关于产权、市场与我国银行业市场绩效关系的分析

通过实证分析1996-2002年间银行生产效率和市场结构变化对我国商业银行业市场绩效的效应,发现资产份额和资本份额的变化都对我国银行业市场绩效有正的效应;尽管国有银行生产效率提高对我国银行业市场绩效有正的效应,但国有银行生产效率提高的主要原因是政府的救助。基于实证分析,本文关于产权、市场与银行业绩效关系的讨论表明:银行业市场结构的渐进式变化诱致国有银行的产权改革且约束股权分散程度,国有银行的产权改革又促进银行业市场竞争,交互关系不断深化两种结构的调整,将使银行业的市场绩效得到提高。     

企业信息化管理评价指标的建立及在银行业的实证研究

本文在探讨国外关于企业信息化发展阶段理论模型及其评价指标——IT成熟度测度方法基础上,总结出IT成熟的企业具有的规律性的特征。本文参照国外测量企业信息化发展阶段的实证研究方法,建立了适合我国企业特别是银行业IT成熟度的测量指标。通过对上海市银行业进行的实证研究,测定目前上海市银行业整体IT成熟度,并对不同类型的银行加以比较分析,供学术界和银行业界参考。     

基于银行-资产双边网络模型的系统性风险及投资策略研究

受近几年的国际金融危机及金融全球化的影响,对金融系统的系统性风险的研究已成为国内外学者的关注热点。考虑到当前基于"银行-资产-银行"间接传播渠道的相关研究相对匮乏,本文基于银行-资产双边网络模型来分析银行系统性风险。首先,使用中国47家上市银行2018年的资产负债表数据构建了中国银行系统的双边网络模型,研究分析各类资产遭受冲击时外部冲击、降价出售效应及银行所持有的各类资产占银行总资产的比例对银行系统性风险的影响。然后,引入系统性冲击方式,通过设置具有不同属性的两大类资产并生成四种冲击事件来构建银行的投资策略模型,从资产视角探讨银行最优的投资策略。研究发现,外部冲击与降价出售效应这两个产生系统性风险的影响因素在一定区间值时会产生叠加效应,使银行系统性风险急剧增加;五种资产类中,贷款类资产对外部冲击最敏感;分析发现在各类资产冲击下都未倒闭的所有银行的资产组合具有一定的相似性;进一步研究发现银行系统中存在着最优的资产组合,使得银行在稳定的同时能获取最大收益,并且资产负债比越大的银行其风险承受能力越强,从而可以选择更激进的投资策略来追求高收益。     

机构投资者持股与企业应计盈余管理和真实盈余管理行为选择

采用异常操控性项目的计算方法度量企业应计盈余管理和真实盈余管理程度,以2003年至2011年中国上市公司为研究样本,构建多元线性回归模型和联立方程模型,考察机构投资者持股对应计盈余管理和真实盈余管理行为选择的影响。研究结果表明,机构投资者持股比例与真实盈余管理程度显著负相关,与应计盈余管理程度显著正相关;对机构投资者明细类别的检验结果发现这种相关关系在投资基金、证券公司、QFII、保险公司和社保基金这5类机构投资者中均存在,但企业年金、信托公司、财务公司和银行持股对盈余管理行为的影响不显著;按照机构投资者持股规模、股权分置改革和终极控制人性质的分组检验结果表明,这种相关关系在不同的内外部环境中均存在,且相对于国有控股上市公司,非国有控股上市公司中机构投资者抑制真实盈余管理行为的作用更强;机构投资者持股与整体盈余管理程度显著负相关。     

双渠道风险传染下银行系统稳定性分析

随着金融危机的频率和范围的不断扩大,银行系统性风险的研究越来越受到重视。针对银行业系统性风险,构建银行同业拆借（直接传染渠道）、银行共同持有资产（间接传染渠道）的双渠道风险传染网络模型。该模型引入了宏观经济波动带来的投资风险,并允许银行通过贬值出售资产来弥补流动性,这更真实地反映了银行系统的操作规则。研究结果表明,在各种经济因素波动情况下,平均储蓄量、储蓄的波动幅度、投资的收益率、存款准备金率以及储蓄利率等对银行系统稳定性的有较大影响,并进行了定量分析。该研究为定量研究宏观经济波动下银行系统性风险问题提供了方案,并为决策者和监管部门防范银行系统性风险提供了参考。     

