, 28
bond
, 32
buy-and-hold
, 33, 34
corporate bond, income tax rate for
, 46
with external habit formation preferences
, 8
institutional
, 242
risk-aversion
, 65
uninformed
, 231–232
See also specific types of investor
Investor-pay model
, 234–235
IRS
, 31
Issuer-pay business model
, 234–235
Japanese markets
listed subsidiaries in
, 213, 214–215
data and sample selection
, 216–218
hypothesis development
, 215–216
logistic regression analysis
, 219–221
univariate analysis
, 218–219
Katrina (2005)
, 2–4, 6, 18–19, 21
Kinder, Lydenberg, and Domini (KLD)
, 113
Kolmogorov–Smirnov test
, 134
Labor supply, product variety and extensive margin on
, 227
Laissez-faire approach
, 256
Lehman Brothers
, 5
Liquidation, forced
, 28–29
Listed subsidiaries in Japanese markets
, 213, 214–215
data and sample selection
, 216–218
hypothesis development
, 215–216
logistic regression analysis
, 219–221
univariate analysis
, 218–219
LM test for serial correlation
, 95
Macroeconomic determinants
, 204
Macroeconomic factors
, 204–205
Macroeconomic indicators
, 263
Market microstructure models
, 161
Market microstructure theory
, 161–162, 192–194
MDH. See Mixture of Distribution Hypothesis (MDH)
Mexico
banks in
, 258
macroeconomic indicators
, 263
worldwide business indicators
, 265
worldwide governance indicators
, 266
Microstructure theory
, 155–156, 161, 166, 194
Mincer-Zarnowitz method
, 192
Minority shareholders
, 214
Mixture of Distribution Hypothesis (MDH) model
, 162–163
Monetary policy
, 157
Mongolia
bank performance from 2009 to 2012
, 130
CSR–CFP relationship
, 111
CSR in Mongolian banking sector
, 112
domestic market shares of Mongolian banks
, 111
financial system
, 110
stock market
, 116
Multiple trading dates
, 52–56
Natural disasters
, 2–4, 15–16
Net interest margin (NIM)
, 126
Nonbank financial institutions (NBFI)
, 110
Noncorporate taxpayers
, 31
Non-performing assets (NPAs)
, 202–203, 204, 205, 207–210
of commercial banks
, 201–202
data
, 205
hypotheses
, 207
model and methodology
, 206–207
policy implications
, 210
of public sector banks (PSBs)
, 202
trends in India
, 203
Non-performing loan (NPL)
, 112, 126
NPL. See Non-performing loan (NPL)
NYSE stocks
, 156
OID. See Original issue discount (OID)
On-the-run issues
estimation for return VAR of
, 171–175
estimation for volatlity VAR of
, 175–178
VAR estimation for
, 178–179
Optimal cutoff level, in short-term trading region
, 55–56
Optimal tax-timing model
, 29
Optimal trading strategy
, 34–36
Ordinary interest income
, 31
Ordinary least square (OLS) estimation
, 91
Original issue discount (OID)
, 30–31
Over-the-counter (OTC)
dealers
, 156–157
market
, 156–157
PCA. See Prompt corrective action (PCA)
Personal taxes
, 59
Pooled ordinary least square (POLS) model
, 206–207, 209
Premium bond
, 34–35
Price
contribution and efficiency
, 193
dynamics
, 155–156
efficiency
, 190–192
and tax-timing option value of default-free bonds
, 38–45
Productivity-hours worked puzzle
, 224, 229
Product variety
, 224
and extensive margin on labor supply
, 227
Prompt corrective action (PCA)
, 232–233
Public sector banks (PSBs)
, 201–203
non-performing assets (NPAs) of
, 202
Real business cycle (RBC) model
, 224, 230
dynamics and mechanism
, 228–229
frictionless RBC model with no entry
, 224–225
Real effective exchange rate (REER)
, 210
Real GDP (RGDP)
, 204
Related party transaction (RPT)
, 214
Return and trade process
, 160–161
Return index (RI)
, 68
Return on asset (ROA)
, 112, 115–116, 126
Return on equity (ROE)
, 112, 115–116, 126
Risk aversion hypothesis
, 73–74
Risk-aversion investors
, 65
Risk-return relation, in stock markets
, 64
ROA. See Return on asset (ROA)
Robustness tests, evidence of global EPU influence
, 77–81
ROE. See Return on equity (ROE)
RPT. See Related party transaction (RPT)
Rural Poverty Reduction Program
, 123
Savings and credit cooperatives (SCCs)
, 110
SBIF. See Superintendencia de Bancos e Instituciones Financieras (SBIF)
SCCs. See Savings and credit cooperatives (SCCs)
SCRs. See Solicited credit ratings (SCRs)
Security
insurance-linked
, 5–6
zero-beta
, 1–2
Sensitivity, of tax-timing option values to default risk
, 47–51
Shareholders, minority
, 214
Sharpe-Lintner CAPM
, 89–90
Short-term trading region, optimal cutoff level in
, 55–56
Solicited credit ratings (SCRs)
, 232–233, 234–237, 248–249
data and summary statistics
, 237–238
hypotheses development
, 234–237
method for examining a bank’s leverage behavior
