对国有商业银行信贷风险控制技术创新的探讨

我国国有独资商业银行目前在信贷风险控制上仍以定性分析为主,在量化分析上尚刚刚起步,本文在全面分析了国有独资商业银行信贷资产风险控制现状的基础上,试图结合具体情况,引入西方先进风险控制模型,进行修正和补充,为我国国有独资商业银行信贷资产风险控制技术的创新提供一个可行的思路.     

会计稳健性研究述评

越来越多的研究表明,会计稳健性是财务报告最重要的特征。本文系统地评论了会计稳健性研究的最新内容。第一方面为会计稳健性的不同计量方法及各种计量方法之间存在的关系,第二方面为稳健性起因的最新研究,尤其是契约对企业会计稳健性的影响,第三方面为会计稳健性的经济后果,包括会计稳健性对资本成本的影响以及对企业真实经济活动的影响。文章最后指出了会计稳健性未来研究的方向。     

Income smoothing and the cost of debt

The literature on income smoothing focuses on the effect of earnings smoothing on the equity market.This paper investigates the effect of income smoothing on th...     

《孔子诗论》、《荀子》及先秦儒学思想的历史脉络

《上海博物馆藏战国楚竹书.孔子诗论》与《荀子》有一脉相承的联系。在对于"情"以及"情"与"乐"关系的认识层面上,关于《诗》与礼的论述中以及关于《诗》的艺术特征上,它们的"《诗》论"都具有一致性。《上海博物馆藏战国楚竹书.孔子诗论》与《荀子》"《诗》论"的相似性、《荀子》与毛鲁韩三家《诗经》传授联系以及《上海博物馆藏战国楚竹书.孔子诗论》与《毛诗序》的相似性,则非常有力地印证并丰富了孔子——七十子——七十子后学——荀孟——汉儒这一条先秦儒学经籍传授以及思想延续的主线。     

The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs

Credit Default Swap (CDS) spreads on Real Estate Investment Trust (REITs) have been extremely volatile since the onset of 2008 financial crisis. To have a better understanding of it, we examine the CDS spreads on REITs for both pre- and post-crisis with a particular focus on the effects of geographic concentration and local economic conditions on CDS spreads on REITs. We document that, above and beyond the factors of commonality suggested in the literature, a REIT’s geographic concentration has strong explanatory power for the behaviors of CDS spreads on REITs and the magnitude of this impact depends on the state of the local economy. Our findings suggest there is a potential local-to-private risk transfer through which market participants incorporate their expectations about the future economic health of the region into asset prices. This channel leads to significant co-movement between CDS spreads on REITs and the performance of local economy.     

The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters

This paper investigates the effects of media coverage about consumer price inflation on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the heterogeneity of story content and on the reporting intensity, especially of news on rising inflation. Disagreement of professional forecasters does not depend on media coverage. With respect to the influence of macroeconomic variables, we provide evidence that disagreement of professional forecasters primarily depends on the inflation rate and on inflation volatility. The response of households to inflation is much less pronounced.     

论产权会计观与产权会计变革

本文根据党的十六届三中全会关于建立现代产权制度的精神,结合对产权经济学中相关基本理论问题的研究,首先阐明了市场经济是产权经济这一本质问题,并较系统地研究了产权经济与产权经济学的发展对会计理论、会计法制与会计方法所产生的重要影响及会计的发展在对产权经济进行管理控制方面的重要历史贡献。在此基础上,本文把研究的重点放在确立产权会计观和全方位进行会计变革方面,其内容包括:(1)关于建立产权会计的主体理论——产权价值运动论问题;(2)关于产权会计对象研究问题;(3)关于会计从企业契约联结方位对产权价值运动过程与结果的控制问题;(4)关于从产权控制方面建立企业内部控制制度的问题;(5)关于产权会计法律制度体系建设问题等。上述问题的研究对于今后会计学的改革、会计实务的改革,以及对于我国今后建立以产权规范为核心的会计法律制度体系均具有一定意义。     

高管团队薪酬差距对双元创新的影响研究——来自高新技术企业的经验证据

以2011―2018年中国A股上市高新技术企业为研究对象,本文实证检验了高管团队薪酬差距对双元创新的影响。研究发现:(1)整体而言,高管团队薪酬差距促进企业创新,但基于双元创新视角,提高高管团队薪酬差距对探索式创新存在显著的负向影响,而对利用式创新存在显著的正向影响;(2)对面临高环境不确定性的企业和非国有企业而言,高管团队薪酬差距对探索式创新的抑制作用更弱,而对利用式创新的促进作用更强;(3)实施股权激励有利于减弱高管团队薪酬差距对探索式创新的负向作用,但对高管团队薪酬差距与利用式创新之间的关系未表现出显著影响。本文结论丰富了高管薪酬差距对企业创新影响的相关研究,为企业设置合理的薪酬结构提供了经验证据。     

THE TWO WORLDS OF MANAGEMENT CONTROL

The machine metaphor depicts organizations as if they were designed and operated like machines. Management control systems also build upon this metaphor. In this paper experiences from a longitudinal case study in the City of Bergen are reported. The study is based on data from the management control process, i.e. adopted budget data, prognoses during the accounting year, and actuals as reported in annual reports. The period studied is 1983–1987. From the reported data we can draw the following conclusions: (1) Decisions of future actions have little influence on the execution of future actions; (2) Data on past actions have little influence on decisions of future actions; (3) Data on past actions have little influence on prognoses of future actions; (4) Data on past decisions have some influence on prognoses of future actions; and (5) Data on actual prognoses have little influence on budgets for the next year. Consequently, we only observe elusive links between parts where the links are supposed to be strong.     

