Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

How your shopping choices will help Coles and Woolworths take on the banks

The days when Coles and Woolworths only sold groceries are long gone. Both are now established players in a broad range of consumer markets, with interests in liquor and hotels, fuel and convenience, general merchandise and mobile phones. With a network of over 1,600 supermarkets, 1,100 service stations, 2,200 liquor stores and nearly 400 hotels, the supermarket duo are now getting ready for a war with Australia’s big four banks.

Deep reef fish surveys by submersible on Alderdice, McGrail, and Sonnier Banks in the Northwestern Gulf of Mexico

Submersible surveys at numerous reefs and banks in the northwestern Gulf of Mexico (NWGOM) were conducted as part of the Sustainable Seas Expedition (SSE) during July/August 2002 to identify reef fish communities, characterize benthic habitats, and identify deep coral reef ecosystems. To identify the spatial extent of hard bottom reef communities, the Flower Garden Banks National Marine Sanctuary (FGBNMS) and the U.S. Geological Survey (USGS) mapped approximately 2000 km2 of the Northwestern Gulf of Mexico (NWGOM) continental shelf during June 2002 with high-resolution multibeam bathymetry. Previous investigations conducted on the features of interest (with the exceptions of East and West Flower Garden and Sonnier Banks, accessible by SCUBA) had not been conducted since the 1970s and 1980s, and did not have the use of high-resolution maps to target survey sites. The base maps were instrumental in navigating submersibles to specific features at each study site during the Sustainable Seas Expedition (SSE)—a submersible effort culminating from a partnership between the National Atmospheric and Oceanic Administration (NOAA) and the National Geographic Society (NGS). We report the initial findings of our submersible surveys, including habitat and reef fish diversity at McGrail, Alderdice, and Sonnier Banks. A total of 120 species and 40,724 individuals were identified from video surveys at the three banks. Planktivorous fishes constituted over 87% by number for the three banks, ranging from 81.4% at Sonnier Banks to 94.3% at Alderdice Bank, indicating a direct link to pelagic prey communities, particularly in the deep reef zones. High numbers of groupers, snappers, jacks, and other fishery species were observed on all three features. These sites were nominated as Habitat Areas of Particular Concern (HAPC) by the Gulf of Mexico Fishery Council in March 2004. Data obtained during this project will contribute to benthic habitat characterization and assessment of the associated fish communities through future SCUBA, ROV, and submersible missions, and allow comparisons to other deep reef ecosystems found throughout the Gulf of Mexico and western Atlantic Ocean.

An assessment of development funding for new housing post GFC in Queensland, Australia

Purpose: The purpose of this paper is to identify changes in bank lending criteria due to the GFC and to explore the associated impacts on new housing supply in Queensland, Australia. Design/methodology/approach: This research involves a survey of each of Australia’s big four banks, as well as two prominent arrangers of development finance. Data on key lending criteria was collected: Pre GFC, during the GFC, and GFC recovery stage. Findings: The GFC has resulted in a retraction of funds available for residential development. The few institutions lending are filtering out only the best credit risks by way of constrictive loan covenants including: low loan to value ratios, high cash equity requirements, regional “no go” zones, and demonstrated borrower track record. The ability of developers to proceed with new housing developments is being constrained by their inability to obtain sufficient finance. Research limitations/implications: This research uses survey data, together with an understanding of the project finance process to extrapolate impacts on the residential development industry across Queensland. No regional or sub-market analysis is included. Future research will include subsequent surveys to track any loosening of credit policies over time and sub-market sector analysis. Practical implications: The inability to obtain project finance is identified as a key constraint to new housing supply. This research will inform policy makers and provide important quantitative evidence of the importance of availability of development finance in the housing supply chain. Social implications: Queensland is facing a supply shortfall, which if not corrected, may lead to upward pressure on house prices and falling housing affordability. Originality/value: There is very little academic research on development funding. This research is unique in linking bank lending criteria to new housing supply and demonstrating the impact on the development industry.

The pricing and underwriting costs of Japanese REIT IPOs

This study investigates 40 Japanese REIT IPOs during 2001 to 2006 and finds evidence that higher final offer prices are reflected in higher underpricing levels by such IPOs. There is also some evidence that the engagement of one of the big three Japanese underwriting firms suggests less money is left on the table. Economies of scale in underwriting fees for Japanese REIT IPOs are also found. Specifically, the percentage underwriting fees decrease with higher amounts of equity capital sought but the percentage fee decreases at a diminishing rate.

Herding behaviour in the Australian loan market and its impact on bank loan quality

We examine the effect of herding behaviour on the credit quality of bank loans in Australia. We find that bank herding varies with different types of loans. It tends to be more prevalent in owner-occupied housing loans and credit cards than other types of loans. During the global financial crisis period, herding in owner-occupied housing loans was most pronounced due to the flight-to-quality phenomenon in the housing sector. Furthermore, we find that the big four banks tend to herd more than smaller and regional banks. Bank herding behaviour is countercyclical, as it is negatively related to real GDP growth and the cost of funding but is positively related to market risk. Regulatory capital requirements may also encourage herding as banks are required to hold less risk-weighted capital for residential loans. Most importantly, bank herding is related to higher impaired assets and therefore lower loan quality. Our findings may have implications for policymakers and bank regulators.

