全球金融格局重构中我国上市银行资本市场价值的维护

商业银行投资者关系管理是上市银行与资本市场沟通的桥梁。在经历了金融危机,全球金融格局正在发生着深刻变革与重构的时期,我国上市银行投资者关系管理在某种程度上肩负着通过向全球资本市场介绍自身运营、提升全球投资者对我国金融和银行体系市场化运营理解的使命。抓住全球金融和银行业竞争格局变迁的时机,竖立我国上市银行在全球资本市场的竞争地位和价值品牌,增强全球投资者对我国经济、金融改革和商业银行运营的信心,是我国上市银行投资者关系管理的应尽之责。     

在全球资本市场打造中国上市银行价值品牌

商业银行投资者关系管理是上市银行与资本市场沟通的桥梁。在全球金融格局正发生着深刻变革与重构的时期,中国上市银行投资者关系管理部门在某种程度上肩负着通过向全球资本市场介绍自身运营,提升全球投资者对中国金融和银行体系市场化运营理解的使命。上市银行投资者关系管理部门应在推进与境内外投资者全方位沟通的基础上,维护和拓宽上市银行融资渠道;在充分阐述财务业绩的同时,向全球投资者提供多方位信息;提高管理层及相关业务部门对投资者关系工作的参与;加强对资本市场的监测,有效管理投资者预期,妥善处理特殊和突发事件等。     

论全球金融格局重构中我国上市银行资本市场价值的维护

商业银行投资者关系管理是上市银行与资本市场沟通的桥梁.在经历了金融危机,全球金融格局正在发生着深刻变革与重构的时期,我国上市银行投资者关系管理在某种程度上肩负着通过向全球资本市场介绍自身运营,提升全球投资者对我国金融和银行体系市场化运营理解的使命.应充分认识全球经济和金融格局变迁所带来的投资者关系管理领域的机遇与挑战,抓住全球金融和银行业竞争格局变迁的时机,提升我国上市银行在全球资本市场的竞争地位和品牌价值,增强全球投资者对我国经济、金融改革和商业银行运营的信心,是我国上市银行投资者关系管理的应尽之责.     

交叉上市提高了我国A股市场股价信息含量了吗?

利用2010—2019年我国A股上市公司数据,实证检验了交叉上市对我国资本市场股价信息含量的影响.研究发现,交叉上市有利于提高我国资本市场股价信息含量,降低股价同步性,该结论在采用Heckman两阶段回归模型以及相关稳健性测试后仍然成立.截面异质性检验发现,交叉上市对股价信息含量的影响在国有企业、会计信息质量较低、有研报关注的上市公司中更为显著.机制检验发现,交叉上市通过提高资本市场股票流动性、投资者关注度进而提高了股价信息含量.研究结论丰富了交叉上市的经济后果,为促进我国资本市场健康发展提供经验借鉴.     

浙江省上市企业股价特殊风险的信息特征研究

金融市场的事实已经证明,股票价格风险波动不仅受市场风险波动的制约,而且随资本市场的环境变化,股价特殊风险已越来越显著的影响和决定着股价总体波动水平的变化。文章从浙江省上市企业的股价收益序列中分解、提炼出股价特殊风险,用投资者行为效应来判断其信息特征的变动规律,通过与系统风险信息特征及其投资者行为效应的对比,获取特殊风险呈现的信息特征规律。     

上市银行信息披露引发的思考

次贷危机引发了金融危机,也引发了学术界对信息披露的进一步思考。信息披露是投资者获取资本市场信息的主要渠道,目前我国上市银行在信息披露时注重强制性信息披露,轻视或不情愿自愿性信息披露。现阶段对上市银行信息披露的规范在很大程度上造成了目前的现状,已经出台的规范"屏蔽"了上市银行自愿性信息披露。因此,需要逐步改善上市银行信息披露的环境(包括制度环境、经营环境、投资者环境),保护投资者的知情权。     

媒体报道对IPO股价表现的非对称影响研究——来自创业板上市公司的经验证据

基于创业板上市公司的经验证据,本文检验了媒体报道对IPO股价表现的影响效应及机理。研究发现:(1)不管是IPO股价的即期反应还是滞后反应,正面媒体报道和负面媒体报道对IPO股价表现均存在显著的非对称影响;(2)正面媒体报道越多,上市公司在IPO日越容易获得投资者的追捧而没有破发,但在IPO之后,其CAR值下降得也更多,这说明媒体的大肆宣传煽动了投资者的情绪,使得上市公司在IPO日获得较好表现,引发投资者在上市首日对公司过度反应,以致CAR值在IPO后开始反转;(3)负面媒体报道对上市公司IPO首日的即期表现并没有显著影响,却对IPO公司上市后10个交易日的滞后反应产生了显著的负向影响。说明在市场整体情绪渲染下投资者对负面消息明显反应不足。综合而言,本文结果证实了在我国创业板资本市场初期,媒体报道符合"情绪功能"而非"信息功能"的推论。     

