the transatlantic productivity gap is r d the main culprit the literature has pointed to different causes to explain the productivity gap between europe and united states in the last decades this paper tests the hypothesis that the lower european productivity performance in comparison with the us can be explained not only by a lower level of corporate rd however using different estimation techniques the r d coefficients for the us firms always turn out to be significantly higher to see to what extent these transatlantic differences may be related to the different sectoral structures in the us and the eu we differentiated the analysis by sectors the result is that both in manufacturing services and high tech sectors us firms are more efficient in translating their r d investments into productivity increases

an analysis of bank risk and deposit rate ceilings abstract the effect of deposit rate regulation on bank solvency is an important and unresolved issue that has received only limited attention in this paper capital market data is used to assess changes in both systematic and non systematic risk of a portfolio of bank stocks at the time of deposit rate deregulation the evidence indicates that neither measure of capital market risk is significantly affected leading to the conclusion that bank solvency risk will not be increased by the deregulation of interest rates on deposits

effects of the 1970 bank holding company act evidence from capital markets this study measures the effects of the 1970 amendment to the bank holding company bhc act on the profitability and risk of bhcs using capital market data differences in abnormal returns and risk among three portfolios of bank shares which differ in their regulatory status are examined in various periods preceding and following the enactment no significant differences in performance and no change in the relative risk of any pair of portfolios were observed thus the null hypothesis that the nonbank expansion provisions of the 1970 amendment had no effect on bhcs risk and profitability cannot be rejected the growth of bank holding companies and their expansion into nonbank activities following the 1970 amendment to the bank holding company bhc act of 1956 produced striking structural changes in the banking industry the nonbank expansion provisions of the statute triggered a continuing debate about the costs and benefits of these provisions black miller and posner 2 consider the amendment to be an important innovation that can increase the efficiency and hence the profitability of financial intermediaries other writers however suggest that nonbank activities of bank holding companies may increase the risk of bank failure thereby increasing the regulatory involvement silverberg 14 orgler and wolkowitz 13 and mayne 10 2 this study analyzes the effects of the 1970 amendment to the bank holding company act on the profitability and riskiness of bank holding companies capital market data are used to measure risk and return fama 6

the wealth effects of deregulation of canadian financial institutions abstract canada like other industrial countries recently introduced various financial reforms to remove the barriers separating the operations and ownership of banks from non bank financial institutions this study analyzes the wealth effects of the reforms on the banks and non bank financial institutions and the changes in their systematic risk resulting from financial deregulation over the period 1984 to 1991 the results indicate that while there was a significant cumulative gain for the insurance industry unlike a number of u s studies there was no evidence of wealth transfer among the institutions during the period of deregulation of the canadian financial system additional tests indicate that although the regulatory changes did not have a significant effect on the risk of the banks the systematic risk of the non bank financial institutions increased significantly during the period of regulatory reforms

interest rate risk and the pricing of depository financial intermediary common stock empirical evidence abstract using the likelihood ratio test this paper presents evidence that interest rate risk is priced these results are consistent with earlier findings presented by sweeney and warga based on a different sample and methodology the statistical results further reveal that failure to discern significant interest rate premia is attributable to insufficient rate sensitivity rather than being an outcome of monetary policy i e inadequate rate volatility

multivariate tests of the zero beta capm abstract a cross sectional regression test csrt of the capm is developed and its connection to the hotelling t2 test of multivariate statistical analysis is explored algebraic relations between the csrt the likehood ratio test and the langrange multiplier test are derived and a useful small sample bound on the distribution function of the csrt is obtained an application of the csrt suggests that the crsp equally weighted index is inefficient but that the inefficiency is not explained by a firm size effect from february to december

unexpected inflation and bank stock returns the case of france 1977 1991 abstract this paper evaluates the impact of unexpected inflation on the stock returns of a sample of french banks it offers an empirical test of theories that have predicted an impact of inflation on the stock returns of banks the paper complements a large literature that has focused exclusively on the impact of unexpected interest rates the analysis provides empirical support to the hypothesis that in periods of volatile inflation there exists an inflation risk factor which is independent of the well documented interest rate factor

