中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

银行和金融机构--银行和金融机构
工作论文
2009-05-21 第2卷 第3期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

基于PCA方法的我国上市银行效率测度及比较

陈立泰 重庆大学贸易与行政学院
林川 重庆大学贸易与行政学院
叶长华 重庆大学贸易与行政学院

Legal Origin, Creditor Protection and Bank Lending: Evidence from Emerging Markets

Rebel A. Cole DePaul UniversityDept. of Finance
Rima A. Turk Lebanese American UniversityDept. of Finance

Leverage and Investment under a State-Owned Bank Lending Environment: Evidence from China

Michael Firth Lingnan UniversityDepartment of Finance and Insurance
Chen Lin Lingnan UniversityDepartment of Economics
Sonia ML. Wong Lingnan UniversityDepartment of Finance and Insurance

开放条件下的商业银行最优化行为与房地产价格泡沫——扩展的PW模型与中国经验

潘再见 厦门大学经济学院金融系

中国银行体系关系型信贷的有效性:一个市场评价

彭文平 华南师范大学经管学院
肖继辉 暨南大学管理学院


论文摘要

基于PCA方法的我国上市银行效率测度及比较

陈立泰 重庆大学贸易与行政学院
林川重庆大学贸易与行政学院
叶长华 重庆大学贸易与行政学院

在“上市”成为我国商业银行发展趋势的背景下。本文选取2007年我国13家上市银行,根据其2007年年报数据,利用主成分分析方法及构建上市银行效率水平模型,测度各银行的效率值。研究发现目前我国上市银行的效率较低,成长性状况较好,盈利水平有待于提高,银行间效率差距水平显著。最后本文就此提出简短的对策建议。

Legal Origin, Creditor Protection and Bank Lending: Evidence from Emerging Markets

Rebel A. Cole DePaul UniversityDept. of Finance
Rima A. Turk Lebanese American UniversityDept. of Finance

Numerous papers in the “law and finance” literature have established that countries with better functioning legal institutions enjoy better developed capital markets, and that legal origin is a fundamental determinant of legal institutions (La Porta et al. 1997, 1998, 2006; Djankov et al. 2007). In this study, we test whether banks are willing to grant more credit to the private sector when they enjoy superior legal protection. We test this hypothesis using bank-level data from 45 emerging-market countries and a random-effects model that controls for bank heterogeneity. We find that lenders allocate a significantly higher portion of their assets to loans (i) where they enjoy English legal origin rather than French or Socialist legal origin; (ii) where enforcement of debt contracts is more efficient and (iii) where banks enjoy fewer restrictions on their operations. These support our hypothesis that superior legal protection leads to more bank credit, which, in turn, should lead to higher economic growth.

Leverage and Investment under a State-Owned Bank Lending Environment: Evidence from China

Michael Firth Lingnan UniversityDepartment of Finance and Insurance
Chen Lin Lingnan UniversityDepartment of Economics
Sonia ML. Wong Lingnan UniversityDepartment of Finance and Insurance

This study examines the relations between leverage and investment in China’s listed firms, where corporate debt is principally provided by stateowned banks. We obtain three major findings. First, there is a negative relation between leverage and investment. Second, the negative relation between leverage and investment is weaker in firms with low growth opportunities and poor operating performance than in firms with high growth opportunities and good operating performance. Third, the negative relation between leverage and investment is weaker in firms with a higher level of state shareholding than in firms with a lower level of state shareholding. Overall, our results are consistent with the hypothesis that the state-owned banks in China impose fewer restrictions on the capital expenditures of low growth and poorly performing firms and also firms with greater state ownership. This creates an over-investment bias in these firms.

开放条件下的商业银行最优化行为与房地产价格泡沫——扩展的PW模型与中国经验

潘再见 厦门大学经济学院金融系

银行信贷与房地产价格有着千丝万缕的联系。Pavlov和Wachter清晰地阐述了商业银行对抵押贷款看跌期权内在价值的低估导致资产价格膨胀,使其脱离基础价值,即产生泡沫。但是其假设条件缺乏一般性,并且没有考虑开放条件下的汇率风险。本文在对其假设条件进行修正,并添加汇率因素的基础上,对PW模型进行扩展,从而得出开放条件下商业银行最优化行为与房地产价格泡沫的相关分析模型。最后,采用我国2005年7月至2008年9月的月度数据进行计量分析,基本证实了模型的结论:房地产价格与利差和汇率负相关,与存款利率正相关。

中国银行体系关系型信贷的有效性:一个市场评价

彭文平 华南师范大学经管学院
肖继辉 暨南大学管理学院

在不对称信息下,关系型银行可以利用信息优势参与借款企业治理,降低代理成本。文章实证分析了1996-2008年中国上市公司发布获得银行信贷公告后的市场反应,发现,上市公司发布获得银行授信和债务重组公告会引起股价显著性上涨。这表明,中国银行体系自1996年以来有意识地建立长期稳定的银企合作关系的措施具有治理效应。文章还发现,信息不对称程度越高、公司治理越差的公司,治理效应越显著。这种效应主要体现贷前甄别企业质量和贷后控制与救助方面,而在贷中监督企业机会主义行为,特别是限制企业滥用现金流方面则没有体现。


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