Basel risk weights, asset correlations, and book-to-market equity: evidence from Asian countries

We examine the effect of firm book-to-market equity values (BE/ME) on asset correlations which play an important role in determining risk weights under the current Basel capital requirements. Using firms in China, Hong Kong, Japan, Korea, Singapore and Taiwan over a sample period from 1988 to 2013, we find that BE/ME has a negative effect on asset correlations. This suggests a role for BE/ME as an additional factor in determining asset correlations, and thus risk weights, also potentially reducing incentives for regulatory capital arbitrage.

Are firms with negative book equity in financial distress?

© 2015 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research. This study examines whether negative book equity (BE) firms are in financial distress by analyzing their operating performance, financial characteristics, distress risk, and survivability when they first report negative BE. Firms with small magnitude of negative BE (SNBE firms) suffer from persistent negative earnings and financial distress, while firms with large magnitude of negative BE (LNBE firms) experience a temporary non-distress related earnings shock. LNBE firms report consecutive years of negative BE, but have lower distress risk and failure rate than both SNBE and control firms. However, all negative BE stocks have abysmal returns subsequent to their first report of negative BE.

Executive equity risk-taking incentives and audit pricing

Using a large sample of U.S. firms spanning the period 2000-2010, we document a strong positive association between the sensitivity of CEO compensation portfolio to stock return volatility (vega) and audit fees. We also show that the positive association between vega and audit fees is weaker in the post-Sarbanes-Oxley Act (SOX) period. In supplementary tests, we show that the relation between vega and audit fees is stronger for firms with older CEOs and in firms where the CEO is also chairman of the board. Collectively, our results suggest that audit firms incorporate executive risktaking incentives in the fees they charge for their services.

Enhanced superplasticity of magnesium alloy AZ31 obtained through equal-channel angular pressing with back-pressure

Excellent superplastic elongations (in excess of 1,200%) were achieved in a commercial cast AZ31 alloy processed by low temperature equal-channel angular pressing (ECAP) with a back-pressure to produce a bimodal grain structure. In contrast, AZ31 alloy processed by ECAP at temperatures higher than 200 °C showed a reasonably uniform grain structure and relatively low ductility. It is suggested that a bimodal grain structure is advantageous because the larger grains contribute to strain hardening thus delaying the onset of necking, while grain boundary sliding associated with small grains provides a stabilizing effect due to enhanced strain rate sensitivity. © 2008 Springer Science+Business Media, LLC.

Low-temperature compaction of Ti-6Al-4V powder using equal channel angular extrusion with back pressure

Equal channel angular extrusion (ECAE), with simultaneous application of back pressure, has been applied to the consolidation of 10 mm diameter billets of pre-alloyed, hydride-dehydride Ti-6Al-4V powder at temperatures ≤400 °C. The upper limit to processing temperature was chosen to minimise the potential for contamination with gaseous constituents potentially harmful to properties of consolidated product. It has been demonstrated that the application of ECAE with imposed hydrostatic pressure permits consolidation to in excess of 96% relative density at temperatures in the range 100-400 °C, and in excess of 98% at 400 °C with applied back pressure ≥175 MPa. ECAE compaction at 20 °C (back pressure = 262 MPa) produced billet with 95.6% relative density, but minimal green strength. At an extrusion temperature of 400 °C, the relative density increased to 98.3%, for similar processing conditions, and the green strength increased to a maximum 750 MPa. The relative density of compacts produced at 400 °C increased from 96.8 to 98.6% with increase in applied back pressure from 20 to 480 MPa, while Vickers hardness increased from 360 to 412 HV. The key to the effective low-temperature compaction achieved is the severe shear deformation experienced during ECAE, combined with the superimposed hydrostatic pressure.

Enhanced superplasticity in a magnesium alloy processed by equal-channel angular pressing with a back-pressure

An investigation was initiated to evaluate the feasibility of using equal-channel angular pressing (ECAP) to obtain high superplastic elongations in the AZ31 alloy with a back pressure producing a bimodal grain structure. Processing by ECAP was performed using a die with an angle of 90 ° between the two parts of the channel and a ram velocity of 15-20 mm/sec. Some pressing were conducted with a back-pressure by making use of a backward punch in the exit channel of the die. Molybdenum disulphide and a graphite spray were used as lubricants and billets were pressed using processing route B c in which each billet is rotated by 90 °. The pressing were conducted at temperatures in the range from 423 to 523 K and every billet was quenched in water after each pass. The significance of the bimodal microstructure is attributed to the ability of the larger grains to more easily accommodate grain boundary sliding through intragranular slip and twinning and to contribute to the strain hardening capability.