what can we learn from the grand policy experiment lessons from so2 allowance trading stable url http links jstor org sici sici 0895 3309 28199822 2912 3a3 3c69 3awcwlft 3e2 0 co 3b2 tthe journal of economic perspectives is currently published by american economic association your use of the jstor archive indicates your acceptance of jstor s terms and conditions of use available athttp www jstor org about terms html jstor s terms and conditions of use provides in part that unless you have obtainedprior permission you may not download an entire issue of a journal or multiple copies of articles and you may use content inthe jstor archive only for your personal non commercial use please contact the publisher regarding any further use of this work publisher contact information may be obtained athttp www jstor org journals aea html each copy of any part of a jstor transmission must contain the same copyright notice that appears on the screen or printedpage of such transmission the jstor archive is a trusted digital repository providing for long term preservation and access to leading academicjournals and scholarly literature from around the world the archive is supported by libraries scholarly societies publishers and foundations it is an initiative of jstor a not for profit organization with a mission to help the scholarly community takeadvantage of advances in technology for more information regarding jstor please contact support jstor org http www jstor orgtue jun 26 16 25 17 2007

an interim evaluation of sulfur dioxide emissions trading ide iv of the 1990 clean air act amendments established the first large scale long term environmental program to rely on tradable emissions permitscalled allowances in this program to control pollution this program was designed to cut acid rain by reducing sulfur dioxide so2 emissions from electric generating plants to about half their 1980 level beginning in 1995 it is of interest both as a response to an important environmental issue and as a landmark experiment in environmental policy this experiment comes at a particularly important time since emission trading is under serious consideration with strong u s backing for use to deal with global climate change by curbing emissions of carbon dioxide co2 the economic stakes in climate change surpass those in acid rain by several orders of magnitude intergovernmental panel on climate change 1996 this article summarizes the results to date of our ongoing empirical analysis of compliance costs and allowance market performance under the u s acid rain program

treasury bill factors and common stock returns capital asset pricing theory gives a linear ex ante relationship between a security s return and one special portfolio return the return on all assets this linear equation is called the capital asset pricing model capital asset pricing theory alone provides no empirical hypotheses because it is derived and defined wholly with expectations tests of empirical hypotheses with historical data require an additional proposition that relates ex ante and ex post returns a model for this second proposition is called a return generating equation arbitrage pricing theory gives a more compact method for deriving a linear ex ante security return model in the arbitrage theory developed by ross 6 the return generating equation is the basis for the ex ante return relationship briefly an approximate linear expected return equation is derived directly from the return generating equation so two separate models are not required in addition the ex ante return equation is defined in terms of an arbitrary number of special factor portfolio returns rather than a single market portfolio return in this sense arbitrage pricing theory has richer implications and a simpler structure than capital asset pricing arbitrage pricing theory starts with a linear return generating equation for each security

productivity and r d an econometric evidence from spanish firm level data this article analyses the relationship between productivity growth and r d investments of spanish manufacturing firms during the 1990s the theoretical model is a version of the cobb douglas production function in its growth rate form the purpose is to estimate the rate of return to r d expenditures the econometric specification is a distributed lag model the estimation applies the generalized method of moments method the main empirical finding is that a positive and significant role is played by r d expenditures on productivity growth the rate of return to r d expenditures is 26 598

sellers hedging incentives at epa s emission trading auction cason 1993 argued thattheauction theepaused in order to start the market for sulfur allowances is not efficient the set up of the auction gives both buyers and sellers an incentive to understate their valuation of an allowance in this paper we show that the sellers incentives are even more perverse than cason suggested in particular we show that sellers have an incentive to set their ask price equal to zero while simultaneously hedging their bets by submitting a positive bid it is not possible to derive the nash equilibrium for this set up if such an equilibrium exists sellers either set only a positive ask price or an ask price equal to zero and a positive bid as well

