Covered Interest Parity Arbitrage Rime, Dagfinn; Schrimpf, Andreas; Syrstad, Olav
The Review of financial studies,
11/2022, Letnik:
35, Številka:
11
Journal Article
Recenzirano
Odprti dostop
Abstract
To understand deviations from covered interest parity (CIP), it is crucial to account for heterogeneity in funding costs across both banks and currency areas. For most market participants, ...the no-arbitrage relation holds fairly well when implemented using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP-arbitrage opportunities. Dealers avert inventory imbalances stemming from lower-rated banks’ usage of FX swaps to obtain dollar funding by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to scale, however, because funding costs increase as soon as arbitrageurs increase positions.
Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Previous studies have failed to analyze a bank's operation performance and non‐performing loans at the same time. Therefore, this research uses the Dynamic Two‐stage directional distance function ...(DDF) Recycle with Assurance Regions (ARs) model to explore the efficiency of Taiwanese banks in their operation stage and recycling stage. The research results are as follows. (1) The six‐year overall average efficiency is .7966. Taipei Star Bank has the best efficiency, and Fubon, Bank SinoPac, and Union Bank have the worst efficiency rankings. (2) Most banks have good efficiency in the operation stage, while efficiency in the recovery cycle stage fluctuates.
Abstract
This study provides new mechanisms for identifying and estimating explosive bubbles in mixed‐root panel autoregressions with a latent group structure. A postclustering approach is employed ...that combines
k
‐means clustering with right‐tailed panel‐data testing. Uniform consistency of the
k
‐means algorithm is established. Pivotal null limit distributions of the tests are introduced. A new method is proposed to consistently estimate the number of groups. Monte Carlo simulations show that the proposed methods perform well in finite samples; and empirical applications of the proposed methods identify bubbles in the U.S. and Chinese housing markets and the U.S. stock market.
SPACs: An overview and assessment of returns Barth, James R.; Gu, Min; Liu, Jiachen
The American journal of economics and sociology,
March 2023, Letnik:
82, Številka:
2
Journal Article
Recenzirano
Special purpose acquisition companies (SPACs) originated in the 1980s. A SPAC is a shell company formed by a sponsor to raise capital through a SPAC IPO to acquire or merge with an existing (target) ...private company. In a SPAC IPO, the units issued, consisting of (1) shares of common stock and (2) warrants, are typically priced at a nominal $10. Until 2022, SPAC IPOs were an increasingly popular alternative to traditional IPOs. We provide an overview of SPACs and an assessment of two measures of returns to SPACs, one is market‐adjusted buy and holds abnormal returns, and the other is risk‐adjusted abnormal returns by estimating a three‐factor regression model. The return calculations are based on 299 SPAC completed mergers between January 2013 and December 2021. Our results indicate that the main driver in a series of regressions, including various explanatory variables in explaining deSPAC returns, is the extent of warrants issued in a SPAC IPO, and robustness checks confirm these results.
Abstract
This paper aims to evaluate the impact that the application of competition legislation exerts on financial markets. The sanctioning process is classified into three key moments: the ...announcement of an investigation when a case of corporate misconduct is suspected; the imposition of a fine, if applicable; and, finally, the rectification or ratification of the sanction. The impact of these announcements on share prices between 2013 and 2021 is analyzed using the event study methodology. This research focuses on companies listed on the Spanish stock exchange, yielding 22 firms with 95 observations. The results show a negative and significant market reaction to the series of announcements. While this reaction intensifies if the fine is ratified, the response becomes positive when the sanction is rectified and annulled. In conclusion, the evidence found allows us to state that the market does in effect penalize corporate misconduct. Furthermore, the public sanction imposed by the competent authority is then followed by a private sanction, which manifests itself as a drop in market value. This is consistent with a hypothetical effect of reputational loss, especially in those cases in which the sanction is more significant in relation to the company’s market value.
Human capital acts as an increasingly crucial factor for firms to sustain stable performance and maintain competitiveness. However, we know little about how tax incentive affects corporate hiring ...decision concerning highly skilled employees. Using the policy of value‐added tax (VAT) credit refund in China as a quasi‐natural experiment, we explore whether and how VAT credit refund affects firms' hiring decisions on highly skilled employees. The Difference‐in‐Differences (DiD) estimate reveals that the VAT credit refund policy significantly increases the proportion of highly skilled employees. Further, the policy effect becomes more prominent in firms with heavier tax burdens, lower capital intensity, and higher financial constraints. Our mechanism tests reveal that credit refund alleviates liquidity constraints and improves capital‐skill complementarity, thus exerting a positive effect on corporate human capital upgrading. In addition, we find that the VAT credit refund policy improves earnings‐per‐worker and labor productivity but plays an insignificant role in labor income share. Our findings support the proposition that VAT credit refund leads to a positive effect on corporate human capital upgrading, offering new insights for policymakers to improve corporate employment skill structure and support the implementation of tax incentives to upgrade the labor force.
The aim of this study is to model energy consumption and Manufacturing Value Added (MVA) in the industry level of five South Asian countries. Firstly, a cross-sectional model was developed by using ...R-statistical software to estimate the MVA with energy consumption being the independent variable. Secondly, a twenty years data series was analyzed to forecast volume of energy consumption in the manufacturing industry for five countries in a comparative manner. Thus, a prediction model was developed by using the time series forecasting system of the SAS statistical software and evaluated using Mean Square Error (MSE), Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percent Error (MAPE) with forecasts made up to year 2021. The forecasted energy consumption data might be used in the cross-sectional model to forecast MVA. Besides, based on the increasing trends in volume of energy, industry should prepare now for using efficient and clean energy in order to achieve an environment friendly and sustainable manufacturing industry. PUBLICATION ABSTRACT
