非GAAP财务计量

为了贯彻执行布什总统签发的萨奥法案（Sarbances Oxley Act of 2002）,美国证监会（SEC）针对一些企业,在某些重大财务信息的处理上未以一般公认的会计原则（GAAP）规定的一套方法为基础进行计算和表述的现实情况,经过广泛征求有关方的意见,发布了一个“最后准则”（Final Rule）,命名为“非GAAP财务计量的使用条件”（Conditions for Use of Non GAAP-Financial Measures）。     

US GAAP繁琐性追溯

在某种程度上，美国公认会计原则（USGAAP）的庞杂与其是个“民间提出和认可”的概念有关。但是“萨奥法案”的出现奠定了其的出身和权威性。     

Does accounting quality change following a switch from U.S. GAAP to IFRS? Evidence from Germany

This study examines whether accounting quality changed following a switch from U.S. GAAP to IFRS. Using a sample of German high tech firms that transitioned to IFRS from U.S. GAAP in 2005, we find that accounting numbers under IFRS generally exhibit more earnings management, less timely loss recognition, and less value relevance compared to those under U.S. GAAP. In addition, after analyzing the accounting quality of firms that applied IFRS throughout the entire sample period, we find that, for the metrics suggesting a decline in accounting quality for both groups of firms, the change is significantly more pronounced for firms switching to IFRS from U.S. GAAP. Overall, our findings indicate that the application of U.S. GAAP generally resulted in higher accounting quality than application of IFRS, and a transition from U.S. GAAP to IFRS reduced accounting quality. Our findings provide the first evidence on the potential consequences of a switch from U.S. GAAP to IFRS.     

FASB对GAAP体系进行简化的战略目标分析

2005年6月举行的美国证监会(SEC)第24届年会暨财务报告组织会议上,美国财务会计准则委员会(FASB)主席罗伯特·赫兹在发言里提到,FASB将会把精力集中于三个关键的战略目标:会计准则改善、简化以及国际趋同。其中值得注意的是对会计准则的简化,这是FASB在配合SEC建立高质量会计准则的过程中达成的新战略目标。根据这一目标,FASB将会对公认会计原则(GAAP)的结构进行详细的梳理,这也是达成高质量会计准则目标的必经之路。FASB2005年4月28日发布的《GAAP的层次(》TheHierarchyofGenerallyAcceptedAccountingPrinciple)征求意见稿…     

Why Do Banks Go Abroad?—Evidence from German Data

This paper provides empirical evidence on the determinants of foreign activities of German banks. We use regionally disaggregated panel data for the years 1981–98 and distinguish foreign direct investment from total foreign assets of domestic banks, of their foreign branches and of their subsidiaries. Foreign activities are found to be positively related to demand conditions on the local market, foreign activities of German firms, and the presence of financial centers. This supports the hypothesis that German banks follow their customers abroad. Exchange rate volatility has some negative impact. EU membership and the abolition of capital controls seem to have exerted a greater influence on foreign assets than on FDI of German banks, thus weakly supporting the hypothesis that the two are substitutes.     

How wide is the gap between IASC and U.S. GAAP? impact of the IASC comparability project and recent international developments

The objectives of this paper involve determining the significant areas of difference between International Accounting Standards (IASs) and U.S. GAAP following the IASC’s Comparability Project and the most recent IASC and FASB projects on these issues. In addition, the paper assesses the consistency of U.S. practice with the IASs revised via the Comparability Project. For this purpose, the 1996 annual reports of 38 large multinational U.S. companies are examined and an empirical analysis of reporting practices is carried out. Finally, the remaining gap between IASs and U.S. GAAP is evaluated and policy implications are considered for the IASC and FASB. It is concluded that while there are still some significant issues to be resolved, notably relating to the determination of net profit/loss for the period, research and development, changes in foreign exchange rates, and business combinations, these differences are not insurmountable.     

How Common Are Intentional GAAP Violations? Estimates from a Dynamic Model

This paper uses data on detected misstatements—earnings restatements—and a dynamic model to estimate the extent of undetected misstatements that violate GAAP. The model features a CEO who can manipulate his firm's stock price by misstating earnings. I find the CEO's expected cost of misleading investors is low. The probability of detection over a five‐year horizon is 13.91%, and the average misstatement, if detected, results in an 8.53% loss in the CEO's retirement wealth. The low expected cost implies a high fraction of CEOs who misstate earnings at least once at 60%, with 2%–22% of CEOs starting to misstate earnings in each year 2003–2010, inflation in stock prices across CEOs who misstate earnings at 2.02%, and inflation in stock prices across all CEOs at 0.77%. Wealthier CEOs manipulate less, and the average misstatement is larger in smaller firms.     

Do German security analysts herd?

We employ an innovative methodology suggested by Bernhardt et al. (J. Financ. Econ. 80:657–675, 2006) to examine the herding (or anti-herding) behavior of German analysts regarding earnings forecasts. This methodology avoids well-known shortcomings often encountered in related studies, such as correlated information signals, unexpected common shocks to earnings, systematic optimism or pessimism, or forecast target mismeasurement. Our findings suggest that German analysts anti-herd, that is, they systematically issue earnings forecasts that are further away from the consensus forecast than their private information indicates. Furthermore, we analyze the association between herding behavior and different characteristics, including the size of the brokerage, general or firm-specific experience, and the coverage of firms on the Neuer Markt. We mainly confirm findings for the United States, for example, that anti-herding is more severe in cases of higher competition among analysts. Contrary to anecdotal evidence, we also find anti-herding behavior in earnings forecasts for Neuer Markt firms during the “new economy” bubble.

