作者： bankr

Abstract
This paper empirically investigates the effect of banks’ soft information on small business innovations. Using data from a sample of Japanese small and medium enterprises (SMEs), we find that multiple banking prevails. Moreover, besides the main bank, the sub bank also acquires soft information for a number of multiple banking firms. Nonetheless, there coexists no bank information: the main bank’s information monopoly and multiple bank information competition. Importantly, such information competition in multiple banking is positively related to both product and process innovation while the main bank’s information monopoly has no significant effects on innovation. Also, we offer additional consistent evidence that information competition decreases the likelihood of worsening of the lending attitude of the main bank during the financial crisis. For single banking firms, bank information monopolies have a negative effect on product and process innovation.

Author Name XU Peng (Hosei University)
Creation Date/NO. April 2017 17-E-062
Research Project Study on Corporate Finance and Firm Dynamics

Abstract
Utilizing the regulatory change relating to banks’ shareholding in Japan as an instrument, this study examines the causal effects of declining shareholding by banks on bank lending and firms’ risk taking. Banks may hold equity claims over client firms for either of the following two reasons: (i) gaining a competitive advantage by exploiting complementarity between shareholding and lending activities, and (ii) mitigating shareholder-creditor conflict. Exogenous reduction in a bank’s shareholding would then impair the competitiveness of the bank’s lending activities and aggravate the risk-shifting behavior of client firms. Using a firm-bank matched dataset of Japan’s listed firms during the period 2001-2006, we empirically tested several hypotheses and obtain the following findings. First, a bank’s removal from the list of major shareholders of a client firm (extensive margin) and the reduction in the ratio of the bank’s shareholding to the firm’s total shares on issue (intensive margin) decreases the bank’s share of the firm’s loans. Second, a reduction in the extensive margin of a bank’s shareholding increases the volatility of the client firm’s return on assets and reduces its Sharpe ratio. However, we do not find the same effect when a bank reduces the intensive margin of its shareholding.
Creation Date/NO. May 2017 17-E-079

Abstract
This paper examines the portfolio diversification effect of commodity futures on financial market products introducing a comprehensive evaluation standard of risk standardization, robustly small correlations, and risk-return tradeoffs. Regarding risk standardization, we propose a definition of portfolio diversification as how much the distribution of portfolio returns is close to a normal distribution. It is shown by using α-stable distribution that if the commodity price return distribution has the opposite sign of skewness parameter β to financial portfolio’s β, commodity diversification effect exists. The empirical studies using S&P500, U.S. 10-year bond and DJ-AIG commodity index are conducted to investigate the portfolio diversification effects. The parameter estimation results of portfolio return distributions, the conditional correlations using the dynamic conditional correlation model with financial exogenous variables, and the efficient frontier from the mean-CVaR portfolio optimization all suggest that commodity futures have a diversification effect on financial markets.

Abstract
The purpose of this paper is to show how the mechanism of the reward structure for cryptocurrency mining (known as “Proof of Work”) is applicable to alleviation of the free rider problem for voluntary public goods provision. This paper presents the following results. First, if each individual reports preferences honestly, then the Samuelson condition can hold. It is possible to set an appropriate level of mining. Second, if the scheme (mechanism) offered by our manuscript is introduced, public goods can theoretically be provided at a Pareto optimal level under certain conditions because each rational individual reports true preferences to the government.