a new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions the us economy experienced major regulatory changes in the banking and finance industry with the passage of five major acts over the period 1980 to 1991 this has generated an extensive literature investigating the effects of these changes on the us banking industry in particular this body of research has examined the share market reaction to regulatory changes as well as their impact on the risk return market value and profitability of banking industry stocks generally it has been found that the regulatory changes have had a substantial impact although the effect has not been uniform across all depository institutions this paper extends this literature by analysing the stability of a sample of eighteen us banking industry stock betas across five periods a pre regulatory change period a monetary experiment period a deregulation period a reregulation period and a post regulatory change period based on an analysis of weekly returns we find that the level of bank risk has increased further we also find a tendency towards greater beta instability in both the monetary experiment and deregulation samples the degree of beta instability is lowest in the pre regulatory change and post regulatory change samples overall the monetary experiment and regulatory change coincided with an increased tendency towards beta instability we also compare our results to a randomly selected control sample of non banks and find some more general effects of regulatory change on individual stock betas

auctions an introduction abstract this is a detailed introduction to auction theory it begins with a simple analysis of standard auctions and then uses a strikingly simple general solution of symmetric private values auctions to prove the payoff equivalence of many auction rules the basic framework is then modified to admit risk aversion multi unit and repeated auctions as well as collusion then follows an introduction to optimal auctions with and without stochastic entry and to common value auctions and the winner s curse problem the survey closes with a sample of applications from the regulation of natural monopolies to price competition in oligopoly and the government securities market

sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate a garch m model abstract the objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean garch m methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process this framework discards the restrictive assumptions of linearity independence and constant conditional variance in modeling bank stock returns the model presented here allows for shifts in the volatility equation in response to the changes in monetary policy regime in 1979 and 1982 to be estimated arch garch and volatility feed back effects are found to be significant interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank stock returns distribution respectively the latter also affects the risk premia indirectly the degree of persistence in shocks is substantial for all the three bank portfolios and sensitive to the nature of the bank portfolio and the prevailing monetary policy regime

the market valuation effects of the financial institutions reform recovery and enforcement act of 1989 abstract this paper evaluates the stock market effects of events leading to the passage of the financial institutions reforms recovery and enforcement act of 1989 the evidence suggests that the signing of the act by president bush produced positive abnormal returns for both banks and s ls and that the addition of tougher capital standards produced positive returns for s ls in addition the act increased the risk of both banks and s ls

a note on the geometry of shanken s csr t2 test for mean variance efficiency abstract shanken 1985 derives a test for the zero beta capital asset pricing model capm which as he points out is equivalent to a test of the mean variance efficiency of the market portfolio this note illustrates the geometry of shanken s test in the mean variance space

what s different about banks abstract negotiable certificates of deposit cd s trade in the capital market in competition with other securities like commercial paper and bankers acceptances if cd s must pay lenders competitive monetary interest the reserve tax on cd s is borne by bank borrowers viability of the tax means there must be something special about bank loans that makes some borrowers willing to pay higher interest rates than those on other securities of equivalent risk moreover there must be something special about banks that prevents other intermediaries from competing to assure that it never pays to finance loans with cd s

thrift stock returns and portfolio interest rate sensitivity abstract in practice the interest rate sensitivity of depository institution di net worth is measured in terms of maturity mismatches arising from nominal contracts in their financial portfolios academic studies also frequently invoke nominal contracting to explain a positive covariation observed between di stock returns and bond returns for a sample of thrifts reporting detailed financial data 1984 1992 this study estimates monthly changes in their financial portfolio values due to changes in interest rates these portfolio value changes are found to be unimportant in explaining the thrifts stock returns and are unable to account for a positive covariation between the stock returns and bond market returns potential weaknesses in the tests seem inadequate to explain the results explanations other than nominal contracting may warrant more consideration in relating dis net worth to interest rate changes