The current practice of bank long-range planning

This paper reports on a recent survey of long-range planning practices in 105 large United States banks. The survey results indicate that long range planning is a relatively new corporate activity with more than half the respondents initiating long range planning the last 5 years. To the extent these banks lead others, this finding suggests greater adoption of long range planning systems in small and medium size banks in the future. Profitability and growth goals are the primary goals quantified in the planning process. These goals are pursued via various strategies. Profit goals are typically pursued by improving pricing policies, adjusting mix and maturity of assets and liabilities to minimize adverse effects of interest rate fluctuations, managing spreads through proper loan pricing and bond portfolio management and tightening cost control with a particular emphasis on non-interest expense. Growth goals are achieved by branch expansion, use of bank holding companies, and increased market penetration through product diversification and sales training programmes designed to develop new business. In addition, information is presented on trends that appear to be developing in the area of long-range planning in the banking industry.     

A Specialized Inventory Problem in Banks: Optimizing Retail Sweeps

Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem for two reasons. First, Federal Reserve regulations require that depository institutions hold certain amounts of such deposits at the Federal Reserve Banks to satisfy statutory reserve requirements against customers' transaction accounts (demand deposits and other checkable deposits). Second, some inventory of such deposits is essential for banks to operate one of their core lines of business: furnishing payment services to households and firms. Because the Federal Reserve does not pay interest on such deposits used to satisfy statutory reserve requirements, banks seek to minimize their inventory of such deposits. In 1994, the banking industry introduced a new inventory management tool for such deposits, the retail deposit sweep program, which avoids the statutory requirement by reclassifying transaction deposits as savings deposits. This is an interesting inventory problem for fungible items, where the conversion process is reversible. We examine two methods for operating such sweeps programs within the limits of Federal Reserve regulations, and we develop a stochastic dynamic programming model to implement one such method, the threshold method.     

Improving Valuation Under Consumer Search: Implications for Pricing and Profits

There is a growing trend in the retail industry to improve customer experience. In this article, we study retailer‐initiated strategies to increase consumer valuation for a product under duopoly. In such a setting, it is possible that a consumer's valuation may be increased by one retailer; however, the consumer may decide to buy the product from the competitor. We consider a two‐stage game where retailers first decide whether to invest in improvements in customer valuation and then engage in price competition. We computationally explore the Nash equilibria in terms of both investment and pricing. We find that in the majority of cases retailers price in a manner to discourage their local customers to buy from the competitor. Next, we focus on the pricing game and theoretically characterize the pricing Nash equilibrium. We find that a retailer could overcome competitive effects by improving consumer valuation beyond a certain threshold. We also find that a retailer who does not invest could benefit from competition in situations where his competitor increases consumer valuation beyond a threshold. Finally, we explore through a computational study the Nash equilibria of the two‐stage game using an alternate model to establish the robustness of our findings.     

Governance and strategy within the financial system: tradition and innovation

Italian banks have undergone an evolutionary process and development of corporate, retail and private banking within the Italian banking system as a response to market pressures exerted by business and private customers for a broadening and qualitative expansion of offerings and organization of available competencies. This not only refers to large enterprises, whose relations with the financial system are autonomous, on equal terms and for some time now have opened up internationally, but above all the large number of SMEs found in Italy’s economic system. Interpreting governance and strategy takes place in a broad perspective in which banks and the financial system have to deal with five significant factors today: regulations, customers, knowledge, capital and synergies. Interaction with these five factors is undoubtedly not only guided by a choice made by shareholders and managers but represents the set of decisions that mitigate ideological factors, choices concerning sustainability and social acceptance of these choices. This paper intends to explore this interaction, drawing on and utilizing the most significant studies in the Italian Banking & Finance sector, with a specific focus on relations between the financial system and businesses, that is to say, the corporate banking area.     

Financial Contracting,Governance Structures and the Accounting Regulation of Islamic Banks: An Analysis in Terms of Agency Theory and Transaction Cost Economics

Because Islamic banks are prohibited from entering into transactions based on riba (interest), they mobilise funds mainly on the basis of the mudaraba (profit-sharing) form of contract. Thus, in the place of interest-bearing customer deposits, Islamic banks offer investment accounts the return on which depends on the return on the pool of assets in which the customers' funds are invested by the bank. In contrast to conventional deposits, such investment accounts therefore yield a variable periodic return which may be negative (a loss). Islamic investment accounts are thus a form of limited-duration equity investment.This type of investment account raises a set of issues concerning the contractual relations between the bank and the holders of such investment accounts. These issues may be addressed from the perspectives of both Agency Theory (principal-agent and principal-principal relations) and Transaction Cost Economics (contractual forms and governance structures), and it is the purpose of this paper to do so. In particular, we focus on governance issues such as the monitoring possibilities which may or may not be contractually available to investment account holders. We conclude that, under present contractual arrangements, investment account holders depend unduly upon 'vicarious' monitoring by or on behalf of shareholders, a situation aggravated by current shortcomings in financial reporting and limitations of the scope of external auditing. The latter have implications for accounting regulation as applied to Islamic banks. The paper concludes with some suggestions as to how this situation could be ameliorated.     

