Browsing by Author "Yu, Min-Teh"

Now showing 1 - 20 of 20

Advertising and Investor Recognition of Banking Firms: Evidence from Taiwan
(2016-04)
Liao, Tsai-Ling
;
Sung, Hao-Chang
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study examines the effect of advertising expenditure on strengthening a firm\'s intangible capital and firm value by attracting the public on the firm\'s visibility and then investigates the role of advertising expenditures on a banking firm\'s market value, liquidity, and breadth of ownership. The empirical results find that the advertising has a significantly positive effect on banking firm\'s share value, liquidity, and institutional holdings. Consequently, this study concludes that advertising benefits banking firms through increased investor perceptions of such firms. In particular, the findings provide additional support for the home bias phenomena, in which investors prefer to invest in familiar stocks.
Book-to-Market Equity, Asset Correlations and the Basel Capital Requirement
(2013-09-01)
Lee, Shih-Cheng
;
Lin, Chien-Ting
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This paper examines the effect of book-to-market equity (BE/ME) on asset correlations under the Basel capital requirement. We find that BE/ME captures variations in asset correlations after controlling for firm size, default probability and industry effects from 1987 to 2011. Obligors with higher BE/ME exhibit lower asset correlations compared to those with lower BE/ME. Decomposing BE/ME into assets-in-place and growth options based on the asset pricing literature shows that obligors with more assets-in-place or more fixed assets have higher BE/ME and lower asset correlations than those with more growth options. Overall, our findings suggest that BE/ME is an additional important factor that may improve the estimates of asset correlations and thereby banks' capital adequacy.
Corporate Financial Decisions, Capital Markets, and Employment in Asia-Pacific Economies INTRODUCTION
(2016-04)
Doong, Shuh-Chyi
;
Yang, Sheng-Yung
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Empirical finance of financial institutions and market behavior
(2016-05)
Chiang, Thomas C.
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Financial Transaction Tax: Policy Analytics Based on Optimal Trading
(2015-06-01)
Sun, Edward W.
;
Kruse, Timm
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Introducing a financial transaction tax (FTT) has recently attracted tremendous global attention, with both proponents and opponents disputing its dampening effects on financial markets. In this paper we present a model to show under some circumstances that there exists a win-win situation via optimal trading when the tax burden can be dispersed. The way to absorb FTT in our model is to adjust the bid-ask spread. In our optimal trading model that considers FTT, the representative traders depend on the liquidity (market depth) they supply to weight their associated transaction cost by adjusting the spread ex post. We illustrate the analytical properties and computational solutions of our model when finding the optimal trading strategy under different market situations in order to offset FTT. We also conduct a simulation study to show the superior performance of our proposed optimal trading strategy in comparison to the alternative strategies that do not consider absorbing FTT. The results demonstrate that there is indeed a win-win situation, because financial institutions will not be worse off if such an optimal trading strategy is applied to offset FTT and reduce their transaction cost.
Founders and the decision of Chinese dual-class IPOs in the US
(2019-10-01)
Li, Xiaodan
;
Jiao, Yang
;
Yu, Min-Teh
;
Zhao, Yang
;
資訊管理與財務金融系註：原資管所+財金所
This study collects data on IPOs of U.S.-listed Chinese companies from 2000 to 2015 and explores why some of these firms deviate from the one share-one vote regime when going public. Our results identify "founder's influence" and "e-businesses" as two key determinants of dual-class IPOs that have not been found in the previous literature. The significance of the effect of fundraising for long-term investments as found in the literature and this study disappears when comparing these two new determinants together. We also provide empirical evidence that managers adopt a dual-class share structure in order to retain control and to diversify the risk of their own wealth, and that there is no significant performance difference between dual-class firms and single-class firms after IPOs.
Generalized optimal wavelet decomposing algorithm for big financial data
(2015-07-01)
Sun, Edward W.
;
Chen, Yi-Ting
;
Yu, Min-Teh
;
資訊工程學系
;
Department of Computer Science
Using big financial data for the price dynamics of U.S. equities, we investigate the impact that market microstructure noise has on modeling volatility of the returns. Based on wavelet transforms (DWT and MODWT) for decomposing the systematic pattern and noise, we propose a new wavelet-based methodology (named GOWDA, i.e., the generalized optimal wavelet decomposition algorithm) that allows us to deconstruct price series into the true efficient price and microstructure noise, particularly for the noise that induces the phase transition behaviors. This approach optimally determines the wavelet function, level of decomposition, and threshold rule by using a multivariate score function that minimizes the overall approximation error in data reconstruction. The data decomposition method enables us to estimate and forecast the volatility in a more efficient way than the traditional methods proposed in the literature. Through the proposed method we illustrate our simulation and empirical results of improving the estimation and forecasting performance. (C) 2015 Elsevier B.V. All rights reserved.
Guest Editor's Introduction: Institutional Characteristics and Trading Mechanisms of Financial Markets in East Asia
(2013-07-01)
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
High frequency trading, liquidity, and execution cost
(2014-12-01)
Sun, Edward W.
