We examine how lenders design contracts when borrowers are exposed to volatile transitory or permanent cash flow shocks. We find that volatile transitory shocks are associated with fewer liquidity covenants, indicating financial flexibility that can enable firms to survive temporary shocks. The opposite is true for volatile permanent shocks, suggesting that borrowers' economic fundamentals are important credit risk factors. Subsequent tests show that borrowers exposed to volatile transitory (permanent) shocks face less (more) severe consequences after covenant violations. We also find that lenders design contracts to control for agency risk, especially when borrowers are prone to gamble by delaying default.
Abstract In order to study the strength characteristics and damage characteristics of parallel double jointed red sandstone, physical uniaxial compression tests were carried out on parallel double jointed red sandstone filled with cement mortar under different geometric parameters. A method for calculating stress intensity factor of parallel double-jointed fractures was proposed. The results show that the larger the connectivity rate of collinear joints, the smaller the peak stress and strain. When the length of rock bridge decreases, the peak stress changes greatly. When the collinear joint is close to connectivity, the axial peak strain changes greatly, and the increase of connectivity rate will affect the change rate of transverse strain in the center of rock bridge. When the length and dip angle of the rock bridge remain unchanged, the closer the dip angle of the joint is, the lower the peak stress is and the shorter the failure time is. The failure mode of joint tip penetration affects the lateral displacement of the center of the rock bridge, and the displacement is always close to the first failure part. The closer the joint tip is to the load, the easier the end-face penetrating cracks occur.
Based on the Sichuan-Tibet highway south line (Tibet border line of State Road 318 K3473+ 000-K4670+000 and K1324+000-K1473+000 National Highway 214 line) the survey results,using Midas/GTS to establish the numerical model of slope stability analysis,analysis of two slope loose accumulation effect of subgrade slope stability.In the condition of respectively change the upper and lower slope,weanalyzes the change trend of subgrade slope safety coefficient of loose body accumulation.The simulation results show that the classification of slope stability can obviously improve the slope.Compared to the the slope change for the influence of the safety factor of the upper slope, resulting in lower slope safety coefficient of slope change is more obvious.
We present a new dynamic bank run model for liquidity risk where a financial institution finances its risky assets by a mixture of short- and long-term debt. The financial institution is exposed to insolvency risk at any time until maturity and to illiquidity risk at a finite number of rollover dates. We compute both insolvency and illiquidity default probabilities in this multiperiod setting using a structural credit risk model approach. Firesale rates can be determined endogenously as expected debt value over current asset value. Numerical results illustrate the impact of various input parameters on the default probabilities.
We study the impact of social capital, measured by corporate social responsibility (CSR) performance, on corporate borrowing. Using a sample of 120,204 bank loan applications of China's listed firms, we find that an increase in CSR performance increases the loan amounts of approved loans, although it does not alter the likelihood of loan approval. Using aggregate loans at the firm level, we show that CSR performance positively impacts firms' long-term borrowing from banks but does not affect their short-term borrowing. The economic magnitude of the positive effect is large at both the loan and firm levels. We attribute this positive relationship to reduced information asymmetry and improved risk mitigation. Surprisingly, we find that banks do not discipline their borrowers' CSR investments through the lending relationship. Specifically, when borrowers exhibit high CSR performance and borrow from banks with high CSR performance, further increases in CSR no longer correlate with larger loan amounts. Our findings suggest that China's state-led green credit policies should be more market-oriented.
As a special type of joint fracture, the fracture evolution characteristics of parallel double joints have important engineering significance for the stability analysis of fractured rock mass. In this work, a new method for calculating stress intensity factor of parallel double-jointed fractures was importantly proposed. Physical uniaxial compression tests were carried out on parallel double jointed red sandstone filled with cement mortar under different geometric parameters, and the macroscopic mechanical properties and failure characteristics of red sandstone are deeply analyzed. The results show that the larger the connectivity rate is, the smaller the peak stress and strain are. The increase of connectivity rate will affect the change rate of transverse strain in the center of rock bridge. The closer the dip angle of the joint is, the lower the peak stress is and the shorter the failure time is. The damage mode of joint tip encroachment affects the lateral displacement of the rock bridge center, and the displacement is always close to the first damage section. The closer the joint tip is to the load, the easier the end-face penetrating cracks occur. The research content can provide basic support for guaranteeing the stability of underground engineering rock mass.
