加强财务监控 化解金融风险

一、金融风险的主要表现我国经济转轨时期的金融风险与发达市场经济国家相比,不仅存在着市场经济国家所具有的市场风险,而且还存在经济体制转轨时期特有的制度性风险,其表现形式亦多种多样。1.流动性风险。流动性风险是指没有足够的现款清偿债务和保证客户提取存款而使自身信誉受损而形成的风险。它有两种含义:一是资产的流动性,即资产在无损失状态下迅速变现的能力;二是负债的流动性,指能以较低的成本获得所需资金的能力。就银行而言,保持银行资产流动性的需求主要来自负债的性质和银行业务经营的特点。银行的负债主要由存款和借入资金构成…     

商业银行流动性与违约风险研究——基于 PVAR 模型的实证检验

本文使用11家上市银行的季度数据建立面板向量自回归（PVAR）模型，运用脉冲响应函数分析银行流动性对银行风险的动态影响。结果显示，内外部融资流动性对商业银行风险有显著影响，但二者作用于银行风险的时间路径和作用存在差异。银行风险之于外部流动性的响应较为迅速，对于内部流动性而言有一定滞后；外部流动性对银行风险的影响在时间序列上呈现衰弱周期，而内部流动性的影响则随着时间推移逐步加强。由此，在短期的流动性危机中，应更注重外部流动性的补充，但从长期来看，内部融资流动性才是商业银行风险的基础因素。     

工程量清单计价和定额计价模式在实际应用中的体会

工程量清单计价模式和定额计价模式是当前我国并用的两种建设工程计价模式,本文通过两个实际例子,反映了工程清单计价模式和定额计价模式在实际工作中计价结果存在的差异,并对计价结果存在差异的原因进行了剖析,指出了差异的原因是由于风险费和人材机价差造成的。并谈了自己对人材机价差和风险费的一些认识和体会。     

浅谈我国合并价差会计处理的缺陷与改进

根据财政部颁发的《合并会计报表暂行规定》 ,在我国 ,合并价差是指母公司对子公司长期股权投资的数额和子公司所有者权益中母公司所拥有的各项目数额不一致时的差额。它既包括投资成本与子公司净资产公允价值之间的差额 ,也包括净资产公允价值与其帐面价值之间的差额。在合并会计报表时对合并价差加以确认 ,但是在以后的会计期间编制合并报表时不予以摊销。本文将对我国合并会计报表的合并价差的会计处理和国际做法作一简单的比较分析 ,进而对我国合并会计报表的合并价差的会计处理提出改进和完善的思路与建议。一、我国合并价差的会计处理…     

所有权性质、市场化进程与企业风险承担

本文检验所有权性质如何影响企业的风险承担行为,以及这种影响在不同的市场化进程环境中是否存在差异。我们以沪深A股非金融类上市公司1998—2011年的数据作为研究样本,检验结果发现,国有企业具有显著更低的风险承担水平,而且,国家所有权的这种风险承担抑制效应主要存在于中小规模企业。进一步的检验发现,在市场化进程相对较快的地区,中小规模的国有企业与非国有企业之间的风险承担差异显著更大。同时,我们还发现风险承担能显著提高企业的市场价值,而所有权性质对风险承担的这种价值促进效应不存在显著影响。本文的结论对企业应重视风险性项目的投资,以及进一步推进我国中小规模国有企业的产权改革具有重要的启示意义。     

新“两法”价差率核算变化及处理

新“两法”(煤炭工业会计核算办法、成本管理办法)材料核算中,有一个较大变化,即价差率只能使用本月分类价差率,不能使用上月综合价差率、上月分类价差率和本月综合价差率。由于企业当月消耗的材料主要靠当月购入解决,加之物资供应价格双轨制的存在,统部管物资、二类机电产品及三类物资之间的价差率起伏较大,上月综合价差率、上月分类价差率和本月综合价差率已不能准确分摊材料价差额,使用本月分类价差率成为势在必行。但本月分类价差率月末结帐后才能计算出。笔者认为,适当改变核算方法,     