seller incentive properties of epa s emission trading auction abstract the new clean air act amendments instruct the environmental protection agency epa to conduct annual sealed bid offer auctions of emission allowances the auction pricing rules are discriminative and sellers with the lowest asking prices receive the highest bids this paper assesses the seller incentives of this auction and demonstrates that the auction rules cause sellers to choose asking prices that under reveal their cost of emission control furthermore increasing the number of sellers intensifies this misrepresentation if the number of buyers remains fixed the epa s rules can therefore generate significantly biased price signals and reduce the efficiency of the allowance trading market

the likelihood ratio test statistic of mean variance efficiency without a riskless asset abstract the question whether a given porfolio is mean variance efficient is a basic problem of investment analysis mean variance efficiency is also the basis of the capital asset pricing model this paper presents the explicit form of the likelihood ratio test of the hypothesis that a given portfolio or a particular market index is ex ante mean variance efficient in the case where there is no riskless asset geometric relations are illustrated to provide intuition about the constrained maximum likelihood estimators and the test statistic and two simple economic interpretations of the test are given

how foreign participation and market concentration impact bank spreads evidence from latin america increasing foreign participation and high concentration levels characterize the recent evolution of banking sectors market structures in developing countries the authors analyze the impact of these factors on latin american bank spreads during the late 1990s their results suggest that foreign banks were able to charge lower spreads relative to domestic banks this was more so for de novo foreign banks than for those that entered through acquisitions the overall level of foreign bank participation seemed to influence spreads indirectly primarily through its effect on administrative costs bank concentration was positively and directly related to both higher spreads and costs

comparing productivity growth an exploration of french and u s industrial and firm data this paper compares and analyzes the growth of productivity in the manufacturing industries and firms in france and the u s based on newly assembled comparable data sets in both countries three explanations of the recent productivity slowdown are reviewed shortfall in physical investment rise in materials prices and a decline in the intensity or fecundity of r d investment and found not to bear on the differences in productivity growth between and within the two countries either at the industry or the firm levels this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

potential performance and tests of portfolio efficiency abstract the potential performance of an asset set may be obtained by choosing the portfolio proportions to maximize the sharpe 1966 performance measure if a portfolio has a sharpe measure equivalent to the potential performance of the underlying set of assets then it is efficient multivariate statistical procedures for comparing potential performance and testing portfolio efficiency are developed and then evaluated using simulations two likelihood ratio statistics are then used to compare stock and bond indices against sets of 20 and 40 portfolios the procedures are also compared to the gibbons 1982 methodology for testing financial models

the effects of double counting and expensing on the measured returns to r d this article focuses on the effects of double counting and expensing on the measured returns to r d the contribution of research and development r d to economic growth has been measured in two general ways the first is to compute total factor productivity in a growth accounting framework and to attribute this residual growth to r d the prevailing view is that in the presence of double counting the measured contribution of r d represents the return above and beyond the normal remuneration to traditional capital author demonstrate that this excess returns interpretation eri is essentially correct in the growth accounting framework and that the resulting bias in the measured contribution of r d to growth is large in postwar u s manufacturing the measured residual is biased downward by as much as 30 the expensing bias is downward and reinforces the excess returns bias in this case and the total bias is large in both the growth accounting and econometric contexts the magnitude of the biases may vary across samples and over time there is simply no substitute for properly measured variables

the market for sulfur dioxide emissions the 1990 clean air act amendments initiated the first large scale use of the tradable permit approach to pollution control the theoretical case for this approach rests on the assumption of an efficient market for emission rights the authors empirical analysis shows that the emission rights market created by the 1990 amendments had become reasonably efficient by mid 1994 they also show that the auctions specified in the amendments to jump start trading had become a small part of the overall market finally the authors demonstrate that the strategic bidding behavior discussed in the literature has had no effect on market prices copyright 1998 by american economic association

