Off-balance sheet activity, market-determined and accounting-determined stock prices of commercial banks

The rapid growth of OBSA in recent years has concerned bank regulators that such OBSA are risk-increasing and should be brought under control throughadditional capital requirements. Previous empirical literature tested the riskiness of certain OBSA by employing systematic or total risk as dependent variables, and documented that some OBSA may reduce bank risk. This paper reexamines the relationship between market values, accounting values of bank stock and OBSA. This paper tests the implication of OBSA on market values of bank equity by employing a generalized Gordon-type stock valuation model. The results support the hypothesis that book values of equity predict market values of bank stock significantly, and OBSA do not appear to influence market values of bank stock. Because diversified investors are concerned with systematic risk and hence market values of equities, additional capital requirements of OBSA may be inappropriate

Long-Term Structural Price Relationships in Real Estate Markets

This study investigates the long-run stochastic properties of real estate assets by geographical breakdown. We also study their linkages with financial assets. The initial tests find that almost all property types exhibit the presence of nonstationarity. Thus, cointegrated methodologies are used. Structural breakpoints identified in the literature are used as a guide to divide the data into two windows, 1983-1989 and 1990-1996. The results show that real estate in the different regions exhibit a closer relationship with each other in the second period, compared with the first. Also, strong linkages between real estate regions and financial assets are noted in the second period. The South is the only region to exhibit segmentation in both periods. Overall, the information derived from our analysis sheds light on linkages among real estate assets and between real estate and financial assets and also provides a framework for creating diversified portfolios.

Faculty Observables and Self-Reported Responsiveness to Academic Dishonesty

Prior to 2009, a mid-sized public institution in the southeast had a faculty-driven honor policy characterized by little education about the policy and no tracking of repeat offenders. An updated code, implemented in August of 2009, required that students sign an honor pledge, created a formal student honor board, and developed a process to track and hold accountable, repeat offenders. Self-reported data on faculty vigilance to detect and punish cheating is collected both prior to and after a change in the honor code at a mid-sized public institution in the southeast. We find that, at the time of the first survey, full professors and faculty with a longer duration of employment were more likely to claim vigilance in cheating detection and harshness in punishing cheaters than newer, untenured faculty. The relationship between these factors and detection and harshness diminished when the honor code was enhanced

Transactions, volume and volatility: evidence from an emerging market

We examine the volume-volatility relation, which has previously been reported as positive in many markets, for the emerging market of Taiwan. Our findings suggest that the positive volume-volatility relation is driven entirely by daily number of trades. In fact, we observe a negative relation between trade size and volatility. Although the impact of individual (vs. institutional) traders may be greater in emerging markets, these findings have implications for market microstructure models and the design of electronic call market auctions.

An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only recently gained emerging status, one finds that five out of the ten ME&A emerging markets have stable returns over time. On the issue of predictability in the ME&A emerging markets, three different tests have been employed to draw conclusions. It was found that by using the three different tests, one receives slightly different results on predictability. In general, one finds ME&A markets to be unpredictable. The findings on volatility in the emerging market indicate that eight out of the ten markets show evidence of volatility clustering, but in these eight ME&A markets the shocks are not explosive. On persistence of shocks to volatility, one finds only one market to have permanent shocks; and the volatility movement affects the stock market returns. In summary, eight emerging markets have volatility clustering and one market shows positive and significant time varying risk premiums. Overall, the results fail to indicate time varying risk premium in nine of the ten ME&A markets. Although many of the emerging markets in ME&A regions are in the formative stage, it is felt that ME&A equity markets are where investors may find a good return for the investment, considering the trade-off between risk and return. In particular, the correlation is found to be low, which provides investors with the opportunity for diversification.