/pdf/the-theory-of-industrial-organization-19bejph0ej.pdf

The Theory of Industrial Organization

机构投资者作为证券市场中的重要力量,越来越受到理论界和实务界的关注。论文对宾夕法尼亚大学沃顿商学院会计学教授布赖恩-布希（Brian Bushee）的论文＂The influence of institutional investors on myopic R＆D investment behavior＂（机构投资者对企业短视研发投资行为的影响,以下简称Bushee（1998））进行评价并提出相关的建议和研究方向。

《The influence of institutional investors on myopic R＆D investment behavior》述评

Diamond and Dybvig (1983) show that while demand‐deposit contracts let banks provide liquidity, they expose them to panic-based bank runs. However, their model does not provide tools to derive the probability of the bank-run equilibrium, and thus cannot determine whether banks increase welfare overall. We study a modified model in which the fundamentals determine which equilibrium occurs. This lets us compute the ex ante probability of panic-based bank runs and relate it to the contract. We find conditions under which banks increase welfare overall and construct a demand‐deposit contract that trades off the benefits from liquidity against the costs of runs. ONE OF THE MOST IMPORTANT ROLES PERFORMED BY banks is the creation of liquid claims on illiquid assets. This is often done by offering demand‐deposit contracts. Such contracts give investors who might have early liquidity needs the option to withdraw their deposits, and thereby enable them to participate in profitable long-term investments. Since each bank deals with many investors, it can respond to their idiosyncratic liquidity shocks and thereby provide liquidity insurance. The advantage of demand‐deposit contracts is accompanied by a considerable drawback: The maturity mismatch between assets and liabilities makes banks inherently unstable by exposing them to the possibility of panic-based bank runs. Such runs occur when investors rush to withdraw their deposits, believing that other depositors are going to do so and that the bank will fail. As a result, the bank is forced to liquidate its long-term investments at a loss and indeed

/pdf/demand-deposit-contracts-and-the-probability-of-bank-runs-3s1w3zqrva.pdf

Demand–Deposit Contracts and the Probability of Bank Runs

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ("information-based" contagion) and "pure" contagion as well as between "efficient" and "inefficient" systemic events. currency crises

https://www.econstor.eu/bitstream/10419/152469/1/ecbwp0035.pdf

Systemic risk: A survey

We review theory and evidence relating to herd behaviour, payoff and reputational interactions, social learning, and informational cascades in capital markets. We offer a simple taxonomy of effects, and evaluate how alternative theories may help explain evidence on the behaviour of investors, firms, and analysts. We consider both incentives for parties to engage in herding or cascading, and the incentives for parties to protect against or take advantage of herding or cascading by others.

/pdf/herd-behaviour-and-cascading-in-capital-markets-a-review-and-3fivvzyo4g.pdf

Herd Behaviour and Cascading in Capital Markets: A Review and Synthesis

This paper proposes that both the first‐come, first‐served rule and information externalities are important in causing contagious bank runs. The first‐come, first‐served rule creates a negative payoff externality among depositors. This payoff externality forces depositors to respond to early noisy information such as failures of other banks. Therefore, failures of a few banks may trigger runs on other banks. Contagious runs may occur even if (i) depositors choose the Pareto‐dominant equilibrium when there are multiple equilibria and (ii) the deposit contract is chosen to maximize depositor welfare. The feasibility of reforming the FDIC to impose market discipline is also investigated.

https://www.jstor.org/stable/pdf/10.1086/250086.pdf

Banking Panics: The Role of the First‐Come, First‐Served Rule and Information Externalities

In this paper, we investigate the relationship between the transparency of banks and the fragility of the banking system. We show that information-based bank runs may be inefficient because the deposit contract designed to provide liquidity induces depositors to have excessive incentives to withdraw. An improvement in transparency of a bank may reduce depositor welfare through increasing the chance of an inefficient contagious bank run on other banks. A deposit insurance system in which some depositors are fully insured and the others are partially insured can ameliorate this inefficiency. Under such a system, bank runs can serve as an efficient mechanism for disciplining banks. We also consider bank managers' control over the timing of information disclosure, and find that bank managers may lack the incentive to reveal the information about their banks.

/pdf/the-transparency-of-the-banking-industry-and-the-efficiency-3uqch5l79e.pdf

The Transparency of the Banking Industry and the Efficiency of Information-Based Bank Runs

https://isiarticles.com/bundles/Article/pre/pdf/15477.pdf

The transparency of the banking system and the efficiency of information-based bank runs

In recent years, the literature of financial distress has been enriched by the development of formal models. This paper develops a synthesis of that formal analysis, linking it to related finance literature and corporate strategies for distressed financial restructuring. Several key assumptions generate different results which predict the effects of financial distress on investment efficiency and restructuring strategy. Central to these strategies are the recontracting arrangements proposed between owners, creditors and other relevant stakeholders. The critical factors in the alternative models are: (1) the term structure of the firm s debt, (2) the role of the seniority of debts, (3) the effects of exchange offers, (4) the effects of an automatic stay on debt payments, and (5) the role of alternative voting rules.

https://papers.ssrn.com/sol3/Delivery.cfm/2451_27226.pdf?abstractid=1299400&rulid=260089&mirid=1

Financial Distress and Restructuring Models

This paper demonstrates that subordinated debt (‘subdebt’ thereafter) regulation can be an effective mechanism for disciplining banks. Under our proposal, investors buy the subdebt of a bank only if they receive favourable information about the bank, and the bank is subject to a regulatory examination if it fails to issue subdebt. By forcing banks to be examined when they are likely weak, subdebt regulation not only reduces the chance that managers of distressed banks can take value-destroying actions to benefit themselves, but may also encourage banks to lower asset risk. It shows that subdebt regulation and bank capital requirements can be complements for alleviating the banks’ moral hazard problems. It also suggests that to make subdebt regulation effective, regulators may need impose ceilings on the interest rates of subdebt, prohibit collusion between banks and subdebt investors, and require the subdebt to convert into the issuing bank’s equity when the government takes over or provides open assistance to the bank.

/pdf/subordinated-debt-market-discipline-and-bank-risk-1v56znpprz.pdf

Yehning Chen

Papers

Banking Panics: The Role of the First‐Come, First‐Served Rule and Information Externalities

The Transparency of the Banking Industry and the Efficiency of Information-Based Bank Runs

The transparency of the banking system and the efficiency of information-based bank runs

Financial Distress and Restructuring Models

Subordinated Debt, Market Discipline, and Bank Risk