Download This Paper Open PDF in Browser Add Paper to My Library Share: Permalink Using these links will ensure access to this page indefinitely Copy URL Cybercrime and the Cross-Section of Equity Returns 47 Pages Posted: 22 Dec 2022 See all articles by Jiatao LiuJiatao LiuXi'an Jiaotong-Liverpool UniversityIan W. MarshCity University London - The Business SchoolYajun XiaoXi'an Jiaotong-Liverpool University (XJTLU) Date Written: December 11, 2022 Abstract We use public news coverage about cybercrime to form a cybercrime news attention measure. This measure is consistent with the criteria for a state variable in ICAPM that is expected to forecasts economic conditions, thereby possessing the ability to predict cross-sectional equity returns. We estimate stock-level exposures to a tradeable cybercrime tracking factor. Stocks with the most positive sensitivities generate close to 10% lower annualized risk-adjusted returns than stocks with the most negative sensitivity. Our results indicate that risk-averse investors demand extra compensation to hold stocks with negative cybercrime beta and are willing to pay high prices for stocks with positive beta that hedge exposure to cybercrime. Though our main results are derived from a proprietary cybercrime series, we show that a particularly simple publicly-available alternative based on Google search trends yields very similar conclusions. Keywords: Equity returns, cybercrime, state variable, ICAPM, risk premia JEL Classification: G11, G12, C13, E20 Suggested Citation: Suggested Citation Liu, Jiatao and Marsh, Ian William and Xiao, Yajun, Cybercrime and the Cross-Section of Equity Returns (December 11, 2022). Available at SSRN: https://ssrn.com/abstract=4299599 Jiatao Liu (Contact Author) Xi'an Jiaotong-Liverpool University ( email ) Business Building (BS), South Campus, 8 Chongwen, Lake Science and Education Innovation DistrictSuzhou, 215123China Ian William Marsh City University London - The Business School ( email ) 106 Bunhill RowLondon, EC1Y 8TZUnited Kingdom+44 20 7040 5121 (Phone)+44 20 7040 8881 (Fax) HOME PAGE: http://www.cass.city.ac.uk/faculty/i.marsh Yajun Xiao Xi'an Jiaotong-Liverpool University (XJTLU) ( email ) 111 Renai Road, SIPJiangSu province 215123China Download This Paper Open PDF in Browser Do you have a job opening that you would like to promote on SSRN? Place Job Opening Paper statistics Downloads 9 Abstract Views 26 PlumX Metrics Related eJournals Investments eJournal Follow Investments eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 230 PAPERS 3,281 Political Economy - Development: Public Service Delivery eJournal Follow Political Economy - Development: Public Service Delivery eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS 59 PAPERS 24,732 Feedback Feedback to SSRN Feedback (required) Email (required) Submit If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday. Submit a Paper Section 508 Text Only Pages SSRN Quick Links SSRN Solutions Research Paper Series Conference Papers Partners in Publishing Jobs & Announcements Special Topic Hubs SSRN Rankings Top Papers Top Authors Top Organizations About SSRN SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs Copyright Terms and Conditions Privacy Policy We use cookies to help provide and enhance our service and tailor content. To learn more, visit Cookie Settings. This page was processed by aws-apollo-5dc in 0.116 seconds
Abstract Using popular liability‐side wealth management products in China, we construct an informative measure of shadow funding and shadow credit by extension. This measure reflects the risk appetites of financial intermediaries and their ability to expand their balance sheets through bank–shadow‐bank cooperation. Our measure possesses unique predictive power for future economic activity. An increase in the measure corresponds to increases in investment and consumption, which, in turn, reduce financing costs due to improvements in economic development.
We consider a continuous time market model, in which agents influence asset prices. The agents are assumed to be rational and maximizing expected utility from terminal wealth. They share the same utility function but are allowed to possess different levels of information. Technically our model represents a stochastic differential game with anticipative strategy sets. We derive necessary and sufficient criteria for the existence of Nash-equilibria and characterize them for various levels of information asymmetry. Furthermore we study in how far the asymmetry in the level of information influences Nash-equilibria and general welfare. We show that under certain conditions in a competitive environment an increased level of information may in fact lower the level of general welfare. This effect can not be observed in representative agent based models, where information always increases welfare. Finally we extend our model in a way, that we add prior stages, in which agents are allowed to buy and sell information from each other, before engaging in trading with the market assets. We determine equilibrium prices for particular pieces of information in this setup.
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