Chironomidae (Diptera) associado à Eichhornia azurea em seis lagoas marginais ao rio Paranapanema, SP

The family Chironomidae is one of the most important groups within the macroinvertebrate communities, both in density and in richness, and because of its high adaptive value, has a wide distribution on the planet. These and other more specific features of each genus allow the use of this group of biomonitoring studies in the aquatic ecosystem, however, primarily, it is necessary to inventory the aquatic fauna. Thus, this study aimed to evaluate the taxonomic composition of Chironomidae associated with Eichhornia azurea in six lateral lagoons of Paranapanema River, where only five of them have very little information about the aquatic fauna associated with floating macrophytes. Furthermore, we analyzed the influence of environmental conditions on the richness and density of this community. Samples (biotic and abiotic) were held in March and August 2009 on the Ivo, Carmo, Sete Ilhas, Barbosa, Poço da Pedra and Coqueiral lagoons, which are upstream of the Jurumirim Reservoir. Samples with an area of 0.1976 m2 were collected at three banks of E. azurea of each lagoon. Then, they were washed in formaldehyde and water and fixed in 70% alcohol. The identification of morphospecies recorded 38 taxa (32 in March and 37 in August), where the Ivo lagoon is the richest (27 taxa). The density of each group varied according to each pond and is generally Asheum sp., Chironomus sp., Beardius sp., Parachironomus sp., Labrundinia sp., Tanytarsus sp., Ablabesmyia sp. and Polypedilum sp. the most representative. Limnophyes sp., Denopelopia sp., Paratanytarsus sp. and Parametriocnemus sp. were genders in lower density. The Dominance index ranged between 0.1490 (Barbosa Lagoon in March) and 0.4114 (Poço da Pedra Lagoon in March), and the Diversity Index ranged from 2.08 (Coqueiral Lagoon in March) and 3.58 (Barbosa Lagoon in August). The concentration of dissolved oxygen and pH were the environmental variables most correlated with the groups ...

Programming EU External Action Post-Lisbon: New Opportunities or Business as Usual?

Over 90% of the external relations budget of the EU is processed through its external financial instruments. With the Lisbon Treaty and the creation of the new European External Action Service (EEAS), the institutional architecture of these instruments was significantly reformed. This contribution analyses strategic programming both pre- and post-Lisbon, identifies ‘winners’ and ‘losers’, and examines the potential of the new provisions to increase the coherence of EU external action. The examination shows that the instruments can be categorised into three groupings: ‘the big three’ comprising the bulk of funding characterised by joint programming and responsibilities; the ‘Commission-only’ instruments where all powers remain with the Commission; and the ‘EEAS-led rest’ in which the High Representative and the EEAS play a strong role but only have limited financial resources available. The new system calls for strong coordination of all involved actors in order to make it work. Findings of a case study on the Instrument for Stability reveal, however, that so far the establishment of the EEAS has not made a substantial impact on strategic programming in its first two years.

Roles and Responsibility of Digital Engagement Managers in Art Museums

Thesis (Master's)--University of Washington, 2016-06

[Review of the Book The Challenge of Organizational Change: How Companies Experience It and Leaders Guide It]

[Excerpt] Overall, this book is an important contribution to the organizational studies literature. The Big-Three Model and the case studies supporting it provide new insights regarding the ways in which changes affect individuals and organizations. Further theoretical developments should build on this framework, and incorporate elements of this model into more detailed schemas of change. The authors have exposed many new research questions and provided many lessons for practitioners. I look forward to additional work from them.

CSR Reporting in the Finnish Banking Sector – Status and Recent Development

This thesis reviews the development of CSR reporting in the Finnish banking sector. This was achieved by analyzing the content of specific CSR reports published by three banks during years 2012-2014. The banks selected represent the three largest banks operating in Finland according to their market share, constituting approximately 70 percent of the total perceived market share. The purpose of the analysis is to establish a clear descriptive overview of the status of CSR reporting and how it has thematically developed over the years. The research was conducted with the qualitative content analysis method. By analyzing the contents of the CSR reports it was found that CSR reporting is understood in 3 different themes that reflect the general CSR theory: economic, social and environmental responsibility. The following research focused on analyzing these three core themes separately during years 2012-2014 in order to find specific tendencies in the development of CSR reporting. The results confirm that CSR reporting is developing in the Finnish banking sector. Reporting about economic responsibility is based on core financial performance reporting, and it’s mainly developing in the assessment of the global recession and how the potential fiscal reforms affect to the bank sector’s performance. Economic responsibility is also being understood and reported as a wider concept, including intertwined and shared meanings with the other responsibility reporting themes. The research also suggests that banks value social responsibility reporting increasingly each year. Environmental responsibility reporting is the most standardized form of reporting, however, the reporting development includes the increased use of digitalization as source of lessening the environmental impact.

