The Impact of Corporate Reputation on Firm Risk: A Panel Data Analysis of Spanish Quoted Firms

Researchers have traditionally addressed the influence of corporate reputation on firm performance, but have not considered the influence of corporate reputation on firm risk. This research develops hypotheses regarding the opposing influence of corporate reputation on a firm's systematic risk, unsystematic risk and total risk, as well as the moderation effect of firm size and industry concentration. Using a panel data method, these relationships are analysed, controlling for the effects of endogeneity, for a sample of Spanish quoted firms in the period 2001–2007. Specifically, two complementary analyses are performed. The first distinguishes firms included and not included in the MERCO index of the most reputable firms. The second analyses the impact of corporate reputation for the sub‐sample of most reputable firms. Being reputable reduces a firm's unsystematic risk and total risk, but increases systematic risk. In addition, firm size weakens these influences of corporate reputation on firm risk. However, among the most reputable firms, differences in reputation score have a lower effect on risk. Specifically, the corporate reputation level only influences firm unsystematic risk. It seems that what matters is not the degree of corporate reputation, but whether being or not being reputable is the question in terms of risk.     

中国证券公司系统性风险测度及演化特征研究——来自20家上市证券公司的数据

审慎监管条件下，对系统性风险进行准确测度并识别风险演化特征是对证券公司实施风险管理的首要环节。采用SCCA技术，构建Gumbel Copula模型刻画证券公司间的风险相依结构，并对监测指标J-VaR进行了改进，解决了模拟中不易逼近最小边界的问题。从微观、宏观两个层面分别对单个证券公司及整个证券公司系统的风险进行了测度和演化特征分析。实证结果表明系统性风险在大规模爆发前往往会存在部分公司共同表现出的小型波动前兆；证券公司系统性风险具有"陡增缓降"的特点且在风险传导阶段形成的多次冲击对整个体系具有较大的破坏力。     

基于行业组合的贷款总体风险优化决策模型

应用资本资产定价模型中的单因子模型表达贷款收益和风险函数,以不同行业贷款组合后的总体风险最小化为目标,运用非线性规划方法建立了基于组合贷款总体风险优化的行业贷款分配模型。通过负相关行业的风险对冲,避免了选择单个或少数行业进行贷款所导致的、当该行业不景气时的系统性风险对贷款质量的影响,降低了贷款组合的系统性风险。从组合贷款总风险中分离出系统风险和非系统风险,并通过实例验证行业组合可以降低系统性风险,显示通过行业组合可以部分地抵消由于行业自身所产生的系统性风险。     

THE LIQUIDITY SERVICE OF BENCHMARK SECURITIES

We demonstrate that benchmark securities allow heterogeneously informed investors to create trading strategies that are perfectly aligned with their signals. Investors who are informed about security‐specific risks but uninformed about systematic risks can take an offsetting position in benchmark securities to eliminate exposure to adverse selection in systematic risks, while investors who are informed about systematic risks but uninformed about security‐specific risks can trade systematic risks exclusively using benchmark securities. We further show that introduction of benchmark securities encourages more investors to acquire both security‐specific and systematic‐factor information, which leads to increased liquidity and price informativeness for all individual securities. (JEL: G10, G12, G14)     

深圳股市时变Beta、条件CAPM实证研究

建立Engle(2002)提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02～2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.(1995)提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用.研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系:当超额市场收益大于0(上市场)时,Beta和收益正相关;当超额市场收益小于0(下市场)时,Beta与收益负相关.但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系.同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者.     

Liquidity planning in a small bank

Given a forecast of supply and demand for cash in each period of an infinite planning horizon, and with a known current portfolio, a policy is chosen to invest these cash supplies in securities of different maturities so that the demand in every future period can be satisfied by securities maturing in that period. The objective is to maximize the minimum of the excess over the planning horizon so that any illiquidity in one period is spread out over the entire planning horizon. Analytical solutions are obtained for single maturity and barbell investment policies. Feasibility and optimality conditions are determined for these policies.     