投资者理性预期、流动性约束与股价崩盘传染研究

“传染性”是股价崩盘三大基本特征之一,会加剧股价崩盘负面影响,甚至引发系统性金融风险,因此,本文重点关注股价崩盘传染机制研究。首先,本文基于两阶段理性预期均衡模型,提出股价崩盘传染两大假设,即投资者理性预期与流动性约束导致传染;其次,基于2000-2016年全球28个国家或地区资本市场数据,实证检验股价崩盘传染机制和传染渠道。研究显示:(1)投资者理性预期、流动性约束会导致股价崩盘发生传染;(2)股价崩盘事件会在资本市场关联国家或地区传染;(3)提高资本市场信息透明度、加强金融管制有助于降低受关联国家或地区股价崩盘传染。     

基于隐性担保的存款保险费率测算--以中国16家上市商业银行为例北大核心CSSCISSCI

本文在Ronn-Verma存款保险定价模型的框架下,利用股权与欧式看涨期权之间、存款保险与欧式看跌期权之间的同构关系,建立起银行资产市场价值、银行资产隐含波动率与银行股权价值、股价波动率之间的联立非线性方程组。并利用上市银行的股价可观测、股价波动率可估计的有利条件,采用数值方法对16家中资上市商业银行所获的政府隐性担保及其蕴含的存款保险基本费率进行了测算。测算结果表明,不同银行风险水平存在差异,所获政府隐性担保亦不同,有力支持了存款保险的差别费率设计思路。     

分析师研究报告负面信息含量与股价同步性

本文基于文本分析法,选取2019-2021年A股上市公司相关数据,实证检验分析师研究报告负面信息含量与股价同步性之间的关系。研究结果表明:(1)分析师研究报告负面信息含量越高越能显著抑制公司的股价同步性;(2)当研究报告由明星分析师分析撰写时,分析师研究报告负面信息含量与股价同步性的负相关关系更加显著;(3)负面信息含量越高,引起投资者关注度越高,真实信息更容易融入股价,从而降低了股价同步性;(4)在公司信息透明度较低时,分析师研究报告负面信息含量对股价同步性的抑制作用越强。本文对了解分析师在资本市场中发挥的作用以及维持资本市场的健康发展具有重要的理论和实践意义。     

Capital Structure Deviation and Speed of Adjustment

As a firm deviates from its target leverage from above (below), the bankruptcy costs (foregone tax savings) rise at an increasing rate while the tax savings (reduced bankruptcy costs) rise at a decreasing rate, generating a stronger incentive for rebalancing capital structure. This phenomenon renders the speed of adjustment (SOA) an increasing function of the deviation. Employing a bootstrapping‐based estimation strategy that averts well‐known estimation biases, we find U.S. firms exhibit a positive SOA sensitivity to leverage deviation. Also, the SOA sensitivity is greater for overlevered than underlevered firms.     

An investigation of the asymmetric link between credit re-ratings and corporate financial decisions: “Flicking the switch” with financial flexibility

Using a large sample of non-financial US listed firms over the period from 1985 to 2009, we analyze the interactive effect of financial flexibility and credit re-ratings on corporate investment and financing decisions. Essentially, we document that financial flexibility (inflexibility) “flicks the switch” in the re-rating upgrades (downgrades) scenario. Specifically, a credit rating upgrade (downgrade) for financially flexible firms is followed by a reduction (no change) in their cost of capital, an increase (no change) in their capital expenditure and an increase (no change) in their net debt versus net equity issuance. In contrast, a rating upgrade (downgrade) for financially inflexible firms is followed by an insignificant change (an increase) in their cost of capital, an insignificant change (a decrease) in their capital expenditure and an insignificant change (a decrease) in their net debt versus net equity issuance. We offer plausible explanations for these asymmetric relations.     

The implications,challenges and benefits of a complexity-orientated Futures Studies

Complexity science is increasingly cited as an essential component of a Futures Studies (FS) capable of assisting with the wide-ranging and complex societal problems of the 21st century. Yet, the exact implications of complexity science for FS remain somewhat opaque. This paper explicitly sets out the challenges for FS that arise from six complexity science concepts: (1) irreversibility of time (2) path dependence 3) sensitivity to initial conditions (4) emergence and systemness (5) attractor states (6) complex causation. The discussion highlights the implications of these challenges for FS tools such as horizon scanning and weak signals, and sets out the benefits of overcoming the challenges to create an explicitly complexity-orientated FS. The discussion concludes with a set of questions summarising the challenge for FS from complexity science with the aim of stimulating a discussion as to how they can be met. The concluding remarks make some initial suggestions in this regard.     