multivariate proxies and asset pricing relations abstract a framework is developed in which inferences can be made about the validity of an equilibrium asset pricing relation even though the central aggregate in this relation is unobservable a multivariate proxy for the true market portfolio consisting of an equal weighted stock index and a long term government bond index is employed in an investigation of the sharpe lintner capm the empirical evidence suggests that we can reject the joint hypothesis that a capm is valid and b multiple correlation between the true market portfolio and proxy assets exceeds 0 7 connections to the equilibrium factor pricing literature are also explored

a note on deposit rate deregulation super nows and bank security returns abstract this paper empirically investigates the effects on the weekly returns of almost 100 banking organizations of the december 1982 authorization of super nows examination of excess returns around the announcement date suggests that the announcement of the super nows had a statistically significant and negative effect and that the impact differed significantly by type of bank while returns for money center banks were generally unaffected excess returns for regional retail banks were highly significant

selecting permit allocation rules for agricultural pollution control a bargaining solution abstract one of the primary justifications for using transferable permits for pollution control is that they achieve a given level of emission reduction at the lowest cost although the initial allocation of pollution permits may have no impact in terms of efficiency it does have a significant impact on equity in this paper we examine a variety of permit allocation rules for a small catchment in south west england an asymmetric nash bargaining framework is employed to characterise agents co operative behaviour and to explain their likely preferences over permit allocation rules the results indicate that the preferred allocation scheme depends upon the relative bargaining power of the agents furthermore some potential links between ex ante and ex post equity criteria were also discussed

pricing the permission of pollution optimal control based simulation of payments for the initial emission allowance in china china has modified its pollution control policy system with such price tools as the pollution charge pc policy and the payment for initial emission allowance piea policy the aim of pc policy is to compensate for the environment damage caused by pollutants while piea is in charge of the initial emission allowance iea within the emission trading system ets however since the implementation of piea it has been criticized as redundant because of the similar pricing scheme with the pc in addition the existing piea pricing approaches have ignored interactions with other policies such as pc and total emission control tec policies in this research we established an optimal control based model with chemical oxygen demand cod and ammoniacal nitrogen nh3 n two independent pollutants variables to simulate the water pollutants piea price simulation results indicated that emission quantity and optimal social benefit in the pc piea combination scenario was equal to the situation in the piea scenario under this design pc compensated for the emission damage and piea paid for the scarcity rent while piea does not duplicate the pc policy in addition the piea policy has a complex effect on pollutant emission because piea policy increases the enterprises discharging cost most regions cod emissions are less than the baseline excepting beijing shanghai jiangsu zhejiang fujian shandong and guangdong in which emission quantities are greater than the baseline the nh3 n emission shows an opposite trend the simulation result is that excluding inner mongolia hubei hunan tibet gansu qinghai ningxia and xinjiang the nh3 n emissions in the rest of regions are increased tec policy has a significant effect on pollutant emissions and the piea price the cod emission quantity with tec is lower than that without the tec policy therefore the tec policy will be effective for pollutant emission control the pollutant beyond the restricted target will be charged a payment for iea at a higher price than without the tec policy

banks exposure to interest rate risk their earnings from term transformation and the dynamics of the term structure abstract we use a unique dataset of german banks exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation the systematic factor for the exposure to interest rate risk moves in sync with the shape of the term structure at bank level however the time variation of the exposure is largely determined by idiosyncratic effects over time changes in earnings from term transformation have a large impact on interest income across banks however the earnings from term transformation do not seem to be a decisive factor for the interest margin