保险业在金融系统性风险传染路径中起到“媒介”作用吗？——基于金融市场尾部风险传染路径的实证分析

2008年金融危机之后,保险业固有的不会产生系统性风险的传统认知被打破。关于保险业在金融系统性风险传染路径中的角色定位,本文从其业务特点和风险传染特点出发,首次提出"媒介"作用的猜想并进行实证研究。本文沿用当前主流研究方法,利用尾部风险的传染网络来研究其媒介作用的大小。本文选取了包括6家上市保险机构在内的34家金融机构,研究区间跨度为2011到2018年。根据金融市场数据"厚尾"和"非对称性"特征,文章首先采用AR-（GJR）GARCH-Skew-t模型对股票收益序列进行处理,然后根据Copula函数,计算尾部相依度,再通过最小生成树和阈值方法构建金融市场的风险传染网络。本文还通过构建保险业媒介中心度来探究其媒介作用的程度。实证结果表明：（1）在金融市场风险传染网络中,保险业起到连接银行市场和证券市场的重要媒介作用;（2）保险机构中又以多元化经营的中国平安的风险传染作用最强,其次是中国人寿。（3）银行市场中的兴业银行和保险市场的联系最紧密,证券信托市场则是中信证券、广发证券等。研究明确了风险传染的路径和关键性节点,为制定更具针对性的系统性风险监管措施提供了参考。     

中国融资融券业务处置效应的实证分析

处置效应阐述了投资者较早卖出盈利而长时间保留亏损的倾向。2010年我国融资融券业务的启动,大大提高了市场的流动性和活跃性,同时也带来了信用交易的投机特性,加强了市场阶段性波动并放大风险,这为我们研究处置效应提供了独特的样本。本文以某大型券商2014年11月至2016年10月30512个账户共3239305条交易记录为样本,采用衡量处置效应的经典指标PGR-PLR以及生存分析中的cox比例风险回归模型检验了两融市场上处置效应的存在性,并进一步利用生存分析方法对影响个体处置效应的相关因素进行了研究。实证结果表明,融资融券市场整体上存在显著的处置效应;就个体层面而言,性别、年龄、投资水平均能影响投资者处置效应的强度。本文发现,与男性投资者相比,女性投资者的处置效应更为强烈。并且,若依据年龄将样本分为青年、中年、老年投资者三组,青年投资者处置效应显著低于中年投资者,而老年投资者处置效应最低。此外,无论以观察期内购买的不同标的物的合约数目还是合约总成交量作为投资者投资水平的代理变量,结果均显示,投资水平越高的投资者处置效应更低。最后,应用weibull风险模型替代cox比例风险模型重新计算,结果稳健。     

Does vertical diversification create superior value? Evidence from the construction industry

The discussion of diversification discounts is one of the most controversial in corporate finance and strategic management. We are eager to reexamine this issue from the standpoint of vertical versus lateral diversification, and horizontal growth through construction industry M&A. We build on previous evidence of positive acquirer abnormal returns for vertical M&A, and we add new insight into stock return risk. Considering the high idiosyncratic risk levels of builders, we expect to find considerable informational content in systematic risk (beta) behavior, which has been neglected to date. In fact, we find that vertical M&A experience a negative asset beta shift, lateral M&A experience an increase in systematic risk, and only horizontal M&A exhibit no risk changes. Hence, our evidence on risk and previous evidence on return-induced wealth creation through vertical M&A shows that related industrial diversification is superior to unrelated—at least in the construction industry.     

Financial Edgework and the Persistence of Rogue Traders

This work explores financial edgework by professional speculative traders as an explanation for the persistence of rogue trading in financial markets. The article joins in the scholarly application of “edgework,” the social psychological study of voluntary risk, to speculative trading. The discussion focuses on the origins and persistence of that subset of behavior wherein the trader knowingly creates the condition in which he or she endangers the brokerage house that employs them and even, at times, threatens the public's perception of the integrity of the securities industry. Going over the edge between risk taking and unauthorized rogue trading is explained by looking at five inducements to escalate risk taking provided in the securities industry. This examination of financial edgework demonstrates how and, to a lesser degree, why rogue trading is a result of the security industry's pursuit of and desire to capitalize upon yet not publicize an occupational culture stressing a “risk‐and‐win” ethos.     

