公司权益价值的非线性效应——基于持续经营和转换期权分析

基于对持续经营价值与转换期权价值的分析,本文将两种非线性效应引入了传统的线性权益定价模型。同时进一步考虑税收摩擦,新的模型刻画了公司权益价值关于其营业收入的凹性关系:即公司的权益价值随公司营业收入单调递增,而其边际贡献却在递减。基于中国A股上市公司财务数据的实证结果表明:就单一行业而言,定价模型所描述的关系基本成立;但由于异质性的存在,不同行业的营业收入与权益价值之间并不存在同一的非线性协整关系。     

可转换债券所含负债与权益的分叉处理法及其案例分析——基于标准期权定价模型的预期价值法

本文借鉴西方可转换债券分叉处理的做法并结合转股可能性因素,提出一种基于标准期权定价模型理论的新分叉处理法一预期价值法。以上海机场转债为例介绍该法的运用并分析了财务效应。研究表明:转债所含的权益价值不为零且大于期权价值;所含的负债价值小于按现行会计原则确认的价值。因此,该法确认的负债、权益价值更能反映经济实质。     

运用Black-Scholes期权评估公司股票的投资价值

在股票定价的方法中,传统的股利贴现模型需要精确确定投资者的预期收益率和未来支付的现金股利,考虑到公司的权益资本(股票)具有期权的特性,本质上是基于公司价值的看涨期权,因而可以用Black-Scholes期权理论来评估其投资价值。     

IPO价值定价与公允价值计量选择

引入公允价值计量是公司IPO价值评估方法的发展趋势。公允价值计量方法有利于增强IPO公司会计信息的解释能力,能够为新股投资者提供更高效率的决策信息。公允价值的估值技术在IPO定价方面需要有层次地逐级使用,IPO定价就是投资者投入价值和发行人产出价值的均衡结果。以公允价值计量IPO资产,是买卖双方自愿交换资产和权益。因此,推行公允价值计量的IPO定价,应该寻找具有可靠性的估值技术,视企业特征、行业属性和资产类别的不同情形而采取相应办法。     

基于期权动态博弈理论的一层超额损失再保险定价模型构建

本文结合BS期权定价模型和完全信息下的动态博弈理论,构建出基于期权动态博弈理论的一层超额损失再保险的定价模型,该模型既考虑了保险资金的时间价值和风险价值,又结合了动态博弈模型的局中人策略行为分析过程的优势,更好地、更准确地还原了再保险合同签订时合同双方的决策考虑。同时,将这种复杂动态金融条件下的决策求解进行了较大程度的简化,帮助我们在原有的再保险定价模型的基础上发展出对跨领域的思考。     

国有商业银行行长人力资本定价分析

人力资本定价是国有商业银行行长面临的一大课题,也是提高国有商业银行经营效率的关键。本文从国有银行行长人力资本的特点入手,基于马克思劳动价值理论和人力资本价值理论的视野,探讨了行长人力资本价值的源泉。在此基础上,对我国国有商业银行行长人力资本定价的现状进行了评价,最后提出了几点合理进行行长人力资本定价的思路。     

顾客感知价值对网络信息产品定价的影响研究

网络经济和信息技术的发展使顾客感知价值逐渐成为影响企业生存的核心因素.由于网络信息产品自身的特性及定价因素的复杂程度,使得网络信息产品定价灵活多变,而顾客感知价值又是影响消费者购买行为的关键因素.为此,从网络信息产品市场结构分析入手,以消费者支付意愿为桥梁,构建顾客感知价值的利润函数模型,通过对垄断市场结构下单一定价和歧视定价策略的对比分析,为网络信息产品厂商在市场竞争中制定和选择有效的定价策略提供理论参考和依据.     

