The Quarterly Review of Economics and Finance

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Benefit sharing: An incentive mechanism for social control of government expenditure

Mauricio Bugarin, Laercio Vieira

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 673-690

The present paper analyzes the incentives individual members of society face to contribute to a nation's efforts in controlling corruption. A Principal-Agent model is constructed, leading to the following results. First, although individual agents do have an interest in devoting a portion of their resources to the nation's control effort, the opportunity cost of the effort and a free rider problem...

article

Editorial Board

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > iii

article

Risk taking by Japanese bond investors: Testing the “reach for yields” hypothesis in the Japanese bond markets

Shinichi Nishioka, Naohiko Baba

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 691-707

This paper attempts to test the “reach for yields” hypothesis in the Japanese bond markets to explore the cause of extremely low credit spreads on Japanese bonds, especially BBB-rated bonds, using a three-factor CAPM (γ-CAPM) with (co)skewness as an additional market risk factor. Under the γ-CAPM, risk premium can be expressed as a weighted average of β-risk and γ-risk. Empirical results support the...

article

A neural network approach for credit risk evaluation

Eliana Angelini, Giacomo di Tollo, Andrea Roli

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 733-755

The Basel Committee on Banking Supervision proposes a capital adequacy framework that allows banks to calculate capital requirement for their banking books using internal assessments of key risk drivers. Hence the need for systems to assess credit risk. Among the new methods, artificial neural networks have shown promising results. In this work, we describe the case of a successful application of...

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Shareholder rights and the market reaction to Sarbanes-Oxley

Seung Hee Choi, Melissa B. Frye, Minhua Yang

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 756-771

The Sarbanes-Oxley Act of 2002 (SOX) was aimed at enhancing corporate governance, financial reporting, and audit functions. This study compares the market reaction of firms with weak and strong protection of shareholder rights to the passage of SOX. We find that firms with weak shareholder rights experienced positive abnormal returns when SOX was passed. This is consistent with the market perceiving...

article

Wages, supervision and sharing

John G. Sessions

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 653-672

Instrumental efficiency wage models predict an inverse relationship between wages and supervision with this relationship being more pronounced amongst firms participating in employee sharing. My theoretical exposition predicts that an increase in remuneration reduces monitoring more in “sharing” than in “non-sharing” firms. I explore these predictions using the 1998 Workplace Employee Relations Survey...

article

How well do U.S. consumers predict the direction of change in interest rates?

Hamid Baghestani, Samer Kherfi

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 725-732

The Michigan survey asks U.S. consumers about their 1-year expected directional change in interest rates. For 1978–1983 when interest rates are volatile, we find a strong association between the actual and predicted changes, with no asymmetry (the proportions of incorrectly predicted upward and downward moves are statistically the same.) For 1984–2005 when interest rates are relatively stable, we...

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The role of convertible bonds in alleviating contracting costs

Sudha Krishnaswami, Devrim Yaman

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 792-816

Theoretical research argues that convertible bonds mitigate the contracting costs of moral hazard, adverse selection, and financial distress. Using firm-specific and macroeconomic factors of the contracting costs, we examine the extent to which they impact the likelihood of issuance and the structure of convertible bonds. Our evidence indicates that moral hazard, adverse selection, and expected financial...

article

The effect of macroeconomic news on German closed-end funds

Sanjay Ramchander, Marc W. Simpson, Harold Thiewes

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 708-724

This paper examines how investors assimilate information obtained from a set of German and U.S. macroeconomic news releases, and register their response on German closed-end fund net asset values (NAVs) and share prices. Specifically, three German Funds traded in the NYSE are chosen and their response to five common types of macroeconomic announcements is investigated. The results indicate that there...

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The impact of preemption of the Georgia Fair Lending Act by the OCC on national and state banks and the dual banking system

Gary W. Whalen

Quarterly Review of Economics and Finance > 2008 > 48 > 4 > 772-791

The Comptroller of the Currency (OCC) recently preempted anti-predatory lending statutes in Georgia and other states. This study investigates preemption's impact on the wealth and risk of national and state banks. Wealth increased significantly only for small, geographically diversified national banks. Preemption did not significantly reduce state bank wealth and insignificant differences in excess...

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48
Year:
2008

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Keywords

ADVERSE SELECTION (1)
ASYMMETRIC LOSS FUNCTION (1)
BASEL II (1)
CAPM (1)
CONTRACT THEORY (1)
CONVERTIBLE BONDS (1)
CORPORATE BONDS (1)
CORPORATE GOVERNANCE (1)
CREDIT RISK (1)
DIRECTIONAL PREDICTIONS (1)
DUAL BANKING SYSTEM (1)
ECONOMICALLY RATIONAL EXPECTATIONS (1)
EFFICIENCY WAGES (1)
EMPLOYEE SHARE OWNERSHIP (1)
FINANCIAL ASPECTS OF ECONOMIC INTEGRATION (1)
FINANCIAL DISTRESS (1)
GOVERNANCE INDEX (1)
GOVERNMENTAL CONTROL (1)
INCENTIVES (1)
INTERNATIONAL FINANCIAL MARKETS (1)
MICHIGAN SURVEY (1)
MONITORING (1)
MORAL HAZARD (1)
MORTGAGE RATE (1)
NEURAL NETWORKS (1)
PREDATORY LENDING (1)
PREEMPTION (1)
PRIME RATE (1)
PROFIT SHARING (1)
PUBLIC FINANCE (1)
REACH FOR YIELDS (1)
RISK AVERSION (1)
SARBANES-OXLEY (1)
SKEWNESS (1)
SOCIAL CONTROL (1)
SUBPRIME MORTGAGES (1)
SUPERVISION (1)
WEALTH EFFECTS (1)
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