Review of Pacific Basin Financial Markets and Policies

This paper evaluates factors that encourage or impede cross-border mergers and acquisitions in banking. The effects of bank specific features, as well as bank regulatory factors, from both target and acquiring banks' perspectives, are estimated. Three comprehensive databases are combined to provide a unique dataset to study cross-border merger and acquisition activities of banks. Banking sector regulatory variables included make this study among the first to empirically and comprehensively analyze the interrelationship between bank regulation and cross-border bank mergers and acquisitions. The results indicate that both bank characteristics and country specific characteristics are important determinants of banks' cross-border merger and acquisition activities.

The study contributes to the extant literature on interest rate pass-through in two ways. First, we examine the impact of the global financial crisis on the historical relationship between policy rate and the home lending rate. Second, we provide evidence from a hitherto unexplored OECD country (Australia) using data from recent years and provide new insights for advancing the pass-through literature. We found complete or near-complete pass-through in the money market rates and a statistically significant temporary change in the relationship between the policy rate and home lending rate since the onset of the financial crisis.

The objective of this paper is to offer a methodology for sizing credit-sensitive Asset Backed Securities (ABS) used in the prime mortgage lending sector in the U.S. and then to evaluate their relative performance. Using a multi-factor Monte Carlo simulation framework, we perform a four-step analysis. First, we estimate scenario-specific credit losses from a given mortgage pool. We then structure the pool into a "6-pack" subordination structure based on statistically-determined stress economic scenarios. Next, we estimate performance indicators of the tranches to compare risk-adjusted returns. Finally, we report our results in terms of tranche-specific risk-adjusted returns. The results indicate that the middle tranches of ABS, e.g., BBB and BB, possess the lowest risk-adjusted returns. We also find and explain a "cliff" phenomenon in the tranche-level principal cash flows.

It is demonstrated that carry trade can be made more profitable by taking into account the drift factor in the random walk behavior of the underlying exchange rate if it is significant. By using four currency combinations we find the drift factor to be significant at horizons longer than one month and that if it is taken into account, the outcome of carry trade improves in terms of risk-adjusted return. The results and conclusions are consistent whether the exercise is conducted within-sample or out of-sample.

The objective of this paper is to undertake an in-depth study of the Internet financial reporting (IFR) practices of UAE-listed companies. The survey is aimed at identifying IFR versus non-IFR companies, and the nature and extent of their IFR practices. Logistic regression analysis was undertaken to establish the determinants of IFR by the companies.

The findings of this study identify the size, the leverage, industry sector, and profitability as the most important predictors of IFR adoption by UAE listed-companies. Larger companies with greater leverage are more likely to set up a website and use it for IFR than smaller less leveraged ones. It was noticed that 62% of IFR companies is from banking, investment & finance sector and from insurance sector as well.

This study is expected to inform monetary authorities on this subject and give more support to these two industries, as they were peers for other sectors in the UAE. Furthermore, the outcome of this paper will provide policy-makers with insight into the factors that motivate IFR among corporate organizations.

Guided by the evidence that insiders and institutional investors are better informed, I comprehensively investigate the trading behavior and ownership of insiders and institutional investors in Taiwan in an attempt to differentiate between the two types of investors. Insiders gain profits from their filing of selling shareholdings and institutional investors acquire abnormal returns from block trades. Insider and institutional ownership both show positive effects on performance. Firms with high institutional ownership have higher performance, but not lower volatility. The results remain by considering the endogeneity issue and alternative measures of performance. These findings provide evidence that the efficient monitoring effect is more significant than the convergence of interest effect.

Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV framework, risk is measured by the variance of returns which is a questionable and restrictive risk measure. In contrast, the average drawdown risk is a more acceptable risk measure and can be applied to modeling an alternative behavioral hypothesis, namely mean-drawdown behavior with a replacement risk measure for diversified investors, the average drawdown beta leading to an alternative pricing model based on this beta. Our findings clearly support the average drawdown beta and the pricing model of average drawdown CAPM versus the conventional beta and CAPM in a sample of Malaysian mutual funds.