The impact of operating and financial risk on equity risk

This paper empirically investigates a complete theoretical model relating the operating characteristics of a firm to the total, systematic, and unsystematic risk of its equity. The degree of operating leverage, the ratio of net profits to firm value, and the variability of unit output are all found to be positively correlated with each of the three risk measures. The degree of financial leverage, while positively related to total and unsystematic risk, does not appear to be related to systematic risk. After controlling for the business risk of the firm, no evidence can be found of an interaction between the degree of operating leverage and the degree of financial leverage.     

社会责任报告语调与股价崩盘风险

以2006—2017年披露社会责任报告的所有A股上市公司为研究对象,实证检验了社会责任报告的语调对股价崩盘风险的影响。实证结果显示,社会责任报告的净正面语调与股价崩盘风险呈显著正相关关系,具体表现为通过正面语调离差策略来隐匿企业的负面信息。进一步分析发现,当企业的信息不对称程度较高,企业自愿披露社会责任报告时,其社会责任报告净正面语调与未来股价崩盘风险呈显著正相关关系,而管理层隐匿坏消息的动机是出于缓解企业的融资约束问题。研究在丰富社会责任信息披露和股价崩盘风险相关领域研究的同时,对上市公司、投资者和监管部门也有重要的启示作用。     

On the role of government in a stochastically growing open economy

The relationship between the size of government, economic growth, and volatility in a small open economy is analyzed. First, we characterize the stochastic equilibrium for a centrally planned economy, contrasting it with a closed economy. The role of government consumption expenditure both as a stabilizing and a destabilizing factor is discussed. The optimal size of government is derived and we find that an open economy will have a larger government if and only if it is a net creditor. Second, the stochastic equilibrium in a decentralized economy is characterized and the optimal tax structure derived. Finally, the role of government production expenditure and its impact on risk is briefly discussed.     

Accruals quality,information risk,and institutional investors’ trading behavior: Evidence from the Korean stock market

This study analyzes the effect of firm-specific information risk, measured by accruals quality, on the cost of capital using institutional investors’ trading behavior. Institutional investors in firms with lower accruals quality increase their net selling in later years. Furthermore, these investors’ net selling is relevant to the innate and discretionary factors of accruals quality. This relationship is stronger for foreign institutions than for domestic institutions, and it is mostly observed under favorable macroeconomic conditions. We do not observe this relationship for large business groups connected by shares.     

Evidence on the financial characteristics of banks that do and do not use derivatives

While the use of derivatives by U.S. commercial banks has exploded in recent years, the growth has not been evenly distributed. At present, only about five percent of banks are involved in the market for derivatives. Although the concentration of derivatives activities in the largest banks is well known, we know less about other factors underlying a bank’s decision to use derivatives. This article investigates the financial characteristics of banks that use derivatives and those that do not. We find that user banks, compared to nonusers, are associated with riskier capital structures (more notes and debentures and less equity capital), larger maturity mismatches between assets and liabilities, greater net loan charge-offs, and lower net interest margins. We also find that banks, especially smaller ones, benefit from being associated with bank-holding companies. Finally, our evidence does not support a regulatory hypothesis in which banks must have stronger capital positions to engage in derivative activities.JEL Classification: G21, G28, G32     

Statutory firing costs and lay-offs in Canada

Firing costs may deter firms from engaging in both lay-offs and temporary hiring. While the net response of average employment to firing costs is ambiguous, lay-offs will be reduced through both channels and their frequency therefore will unambiguously decline. This paper estimates the effect of Canadian advance notice and severance laws on individual permanent lay-off hazards. Individual notice laws are found to reduce the lay-off hazard, particularly among non-professional, non-union workers, but the effect is small. Neither group notice nor severance laws are statistically significant. These laws do not appear to substantially affect adjustment in the Canadian labour market.     

Bilateral Delegation in Duopoly Wage and Employment Bargaining

We study bilateral delegation in wage and employment bargaining between firms and unions in a Cournot duopoly. Incentive delegation creates frictions for each party between its objectives of within‐firm rent extraction and market/job stealing from the rival firm. The net effect is restraint in production, resulting in a larger bargaining pie. But each player's payoff will be inversely related to his bargaining power. We also show that if players are given a choice to delegate, they will not resort to delegation when their bargaining power is sufficiently high. This is in contrast to the scenarios commonly assumed in many models. Copyright © 2016 John Wiley & Sons, Ltd.     