The Internet and the Deconstruction of the Integrated Banking Model

The rapid development of information and communication technologies (ICTs), with the Internet being one of the most significant, is shaking the foundation of the banking industry. Simply deploying the Internet as a more efficient distribution channel will not bring sustainable strategic advantages. To compete effectively, banks may need to embrace a new set of strategic priorities, based on the 'unbundling' of banking services and processes, and the 'deconstruction' of the integrated banking model. Such a radical transformation threatens the profitability and survival of some existing incumbent banks, and at the same time, it brings a cohort of new opportunities and powerful new players to the market. This paper reviews existing studies on the use of the Internet in banking, and highlights two prevailing models and the strategic thinking behind them. Based upon recent empirical evidence gathered from in-depth case studies and other information sources in the UK, the paper discusses a number of emerging tendencies and explores possibilities to reconcile the discrepancies between the two prevailing models. The paper calls for a radical departure from existing strategies in the banking industry based on the concept of process integration and service bundling. A new framework is outlined for banks and other financial organizations in developing and evaluating their strategies. The latest evidence suggests that at least eight models of Internet banking, somewhere on the spectrum between the two prevailing models highlighted by previous studies, have emerged in the UK. These models are illustrated briefly in the paper. This is still a rapidly evolving area, and new research is clearly needed to understand the key dynamics of the banking industry in the networked economy. Finally, some themes for further research are highlighted.     

Total factor productivity and shareholder returns in banking

This paper examines shareholder value drivers in European banking focusing on the efficiency and productivity features of individual banks. In particular, we analyse the value relevance of bank cost efficiency and total factor productivity (TFP) (in all its components, including technological change, pure technical efficiency change and scale efficiency change) to see how these influence shareholder value creation in European banking. The paper focuses on the French, German, Italian and U.K. banking systems over the period 1995–2002 and includes both listed and non-listed banks. We find that TFP changes best explain variations in shareholder value (measured by market-adjusted returns, MAR, for listed banks and by the ratio of EVA_bkg to invested capital at time t−1 for non-listed banks). In both samples, we also find that technological change seems to be the most important component of TFP influencing shareholder value creation in European banking.     

Private Equity and Bank Capital Requirements: Evidence from European Firms

Using firm-level data from 16 euro-area countries over 2008–2014, we investigate how the performance of bank-affiliated private equity-backed companies evolves after the European Banking Authority increased capital requirements for their parent banks. We find that portfolio companies connected to exposed banks reduce their level of investment and experience weaker asset growth, employment growth and profitability following the capital exercise. We further show that the effect is stronger for companies likely to face financial constraints. Finally, the findings indicate that the negative effect of the capital exercise is muted when the private equity sponsor is more experienced.     

Complex technological capabilities in emerging economy firms: The role of organizational relationships

Formal organizational relationships are important sources for capability building in emerging economy firms eager to move up the value chain. We examine how access to valuable knowledge available to firms via organizational relationships creates learning opportunities necessary for the development of complex technological capabilities. Using a sample of 852 observations of emerging economy firms from the Indian software industry between 1992 and 2000, we find that developing strong domestic intra-organizational relationships, through affiliation with a moderately diversified business group or operating in a related industry, promote more complex technological capabilities. In the case of foreign inter-organizational relationships, we find that greater foreign client contact enhances the complexity of firm technological capabilities. However, accessing knowledge from domestic inter-organizational relationships appears to hinder the development of firm complex technological capabilities. An interesting result from our research was that having greater access to knowledge from foreign intra-organizational relationships, embedded within foreign subsidiaries, did not lead to the development of complex firm technological capabilities. The results of our study highlight that for emerging economy firms wanting to improve their complex technological capabilities, there may be diminishing benefits to learning from and acquiring knowledge available within specific types of formal organizational relationships.     