the pricing of interest rate risk evidence from the stock market this paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest rate changes a two factor apt model with the market and changes in the yield on long term government bonds as factors is employed the paper shows that empirically most of the interest sensitive stocks are in the utility industries and that there is reasonable evidence that the interest factor is priced in the sense of the apt several sources for the interest sensitivity are considered and regulatory lags are focused on as a likely candidate some firms exhibit ex post sensitivity in their stock returns to unanticipated changes in interest rates are these firms required to pay investors ex ante for bearing this risk of interest rate changes the framework for examining pricing of unanticipated interest rate changes is a two factor apt model with the market and changes in the yield on long term government bonds as factors the issue is whether the interest rate change premium is significant to study this the paper uses full information maximum likelihood fiml estimation on groups of twenty five individual firms with both cross equation constraints and withinequation nonlinear constraints on the parameters as mandated by the apt model whether the risk of unanticipated changes in interest rates is priced in the market is of particular interest with regard to regulated firms regulated firms especially electric utilities turn out to comprise the big majority of firms that are sensitive to unanticipated interest rate changes after some preliminary investigation the analysis focuses on electric utilities much empirical work on the apt relies on factor analysis e g roll and ross 30 bower bower and logue 5 use factor analysis in comparing the apt and the capm to explain utilities returns the present paper however uses observable variables at the macro level chan chen and hsieh cch 7 and chen roll and ross crr 8 also examine apt models with specific macroeconomic factors cch and crr use a traditional fama macbeth type of cross sectional estimation approach in the premia calculations rather than a fiml approach gibbons and stambaugh have applied fiml techniques to models using only the market as an explanatory variable gibbons 20 used a noniterative algorithm on portfolios of firms equivalent to a two step cross sectional approach stam

additional evidence on integration in the canadian stock market this paper reexamines the integration of the canadian and u s stock markets in the 1977 86 period that is relatively free from capital controls the study employs both the capm and the apt frameworks under both models the evidence is consistent with segmentation in the 1977 81 subperiod but supports integration in the 1982 86 subperiod using the apt framework we also find that the canadian stocks interlisted on the u s exchanges and nasdaq are priced in an integrated market and segmentation is predominant for the non interlisted canadian stocks in a study using an international capm framework jorion and schwartz 1986 find strong evidence of segmentation in the pricing of canadian stocks relative to a north american market comprising the canadian and u s stock markets the rejection of integration holds for canadian stocks that are interlisted on the u s stock exchanges and nasdaq as well as for domestic canadian stocks that are listed only on the canadian stock exchanges their results are surprising since the canadian and u s economies are highly integrated and the structure and regulation of security markets in the two countries are similar as well the canadian stocks interlisted on the u s stock exchanges list under the same regulation as the domestic u s stocks thus ex ante we would expect the canadian and u s stock markets to be integrated especially for the interlisted stocks 1 this study reexamines the integration in the canadian market employing both the capm and the apt frameworks since tests of market integration are joint tests of a specified model and market integration a relevant question is whether the two models produce different inferences pertaining to the integration issue in addition we explore this issue in a period that is

a unified beta pricing theory abstract this paper derives ross s mutual fund separation theory and a new equilibrium version of ross s arbitrage pricing theory as special cases of a general theory the paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns the capital asset pricing model a restricted case of the mutual fund separation theory receives special treatment

citicorp travelers group merger challenging barriers between banking and insurance abstract the citicorp travelers group merger increased the prospects for new legislation to remove the barriers between banking and insurance resulting in a positive wealth effect for institutions most likely to gain from deregulation analysis of abnormal returns surrounding the merger show that life insurance companies and large banks excluding citicorp and travelers group have significant stock price increases while the returns of small banks health insurers and property casualty insurers are insignificantly different from 0 this analysis provides evidence that investors expect large banks and insurance companies to receive significant benefits from recent congressional legislation removing barriers to bancassurance

a monte carlo investigation of the accuracy of multivariate capm tests abstract in a multivariate regression model relating individual returns to the market return capm implies non linear restrictions on the parameters several asymptotically valid tests of these restrictions have been suggested the existing monte carlo evidence shows that some of these tests are unreliable for reasonable sample sizes but does not indicate well which tests are reliable this paper reports the results of an extensive monte carlo experiment shanken s csr test and jobson and korkie s corrected likelihood ratio test are quite accurate in all cases we consider

