金融资产配置、金融杠杆与现金流风险

金融资产会计安排是企业执行金融工具准则的重要环节,具有显著的经济后果。基于实体企业金融化现象,研究金融资产配置与现金流风险关系,分析金融杠杆的调节功能,探讨非效率资本配置的传导作用,研究发现：金融资产配置与现金流风险之间存在U型关系;金融杠杆能够调节金融资产配置与现金流风险的关系,使关系曲线拐点右移与扁平化。区分金融资产配置类型后发现：交易类金融资产与现金流风险呈U型关系;委托贷款等新兴金融资产负向影响现金流风险;投资性房地产和长期金融股权投资未显著影响现金流风险。考虑企业生命周期后发现,成长期与衰退期企业金融资产配置与现金流风险呈U型关系,成熟期企业金融资产配置负向影响现金流风险;按照产权性质分组检验发现,金融资产配置与现金流风险的关系以及金融杠杆的调节效应在非国有企业中更显著;机制检验发现,非效率资本配置在金融资产配置影响现金流风险的过程中发挥中介作用。     

Board gender diversity and carbon emissions: European evidence on curvilinear relationships and critical mass

The role of European businesses in addressing environmental issues and climate change has taken center stage with the European Green Deal. With increasing attention to the effect of board gender diversity (BGD) on firms' environmental performance, the question arises whether BGD has any influence on carbon emissions. Based on legitimacy and critical mass theory, this study empirically investigates the impact of BGD on firms' carbon performance (CP), based on total carbon emissions intensity. The paper relies on two-stage least squares (2SLS) regressions with instrumental variable (IV) and a two-step generalized method of moments (GMM) system approach to analyze a cross-country sample of 3123 observations from non-financial firms in the European STOXX600 index over the 2009–2018 period. Our findings add to the growing empirical evidence twofold: (1) there is a robust linear and positive relationship between BGD and CP, whereas some indication of a U-shaped relationship is found; and (2) we find that a critical mass of at least two women directors needs to be reached to increase CP. Our research results contribute to the current discussion on sustainable corporate governance, especially in the European capital market, and have implications for researchers, business practice, and regulatory issues alike.     

我国寿险业运营风险实证研究

基于承保、投资和偿付等三个业务环节的相关指标,构建了我国寿险运营绩效评价指标体系,运用因子分析方法对我国寿险业2005年-2007年运营状况进行分析并揭示其风险,结果表明:我国寿险业具有明显的垄断竞争格局,且这一趋势逐年弱化;三年中大部分寿险公司运营绩效有所提升,特别是2007年各寿险公司运营状况均有所改善,整个行业运营风险有较为显著的降低,究其原因,可能与我国寿险业承保业务的平稳增长和投资领域的扩大等诸多因素有关。     

基于联立方程模型的货物周转量与GDP的计量关系分析

通过建立联立方程模型,对货物周转量与国内生产总值之间的关系进行定量研究,用Eviews3.1软件对模型采用二阶段最小二乘法（2SLS）进行参数估计,并进行统计意义检验和历史模拟及事后预测,得出模型符合经济意义,可用于货物周转量的预测。     

Is corporate tax avoidance associated with investment efficiency?

The purpose of this study is to examine the association between investment efficiency and corporate tax avoidance. Using a large sample of U.S. firms over the period 1993–2016, we show that there is a positive association between corporate tax avoidance activities and investment inefficiency. Moreover, we find that the association is mediated by financial statement readability, financial statement comparability and product market competition. Our results are robust to alternative measures of both tax avoidance and investment inefficiency. Propensity score matching (PSM), difference-in-difference (DID), and two-stage least squares (2SLS) regression analyses confirm our results and mitigate any potential endogeneity issues that might result from the effect of omitted variables, reverse causality or model misspecification.     

Commercial mortgage underwriting: How well do lenders manage the risks?

Loan-to-value ratio and debt service coverage ratios have long been viewed as the two most important quantitative measures of the default risk of commercial mortgages. Option-based models of default provide strong theoretic support for the importance of original loan-to-value ratio. The same theoretical predictions have found strong empirical support in residential single-family mortgage analyses. However, recent empirical studies of commercial mortgage default have raised questions about the role of loan-to-value ratio in assessing the riskiness of commercial mortgages. These studies generally either find no relationship or a puzzling negative relationship between loan-to-value ratio and default. This paper uses a very large database of commercial loan histories to thoroughly investigate this issue. It finds strong evidence that loan-to-value and debt service coverage ratios are endogenous to the underwriting process. Lenders react to other—unmeasured—risk factors with credit rationing and pricing. As a result, unusually low loan-to-value ratio loans appear to have above average risk in other dimensions and their default probabilities are equal to or higher than average. The results show that the pricing spread that lenders establish as part of the underwriting process serves as an excellent summary measure of the riskiness of the loan. A test of lenders’ ability to appropriately price loan-to-value risk finds that, while there is some unpriced effect of loan-to-value ratio after controlling for the lender’s pricing, introducing lender pricing into the model removes the otherwise puzzling negative loan-to-value and default relationship previously observed in the literature.     

