Suchergebnisse

AbstractWe examine the profitability of multifactor portfolios on the US stock market. Using passive sector investing as the benchmark, we assess the performances of factor‐based asset management strategies in good and bad times. When short selling is unrestricted, factor investing outperforms sector investing in all respects. For long‐only portfolios, our results reveal a trade‐off between the risk premia associated with factors and the diversification potential of sectors. Multifactor investing tends to be more profitable than the benchmark during good times but less attractive during bad times, when diversification is needed the most.

Regulatory loan ceilings are commonly found in the prosocial lending sector, yet they can have unintended perverse effects. By mitigating the risk of adverse selection, loan caps catalyze co-financing arrangements between subsidized lenders and commercial banks. These arrangements can, in turn, crowd out the most vulnerable borrowers, i.e. those typically targeted by regulators. To assess this claim, we proceed in two steps. First, we build a theoretical model. Second, we test it, drawing on a rich hand-collected dataset on the clientele of an unregulated French microcredit provider that turned into a regulated institution following a shock affecting its funding sources. Using a difference-in-differences linear probability model with propensity score matching, we empirically confirm the theoretical prediction that the imposition of a loan ceiling will lead to missiondrift. ; info:eu-repo/semantics/published

Time-consistent savers require compensation for holding savings accounts that are illiquid rather than liquid. In equilibrium, banks subject to reserve requirements for liquidity management are keen to offer that compensation. Yet the presence of time-inconsistent agents, who value illiquidity as a commitment device to discipline their future selves, reshuffles the deck. Our model determines the equilibrium liquidity premium––the interest spread between illiquid and liquid deposits––offered by a bank to a pool comprising known proportions of time-consistent and time-inconsistent savers, under the assumption that individual time consistency or inconsistency is private information. We characterize pooling and separating equilibria, and uncover two asymmetric externalities: time-inconsistent agents obtain a higher premium than they would request ex ante for holding illiquid accounts, while time-inconsistent agents make it harder for their time-consistent counterparts to get illiquid accounts. We also deliver insights on reserve requirements for banking regulation. ; info:eu-repo/semantics/published

By artificially inflating capital and creating own shares, cross-ownership can be a key device for managerial entrenchment. This paper proposes a game-theoretical method to measure the extent of shareholder expropriation through cross-ownership. By properly accounting for cross-ownership linkages, we show how managers can seize indirect voting rights, and so insulate their firms from outside control. Significant examples of cross-ownership are found not only in civil law countries, but also in the U.S. mutual fund industry. We apply our method to Germany's Allianz Group. This paper paves the way to better regulatory appraisal of management entrenchment through cross-ownership. ; info:eu-repo/semantics/published

Subsidized microfinance institutions (MFIs) provide affordable credit to small entrepreneurs. Many industrialized countries regulate MFIs. But in a market with accessible small business financing, regulatory loan ceilings can jeopardize the supply of microcredit to the most disadvantaged people. This is because small entrepreneurs in need of above-ceiling credit have the option to combine a ceiling-high microcredit with a supplementary loan from a regular bank. By reducing information asymmetry, this type of co-financing may prompt MFIs to divert credit away from entrepreneurs seeking below-ceiling loans. This study uses hand-collected data from a French MFI to test, and partly confirm, this theory. ; info:eu-repo/semantics/published