;
Kruse, Timm
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
We build a model under the framework of discrete optimization to explain how high frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We derive the analytical properties of our model in finding the optimal solution to minimize the overall execution cost of HFT. We show that the execution cost can be reduced after increasing trading frequency (i.e., the higher the trading frequency, the lower the execution cost) with a simulation study. In addition, we conduct an empirical investigation with tick level data from US equity market through January 2008 to October 2010 to verify our conclusion drawn from the simulation study. Based on the simulation and empirical results we collected, we show that the HFT can reduce the execution cost when supplying liquidity.
Improving model performance with the integrated wavelet denoising method
(2015-09-01)
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
;
交大名義發表
;
National Chiao Tung University
Intelligent pattern recognition imposes new challenges in high-frequency financial data mining due to its irregularities and roughness. Based on the wavelet transform for decomposing systematic patterns and noise, in this paper we propose a new integrated wavelet denoising method, named smoothness-oriented wavelet denoising algorithm (SOWDA), that optimally determines the wavelet function, maximal level of decomposition, and the threshold rule by using a smoothness score function that simultaneously detects the global and local extrema. We discuss the properties of our method and propose a new evaluation procedure to show its robustness. In addition, we apply this method both in simulation and empirical investigation. Both the simulation results based on three typical stylized features of financial data and the empirical results in analyzing high-frequency financial data from Frankfurt Stock Exchange confirm that SOWDA significantly (based on the RMSE comparison) improves the performance of classical econometric models after denoising the data with the discrete wavelet transform (DWT) and maximal overlap discrete wavelet transform (MODWT) methods.
Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles
(2018-08-01)
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
;
管理學院
;
College of Management
Portfolio management and integrated risk management are more commonly applied toward enterprise risk management, requiring multivariate risk measures that capture the dependence among many risk factors. In this paper we propose the non-parametric estimator for multivariate value at risk (MVaR) and multivariate average value at risk (MAVaR) based on the multivariate geometric quantile approach and derive the symptotic properties of the proposed estimators for MVaR. We also present their performances under both simulated data and high-frequency financial data from the New York Stock Exchange. In addition, we compare our method with the delta normal approach and order statistics approach. The overall empirical results confirm that the multivariate geometric quantile approach significantly improves the risk management performance of MVaR and MAVaR.
Moment-Matching Approximations for Asian Options
(2014-06-01)
Lo, Chien-Ling
;
Palmer, Kenneth J.
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study provides a generalized framework under which all types of Asian options can be priced: fixed and floating strike, forward starting, and in progress. We not only extend the previous studies to our framework, but also propose a new and theoretically supported closed-form approximation for the option prices. We utilize the moment-matching approach, providing a tractable, flexible, and efficient iterative method to calculate the moments. This study also suggests that the use of a Taylor expansion is unnecessary and exhibits the considerable improvement achieved by avoiding truncation errors.
Portfolio optimization in the catastrophe space
(1970-01-01)
Chang, Carolyn W.
;
Chang, Jack S. K.
;
Yu, Min-Teh
;
Zhao, Yang
;
交大名義發表
In today's global catastrophe space, the role of insurance-linked securities has evolved from that of a threatened reinsurance substitute to now being a viable complementary reinsurance product, underpinning the convergence of the two markets. This study constructs a two-agent sequential optimization framework to mimic the economics of the reinsurance/insurance markets and shows how NPV-maximizing reinsurers and hedging cost-minimizing insurers can optimally allocate default-risky catastrophe reinsurance and default-free catastrophe bonds at the interface of these two markets. We analyze parametric impacts considering interest rate risk, financial leverage, basis risk, differential markup, catastrophe arrival intensity, and severity, as well as other relevant characteristics.
Price and Liquidity Effects of Switching Exchange Listings
(2013-07-01)
Liao, Tsai-Ling
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
By examining the price and liquidity effects around announcements of switching exchanges by firms within structurally similar markets in Taiwan, the authors uncover that while switching firms experience only a trivial effect around the application announcement days, there is a pronounced price rise during the prelisting period. Subsequently, they find only a partial reversal of this prelisting increase over the listing days and the postlisting period. However, they observe that stock liquidity improves following the application announcements, peaks around the listing days, and remains at high levels after listing. Further results suggest that firms' announcements that they are switching exchanges are not followed by improved earnings relative to performance-matched control firms. Collectively, these results reveal that transfer stocks in Taiwan convey information about permanent improvements in liquidity rather than better earnings prospects, which is consistent with the stock marketability implications of managerial exchange-switching decisions.
Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading
(2018-08-01)
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
;
資訊學院
;
College of Computer Science
Dynamic risk management requires the risk measures to adapt to information at different times, such that this dynamic framework takes into account the time consistency of risk measures interrelated at different times. Therefore, dynamic risk measures for processes can be identified as risk measures for random variables on an appropriate product space. This paper proposes a wavelet feature decomposing algorithm based on the discrete wavelet transform that optimally decomposes the time-consistent features from the product space. This approach allows us to generalize the multiple-stage risk measures of value at risk and conditional value at risk for the feature-decomposed processes, and implement them into portfolio selection using high-frequency data of U.S. DJIA stocks. The overall empirical results confirm that our proposed method significantly improves the performance of dynamic risk assessment and portfolio selection.