外汇结构性存款：风险知多少

资外汇结构性存款并非没有风险。各行推出的外汇结构性存款期限普遍较长，并大多规定有银行可单方面提出提前终止协议的条款。具体来说，该类产品存在着利率风险、汇率风险、流动性风险与资金的机会成本这三大主要风险。     

中国工业产能过剩测度及影响因素研究

基于生产函数法,运用面板数据的固定效应模型对2000～2011年我国29个地区的工业产能过剩程度进行了测算,并对其影响因素进行了实证分析,从全国情况来看,我国固定资产投资、银行流动性过剩和宏观经济波动均对我国工业产能过剩的影响显著,其中固定资产投资与产能利用率之间呈负相关关系,银行资金流动性过剩、宏观经济波动与产能利用率之间呈现正相关关系;从四大地区情况来看,我国工业产能过剩的影响因素存在着区域差异,在此基础上提出遏制投资消费失衡,转变经济增长方式,优化区域产业结构以抑制产能过剩的对策建议。     

海外投资财务风险管控

海外投资财务风险现状财务风险是企业财务经营成果的不确定性．包括筹资风险、投资风险、经营风险、流动性风险等等。其中：筹资风险包括汇率风险、利率风险、道德风险、通货膨胀风险等：经营风险包含生产风险、采购风险、存货变现风险、应收账风险、人力风险、评估风险、财务整合风险等;流动性风险包括现金不足和不能清偿风险、变现力风险等。     

创新资产证券化的监管体系

与美国相比，目前我国金融产品过于单一，衍生品基本没有，信用风险与流动性风险主要集中于银行业。作为金融创新的基石，资产证券化可以改变风险的生存状态。使风险由存量化变成流量化，降低信用风险在银行界的高度集中和减少社会流动性过多的问题，并且可以为银行发展中间业务、进行金融创新和资本市场改革和发展提供新的产品。因此，我国还是应该加大资产证券化和金融创新的力度。     

Changes in REIT Liquidity 1990–1994: Evidence from Intra-day Transactions

This study uses data on intra-day transactions to analyze whether real estate investment (REIT) liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry's market capitalization increased from $8.7 billion to $45 billion. REIT percentage spreads (spread as percentage of share price) narrowed significantly, primarily attributable to higher share prices rather than narrower dollar-value spreads. An empirical model is used to analyze the determinants of percentage spreads. Return variance and share price, not market capitalization are found to be the primary determinants of percentage spreads in both periods. This suggests that the liquidity of REIT securities is similar to that of non-REIT securities with similar prices and return variance. In addition, percentage spreads are wider for REITs trading on the NASDAQ.     

The Liquidity of Property Shares: An International Comparison

This article investigates the magnitude and determinates of share liquidity over the 1990–2007 period in the world's four largest securitized real estate markets: the United States, the United Kingdom, Continental Europe and Australia. We document a significant and consistent role for market capitalization, nonretail share ownership and dividend yield as drivers of liquidity across markets. We also document significant differences in liquidity across countries and between property and nonproperty companies. Also striking is the lack of correlation among our three measures of liquidity across property firms and time. This supports the notion that share price liquidity is multifaceted and therefore reliance on any one measure of liquidity in empirical work may produce misleading conclusions. Although we find some evidence of a connection between liquidity and firm value, it is less conclusive than prior studies.     

When is it rational for firms to acquire silent interests in rivals?

The cartelizing effects of firms' shareholding in rivals have been well established theoretically, yet empirical instances of such are rate to nonexistent. It is argued here that if the stock market is efficient in the sense that share prices reflect post-share trading product market equilibria, then acquiring shares in rivals is not subgame perfect for Cournot oligopolies but is subgame perfect for some Bertrand oligopolies. Acquiring a silent interest in a rival is an example of the “fat cat ploy”. That the stock market is not a cartel maker is consistent with Cournot having wide empirical application, but not with Bertrand.     