Benchmarking regression algorithms for loss given default modeling

The introduction of the Basel II Accord has had a huge impact on financial institutions, allowing them to build credit risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at default). Until recently, credit risk research has focused largely on the estimation and validation of the PD parameter, and much less on LGD modeling. In this first large-scale LGD benchmarking study, various regression techniques for modeling and predicting LGD are investigated. These include one-stage models, such as those built by ordinary least squares regression, beta regression, robust regression, ridge regression, regression splines, neural networks, support vector machines and regression trees, as well as two-stage models which combine multiple techniques. A total of 24 techniques are compared using six real-life loss datasets from major international banks. It is found that much of the variance in LGD remains unexplained, as the average prediction performance of the models in terms of R² ranges from 4% to 43%. Nonetheless, there is a clear trend that non-linear techniques, and in particular support vector machines and neural networks, perform significantly better than more traditional linear techniques. Also, two-stage models built by a combination of linear and non-linear techniques are shown to have a similarly good predictive power, with the added advantage of having a comprehensible linear model component.     

Contingent factors of the coinsurance function of internal capital markets: Evidence from the US nonlife insurance industry

By analyzing intragroup reinsurance activities in the US nonlife insurance sector from 1999 to 2016, we provide evidence that the coinsurance function of internal capital markets is contingent on internal capital providers’ financial resources and the relative sizes of capital receivers within the group. We demonstrate that insurance groups commonly use intragroup reinsurance (a substitute for capital) to support insurers that sustain underwriting losses. Larger insurers are more likely to obtain internal reinsurance if their affiliated insurers hold more financial resources. Our findings show that the financial capabilities of group members providing support affect the feasibility of the coinsurance function through the activities of internal capital markets. Group members with greater influence are more likely to benefit from the coinsurance function.     

How does stakeholder engagement through environmental,social, and governance affect eco-efficiency and profitability efficiency? Zooming into Apple Inc.'s counterparts

As global ecological degradation intensifies, a trade-off has arisen between environmental protection and production efficiency to achieve sustainable development for the environment, society, and the company itself. However, the potential reverse causality relationship between environmental, social, and governance (ESG) and corporate efficiency may lead to confusion. This study estimates the eco-efficiency of Apple Incorporated's value-chain counterparts in the first stage and creates values and profitability in the second stage of efficiency evaluation. Results obtained from the (i) directional distance function in the two-stage data envelopment analysis (DEA), (ii) additive efficiency decomposition two-stage network DEA model, and (iii) network slacks-based measure model are consistent. That is, Apple counterparts manage more efficient eco-efficiency than profitability efficiency, implying that eco-efficiency is their competitive advantage. We thus also run a regression analysis to examine how the ESG ratings of Apple counterparts explain their eco-efficiency and profitability efficiency. Although the overall ESG rating positively explains the efficiencies, we found that the individual governance rating shows no statistically significant effect. The regression results provide insight for practitioners on the importance of investing in the three aspects of a firm's collective conscientiousness for societal and environmental governance. This paper integrates companies' eco-efficiency and profitability efficiency to resolve the conflict between environmental issues and production efficiency. It also analyzes in depth the effects of ESG and its three individual factors on eco-, profitability, and average efficiencies. The diversity of research methods also provides new ideas for future research related to firm efficiency.     

创业投资声誉、创业板IPOs初始收益和长期业绩

以我国创业板市场IPOs为样本,引入创业投资声誉对IPO折抑价理论模型进行修正,采用多元回归和两阶段回归方法,实证检验创业投资声誉与创业板IPOs初始收益和长期业绩之间的关系后发现:我国创业板市场中创业投资核证监督作用微弱;创业投资声誉对IPOs初始收益无显著影响;创业投资声誉对IPO后企业长期业绩有显著正效应。本文的研究结论对创投声誉下的创业板发行制度建设有积极作用。     

IV估计的最优工具变量选取方法

IV估计的有限样本性质对工具变量的选取十分敏感,尤其是存在弱工具变量的情形。本文在Donald和Newey(2001)的基础上研究了常用的IV估计———2SLS的最优工具变量选取方法。首先通过对2SLS估计量进行Nagar分解,从理论上推导出估计量的近似MSE表达式;根据这一表达式,提出IV估计的最优工具变量选取准则,并证明选取准则的渐近有效性。模拟结果表明,本文提出的工具变量选取准则能够极大地改善2SLS估计量的有限样本表现。本研究为实证中面临的工具变量选择问题提供了理论依据。     

Recent evidence on determinants of per residential customer electricity consumption in the U.S.: 2001-2005

This empirical study seeks to provide empirical evidence identifying key factors that have influenced per residential customer electricity consumption in the U.S. during recent years. This empirical analysis takes the form of P2SLS (panel two-stage least squares) estimations. State-level data are adopted for the five-year period from 2001 through 2005. The P2SLS findings indicate that the annual consumption of electricity per residential customer is an increasing function of the annual number of cooling degree days, real per capita personal disposable income, and the real unit price of natural gas. Annual per residential customer electricity consumption is also found to be a decreasing function of the real unit price of electricity and the extent of usage of natural gas for residential heating, as well as the degree to which each state has pursued energy efficiency policies. Finally, said consumption is also found to be positively a function of a control variable measuring peak summer electricity generating capacity.     