管理层语调与权益资本成本——基于创业板上市公司业绩说明会的经验证据

管理层语调是否可以改善信息环境,保护投资者利益,提高资本市场资源配置效率是最近会计学、财务学和经济学领域研究的焦点问题之一。本文以2010-2015年创业板上市公司为样本,从文本信息视角实证检验管理层语调如何影响资本市场的定价效率,研究发现管理层语调具有定价功能,提高管理层净积极语调比例,能够降低权益资本成本;进一步发现会计信息质量越高,管理层语调的定价效率越显著;最后发现当管理层有动机操纵语调信息时,比如企业大股东减持、增持或者增发股票时,管理层语调与权益资本成本之间的关系显著弱化。该结论为完善上市公司的管理层语调行为、改善资本市场信息环境、提高资本市场资源配置效率提供经验证据、理论支持和政策建议。     

权益指数年金的期权定价法

随着我国经济和社会的不断发展,保险业得到突飞猛进的发展,其中最为核心的保单定价越来越受到人们的关注,而随着社会条件的变化,传统的固额年金越来越不能满足人们的需求,这种与某种权益指数增长挂钩的权益指数年金得到很大的发展。本文从期权定价的角度以一种新的视角来权衡权益指数年金定价,并利用期权定价公式给出了权益指数年金定价公式,进一步研究了利用跳扩散模型下的期权定价来定价此模型下的权益指数年金,得出了定价公式。     

基于期权理论的股票定价模型的研究

传统的现金流量模型在对股票定价的过程中,存在着不能精确地确定投资者的收益率和未来支付的现金股利的不足。公司的权益资本(股票)具有期权的特性,公司的股票实质上是基于公司价值的看涨期权,该期权的执行价格就是公司债券到期时的还本付息的金额,于是可以用期权定价模型来进行股票定价。该方法不需要估计未来的现金股利和投资者的预期收益率,在一定程度上克服了传统股票定价方法的缺陷。     

Bank portfolio exposure to emerging markets and its effects on bank market value

This study estimates a model of banking company equity returns taking into consideration book value and market value measures of their exposure to emerging markets debt. In this estimation, general systematic market factors, such as the rate of return on the S&P500 stock index and yields on a constant maturity 5-year Treasury note, are held constant such that the exposure variables are accounting for effects due to banks’ exposure to emerging market debt. The results, although not uniform among banking companies, support the hypothesis that the extent of exposure to emerging market debt are factored into the valuation of banking company equity contemporaneously. The inclusion of a market value indicator adds to the explanation of equity returns of some banks. It is also clear that knowing the extent of the exposure on a book value basis is important information alone that may allow investors to take account of or evaluate the effects of changes in banking company equity valuation from LDC debt exposures. We also perform an event study for three major debt crises to determine whether the market recognizes the effects of these events on bank valuation. The event study results show that there is little information from identifying the time period of the crises on banking company equity returns. Explanations for this are that the information of these possible crises has been embedded in bank changes in exposure and that the market valuation of the emerging market debt is already accounted for by our model.     

Who Is My Peer? A Valuation‐Based Approach to the Selection of Comparable Firms

This study presents a general approach for selecting comparable firms in market-based research and equity valuation. Guided by valuation theory, we develop a "warranted multiple" for each firm, and identify peer firms as those having the closest warranted multiple. We test this approach by examining the efficacy of the selected comparable firms in predicting future (one- to three-year-ahead) enterprise-value-to-sales and price-to-book ratios. Our tests encompass the general universe of stocks as well as a sub-population of so-called "new economy" stocks. We conclude that comparable firms selected in this manner offer sharp improvements over comparable firms selected on the basis of other techniques.     

The private placement of debt and outside equity as an information revelation mechanism

We view debt and outside equity as serving to elicit credibleinformation from different specialists about the value of anenterprise in its various uses. The equity valuation specialistprovides a price forecast for equity that reveals informationabout the value of the enterprise in its primary use. The debtvaluation specialist provides a price forecast for debt thatreveals information about the value of the enterprise in itsalternative use. The prices forecast by the valuation specialistscredibly reveal their private information because they are requiredto buy the associated claims at the forecast prices, therebybonding their valuations.     

How do accounting variables explain stock price movements? Theory and evidence

This paper provides theory and evidence showing how accounting variables explain cross-sectional stock returns. Based on Zhang, G. [2000. Accounting information, capital investment decisions, and equity valuation: theory and empirical implications. Journal of Accounting Research 38, 271–295], who relates equity value to accounting measures of underlying operations, we derive returns as a function of earnings yield, equity capital investment, and changes in profitability, growth opportunities, and discount rates. Empirical results confirm the predicted roles of all identified factors. The model explains about 20% of the cross-sectional return variation, with cash-flow-related factors (as opposed to changes in discount rates) accounting for most of the explanatory power. The properties of the model are robust across various subsamples and periods.     