Do U.S. Insurance Firms Offer the “Wrong” Incentives to Their Executives?

We examine the relation between executive compensation and market‐implied default risk for listed insurance firms from 1992 to 2007. Shareholders are expected to encourage managerial risk sharing through equity‐based incentive compensation. We find that long‐term incentives and other share‐based plans do not affect the default risk faced by firms. However, the extensive use of stock options leads to higher future default risk for insurance firms. We argue that this is because option‐based incentives induce managerial risk‐taking behavior, which seeks to maximize managerial payoff through equity volatility. This could be detrimental to the interests of shareholders, especially during a financial crisis.     

Uninvited U.S. Investors? Economic Consequences of Involuntary Cross‐Listings

We study the economic consequences of a recent Securities and Exchange Commission securities regulation change that grants foreign firms trading on the U.S. over‐the‐counter (OTC) market an automatic exemption from the reporting requirements of the 1934 Securities Act. We document that the number of voluntary (sponsored) OTC cross‐listings did not increase following the regulation change, suggesting that it did not achieve its intended purpose of increasing voluntary OTC cross‐listings through a reduction in compliance costs. We do find that the design of the regulation allowed financial intermediaries to create an unprecedented number of involuntary (unsponsored) OTC ADRs: 1,700 unsponsored ADR programs for 920 firms were created for companies that had previously chosen not to cross‐list in the United States. Our difference‐in‐differences analysis based on a matched sample approach documents that foreign firms forced into the U.S. capital markets experience a significant decrease in firm value, and we further show that the decrease in firm value is related to an increase in U.S. litigation risk. We also find that depositary banks’ propensity to involuntarily cross‐list firms is positively related to banks’ expected fee revenue, and that banks chose firms that incur high costs when involuntarily cross‐listed. Our results provide evidence that securities regulation can be exploited for private gain and result in costly unintended consequences.     

Value-at-risk forecasts under scrutiny—the German experience

We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for regulatory purposes throughout the period from the beginning of 2001 to the end of 2004. One task of a supervisor is to estimate the ‘recalibration factor’, i.e. by how much a bank over- or underestimates its VaR. The Basel traffic light approach to backtesting, which maps the count of exceptions in the trailing year to a multiplicative penalty factor, can be viewed as a way to estimate the ‘recalibration factor’. We introduce techniques that provide a much more powerful inference on the recalibration factor than the Basel approach based on the count of exceptions. The notions ‘return on VaR (RoVaR)’ and ‘well-behaved forecast system’ are keys to linking the problem at hand to the established literature on the evaluation of density forecasts. We perform extensive bootstrapping analyses allowing (1) an assessment of the accuracy of our estimates of the recalibration factor and (2) a comparison of the estimation error of different scale and quantile estimators. Certain robust estimators turn out to outperform the more popular estimators used in the literature. Empirical results for the non-public data are compared to the corresponding results for hypothetical portfolios based on publicly available market data. While these comparisons have to be interpreted with care since the banks' P&L data tend to be more contaminated with errors than the major market indices, they shed light on the similarities and differences between banks' RoVaRs and market index returns.     

Investment by German Firms Abroad—Unpatriotic?

Original Papers

Investment by German Firms Abroad—Unpatriotic?     

由美国会计准则的制定方式和概念框架在GAAP中层次的发展想到的

一、美国会计准则的制订方式将向以原则为基础、以目标为导向发展2000年后,美国上市公司连续出现安然、世通等财务欺诈案件,导致了《2002萨班斯—奥克斯莱法案》的出台。该法案的重要性,特别是对财务会计和报告的影响,不亚于1933年《证券法》和1934年的《证券交易法》。除组建上市公司会计监督委员会(PCAOB),加强对独立审计师的监管外,会计方面主要采取两大措施:一是改革会计准则的制订方式,提出从以规则为基础(Pules—based),转向以目标为导向,以原则为基础(Anobjectives—oriented,Principlesbased);二是改进完善现有的财务会计概念公…     

Are U.S. Companies Really Holding That Much Cash—And If So,Why?

Non‐financial S&P 500 companies are now estimated to hold a total of $2.1 trillion of “cash,” a figure that is larger than the annual GDP of all but eight countries. In this report, J.P. Morgan's Corporate Finance Advisory team notes that while many observers have attributed the buildup to offshore cash growth alone, onshore cash levels are also up significantly. To be sure, the companies that have shown the greatest increases also tend to be highly successful, with strong cash flow and business performance. And the managers of such companies tend to prefer to retain much if not most of this cash to take advantage of investment opportunities and to maintain the flexibility to respond to the next economic downturn. Also adding to the cash build‐ups, the executives of large MNCs with significant overseas cash holdings typically try to avoid the higher tax bill triggered by repatriating funds to the U.S. Nevertheless, investors continue to expect growth and high returns on capital; and corporate distributions of capital in the form of dividends and stock buybacks can play an important role in encouraging companies to operate efficiently. While pursuing both of these goals—preservation of enough cash to weather downturns and invest in all positive‐NPV projects, and commitment to paying out excess capital—boards and senior decision makers should continuously reexamine their cash holdings and capital allocation policies to ensure they are appropriate not only for today's environment, but throughout the economic cycle.