An Intraweek Seasonality in the Implied Volatilities of Individual and Index Options

This paper studies intraweek seasonalities in the implied volatilities of options on stock market indices. Oneway analysis of variance isolates the daily behavior of implied volatilities. The differential between call implied volatility and put implied volatility tends to drop on Friday and rise on Monday. Relying on a synthetic futures contract created from options, an explanatory model is proposed. The model complements previous research on the difference between the intraweek behavior of stock market indices and that of derivative instruments based on the indices.     

正外部性视野下我国个人捐赠的税法完善探析

个人捐赠具有正外部性属性,相关税收法律制度存在税收优惠程序较严、税收优惠比例较低、税收优惠专门立法缺失等问题。根据正外部性内部化的基本原理,应该在制定实物抵扣具体办法、提高捐赠优惠比例、允许递延抵扣、简化税收优惠手续等方面完善个人捐赠税收优惠制度;同时从建立纳税人编码制度和信用等级制度、遗产税和赠与税制度及个人捐赠税收优惠权利保障制度等方面建立个人捐赠的税收优惠辅助制度,从而最大限度地激励个人捐赠的积极性。     

《孔子诗论》、《荀子》及先秦儒学思想的历史脉络

《上海博物馆藏战国楚竹书.孔子诗论》与《荀子》有一脉相承的联系。在对于"情"以及"情"与"乐"关系的认识层面上,关于《诗》与礼的论述中以及关于《诗》的艺术特征上,它们的"《诗》论"都具有一致性。《上海博物馆藏战国楚竹书.孔子诗论》与《荀子》"《诗》论"的相似性、《荀子》与毛鲁韩三家《诗经》传授联系以及《上海博物馆藏战国楚竹书.孔子诗论》与《毛诗序》的相似性,则非常有力地印证并丰富了孔子——七十子——七十子后学——荀孟——汉儒这一条先秦儒学经籍传授以及思想延续的主线。     

企业集团内部资本配置对成员企业价值的影响

创造内部资本市场的能力是企业集团十分显著的特征。企业集团内部资本配置对其成员企业价值是有影响的。本文通过对中国企业集团控股公司的实证检验发现，内部资本配置对国有集团控股公司的价值有反方向的影响；对民营集团控股公司的价值有显著的正向影响。在控制权大于现金流权组，集团内部资本市场的规模越大，其对控股公司的价值影响越大；但对多元化经营和规模越大的集团控股公司的价值影响较小；在控制权等于现金流权组，其内部资本市场规模越大，其控股公司的价值越小，尤其对多元化经营的集团控股公司的价值的影响越小。     

Some Parallels Between Currency and Banking Crises

There is a sizeable literature on the causes of speculative attacks on fixed exchange rates and a large literature on the determinants of bank runs. Surprisingly, these two literatures rarely overlap, even though both types of crises involve attacks on asset price-fixing schemes. This paper draws a number of parallels between the work on currency crises and the work on banking crises and examines some of the new insights that are coming out of a more integrated approach in the aftermath of the Asian financial crises.     

The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market

We propose a framework based on limit order book to analyze the impact of short-selling and margin-buying on liquidity. We show that when short-sellers are perceived as informed, adverse selection may lead to uninformed traders withdrawing their limit orders. Given that the Chinese stock market has strong information asymmetry and a high proportion of uninformed traders, we predict that the pilot program launched in March 2010, which lifts restrictions on short-selling and margin-buying for a designated list of stocks, may have a negative impact on liquidity. We perform difference-in-differences tests and show evidence that allowing for short-selling and margin-buying indeed has a significantly negative impact on liquidity for stocks on the designated list. In particular, the negative impact on liquidity is more pronounced for stocks with high information asymmetry. Nevertheless, when short-selling volume dries up due to regulation changes in August 2015, i.e., the “T+1” trading rule on short-selling, we show that consistent with model predictions, lifting restrictions on short-selling and margin-buying has a positive effect on liquidity.     

Stakeholders and the composition of the voting rights of the board of directors

We propose a new approach to dynamic representation of different groups of stakeholders on the board of directors. This approach is based on a simple economic model of the firm, with an objective function to maximize its market value. We look at the marginal claim of each stakeholder on the assets of the firm. It divides the voting rights based on the change in value of each stakeholder with a one dollar change in the value of the firm as a whole. We translate these conditions to relative voting powers on the board. While there are many claims in the academic and popular literature on sharing voting rights on the board, our paper is the first to propose a quantitative dynamic model of the power sharing in the corporation.     

Differences in beliefs and currency risk premiums

This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices. We focus on currency markets, where the absence of short-selling constraints allows us to perform sharper tests of theoretical predictions. Using a unique data set with detailed information on foreign-exchange forecasts, we construct an empirical proxy for differences in beliefs. We show that this proxy has a strong effect on the implied volatility of currency options beyond the volatility of macroeconomic fundamentals. We document that differences in beliefs impact also on the shape of the implied volatility smile, on the volatility risk-premiums, and on future currency returns.     

关于转让定价税务管理的国际协调问题

为避免各国在转让定价税务管理中引发新的矛盾,必须加强国家间的协调与合作。因此,需要对转让定价税务管理中涉及的国际协调问题进行分析,包括:各国转让定价税务管理依据的指导原则和具体方法;转让定价的初次调整和相应调整的配合;转让定价税务管理国际争议的协调机制等。