an experimental investigation of the seller incentives in the epas emission trading auction the clean air act requires the epa to conduct annual auctions of emission allowances under the discriminative auction rules sellers with the lowest asking prices receive the highest bids this paper studies an inverted version of this auction in which buyers face the same incentives as sellers in the epa auction consistent with theoretical predictions buyers bid above their valuation auction outcomes are inefficient and increasing the number of buyers increases bids buyers facing human opponents compete more aggressively than the risk neutral prediction but bids do not differ systematically from this prediction when buyers face computerized nash robots copyright 1995 by american economic association

intra industry effects of bank privatization a clinical analysis of the privatization of the commonwealth bank of australia abstract this paper provides a comprehensive analysis of the effects of the privatization of the commonwealth bank of australia cba on the bank s performance and that of the rival banks first we find that the major rival banks reacted negatively to the privatization announcements although the initial partial privatization and the final full privatization announcements elicited stronger stock market reaction from the rival banks second we find that the cba s long term stock market performance improved markedly as the proportion of government ownership decreased with the bank s cumulative abnormal returns being 50 more than those of its rivals three years after the bank had been fully privatized also the cba has not only been very efficient in reducing cost and improving its profitability in the post privatization period it has outperformed its rivals on almost all the operating performance measures and has become the most profitable bank in australia a particularly noteworthy finding is that the improvements in the cba s operating and stock market performance and the rival banks reaction to the partial and full privatization announcements were strongest after the bank had been fully privatized the implication of the results for governments contemplating privatization of state owned enterprises is that full privatization is necessary in order to achieve strong gains in efficiency profitability and stock market performance

didmca and bank market risk theory and evidence abstract this paper examines the theoretical and empirical consequences of the depository institutions deregulation and monetary control act of 1980 on the market risk of the us banking industry we survey several theoretical arguments linking deregulation of deposit interest rates to market based measures of bank risk capital market data for a sample of large commercial bank holding companies provides evidence that deregulation has accompanied increases in both systematic and nonsystematic measures of bank risk

labor and investment demand at the firm level a comparison of french german and u s manufacturing 1970 79 we investigate how labor and investment demand at the firm level gross as well as net and replacement investment separately differs in french german and u s manufacturing and has changed since the 1974 75 crisis we use three consistent panel data samples of large firms for 1970 79 and rely on simple models of the accelerator profits type we find that the accelarator effects and the profits effects did not vary much between 1970 73 and 1976 79 and were quite comparable in the three countries the former being of a more permanent nature and the latter more transitory to a large extent these effects account for the important changes and differences in labor and investment demand between the two subperiods and across the three countries

the impact of the 1980 depository institutions deregulation and monetary control act on market value and risk evidence from the capital markets the depository institutions deregulation and monetary control act of 1980 brought about major changes in the banking industry this study employs capital market data to examine the act s impact on the relative competitive positions of distinct classes of firms within the industry the evidence supports the hypothesis that federal reserve system banks profited from the regulatory change at the expense of nonmember banks and savings and loans copyright 1988 by ohio state university press

the effects of a shift in monetary policy regime on the profitability and risk of commercial banks abstract this paper examines the effects of the fed s october 6th 1979 change in monetary policy regime on the profitability and risk of commercial banks using capital market data and an event study methodology it was found that bank stocks exhibited significant abnormal returns during the announcement week of the policy change when these abnormal returns were decomposed into a part related to unexpected interest rate changes and a part assumed to reflect increased rate variability the results were consistent with a negative relationship between bank returns and interest rate surprises as well as between bank returns and rate variability

the effects of didmca on bank stockholders returns and risk abstract in this paper we examine the effects of the 1980 didmca on bank stockholders returns and risk while at the time of the announcement both commercial banks and thrifts appeared to benefit measured by abnormal returns over a longer period of time surrounding the announcement week it is evident that thrift stockholders were the primary beneficiaries of the acts passage when the effects of didmca on risk was analysed it was found that after the act s passage the total return risk of both money center and regional banks increased while that for thrifts decreased however some of the beneficial effects of the act appear to have been mitigated by an increase in the absolute size of unexpected interest rate risk in the post enactment period