Review and extension of Bhattacharyya's Modern Accounting Concepts in Kautilya's Arthasastra

This is a discussion of the theoretical aspects of accounting as they emerged in India during the Maurya period (c.321 BC to c.184 BC) in Kautilya's Arthasastra (c.300 BC) - the very first known treatise to deal with accounting aspects in the history of our discipline. Pertinent evidence can be found in an article by Choudhury (1982) and in Bhattacharyya's (1988) book, Modern Accounting Concepts in Kautilya's Arthasastra. This book, hardly known in Western accounting circles, claims that Kautilya's ancient treatise anticipated a series of 'modern' accounting concepts. These claims are here examined on the basis of the two standard translations of the Arthasastra, the original one by Shamasastry ([1915] 1967) and an extended one by Kangle (1963). Apart from some background material, the focus of this paper is on three aspects: (1) Kautilya's various types of income (including aspects of accounting for price changes, the distinction between real and fictitious holding gains, etc.) and their possible relation to modern concepts; (2) his classification of expenditures or costs (including possibly fixed vs variable costs); and (3) his notions of capital. These aspects indicate a surprisingly long-standing need for and possible use of relatively sophisticated accounting concepts. Thus Choudhury and, particularly, Battacharyya must be praised for drawing the attention of Western accountants to different aspects of an important ancient treatise. Yet Bhattacharyya (1988) deserves to be critically investigated and interpreted, not only from a Western point of view but also from the perspective of modern price-level accounting.     

Separation of Unit of Account from Medium of Exchange

The separation of a unit of account (UoA) from a medium of exchange (MoE) in the commodity–money system is investigated by considering explicitly a seller's choice of UoA in terms of either an MoE or a unit of metal weight. If the likelihood of debasement of an MoE and its rate are high enough, the price is posted in terms of a unit of metal weight rather than an MoE. Interestingly, this MoE–UoA separated equilibrium yields the flexible nominal price, whereas an MoE–UoA integrated equilibrium yields the sticky one. This implies the nominal price rigidity in the fiat‐money system where MoE and UoA are integrated.     

In pursuit of legitimacy: A history behind fair value accounting

An examination of the history of attempts by regulators, practitioners and scholars from the mid nineteenth century to 2005 to establish an appropriate accounting measurement basis for financial reporting here leads to an evaluation of the likelihood of fair value accounting (FVA) practices becoming fully institutionalised. Using concepts drawn from theories of legitimation, it is shown here that historic cost accounting (HCA) only enjoyed an episodic legitimacy in the 1940s–70s and that prior and after this period mixed measurement incorporating market values is routinised. Although principles of FVA have been legitimised to an extent, it is argued here that this has resulted in the practice of mixed measurement bases being taken for granted.     

Are there long-run implications of analyst coverage for IPOs?

Analyst coverage has been cited increasingly as an important attribute in the selection of an underwriter for a firm about to go public. However, it has also been alleged that affiliated analysts provide biased research. In this study, we examine these interrelated issues by examining the long-run performance of IPOs with coverage from their managing underwriters in a 1993–2003 sample. We find that (1) analysts’ research coverage from their managing syndicate is not related to long-run performance; (2) long-run performance is not different for firms that receive all-star analyst coverage; and (3) investors are not systematically worse off for following lead underwriter recommendations.     

Beta Geared and Ungeared: Further Analysis of the Case of Active Debt Management

This paper extends previous work by Appleyard and Strong (1989) concerned with the implications of an active debt management policy (ADMP) for de-gearing a geared firm's equity beta. First, alternative derivations of the ADMP beta de-gearing formulae for an MM perfect capital market with corporation tax and for a world with corporation and personal taxes are presented. These derivations do not require the assumption of level perpetuity expected cash flows and therefore indicate a broader basis for the ADMP beta de-gearing formulae than previously demonstrated. Secondly, possible investor valuation errors from use of a PDMP (passive debt management policy) valuation methodology to value firms pursuing an ADMP are analysed in the context of an MM perfect capital market with corporation tax. Given constant (or zero) growth in the firm's expected unlevered cash flows, this analysis indicates that degearing errors from use of the PDMP beta de-gearing formula will only be associated with valuation errors if there is a change in the firm's target debt ratio and that the significance of such valuation errors will be largely dependent on the expected growth rate.     

The effect of the establishment of an organized exchange on weak form efficiency: the case of Istanbul Gold Exchange

Evidence is presented from IGE (the Istanbul Gold Exchange) that an institutional regulation such as the establishment of an organized exchange is an important component of informational efficiency that should not be disregarded in the process of financial liberlization.     

Systemic risk measurement: Multivariate GARCH estimation of CoVaR

We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to consider more severe distress events, to backtest CoVaR, and to improve its consistency (monotonicity) with respect to the dependence parameter. We define the systemic risk contribution of an institution as the change from its CoVaR in its benchmark state (defined as a one-standard deviation event) to its CoVaR under financial distress. We estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period June 2000 to February 2008 and the 12 months prior to the beginning of the crisis. We also investigate the link between institutions’ contributions to systemic risk and their characteristics.