Chapter 1
Table 1.Correlations between January 01, 2002 and April 29, 2011.3
Table 2.Calibration and Parameter Values.14
Table 3.Descriptive Statistics.15
Table 4.Cat Bond Spreads – Multiple Regressions.16
Table 5.Cat Bond Spreads vs Corporate Bond Spreads – Multiple Regressions.24
Chapter 2
Table 1.Treasury Bond Prices under Optimal Trading Strategy.39
Table 2.Tax-timing Option Value of Treasury Bonds under Optimal Trading Strategy.
Table 3.Defaultable Bond Prices under Optimal Trading Strategy.42
Table 4.Tax-timing Option Value of Defaultable Bonds under Optimal Trading Strategy.
Table 5.Effects of Transaction Costs on the Tax-timing Option Value of Par Bonds.
Table 6.Summary Statistics of One-month Treasury Bill Rates (%).
Table 7.Defaultable Bond Prices under Optimal Trading Strategy.48
Table 8.Tax-timing Option Value of Defaultable Bonds under Optimal Trading Strategy.
Table 9.Tax-timing Option Value with Different Default Probabilities.
Table 10.Tax-timing Option Value with Different Recovery Rates.
Table 11.Tax-timing Option Value with Two Trading Intervals Per Year.
Table 12.Estimates of Default Probabilities When Tax-timing Options Are Ignored.
Table 13.Estimates of Implied Tax Rates When Tax-timing Options Are Ignored.
Chapter 3
Table 1.Summary Statistics of Monthly Stock Returns for Asian Markets.69
Table 2.Correlation Matrix of EPUs for Various Markets.71
Table 3.Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Dividend Yield.74
Table 4.Estimates of Excess Stock Returns on Expected Volatility, Downside Risk, and Economic Policy Uncertainty.76
Table 5.Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Japan ΔEPU in Asian Markets.
Table 6.Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and the Europe ΔEPU in Asian Markets.
Table 7.Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and the US ΔEPU in Asian Markets.
Table 8.Estimates of Excess Stock Returns on Conditional Volatility, Downside Risk, and Global ΔEPU in Asian Markets.
Table 9.Robustness Test of Excess Stock Returns on Conditional Volatility, Downside Risk, and Global Log-EPU in Asian Markets.
Chapter 4
Table 1.Breusch–Godfrey Test.96
Table 2.25 Size-B/M Portfolio.97
Table 3.25 Size-Inv Portfolio.
Table 4.25 Size-OP Portfolio.
Table 5.32 Size-OP-Inv Portfolio 22mm.
Chapter 5
Table 1.Domestic Market Shares of Main Mongolian Banks.111
Table 2.Framework for Corporate Social Responsibility Disclosure.118
Table 3.Sample Distribution and Data Availability.125
Table 4.Definitions of Variables and Expected Signs of Coefficients in the Regressions.127
Table 5.Corporate Social Responsibility Disclosure Index by Year.129
Table 6.Descriptive Statistics for All Variables.131
Table 7.Correlation Matrix Analysis.132
Table 8.Tests for Differences in Mean and Median of CSR Categories between Large and Small-medium Banks.135
Table 9.Tests for Differences in Mean and Median of CSR Indexes and Financial Performance Measurement between CEO Duality Banks and CEO Non-duality Banks.
Table 10.Test for Differences in Mean and Median of Financial Performance Measurements between Higher and Lower CSR Banks.136
Table 11.Regression Analysis for CSRQD and CFP without Lagged Independent Variables.137
Table 12.Regression Analysis for CSRRD and CFP without Lagged Independent Variables.141
Table 13.Regression Analysis for CSRQD and CFP with Lagged Independent Variables.144
Table 14.Regression Analysis for CSRRD and CFP with Lagged Independent Variables.147
Chapter 6
Table 1.Summary Statistics.169
Table 2.Summary Statistics for Intraday Trading Periods.170
Table 3.Estimation of the Return-signed Volume VAR for On-the-run Issues.
Table 4.Estimation of the Volatility–volume VAR Model for On-the-run Issues.
Table 5.Estimation of the Return-signed Volume VAR for Off-the-run Issues.
Table 6.Estimation of the Volatility–volume VAR for Off-the-run Issues.
Table 7.WACD Estimation for Five-year Treasury Notes.
Table 8.Decomposition of Volatility into Informed and Uninformed Components.189
Table 9.Price Contribution and Efficiency.193
Table 10.Regression of Effective Spread on Informed Volatility and Volume.195
Chapter 7
Table 1.NPA and Advances as Percent of GDP and as Percent of Total Advances.206
Table 2.Macroeconomic Variables Relevant to all Three Groups of Banks.207
Table 3.Descriptive Statistics.208
Table 4.Results from POLS Model.209
Chapter 8
Table 1.Selection of Sample of Delisting Subsidiaries.216
Table 2.Descriptive Statistics.217
Table 3.Results of Univariate Analysis218
Table 4.Results of Logit Regression.219
Table 5.Results of Logit Regression with Sales Growth Variable.220
Table 6.Correlation Coefficients among Variables.221
Chapter 9
Table 1.Parameter Values.228
Chapter 10
Table 1.Definitions and Distribution of Fitch’s Bank Individual Ratings (FBRs).238
Table 2.Distribution of Sample Banks by Country.239
Table 3.Summary Statistics on Bank Leverage.240
Table 4.Credit Rating Upgrades and Downgrades.241
Table 5.Bank Leverage near Credit Rating Changes: Gradation among Rating (GAR) Tests.244
Table 6.Bank Leverage near Credit Rating Changes: Credit Score Tests.245
Table 7.Bank Leverage near Credit Rating Changes: Investment Grade vs Speculative Grade.246
Table 8.Bank Leverage Levels following Credit Rating Changes.247
Table 9.Robustness Tests: Based on Propensity Score Matching Procedure.248
Chapter 11
Table 1.Macroeconomic Indicators.263
Table 2.Worldwide Doing Business Indicators.265
Table 3.Worldwide Governance Indicators.266
Table 4.Total Loans, Provisions for Nonperforming Loans, and Nonperforming Loans.269
Table 5.Commercial Loans, Consumer Loans, and Housing Loans.271
Table 6.Net Income and Administrative Expenses.273
Table 7.Standard Deviation of ROA and Logz.
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