Da-Bai Shen - Academia.edu (original) (raw)

Papers by Da-Bai Shen

Research paper thumbnail of Cross-strait Financial Distress Pre-warning Models that Include Corporate Governance: Reestimating Ohlson's Models

Universal Journal of Accounting and Finance, 2015

This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate ... more This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate the application of a logistic regression to establish financial distress pre-warning models. The bankruptcy indicators are selected by three stages, namely a Wilcoxon test, a ridge regression, and a stepwise refinement. We attempt to determine whether predictors can be obtained by incorporating corporate governance variables that could increase failure predictability. Both non-outstanding state shares and shareholding of placement institutions are flagged positively and significantly in the pre-warning model in China; this finding conforms with the "conflicts of interest hypothesis." The shareholding by foreign institutions negatively impacts the financial crisis, a finding that is in keeping with the "efficient supervisions hypothesis." The negative and significant relation associated with the director shareholding and financial crisis in Taiwan is in accordance with the "convergence of interest hypothesis." Cross-shareholding has a positive effect on a firm's failure in Taiwan. The results also demonstrate that the integrated model has the best capacity to identify pre-warning models among all models. For the models of estimation, Taiwan's model is slightly superior to China's model.

Research paper thumbnail of Price limits and the stock market in Taiwan

ABSTRACT Thesis (Ph. D.)--Tulane University, 1992. Vita. Includes bibliographical references (lea... more ABSTRACT Thesis (Ph. D.)--Tulane University, 1992. Vita. Includes bibliographical references (leaves 142-145). Photocopy. s

Research paper thumbnail of The Effect of Legal Environment on theAssociation between Credit Risk and EarningsQuality: Evidence from China

The study examines the association between credit risk and earnings quality as well as the mediat... more The study examines the association between credit risk and earnings quality as well as the mediating role of legal environment on foregoing relationship by using a sample of Chinese A-share listed companies. The empirical results indicate that the higher credit risk, the lower earnings quality of financial reporting. Besides, firms that are situated in the provinces with a sounder legal environment exhibit higher earnings quality. Finally, this study also finds that the sound legal systems could restrain the potential earnings manipulation behaviors of high credit risk firms, thereby improving the quality of reported earnings. Key words: Earnings quality, credit risk, legal environment, provincial business environment index

Research paper thumbnail of Bank Risk Appetite Measurement and the Relationship with Macroeconomic Factors: Case of Taiwan's Banks

In this paper, we propose a method based on the rank correlation between risk of assets and exces... more In this paper, we propose a method based on the rank correlation between risk of assets and excess returns to set a risk appetite index (RAI) to measure risk appetite of banks. We hope to explain how international financial crises or other serious economic events can change bank risk appetite and also to explain the relationship between bank risk appetite and macroeconomic factors. From the empirical case of Taiwan’s banks, we find that local crises resulted in a significant decline in RAI for most banks and had a negative relationship with stock returns. According to the changes in risk appetite, a banking enterprise can set a risk level and related rules as a basis for adjusting policy.

Research paper thumbnail of Word Vector Models Approach to Text Regression of Financial Risk Prediction

Symmetry

Linking textual information in finance reports to the stock return volatility provides a perspect... more Linking textual information in finance reports to the stock return volatility provides a perspective on exploring useful insights for risk management. We introduce different kinds of word vector representations in the modeling of textual information: bag-of-words, pre-trained word embeddings, and domain-specific word embeddings. We apply linear and non-linear methods to establish a text regression model for volatility prediction. A large number of collected annually-published financial reports in the period from 1996 to 2013 is used in the experiments. We demonstrate that the domain-specific word vector learned from data not only captures lexical semantics, but also has better performance than the pre-trained word embeddings and traditional bag-of-words model. Our approach significantly outperforms with smaller prediction error in the regression task and obtains a 4%–10% improvement in the ranking task compared to state-of-the-art methods. These improvements suggest that the textual...

Research paper thumbnail of Impact of Operational Risk Toward the Efficiency of Banking - Evidence from Taiwans Banking Industry

Asian Economic and Financial Review

This study adopts a GARCH model to estimate the operational risk of Taiwan's banking industry by ... more This study adopts a GARCH model to estimate the operational risk of Taiwan's banking industry by the Top-Down method. Based on the approach of Battese and Coelli (1995) we estimate the Trans-log cost model and the inefficient model simultaneously by the Maximum likelihood method. Our empirical result shows that the operational risks have a significantly positive impact on cost inefficiency-that is, regardless of which methods we use for calculation, operational risk drives down economic efficiency. Comparing with the basic index method, the multi-factor model of the Top-Down method is better at analyzing the relationship of operational risk and efficiency. Contribution/ Originality: This study contributes in the existing literature by employing a multi-factor model of Top-Down method to quantify banking operational risk. Furthermore, this is one of the very few studies which examine the relationship between operational risk and "real" bank's performance-cost efficiency.