高管控制权、资本扩张与企业财务风险——来自国有上市公司的经验证据

本文基于委托代理理论,以2004～2009年的国有上市公司为研究样本,对高管控制权与企业资本扩张行为的关系及其对企业财务风险的影响进行了探讨。实证结果发现:高管控制权与企业的投资扩张及多元化扩张行为存在显著的正相关关系,而且当企业拥有充裕的现金流时,其正相关程度更大。基于联立方程模型的研究结果表明,控制权较强的高管所实施的多元化扩张战略会加大企业陷入财务困境的可能性。     

利率市场化程度、审计师声誉与银行风险管理

采用2002—2016年我国177家银行的财务信息，并运用法规描述法对各年的利率市场化程度进行测量，检验利率市场化程度、审计师声誉与银行风险管理间的关系。研究发现：当利率市场化程度提升时，商业银行的风险管理强度会显著下降；选聘了高声誉审计师的银行会显著提高风险管理强度。在利率市场化程度提升时，相较于低声誉审计师，高声誉审计师帮助银行提高风险管理强度的作用更为显著。上述结果对监管机构利用审计声誉机制督促银行进行风险管理具有一定的借鉴意义。     

建筑工程对环境的影响及原因分析

在工程建筑过程中如果不注重环境保护措施,则会给城市的生态环境造成一定程度的污染和危害,本文指出当前我国城市工程建筑对环境的种种破坏现象及其后果,并分析了形成这种状态的原因。     

Attitude towards risk,uncertainty, and fixed investment

We explore the relevance of the risk attitude of managers to the investment-uncertainty relation. Higher moments of the distribution of net profits are used to measure the risk premium of the firm, from which we derive a proxy for the risk aversion of managers. Using an unbalanced panel of Dutch listed firms, we find that in general a low degree of risk aversion coincides with a positive impact of demand uncertainty on investment. More specifically, we find that risk-averse firms respond to demand uncertainty by cutting investment, while the investment undertaken by risk-taking firms responds to demand uncertainty positively.     

Massenentlassungen – Rechtsvergleichende Analyse der Bedingungen in Europa und den USA

International corporations do mass layoffs preferably in countries with rather low employment protection regulations. This paper analyses and compares the different employment protection regulation regimes in the US, Germany, France, and UK with regard to their regulations of mass layoffs. Our study concludes that there is a larger degree of freedom of contract in the US, however, our analyses does not confirm the usual assumption that employees in the US are legally less protected from mass layoffs than in Europe.     

Understanding saving and portfolio choices with predictable changes in assets returns

We consider an expected-utility-maximizing consumer living two periods who can invest in two assets, one of which is risk free. We do not restrict relative risk aversion to be constant. We first examine the effect that a change in the opportunity set in the second period has on the optimal saving in the first period. We show that an increase in the future risk free rate (keeping the equity premium unchanged) reduces savings if relative risk aversion is uniformly larger than unity. An increase in the equity premium or a reduction in the volatility of the risky asset raises savings if the index of cautiousness, i.e., the derivative of absolute risk tolerance, is smaller than unity. In a second stage, we use these results to determine the sign of the hedging demand for the risky asset for the following three types of predictability: predictable changes in the interest rate, mean-reversion in stock returns, and predictable changes in volatility. Depending upon the type of predictability under scrutiny, what matters to sign the hedging demand is whether relative risk aversion or cautiousness is smaller or larger than unity.     

FOREIGN DIRECT INVESTMENT AND REGIONAL PRODUCTIVITY SPILLOVERS IN US MANUFACTURING

This research examines how inward foreign direct investment (FDI) impacts manufacturing productivity in select industries across US regions. Although some evidence has documented the phenomenon of knowledge spillovers to national economies, little is known about how the regional penetration of foreign investment affects the productivity performance of local firms. The analysis proceeds in a novel fashion by adjusting aggregate data on industry operating statistics to "net out" the contaminating influence of foreign firms producing in each of the host regional economies. A cross section of state-by-industry observations is used to estimate labor productivity, controlling for FDI penetration both by region and by industry. In general, the results demonstrate that domestic firms do not reap productivity gains as a result of a larger presence of foreign affiliates. Related research efforts, although not specifically concerned with the regional transmission of FDI spillovers, offer corroborative support for these findings.     

Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China

We develop a skewness-dependent multivariate conditional autoregressive value at risk model (SDMV-CAViaR) to detect the extreme risk transmission channels between the Chinese stock index futures and spot markets. The proposed SDMV-CAViaR model improves the forecast performance of extreme risk by introducing the high-frequency realized skewness. Specifically, the realized skewness has a significant impact on the spillovers, but the realized volatility and realized kurtosis do not, which implies that the jump component plays an important role in extreme risk spillovers. The empirical results indicate there are bidirectional extreme risk spillovers between the stock index futures and spot markets, the decline of one market has direct and indirect channels to exacerbate the extreme risk of the other market. Firstly, the market decline will directly increase the extreme risk of related markets by decreasing market returns. Besides, the decline will indirectly increase the extreme risk by increasing the negative realized skewness and extreme risk spillovers.     

杜邦分析法在上市公司财务分析中的应用

运用杜邦分析法,对股东权益报酬率、总资产收益率和销售净利率等主要指标进行分解,从而对上市公司的获利能力层层深入分析,找出影响公司获利能力的主要原因和经营管理中存在的问题,以有利于公司获利能力最大化。     

Homeownership and mixed-asset portfolio allocations

Homeownership represents both a consumption and an investment decision for individuals. Considering the investment benefits of the home, we estimate the total returns and risk associated with the investment in single-family homes. Then, using a mean–variance utility function, we consider the impact of homeownership and mortgage loan financing on the optimal asset allocation decisions of individuals and contrast this with advice that does not include the home as part of the portfolio. While optimal portfolio weights are dependant upon both the degree of risk aversion of the individual investor and the relative importance of the home in the overall net worth picture, we show that, in general, the higher the home-to-net worth ratio, the higher the optimal portfolio allocation to stock. For most investors, including the home in the optimization decision leads to higher allocations to risky stock than suggested by traditional advice that ignores the home.     

‘Stochastically more risk averse:’ A contextual theory of stochastic discrete choice under risk

Microeconometric treatments of discrete choice under risk are typically homoscedastic latent variable models. Specifically, choice probabilities are given by preference functional differences (given by expected utility, rank-dependent utility, etc.) embedded in cumulative distribution functions. This approach has a problem: Estimated utility function parameters meant to represent agents’ degree of risk aversion in the sense of Pratt (1964) do not imply a suggested “stochastically more risk averse” relation within such models. A new heteroscedastic model called “contextual utility” remedies this, and estimates in one data set suggest it explains (and especially predicts) as well as or better than other stochastic models.     

经济增加值理论在商业银行中的应用——经营目标从“利润”向“价值”的转变

经济增加值(EconomicValueAdded,EVA),是资本成本从税后利润中扣除后的剩余收入,它客观、真实地评价企业的经营业绩。EVA作为目前比较流行的计算企业价值的测评工具,在银行也有广泛的应用前景。但由于银行财务管理的重点是风险而非现金流,银行资本的主要作用是抵御风险;因此,在计算银行的EVA时,资本是与风险相匹配的经济资本。银行经营期内每年实现的EVA可以反映其价值最大化的实现程度。基于此,采用EVA理论和方法能够有效地促进银行,在风险管理、业绩考评、激励机制、经营理念等方面所进行的改革和创新。     

Consumer Risk‐reduction Behavior and New Product Purchases

Consumers purchase lower quantities of new products compared with those they have purchased in the past. We explain this observation as a result of risk‐averting behavior by utility‐maximizing consumers. If a new product involves a higher degree of risk that quality expectations will not be met compared with an incumbent product, we show that utility will be more concave for the new product. We test this prediction using a multiple‐discrete/continuous extreme value (MDCEV) model of demand. We show that utility is indeed more concave for new products relative to previously purchased products. Copyright © 2017 John Wiley & Sons, Ltd.