Systematic risk and volatility skew
(2016-05)
Tzang, Shyh-Weir
;
Wang, Chou-Wen
;
Yu, Min-Teh
;
交大名義發表
;
National Chiao Tung University
The impact of systematic risk on volatility skew is assessed in a CAPM-GARCH framework under which the relationship between asset price and market index adheres to the CAPM with each residual following an asymmetric GARCH process. From numerical analysis, we demonstrate that (1) the relation between beta and implied volatilities presents a beta smile; (2) beta can determine the shape of implied volatility curve, but systematic risk proportion (SRP) cannot; and (3) the degree of negative skewness and positive kurtosis is proportional to the SRP; however, a higher SRP does not always lead to a higher level of implied volatility. (C) 2015 Elsevier Inc. All rights reserved.
Systemic risk, financial markets, and performance of financial institutions
(2018-03-01)
Lin, Edward M. H.
;
Sun, Edward W.
;
Yu, Min-Teh
;
交大名義發表
;
National Chiao Tung University
This paper studies the exposure and contribution of financial institutions to systemic risks in financial markets. We employ three popular indicators of a financial institution's exposure to systemic risks: the systemic risk index (SRISK) and marginal expected shortfall (MES) of Brownlees and Engle (Volatility, correlation and tails for systemic risk measurement, Social Science Research Network, Rochester, NY, 2012) and the conditional Value-at-Risk (CoVaR) of Adrian and Brunnermeier (2011). We use a primary database of Taiwan financial institutions for our empirical study. A panel contains data of stock market returns and balance sheets of 31 Taiwan financial institutions for 2005-2014. We focus on systemic risk analysis so as to understand the dynamics of volatility, interdependency, and risk during the recent financial crisis. We then report the time series dynamics and cross sectional rankings of these systemic risk measures. The main results indicate that although these three measures differ in their definition of the contributions to systemic risk, all are quite similar in identifying systemically important financial institutions (SIFIs). Moreover, we find empirical evidence that systemic risk contributions are closely related to certain institution characteristic factors. The results of the Granger causality tests prove that a systemic risk measure is a great alternative tool for monitoring early warning signals of distress in the real economy.
Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry
(2018-05-01)
Chang, Carolyn W.
;
Li, Xiaodan
;
Lin, Edward M. H.
;
Yu, Min-Teh
;
交大名義發表
We employ three measures- marginal expected shortfall, SRISK index, and Conditional Value-at-Risk- to assess an insurer's exposure and contribution to systemic risk during the period 2005-2015. We then examine the primary factors posing the systemic risk and find that both non-core activities and interconnectedness of insurers are the significant and primary drivers. Our results differ from the findings in the U.S. insurance sector where firm size is the primary driver of insurers' exposure and contribution to systemic risk, as the findings in the global insurance sector where leverage is a significant driver of insurers' exposure, and both leverage and non-core activities are primary drivers of insurers' contribution to systemic risk. Our results further indicate that the size and significance of the interconnectedness effect on systemic risk increase as the share of insurance sector within the financial industry rises.
Valuation of insurers' contingent capital with counterparty risk and price endogeneity
(2013-12-01)
Lo, Chien-Ling
;
Lee, Jin-Ping
;
Yu, Min-Teh
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study develops a structural framework to value insurers' contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument - catastrophe equity put option (CatEPut) - indicate that prices can be significantly overestimated without considering CR and be significantly underestimated without considering PE. This study also examines how CatEPuts affect the buyer's probability of default (PD). Our results show that buying a CatEPut lowers the PD for high-risk insurers, but not necessarily so for low-risk insurers; however, without taking CR and PE into account, one may significantly overestimate the credit enhancement provided by the CatEPuts. (C) 2013 Elsevier B.V. All rights reserved.
Valuing Vulnerable Mortgage Insurance Under Capital Forbearance
(2017-05-01)
Chang, Chia-Chien
;
Yu, Min-Teh
;
交大名義發表
;
National Chiao Tung University
This study sets up a contingent-claim framework incorporating the default risk of a mortgage insurer and the capital forbearance of regulators to value mortgage insurance (MI) contracts. We further investigate how critical policy parameters, such as capital requirements, prompt closure, and time of delay, relate to the MI premium by deriving a closed-form solution and evaluating its partial derivatives. The solutions show a negative cross effect of forbearance threshold and time delay on MI, indicating that a lower forbearance threshold and a longer period of time delay both expand their positive impacts on the price of MI. The numerical results show that an insurer's default risk premium can be substantial in the presence of a catastrophic risk in the housing price. For mortgage insurers with a lower asset-liability ratio, the effect of the interest rate risk on the MI premium is more obvious and noteworthy. Moreover, the forbearance threshold effect and capital requirements effect are more significant than the time delay effect on the MI premium.