The Value Relevance of Equity Method Fair Value Disclosures

We assess the valuation implications of the fair value disclosures made for publicly traded securities accounted for under the equity method. We test the association between investors' stock price metrics and fair value disclosures while controlling for book values on a sample of 172 investor firm-years during 1993–1997. Our results indicate that the information in the fair value disclosures is incremental to the information provided by both an investment's equity method book value and equity method reported income. This suggests that there is nothing unique about investments in publicly traded common stock that involve significant influence that makes the fair value disclosures irrelevant for firm valuation.     

The Implications of Equity Issuance Decisions within a Parent-Subsidiary Governance Structure

We provide evidence about the motivation for a parent–subsidiary governance structure by analyzing valuation effects of seasoned equity offerings by publicly traded affiliated units. Our results support Nanda's (1991) theoretical model which predicts equity offerings convey differential information about subsidiary and parent value. Subsidiary equity issuance has negative valuation effects on issuing subsidiaries and positive effects on parents, while parent equity issuance reduces issuing parent wealth and increases subsidiary wealth. Our evidence suggests that a parent–subsidiary organizational structure enhances corporate financing flexibility and mitigates underinvestment problems identified by Myers and Majluf (1984) . There is no evidence of subsidiary wealth expropriation.     

Corporate investment and stock market valuation

We study the driving forces behind the positive association observed between corporate investment and stock market valuation, and how they interact with managerial equity incentives and informativeness of investment. We build a dynamic model where managers use investment choices to influence investors' opinions about firms' future prospects and increase the market valuation. The incentives to manipulate the valuation processes increase with managerial equity incentives and informativeness of investment. Our empirical findings support the model's predictions that the tendency of using investment to boost market valuation is stronger when managerial stock ownership is high or when earnings quality is low (i.e., there is strong reliance on investment for information).     

Modeling dividends,earnings, and book value equity: An empirical investigation of the ohlson valuation dynamics

This study empirically investigates the information dynamics of the Ohlson valuation framework. Single-period lagged linear autoregressive relationships among dividends, earnings, and book values of equity are estimated for a sample of stochastically stationary firms and are found not to support the valuation framework. This study further extends the empirical analysis to a multilagged vector autoregressive linear information system. Consistent with the Ohlson valuation framework,the past time series of all three variables are generally found to be relevant for firm valuation. This study brings into question empirical research utilizing the Ohlson framework that presupposes a single-period lagged information dynamic.     

Are All Security Analysts Equal?

We examine the extent to which security analysts are homogeneous in their effect on firm valuation as measured by Tobin's Q. Earlier research documents a significant and positive relation between analyst coverage and firm valuation. We identify three classes of equity analysts and examine their differential effect on firm valuation associated with their coverage and their information production. We find that equity analysts are not homogeneous in their effect on firm valuation. The presence of analysts at national securities firms have the strongest effect on firm valuation followed by analysts at regional securities firms and finally analysts at nonbrokerage, or research, firms. We attribute this result to the differential monitoring and information dissemination function rendered by the analysts. Information produced by analysts, however, does not share the same credibility. Specifically, we find brokerage firms' buy recommendations are discounted by the market and have a weak effect on firm valuation. The results can be supported by arguments that brokerage firm analysts' recommendations are contaminated by their firms' investment banking relations with corporations.     

CONSERVATIVE ACCOUNTING PRINCIPLES, EQUITY VALUATION AND THE IMPORTANCE OF VOLUNTARY DISCLOSURES

Previous theoretical research on voluntary disclosures has commonly viewed accounting information as a simple signalling device, for example indicating «good news» or «bad news». In this paper, voluntary disclosures are considered to provide complementary information in fundamental valuation analysis, as broadly outlined in Ohlson (1989), Brief & Lawson (1992) and Bernard (1993). The research questions are concerned with the importance of voluntary disclosures in a valuation framework of this kind and the expected content and context of such disclosures. The results imply that voluntary disclosures for typical operating companies are expected to be concerned with the prediction of net income for the next period, the long-run future development of the book return on owners» equity, and the accounting cost matching bias of owners» equity. The cost matching bias is caused by conservative valuation principles, and a specific linkage between the book return and the cost matching bias of owners» equity is recognized in the analysis.