如何建立风险投资项目的风险预警预控系统

风险投资行为的全过程都充满了风险,风险投资家在选择好项目以后还要采取一系列的措施来规避风险。文章站在风险投资家的角度,针对风险投资项目从注入资金开始,直至资金退出的这一过程,讨论了如何为风险投资项目建立风险预警预控系统,以达到识别风险、控制风险,提高投资收益的目的。     

管理者过度自信与权益资本成本——来自我国证券市场的经验证据

以深圳证券市场A股上市公司为样本,研究了管理者过度自信与权益资本成本之间的关系。研究发现,高管层过度自信的心理特征是通过影响企业的投资行为造成过度投资,进而影响到投资与融资现金流之间的敏感性,导致激进融资,使企业权益资本成本增加。     

Internal Knowledge Development and External Knowledge Access in Venture Capital Investment Performance

abstract    We examine the performance effects of two knowledge-driven strategies – internal knowledge development and external knowledge access through inter-firm relationships – in the context of venture capital investing. Using longitudinal data on the investments, syndication, and performance of 200 US-based venture capital firms, we find that investing in industries in which a firm has more knowledge and investing with more or familiar external partners enhances investment performance. In addition, we reveal important interactions between the two strategies, such that access to external knowledge is particularly beneficial when the investment exposes gaps in the firm's own expertise. Thus, access to external knowledge is more effective when an incongruity exists between what the firm knows and what it intends to do. We discuss the study's implications for organizational knowledge and learning, strategic alliance, and venture capital literature.     

审计证据、审计风险及不规则关系研究\n——基于一个舞弊博弈模型的分析

在某些情形下,审计风险并非始终随着审计证据的引入而降低.管理层和审计师的舞弊博弈模型分析结果表明:重大错报风险与审计证据的不规则关系出现于管理层有强烈的舞弊激励、管理层的舞弊行为被揭露所遭受的惩罚不严厉以及审计师收集证据的信息含量较低或具有误导性等情形;在舞弊博弈中,检查风险始终随着审计证据的引入而增大的基本动因在于管理层和审计师博弈过程中战略的互相影响;审计师法律责任比率通过影响重大错报风险的大小来影响审计风险与审计证据之间的变动关系;在特定条件下职业谨慎对于重大错报风险、审计风险与审计证据之间的不规则关系具有"放大效应".     

Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies

We study identification in Bayesian proxy VARs for instruments that consist of sparse qualitative observations indicating the signs of shocks in specific periods. We propose the Fisher discriminant regression and a non-parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represents a minor deviation from a standard proxy VAR, whereas the non-parametric approach builds on set identification. Our application to US macroprudential policies finds persistent declines in credit volumes and house prices together with moderate declines in GDP and inflation and a widening of corporate bond spreads after a tightening of capital requirements or mortgage underwriting standards.     

New public stock issues by seasoned and unseasoned firms: A comparative analysis in a turbulent environment—the case of israel

This study presents and examines new evidence on the relationship between financial structure and ownership in New and Veteran Public firms (sometimes known as unseasoned or seasoned firms, respectively). The major findings are: (1) the cost of capital and the cost of equity increased with financial leverage, but at a different magnitude in new and veteran public firms reflecting different risk conceptions; and (2) management and administration costs for new public firms are indicated to be higher than for veteran public firms. Reasons for and implications of these findings are subsequently discussed.     

Loss reserving behaviour in insurance markets: Evidence from Mauritius

This study examines determinants of loss reserves among a sample of 14 general insurance companies in Mauritius from 2008 to 2015. The paper documents evidence that on average, technical reserves account for 45.41% of total assets, made of 19.79% in unearned premiums and 25.62% in outstanding claims. Using panel regression techniques, the findings suggest that general insurers manipulate their earnings through reserve provisions to smooth income and tax considerations. In addition, underwriting risk and reinsurance increases technical reserves, whereas market concentration induces high provisioning for outstanding claims. Policy recommendations for industry regulations are discussed.     

Competition in law enforcement and capital allocation

This paper studies inter-jurisdictional competition in the fight against crime and its impact on occupational choice and the allocation of capital. In a world where capital is mobile, jurisdictions are inhabited by individuals who choose to become either workers or criminals. Because the return of the two occupations depends on capital, and because investment in capital in a jurisdiction depends on its crime rate, there is a bi-directional relationship between capital investment and crime which may lead to capital concentration. By investing in costly law enforcement, a jurisdiction makes the choice of becoming a criminal less attractive, which in turn reduces the number of criminals and makes its territory more secure. This increased security increases the attractiveness of the jurisdiction for investors and this can eventually translate into more capital being invested. We characterize the Nash equilibria—some entailing a symmetric outcome, others an asymmetric one—and study their efficiency.