Research paper thumbnail of Efficiency and capital adequacy in Taiwan banking: BCC and super-DEA estimation

The Service Industries Journal, 2008

In this study the researchers adopt two DEA methods – Banker-Charnes-Cooper and Super Efficiency ... more In this study the researchers adopt two DEA methods – Banker-Charnes-Cooper and Super Efficiency – to investigate whether a bank's technical efficiency is significantly different when capital adequacy (risk) is specified compared with when capital adequacy (risk) is not specified. The information is obtained from 46 Taiwanese banks for the period 2000 to 2002. The Malmquist total factor productivity (TFP)

Research paper thumbnail of Small business lending and bank cost efficiency

Journal of Statistics and Management Systems, 2004

ABSTRACT This study uses data information of 43 Taiwan’s commercial banks for the period from 199... more ABSTRACT This study uses data information of 43 Taiwan’s commercial banks for the period from 1998 to 2000 and adopts the model of frontier function introduced by Battese and Coeill (1995) to evaluate banks’ cost inefficiency indices and to test the relationship between cost inefficiency and small business lending. According to the empirical results in this study, there are two identifiable findings as follows: (1) Based on the each year efficiency indices, the five most efficient banks provide lending to small business less than 5% of their total lending. However, the five least efficient banks have more than 50% of lending to small business compared to their total lending. This indicates that the higher lending percentage to small business, the less efficient. (2) There is a positive relationship between cost inefficiency and small business lending, i.e. if a bank provides more lending to small business. its cost inefficiency becomes worse.

Research paper thumbnail of International capital movements and the developing world—The case of Taiwan

Journal of Business Research, 1992

Research paper thumbnail of Cross-strait Financial Distress Pre-warning Models that Include Corporate Governance: Reestimating Ohlson's Models

Universal Journal of Accounting and Finance, 2015

This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate ... more This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate the application of a logistic regression to establish financial distress pre-warning models. The bankruptcy indicators are selected by three stages, namely a Wilcoxon test, a ridge regression, and a stepwise refinement. We attempt to determine whether predictors can be obtained by incorporating corporate governance variables that could increase failure predictability. Both non-outstanding state shares and shareholding of placement institutions are flagged positively and significantly in the pre-warning model in China; this finding conforms with the "conflicts of interest hypothesis." The shareholding by foreign institutions negatively impacts the financial crisis, a finding that is in keeping with the "efficient supervisions hypothesis." The negative and significant relation associated with the director shareholding and financial crisis in Taiwan is in accordance with the "convergence of interest hypothesis." Cross-shareholding has a positive effect on a firm's failure in Taiwan. The results also demonstrate that the integrated model has the best capacity to identify pre-warning models among all models. For the models of estimation, Taiwan's model is slightly superior to China's model.

Research paper thumbnail of Cross-strait Financial Distress Pre-warning Models that Include Corporate Governance: Reestimating Ohlson's Models

Universal Journal of Accounting and Finance, 2015

This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate ... more This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate the application of a logistic regression to establish financial distress pre-warning models. The bankruptcy indicators are selected by three stages, namely a Wilcoxon test, a ridge regression, and a stepwise refinement. We attempt to determine whether predictors can be obtained by incorporating corporate governance variables that could increase failure predictability. Both non-outstanding state shares and shareholding of placement institutions are flagged positively and significantly in the pre-warning model in China; this finding conforms with the "conflicts of interest hypothesis." The shareholding by foreign institutions negatively impacts the financial crisis, a finding that is in keeping with the "efficient supervisions hypothesis." The negative and significant relation associated with the director shareholding and financial crisis in Taiwan is in accordance with the "convergence of interest hypothesis." Cross-shareholding has a positive effect on a firm's failure in Taiwan. The results also demonstrate that the integrated model has the best capacity to identify pre-warning models among all models. For the models of estimation, Taiwan's model is slightly superior to China's model.

Research paper thumbnail of Price limits and the stock market in Taiwan

ABSTRACT Thesis (Ph. D.)--Tulane University, 1992. Vita. Includes bibliographical references (lea... more ABSTRACT Thesis (Ph. D.)--Tulane University, 1992. Vita. Includes bibliographical references (leaves 142-145). Photocopy. s

Research paper thumbnail of The Effect of Legal Environment on theAssociation between Credit Risk and EarningsQuality: Evidence from China

The study examines the association between credit risk and earnings quality as well as the mediat... more The study examines the association between credit risk and earnings quality as well as the mediating role of legal environment on foregoing relationship by using a sample of Chinese A-share listed companies. The empirical results indicate that the higher credit risk, the lower earnings quality of financial reporting. Besides, firms that are situated in the provinces with a sounder legal environment exhibit higher earnings quality. Finally, this study also finds that the sound legal systems could restrain the potential earnings manipulation behaviors of high credit risk firms, thereby improving the quality of reported earnings. Key words: Earnings quality, credit risk, legal environment, provincial business environment index

Research paper thumbnail of Bank Risk Appetite Measurement and the Relationship with Macroeconomic Factors: Case of Taiwan's Banks

In this paper, we propose a method based on the rank correlation between risk of assets and exces... more In this paper, we propose a method based on the rank correlation between risk of assets and excess returns to set a risk appetite index (RAI) to measure risk appetite of banks. We hope to explain how international financial crises or other serious economic events can change bank risk appetite and also to explain the relationship between bank risk appetite and macroeconomic factors. From the empirical case of Taiwan’s banks, we find that local crises resulted in a significant decline in RAI for most banks and had a negative relationship with stock returns. According to the changes in risk appetite, a banking enterprise can set a risk level and related rules as a basis for adjusting policy.