Effect of processing parameters on the magnetic properties and macrotexture of a Nd13.5Fe73.8Co6.7B5.6Ga0.4 alloy processed by equal channel angular pressing with back pressure

Equal channel angular pressing (ECAP) is a well-established thermo-mechanical processing technique, which could induce the c-axis texture of Nd2Fe14B in a melt-spun Nd13.5Fe73.8Co6.7B5.6Ga0.4 alloy. However, the effects of ECAP processing parameters, such as temperature, back pressure (BP), and multiple-pass ECAP routes, remain unknown for this alloy. In this paper, we have investigated the effects of these processing parameters on the c-axis texture formation. It is found by X-ray diffraction macrotexture analysis that the maximum intensity of (001) pole figures for the tetragonal-Nd2Fe14B phase (Imax) shows an increase from 2.7 to 4.1 m.r.d. (multiples of random distribution) by increasing the ECAP temperature from 723 to 823 K, while the difference in remanent magnetization between easy and hard directions (Δ Mr) rises from 24.0 to 41.5 Am2/kg. When the BP was increased from 0.25 to 0.5 GPa at 823 K, Imax showed an increase from 2.8 to 4.1 m.r.d. However, Imax saturated for BPs above 0.5 GPa, suggesting that BP has limited effect on the texture formation, although it is necessary for the compaction of the alloy powders. Two multiple-pass ECAP routes conventionally known as routes A and C were employed for two-pass ECAP at 823 K. It is found that route A processing is effective in enhancing the texture formation, while the texture is lost by a subsequent pressing when adopting route C. Therefore, the compaction of Nd13.5Fe73.8Co6.7B5.6Ga0.4 alloy powder using route A ECAP passes with 0.5 GPa BP at 823 K results in pronounced texture, which is beneficial for anisotropic hard magnetic properties.

Elite athletes as charitable ambassadors: risks associated with indiscretions

Elite athletes can reach a level of notoriety where media and fans are interested in various aspects of their lives beyond that of their on-field success or failure. By receiving this level of attention, these sporting celebrities attract sponsorships from commercial, fee-paying corporations. With considered alignment, manufacturers can enhance the visibility of their product with target audiences that consume every aspect of the lives of celebrity endorsers. While this form of commodification has been explored from the perspective of the private sector, there is limited research that reflects on the ambassador relationship between sport celebrities and charitable organisations.While a charity ambassador role omits financial support, a win-win outcome can be achieved. Enhanced visibility can benefit both parties: the sports celebrity adds another dimension to their personal brand portfolio, and the charitable organisation broadens awareness of their social issue. Retired athletes continue to harbour desirable brand equity; they have ongoing potential to reach to multiple stakeholders and act as important catalysts for social change.Whilst heightened visibility of an issue is desired, the immense stakeholder interest in the life of a successful athlete has a downside if the celebrity transgresses. Minor transgressions may pass with little impact, yet what constitutes a minor transgression for one set of stakeholders may result in reputational damage for both athlete and brand. Adopting a case study approach, this chapter investigates the construction of the sports celebrity persona at various stages of their career and the response by all actors to transgressions.Findings reveal that media framing of successful sports personalities can exacerbate future failings and heighten the impact on stakeholders, thus lessening their viability and longevity as positive social catalysts. Replicating actions adopted by the private sector, charitable​ organisations may respond to scandals by immediately severing the relationship, or at the other extreme, provide visible support as the celebrity seeks to repair and restore their image. The cases lead to a cohesive set of risk assessment considerations.

Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption

We investigate the role of index bonds in a dynamic consumption and asset allocation model where the rate of real consumption at any given time cannot fall below a fixed level. An explicit form of the optimal consumption and portfolio rule for a class of Constant Relative Risk Aversion (CRRA) utility functions is derived. Consumption increases above the subsistence level only when wealth exceeds a threshold value. Risky investments in equity and nominal bonds are initially proportional to the excess of wealth over a lower bound, and then increase nonlinearly with wealth. The desirability of investing in the risky assets are related to the agent’s risk preference, the equity premium, and the inflation risk premium. The demand for index bonds is also obtained. The results should be useful for the management of defined benefit pension funds, university endowments, and other portfolios which have a withdrawal pre-commitment in real terms.

Intraday return predictability, portfolio maximisation, and hedging

We examine whether intraday Chinese return predictability is linked to optimal portfolio holding and hedging. We find that: (1) S&P500 futures returns only predict Chinese spot market returns in up to 5-minute of trading with predictability disappearing at higher frequencies of trade; (2) the portfolio weight is maximised at the 5-minute trading frequency, when predictability is the strongest; and (3) when predictability is the strongest, significantly less shorting of the futures is required to minimise risk when a long position is taken in the Chinese market.

Productive engagements with student difference: supporting equity through cultural recognition

In this paper, the focus is on how a group of Australian educators support student equity through cultural recognition. Young’s theorising of justice is drawn on to illuminate the problematic impacts arising from the group’s efforts to value students’ cultural difference associated, for example, with quantifying justice along distributive lines and with essentialising student difference as negation and lack within a frame of cultural imperialism. These theoretical tools draw attention to,and support a critical examination of, the social rules and relations within the school that create barriers to equity. Towards reconciling discrepancies relating to how student difference might best be supported, the paper endorses the prevailing imperative of centring students’ perspectives and experiences. Such centring remains crucial to educators recognising the partiality and interest within their attempts to ‘help’ marginalised students and disrupting the relations of teacher privilege and authority that reinscribe domination, control and exclusion.