, 239–244
robustness tests
, 246–248
Special purpose vehicle (SPV)
, 5
Spread regressions
, 192–194
Spurious regression
, 91–92, 96, 105–106
CO-AR estimator in
, 92–95
SPV. See Special purpose vehicle (SPV)
State-price density process
, 9
STI. See Straits Times Index (STI)
Stock market
positive risk-return relation in
, 64
risk
, 65
Stock prices
impact of EPU on
, 66
index
, 69
Stock returns
for Asian markets
, 69
excess, estimation of
, 74, 76, 78, 79, 80, 82
for markets
, 70
robustness test of excess
, 83
Straits Times Index (STI)
, 64
Structural break
by conducting CO-AR estimator
, 96
in finance
, 96
25 Size-B/M Portfolio with
, 99
25 Size-Inv Portfolio with
, 101
32 Size-OP-Inv Portfolio with
, 106
25 Size-OP Portfolio with
, 103
Subdebt spreads
, 232–233
Subsidiaries, listed. see Listed subsidiaries in Japanese markets
Superintendencia de Bancos e Instituciones Financieras (SBIF)
, 256
Swiss Re Cat Bond Indices
, 2, 6
Tax
capital gains
, 31
effects on defaultable bond pricing
, 28
penalty on capital gain
, 44–45
regime
, 46–47
rules
, 32
scenarios
, 37–38
Taxation, asymmetric
, 29
Tax environment
, 30–32
Tax laws
, 31–32, 34
US
, 28, 46
Taxpayers, noncorporate
, 31
Tax-timing model, optimal
, 29
Tax-timing option
effects of ignoring
on estimation of default probability
, 56–58
on estimation of implied tax rates
, 58–59
value
, 29–30
of default-free bonds
, 38–45
to default risk
, 47–51
Tax treatments
, 28
asymmetric
, 60
TFP shock. See Total factor productivity (TFP) shock
32 value-weighted Size-OP-Inv Portfolio
, 103–105
Three factor model, Fama and French (FF)
, 90–91
Time duration
, 164, 194–196
coefficients of
, 179
effect of
, 161–162, 174–175
stochastic process of
, 164
between trades
, 163, 175
VAR model with
, 160
Total factor productivity (TFP) shock
, 224, 228–229, 230
Trading
dates, multiple
, 52–56
information-based
, 158, 159
intensity
, 156, 159
interdealer
, 157
of treasury securities
, 157
Transaction costs
, 168
effects of
, 45–46
Transactions, for on-the-run treasuries
, 171
Treasury
bond market
, 157–158
bond returns
, 166–167
intraday transactions for on-the-run
, 171
price adjustment
, 158
returns
, 158
security
, 157, 167, 168
Treasury market
, 156, 157–158
information-based trading in
, 159
issues in
, 158
25 value-weighted Size-B/M portfolio
, 96–98
25 value-weighted Size-Inv portfolio
, 98–101
25 value-weighted Size-OP portfolio
, 101–103
UCRs. See Unsolicited credit ratings (UCRs)
Uninformed investors
, 231–232
Unsolicited credit ratings (UCRs)
, 232–233, 248–249
data and summary statistics
, 237–238
hypotheses development
, 234–237
method for examining a bank’s leverage behavior
, 239–244
robustness tests
, 246–248
US tax laws
, 28, 46
Value-at-risk (VaR)
, 68, 75, 81, 84
Vector autoregressive (VAR) model
, 159, 160, 161–162, 163, 164, 166–167
estimation
for off-the-run issues
, 178–179
for return VAR of on-the-run issues
, 171–175
for volatlity VAR of on-the-run issues
, 175–178
Volatility
decomposition
, 187–190
and spread regressions
, 166–167
informed
, 191
VAR model
, 162
and volume process
, 161–163
WACD model
, 165
Wash sale
, 31–32
Weibull autoregressive conditional duration (WACD) model
, 184
Weibull distribution
, 164–165
Weighted price contribution (WPC)
, 190–192
Weighted price contribution per trade (WPCT)
, 190–192
World Bank
, 258, 259, 261–262
WPC. See Weighted price contribution (WPC)
WPCT. See Weighted price contribution per trade (WPCT)
Zero-beta securities
, 1–2
- Prelims
- A Consumption-based Evaluation of the Cat Bond Market
- Optimal Trading and Tax Option Value of Defaultable Bonds with Asymmetric Capital Gain Taxes
- Empirical Analysis of Economic Policy Uncertainty and Stock Returns in Asian Markets
- A New Perspective on the Fama–French Five-factor Model
- The Impact of Corporate Social Responsibility on Financial Performance: Evidence from Commercial Banks in Mongolia
- The Role of Duration and Trades in the Information Assimilation Process of the US Treasury Market
- The Causal Factors behind Rising Non-performing Assets of India’s Commercial Banks: A Panel Study
- What Makes Listed Subsidiaries Delist in Japan? A Logistic Analysis
- Not All Firm Entries Are Made Equal: An Exploratory Note
- Do Unsolicited Bank Credit Ratings Matter to Bank Leverage Decision? Evidence from Asian Countries
- Determinants of Bank Performance in Chile, Colombia, and Mexico
- Index