Uncertainty Assessment in the Quantification of Risk Rates of Occupational Accidents

Occupational risk rates per hour of exposure have been quantified for 63 occupational accident types for the Dutch working population. Data were obtained from the analysis of more than 9,000 accidents that occurred over a period of six years in the Netherlands and resulted in three types of reportable consequences under Dutch law: (a) fatal injury, (b) permanent injury, and (c) serious recoverable injury requiring at least one day of hospitalization. A Bayesian uncertainty assessment on the value of the risk rates has been performed. Annual risks for each of the 63 occupational accident types have been calculated, including the variability in the annual exposure of the working population to the corresponding hazards. The suitability of three risk measures—individual risk rates, individual annual risk, and number of accidents—is examined and discussed.     

抵押贷款证券的效用无差别定价

当前抵押贷款证券化产品定价方法主要是现金流贴现取平均的方式,其本质是一种风险中性定价,忽视了不同投资者的风险态度在资产定价中的决定作用。本文运用Hodges and Neuberger(1989)提出的效用无差别定价原理,提出抵押贷款证券化衍生产品定价的一种新的方法。假设投资者具有对数消费效用,本文得到了易于实现的抵押贷款证券化产品定价计算公式,给出了Monte Carlo数值计算方法和应用举例,并进行了比较静态分析。     

改进区间可接受度的证券投资组合区间二次规划模型

本文首先基于Markowitz的经典均值方差模型，针对不确定环境下的投资组合问题，把证券的收益率、风险损失率和流动性用区间数描述，建立了一种新的含交易成本的证券投资组合区间二次规划模型。其次，为求解该模型，提出了改进的区间可接受度确定性转换方法，通过引入优化水平α与可接受水平η将不确定二次规划转化为确定型规划。最后，通过数值实验将提出的方法与传统方法进行比较，结果表明本文所提出的方法与模型具有相对较好的可行性与实用性。     

媒体热议度能有效降低股价暴跌风险吗？——基于公司透明度调节作用的研究

互联网新闻集快速、真实、海量信息等特征于一身,成为证券市场不可或缺的监督力量。互联网新闻有助于深度挖掘上市公司隐藏的内幕消息,避免不利消息在公司持续囤积带来的股价暴跌。基此,研究选取2014-2017年优矿平台证券关联新闻信息构建媒体热议度指标,探究媒体热议度对公司未来股价暴跌风险的影响,同时考察了公司透明度的调节作用。研究发现,上市公司的媒体热议度越高,未来面临的股价暴跌风险越小。在透明度低（国有企业、机构持股比例低和财务报告透明度低）的企业中,媒体热议度对股价暴跌风险的抑制作用更强。这表明,在证券市场监督机制日益健全的进程中,应正确引导各类财经新闻的报道,有效发挥新闻媒体的监督作用,降低股价暴跌风险,保护投资者权益。     

“Modest doubt is called the beacon of the wise”—Incorporating uncertainty in risk analysis from Shakespeare to today

“Modest doubt is call'd the beacon of the wise.”—William Shakespeare, Troilus and Cressida. Although the character Hector warns his fellow Trojans with this line not to engage in war against the Greeks, Shakespeare's works are replete with characters who do not incorporate modest doubt, or any consideration of uncertainty, in their risk decisions. Perhaps Shakespeare was simply a keen observer of human nature. Although risk science has developed tremendously over the last five decades (and scientific inquiry over five centuries), the human mind still frequently defaults to conviction about certain beliefs, absent sufficient scientific evidence—which has effects not just on individual lives, but on policy decisions that affect many. This perspective provides background on the Shakespearean quote in its literary and historical context. Then, as this quote is the theme of the 2023 Society for Risk Analysis Annual Meeting, we describe how “modest doubt”—incorporating the notion of uncertainty into risk analysis for individual and policy decisions—is still the “beacon of the wise” today.     