全球金融动荡下的中国股票市场及政策选择

中国股票市场自2007年10月以来的深度调整在全球金融动荡的背案下有加速之势、当欧美主要国家频频推出救市举措之际，要求中国政府进行救市的言论再次兴起。文章分析了中国股票市场持续下行的根源以及政府救市的困境、在全球金融市场动荡以及国内市场仍然高估的情况下，直接的救市措施并不可行，还可能产生严重的政策风险和经济风险，不利于中国股市的发展，救市不如救经济。     

Investment under Demand Uncertainty,Ex-Ante Pricing,and Oligopoly

This paper considers the capacity choice of duopolists who set price ex-ante under demand uncertainty with risk-neutrality. The duopolists compete for market shares on the basis of availability of supply, rather than by price competition. Collusive pricing coexists with Cournot–Nash capacity choice. A formal model is presented, where the market share of each firm may deviate from the certainty share due to rationing. With shares reflecting different costs, capacity utilisation for the lower cost firm is expected to be substantially lower. The implications for the price-cost margin and capacity formation are also explored.     

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

股份流动性、股权制衡机制与现金股利的隧道效应--来自1999-2003年中国上市公司的证据

本文基于国内外的相关研究，从公司治理的角度提出六个研究假设，然后构建回归模型研究因为我国股市“同股同权不同价”的股权分置现象而导致的现金股利的“隧道效应”，具体探讨非流通股和流通股流动性、股权监督制衡机制对于上市公司派发现金股利的影响。实证结果显示．非流通股股东（通常为控股股东）和流通股股东（通常为中小股东）之间的确存在严重的利益冲突。各类非流通股和流通股股东的持股比例、所持股份类型以及他们之问的监督制衡作用对派发现金股利的“隧道效应”存在重要影响。本文最后给出六点建议试图限制非流通股股东通过现金股利的“隧道效应”谋取私利．     

Identification of Lead Users for Consumer Products via Virtual Stock Markets*

Newly launched products in the consumer goods and services markets show high failure rates. To reduce the failure rates, companies can integrate innovative and knowledgeable customers, the so‐called lead users, into the new product development process. However, the detection of such lead users is difficult, especially in consumer product markets with very large customer bases. A new and potentially valuable approach toward the identification of lead users involves the use of virtual stock markets, which have been proposed and applied for political and business forecasting but not for the identification of experts such as lead users. The basic concept of virtual stock markets is bringing a group of participants together via the Internet and allowing them to trade shares of virtual stocks. These stocks represent a bet on the outcome of future market situations, and their value depends on the realization of these market situations. In this process, a virtual stock market elicits and aggregates the assessments of its participants concerning future market developments. Virtual stock markets might also serve as a feasible instrument to filter out lead users, primarily for the following two reasons. First, a self‐selection effect might occur because sophisticated consumers with a higher involvement in the product of interest decide to participate in virtual stock markets. Second, a performance effect is likely to arise because well‐performing participants in virtual stock markets show a better understanding of the market than their (already self‐selected) fellow participants. So far, only limited information exists about these two effects and their relation to lead user characteristics. The goal of this paper is to analyze the feasibility of virtual stock markets for the identification of lead users. The results of this empirical study show that virtual stock markets can be an effective instrument to identify lead users in consumer products markets. Furthermore, the results show that not all lead users perform well in virtual stock markets. Hence, virtual stock markets allow identifying lead users with superior abilities to forecast market success.     

Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market

This article represents the first exploration of liquidity and order flow spillovers across New York Stock Exchange stocks and real estate investment trusts (REITs). Impulse response functions and Granger causality tests indicate the existence of persistent liquidity spillovers running from REITs to non-REITs. Specifically, REIT liquidity indicators are forecastable from non-REIT ones, at both daily and monthly horizons. I also provide evidence of a liquidity premium inherent in REIT returns. While REIT prices appear to be set efficiently in that neither REIT nor non-REIT order flows forecast REIT returns, I find that order flows and returns in the stock market negatively forecast REIT order flows. This result is consistent with the notion that real estate markets are viewed as substitute investments for the stock market, which causes down-moves in the stock market to increase money flows to the REIT market.     

Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?

The monthly returns on equity and mortgage real estate investment trusts (REITs) are analyzed over the period July 1976 to December 1992. The results indicate that risk premiums on equity REITs are significantly related to risk premiums on a market portfolio of stocks as well as to the returns on mimicking portfolios for size and book-to-market equity factors in common stock returns. Mortgage REIT risk premiums are significantly related to the three stock market factors and two bond market factors in returns. Also, mortgage REIT shares underperform by an average of 6.8% per year.