竞争供应链中制造商环保技术投资决策研究

本文考虑消费者对质量差异化产品的异质性偏好以及环保意识,建立了消费者效用函数以及产品需求函数,构建了差异化竞争制造商及其零部件供应商之间的动态博弈模型;进而,研究了竞争供应链中制造商环保技术投资策略,考察了市场竞争对供应链均衡定价决策、环保技术投资决策以及消费者福利的影响。研究结果表明：拥有较高技术水平的制造商总是会选择更高的环保技术投资水平,但消费者也需为此支付更高的产品溢价;制造商环保技术投资会影响产品销售价格并有利于提升消费者福利,拥有较高技术水平的制造商总是有动机选择投资环保技术,而技术水平较低的制造商则不会有动机选择投资环保技术;市场竞争会导致供应商和制造商定价决策的变化,但此时供应商反而能够获得更多利润。     

An empirical study of transformational leadership,team performance and service quality in retail banks

The discipline of operations management (OM) has long been offering differing quantitative techniques for improving the efficiency of banking operations. However, there has been a trend in recent years that operations and services of the banking industry are becoming more diverse and unstructured, rendering many traditional OM quantitative techniques less effective in performance improvement. By integrating the literature on banking operations, service quality, leadership style and work teams, we argue that leadership style and team performance are crucial concerns determining the service quality performance of today's banking operations in a team setting. Using data collected from 192 employees from 32 operational teams (a leader and five members in each team) in 15 retail banks in Macau, China, we investigated whether the five dimensions of transformational leadership have an impact on team performance with respect to team cohesion, team leader job satisfaction and team competence; and whether the dimensions of team performance have an impact on such service quality dimensions as reliability and responsiveness. We found that one of the dimensions of transformational leadership and two of the dimensions of team performance have a significant impact on service quality. We discuss the implications of the findings for research and practise.     

银行特许权价值及其影响因素跨国比较

本文用Panzar-Rosse模型的H值度量了我国银行业2002-2008年特许权价值,发现特许权价值呈现U型变化轨迹,先降低再升高,总体来看我国银行的特许权价值巨大。进一步,本文将影响特许权价值变动的因素分解为管制性因素、银行因素和宏观因素三个方面,通过对86个国家的跨国实证分析表明,市场准入限制、经营范围限制、资本金管制、监管力度、银行成本控制能力、银行业发达程度和实际通货膨胀率与银行特许权价值正相关,外资参与度和经济发展水平与特许权价值负相关。     

Ownership concentration and market value of European banks

This paper investigates the relationship between ownership concentration and market value of European banks, and the role of the institutional environment in shaping this relationship. Using GMM dynamic estimator on a sample of European banks over a 13-year period (1993–2005) we find on average a negative effect of ownership concentration on bank value, measured by Tobin's Q. However, this effect varies across different institutional settings; while higher ownership concentration results in a lower bank value particularly in the countries belonging to German legal family, the impact of ownership concentration is positive in Scandinavia. We propose that, besides the legal protection of small investors, the differences in the impact of ownership concentration across the countries could be due to the identity of the predominant owners, i.e. financial institutions in Germany and trusts and foundations in Scandinavia. This in turn implies that restrictions of shareholdings in banks could alleviate governance problems in some countries, but lower bank valuation in others.     

The liquidity crisis of German open-end real estate funds and their impact on optimal asset allocation in retirement

In course of the recent turmoil in the financial markets, several open-end real estate funds froze redemption of their units, resulting in unanticipated and unprecedented liquidity and performance shocks for investors. Against this background, we analyze the long- and short-term risk and return profiles of open-end real estate funds and their role in efficient multi-asset retirement portfolios. To this end, we introduce the Retirement Efficient Frontier, describing those investment strategies that minimize the lifetime probability of ruin for specific levels of periodic withdrawals from a given retirement wealth. We find that for low to moderate periodic withdrawals, efficient portfolios consist of up to 85% real estate fund investments in case fund units are continuously redeemable. Moreover we show that even if there is a monthly probability of 2.5% that redemption of fund units is temporarily suspended, the allocation into real estate funds in risk-efficient portfolios is only slightly affected. Yet, if funds additionally face a high risk of having to depreciate their property portfolio during a liquidity crisis, their share in efficient retirement portfolios is reduced significantly.     

引入外资战略投资者对我国商业银行效率的影响

在当前外资入股我国银行业显著加速的背景下,研究引入外资战略投资者对我国商业银行效率影响,回答引入外国战略投资者后是否能够影响商业银行效率具有重要的实践价值.本文将商业银行按股权结构分为三大类,在随机前沿法理论模型的基础上依据修正的产出法构建了成本利润方程,实证研究了引入外资战略投资者后对我国商业银行效率的影响.实证结果表明:在引入外资战略投资者后,不仅改善了银行的成本效率,同时促进了银行利润效率的提升;研究还证明银行业实施的"财务重组-引入战略投资者-上市-完善治理制度"改革提高了银行效率.