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2011年3月1号 Seminar-卢俊 博士
发布时间：2011-03-01
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主题：Size, Leverage and Risk-taking of Financial Institutions
主讲人：卢俊 博士
主持人：经济与工商管理学院副院长 杨澄宇教授
时间：2011年3月1号上午9：00-- 10：00
地点：北师大后主楼1722
Abstract
We investigate the link between firm size and risk-taking among financial institutions during the period of 1998-2008 and make four contributions. First, size is positively correlated with risk-taking measures even when controlling for other observable firm characteristics, such as market-to-book asset ratio, corporate governance and ownership structure. This is consistent with the notion that !°to-big-to-fail!± policies distort the risk incentives of financial institutions. Second, a simple decomposition of the risk measure, z-score, reveals that financial firms engage in excessive risk-taking mainly through leverage. Third, we find that the recently developed governance variable, measured as the median director dollar stockholding, has a substantial impact on reducing firm risk taking. Lastly, investment banks are generally riskier than commercial banks. These findings suggest that rather than capping the firm size, it is more effective for policymakers to control a financial firm!ˉs ris-taking by strengthening regulations on capital requirement; they also provide justification for the functional separation of investment banking from wholesale financial services; in terms of corporate risk management policy, these findings suggest that the excessive risk-taking problem can potentially be attenuated by focusing on the governance structure.
Introduction of the presentor
Doctor Lu is a PhD candidate in Finance at the Leeds School of Business, University of Colorado at Boulder. His research focuses on corporate finance, especially in the areas of banking and real estate finance. Financial firms play distinct roles in the economy from other industries. They are ‘vague’ and heavily regulated by government. Compared with n-financial industries, the impact of financial industry on the economy is substantial, as evidenced by many financial turbulences such as the Great Depression in the 1930s and the Great Recession just about two years ago. How should financial firms be regulated in a way that does not hurt the efficiency of the whole financial system? What is the optimal capital requirement for financial institutions? These are important and intriguing questions for Doctor Lu.