The universal credit rating group:the viability of a response

The role played by the Big Three credit rating agencies (Standard & Poor’s, Moody’s, and Fitch) in the creation of the recent Financial Crisis has been well documented, as too has their conduct in the aftermath of the Crisis where they contributed to the prolonging of the effects of the systemic breakdown. Also, with a string of record fines and cease-and-desist orders in the wake of the Crisis lending weight to the notion that the Big Three have no plans of performing any more ethically, there are a number of organisations that are endeavouring to provide a better alternative to the stranglehold of the Big Three. In the first instalment of the Viability of a Response series we were introduced to the International Non-Profit Credit Rating Agency who, through the amalgamation of forward-looking and non-profit ideals, intends to inject some much needed ethical consideration into the process of providing ratings that are crucial to the marketplace . In this edition of the series, we will be introduced to the Universal Credit Rating Group (UCRG) which is an alliance between Dagong Global Ratings, RusRating, and Egan-Jones Rating Company. We will start by learning more about this alliance that is due to come into effect in the next few years, and then the article will examine the reality of the situation to come to a conclusion on what the Group’s chances of success may be.

Three essays on banks trading activities

With a fair share of the blame for the subprime crisis pointing to banks' extensive involvement in trading, this thesis examines three closely related issues. The first essay shows that regulatory capital arbitrage, insolvency risk, and non-interest income are all important motivations for banks to become involved in trading. The second essay support the widely held perception that trading activities such as off-balance sheet derivatives, securitization, and assets sales all are making banks more opaque. With banks' business model changing from ''originate and hold'' to ''originate, repackage, and sell'', the last essay show that trading channel exist and it has weakened the effectiveness of monetary policy transmission through banks' capital and lending channel.

Corporate Governance in European Banks: Essays on Bank Ownership

Banks are important as they have a central role in the financial system, where funds are channelled either through financial intermediaries, such as banks, or through financial markets, hence promoting growth in any economy. Recently, we have been reminded of the drawbacks of the central role of banks. The current financial crisis, which started out as a sub-prime mortgage crisis in the US, has become a global financial crisis with substantial impact on the real economy in many countries. Some of the roots to the current financial crisis can be sought in the changing role of banks and in bank corporate governance. Moreover, the substantial revitalising measures taken have been justified by the central role of banks. Not only are banks important, they are also very special. The fact that banks are regulated in conjunction with greater opacity, make bank corporate governance different from corporate governance in non-bank companies. Surprisingly little is, however, known about bank corporate governance, in particularly, in a European setting. Hence, the objective of this doctoral thesis is to provide new insights in this research area by examining banks from 37 different European countries. Each of the three essays included in the doctoral thesis examines a particular aspect of bank corporate governance. In the first essay the interaction between the regulatory environment a bank operates in and its ownership structure is explored. Indicators of the severity of the moral hazard problem induced by the deposit insurance system and implicit too-big-to-fail government guarantee, particular features of deposit insurance systems as well as legal protection of shareholders, legal origin of a country and level of integration to the European community are used in the analysis. The empirical findings confirm previous findings on the link between legal protection of shareholders and ownership structure. Moreover, they show that differences in deposit insurance system features can explain some of the differences in ownership structure across European banks. In the second essay the impact of management and board ownership on the profitability of banks with different strategy is examined. The empirical findings suggest that the efficiency of these two particular corporate governance mechanisms varies with the characteristics of the agency problem faced by the bank. More specifically, management ownership is important in opaque non-traditional banks, whereas board ownership is important in traditional banks, where deposit insurance reduces the monitoring incentives of outsiders. The higher profitability does, however, go together with higher risk. In the third essay the profitability and risk of commercial, savings and cooperative banks are compared. The empirical findings suggest that distinct operational and ownership characteristics rather than only the mere fact that a bank is a commercial, savings or cooperative bank explain the profitability and risk differences. The main insight from the three essays is that a number of different aspects should be addressed simultaneously in order to give the complexity of bank corporate governance justice.

Species richness in a riparian plant community along the banks of the Xiangxi River, the Three Gorges region

The distribution of vascular plant species richness along an altitudinal gradient and their relationships with environmental variables, including slope, aspect, bank (flooding) height, and river width of the Xiangxi River, Hubei Province, were examined. Total vascular plant species richness changed with elevation: it increased at lower elevations, reached a maximum in the midreaches and decreased thereafter. In particular, tree and herbaceous species richness were related to altitude. Correlation analysis (Kendall's tau) between species richness and environmental variables indicated that the change in species richness in the riparian zone was determined by riparian environmental factors and characteristics of regional vegetation distribution along the altitudinal gradient. The low species richness at lower elevations resulted from seasonal flooding and human activities - agriculture and fuel collection - and the higher. Species richness ill (he midreaches reflected transitional zones ill natural vegetation types that had had little disturbance. These results oil species distribution in the riparian community could he utilized as a reference for restoration efforts to improve water quality of the emerging reservoir resulting from the Three Gorges Hydroelectric Dam project.