The Challenges of Socially Responsible Investment Among Institutional Investors: Exploring the Links Between Corporate Pension Funds and Corporate Governance

During the last few decades, globalization of finance markets has come under increasing pressure to manage the many risks that companies face due to the negative impact that certain financial crises have had on securities quoted on the stock exchange. Simultaneously, there is a growing tendency among different institutional investors to take into account nonfinancial aspects—social, environmental, and ethical values—of company management. In this respect, increasing numbers of asset managers are aware of the importance of nonfinancial aspects of company management for finance markets. Asset managers integrate corporate social responsibility, sustainability policies and corporate governance strategies as indicators in risk management and the search for long‐term investments. The largest segment of socially responsible investment (SRI) screened and mutual funds are portfolios that are privately managed on behalf of institutions. Socially responsible investors include private and public pension funds, mutual funds, and private accounts that are managed on behalf of institutional investors such as corporations, universities, hospitals, religious institutions, and nonprofit organizations, among others. The aim of this paper is to analyze the development of SRI‐screened management corporate pension plans in the Spanish finance market. Spain is one of the European countries with a less developed SRI institutional market. Since SRI is still at the fledgling stage in the Spanish institutional market, this analysis is restricted to the awareness of SRI among a sample of the total number of corporate pension funds or schemes in Spain. The paper concludes with some proposals to encourage wider SRI acceptance and practice in Spain.     

The influence of corporate governance on changes in risk following the global financial crisis: evidence from the Portuguese stock market

This paper examines the influence of corporate governance characteristics on changes in total, market and idiosyncratic risk in the Portuguese capital market following the collapse of Lehman Brothers. We aim to address corporate practices, while determining if corporate governance characteristics can help predict future variations of the risk associated with a certain security and, in this sense, if these characteristics may be used to help monitor or forecast risk of an existing portfolio of securities over time. We find positive and significant changes in total and idiosyncratic risk for non-financial firms listed on Euronext Lisbon, consistent with increases in investor uncertainty during the crisis period. Our results suggest that changes in risk measures over a shorter-term and a longer-term period vary with governance characteristics. The capital market rewarded companies with a greater proportion of non-executive directors and directors that exercise (on average) management roles in more companies or institutions. On the other hand, the capital market punished companies with a greater proportion of independent directors and greater ownership concentration.     

Analysis of Affordance,Time, and Adaptation in the Assessment of Industrial Control System Cybersecurity Risk

Industrial control systems increasingly use standard communication protocols and are increasingly connected to public networks—creating substantial cybersecurity risks, especially when used in critical infrastructures such as electricity and water distribution systems. Methods of assessing risk in such systems have recognized for some time the way in which the strategies of potential adversaries and risk managers interact in defining the risk to which such systems are exposed. But it is also important to consider the adaptations of the systems’ operators and other legitimate users to risk controls, adaptations that often appear to undermine these controls, or shift the risk from one part of a system to another. Unlike the case with adversarial risk analysis, the adaptations of system users are typically orthogonal to the objective of minimizing or maximizing risk in the system. We argue that this need to analyze potential adaptations to risk controls is true for risk problems more generally, and we develop a framework for incorporating such adaptations into an assessment process. The method is based on the principle of affordances, and we show how this can be incorporated in an iterative procedure based on raising the minimum period of risk materialization above some threshold. We apply the method in a case study of a small European utility provider and discuss the observations arising from this.     

中国证券投资基金市场波动特征实证研究

根据不同类型的ARCH类模型的特点及其所刻画的市场波动特征,本文对中国证券投资基金市场波动的聚集性进行检验,分别运用EGARCH和TGARCH模型对证券投资基金波动的非对称性和杠杆效应进行实证研究,运用EGARCH-M模型对证券投资基金波动的风险溢价效应进行实证分析,运用改进的EGARCH模型对证券投资基金波动与信息的关系进行实证研究,并对实证结果进行分析.     

上海股票市场系统流动性风险溢价研究

以收益率与系统流动性因子的β值作为系统流动性风险的代理变量,按照FF三因素模型的方法,将账面市值比替换成β值,构建新的包含市场超额收益、公司规模和β值的三因素模型,研究系统流动性风险与我国股市超额收益的关系。上证50指数成分股的实证结果表明,系统流动性风险对我国股市超额收益有显著影响,β值为正的股票获得正的系统流动性风险溢价,而β值为负的股票获得"负"溢价。