Research paper thumbnail of Word Vector Models Approach to Text Regression of Financial Risk Prediction

Symmetry

Linking textual information in finance reports to the stock return volatility provides a perspect... more Linking textual information in finance reports to the stock return volatility provides a perspective on exploring useful insights for risk management. We introduce different kinds of word vector representations in the modeling of textual information: bag-of-words, pre-trained word embeddings, and domain-specific word embeddings. We apply linear and non-linear methods to establish a text regression model for volatility prediction. A large number of collected annually-published financial reports in the period from 1996 to 2013 is used in the experiments. We demonstrate that the domain-specific word vector learned from data not only captures lexical semantics, but also has better performance than the pre-trained word embeddings and traditional bag-of-words model. Our approach significantly outperforms with smaller prediction error in the regression task and obtains a 4%–10% improvement in the ranking task compared to state-of-the-art methods. These improvements suggest that the textual...

Research paper thumbnail of Impact of Operational Risk Toward the Efficiency of Banking - Evidence from Taiwans Banking Industry

Asian Economic and Financial Review

This study adopts a GARCH model to estimate the operational risk of Taiwan's banking industry by ... more This study adopts a GARCH model to estimate the operational risk of Taiwan's banking industry by the Top-Down method. Based on the approach of Battese and Coelli (1995) we estimate the Trans-log cost model and the inefficient model simultaneously by the Maximum likelihood method. Our empirical result shows that the operational risks have a significantly positive impact on cost inefficiency-that is, regardless of which methods we use for calculation, operational risk drives down economic efficiency. Comparing with the basic index method, the multi-factor model of the Top-Down method is better at analyzing the relationship of operational risk and efficiency. Contribution/ Originality: This study contributes in the existing literature by employing a multi-factor model of Top-Down method to quantify banking operational risk. Furthermore, this is one of the very few studies which examine the relationship between operational risk and "real" bank's performance-cost efficiency.

Research paper thumbnail of Efficiency and capital adequacy in Taiwan banking: BCC and super-DEA estimation

The Service Industries Journal, 2008

In this study the researchers adopt two DEA methods – Banker-Charnes-Cooper and Super Efficiency ... more In this study the researchers adopt two DEA methods – Banker-Charnes-Cooper and Super Efficiency – to investigate whether a bank's technical efficiency is significantly different when capital adequacy (risk) is specified compared with when capital adequacy (risk) is not specified. The information is obtained from 46 Taiwanese banks for the period 2000 to 2002. The Malmquist total factor productivity (TFP)

Research paper thumbnail of Small business lending and bank cost efficiency

Journal of Statistics and Management Systems, 2004

ABSTRACT This study uses data information of 43 Taiwan’s commercial banks for the period from 199... more ABSTRACT This study uses data information of 43 Taiwan’s commercial banks for the period from 1998 to 2000 and adopts the model of frontier function introduced by Battese and Coeill (1995) to evaluate banks’ cost inefficiency indices and to test the relationship between cost inefficiency and small business lending. According to the empirical results in this study, there are two identifiable findings as follows: (1) Based on the each year efficiency indices, the five most efficient banks provide lending to small business less than 5% of their total lending. However, the five least efficient banks have more than 50% of lending to small business compared to their total lending. This indicates that the higher lending percentage to small business, the less efficient. (2) There is a positive relationship between cost inefficiency and small business lending, i.e. if a bank provides more lending to small business. its cost inefficiency becomes worse.

Research paper thumbnail of International capital movements and the developing world—The case of Taiwan

Journal of Business Research, 1992

Research paper thumbnail of Cross-strait Financial Distress Pre-warning Models that Include Corporate Governance: Reestimating Ohlson's Models

Universal Journal of Accounting and Finance, 2015

This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate ... more This paper uses listed cross-strait (China and Taiwan) companies during 2006-2010 to demonstrate the application of a logistic regression to establish financial distress pre-warning models. The bankruptcy indicators are selected by three stages, namely a Wilcoxon test, a ridge regression, and a stepwise refinement. We attempt to determine whether predictors can be obtained by incorporating corporate governance variables that could increase failure predictability. Both non-outstanding state shares and shareholding of placement institutions are flagged positively and significantly in the pre-warning model in China; this finding conforms with the "conflicts of interest hypothesis." The shareholding by foreign institutions negatively impacts the financial crisis, a finding that is in keeping with the "efficient supervisions hypothesis." The negative and significant relation associated with the director shareholding and financial crisis in Taiwan is in accordance with the "convergence of interest hypothesis." Cross-shareholding has a positive effect on a firm's failure in Taiwan. The results also demonstrate that the integrated model has the best capacity to identify pre-warning models among all models. For the models of estimation, Taiwan's model is slightly superior to China's model.