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1.
银行作为经营货币、经营风险的企业,已经从利润管理走向风险与价值驱动型的管理。在此模式下,EVA和风险调整绩效指标克服了净利润、股东权益回报率等传统的绩效度量指标的缺陷,成为风险与价值的衡量指标。银行以风险计量配置经济资本,并以经济资本为基础计算EVA与风险调整绩效的管理模式成为银行风险与价值驱动型管理的最佳选择。企业的价值等于未来各期EVA的折现值加上期初投入的资本。以上市银行公开年报数据为基础对国内主要上市银行的EVA以及风险调整绩效指标进行模拟测算,在测算结果的基础上进行分析,进一步印证了银行价值与EVA比银行价值与ROE具有更明显的相关性。 相似文献
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中国上市银行的经济增加值及其驱动因素 总被引:1,自引:0,他引:1
金融业的全面对外开放使得银行之间的竞争日趋激烈,对中国商业银行经营绩效作出科学评价成为大势所趋。本文选取中国沪深两市14家上市银行作为研究样本,结合银行业的特殊性和中国商业银行的实际情况,对它们的经济增加值(EVA)进行测算,得出中国上市银行经营绩效不容乐观;进一步深入探索EVA潜在驱动因素得出,EVA与资产规模、存货比、资本充足率非显著相关,与外部治理显著正相关,与固定资产比例及不良货款率呈显著负相关。因此中国商业银行应完善内外治理机制,建立以EVA为核心风险管理体系。 相似文献
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基于EVA的商业银行经济资本管理与价值创造研究 总被引:1,自引:0,他引:1
只有为企业带来超过资本最低回报要求的业务,才真正为企业创造了价值,而那些创造收益水平低于资本最低回报要求的业务,实际上是在消耗企业的价值,因而价值最大化是银行经营最终目标。银行经济资本管理可以为银行创造价值。以EVA作为价值创造能力衡量指标,经济资本管理为银行创造价值路径有四个:绩效考评、战略制定、产品定价和资产组合选择。 相似文献
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从所有者的角度看,考察银行的真实经营状况,重点是衡量银行是否真正为股东创造了价值,看看银行的绩效是否得以改进,而经济利润指标就是一个很好的工具手段。评判银行竞争力的标准之一就是银行的绩效如何,20世纪80年代起逐步出现了一批以股东价值为中心的绩效评价指标,其中由思腾斯特(SternStewart)管理咨询公司推出的经济增加值指标(EVA),即本文所指的经济利润(EP)最具影响力。经济利润指企业净利润扣除资本成本之后的资本收益,其反映的实质是资本获得的收益至少要能补偿投资者承担的风险,它才是银行股东真正财富的创造者。尽管经济利润指标同样也存在 相似文献
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利用上市银行2002-2013年的季度数据,考察资本缓冲调整、宏观经济波动与资产价值变动之间的内在联系.研究发现:上市银行资本缓冲的顺周期性并不显著,但是其风险变动却对宏观经济的波动极为敏感;同时,资本缓冲的调整与上市银行的风险变动具有相关性,在宏观经济变动时,银行会因自身表内资产组合风险的变化而连续调整其资本缓冲.此外,上市银行表内资产的多元化程度较低,收入变动与风险波动的相关性较显著,所以,收入多元化依然是银行减少风险,提高市场竞争力的驱动因素之一. 相似文献
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EVA(经济增加值)指标是由美国思腾思特管理咨询公司(Stern Stewart&Co.)提出的一种业绩评价指标.目前,EVA指标已经成为美国资本市场衡量企业经营绩效的一种重要指标,20世纪90年代中期以来,EVA指标在我国受到越来越多的关注.本文拟对在我国现行会计准则和制度环境下EVA计算时应对有关会计数据进行调整的方法作一些探讨. 相似文献
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上市银行业绩评价问题足一个很敏感的问题,它不仅关系到投资者、债权人和其他利益相关者的利益,更能对我国金融行业的持续健康发展产生举足轻重的影响,因此合理评价上市银行业绩显得尤为重要.EVA指标不仅考虑了资本成本,还充分估计了银行风险的影响.而且,EVA指标最大化与股东投资价值最大化相一致,从而克服了传统业绩衡量指标的最大缺陷,减少了代理成本,使银行所有权与经营权达到统一. 相似文献
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随着资本市场的发展和公司治理结构的日益完善,市场参与各方在不断寻求有效方法来评估企业价值.近年来经济增加值(EVA)作为新型的企业绩效管理(EPM)工具之一备受关注,但作业会计(AA)与内部价值评估(IVM)等模型却没有得到应有的重视.作业会计是以作业成本法为手段、具备一系列管理功能的信息系统;内部价值评估则是以作业会计提供的信息为基础,对企业内部组织单元价值进行计量的方法体系.在企业EPM实践中,基于IVM建立关键业绩指标体系和绩效考核匡算模型,结合成本管理(ABCM)和AA框架进行实施,具有较强的普适性与实用价值.本文从AA和IVM的应用研究入手,提出IVM与EVA匡算模型的主要差异,研究了绩效管理实践中解决评价与被评价者矛盾、关键业绩指标(KPI)体系次优化等若干原则和问题,并结合企业价值最大化目标构建了绩效管理最佳实践模型. 相似文献
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R. G. Coyle 《Futures》1984,16(6):594-609
The Brandt report and other proposals for a new North-South world order continue to be the focus of lively debate, yet it is often argued that little concrete has emerged from their recommendations. A major reason for this, the author argues, is that the East-West conflict component is not sufficiently taken into consideration-East-West tensions are a severe constraint on and a determining factor of North-South relations. Using influence diagrams, the author develops a flexible framework for discussion and assessment of N/S-E/W relations. 相似文献
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旅游企业与社区居民利益冲突及协调博弈研究 总被引:3,自引:0,他引:3
随着旅游业发展的深入,旅游企业与社区居民的利益冲突及协调问题成为影响旅游业发展的重点问题。从旅游企业和社区居民的单次博弈入手建立模型,并通过重复博弈模型分析,探索实现利益协调的路径。提出完善社区居民旅游开发参与机制和构建收益均衡分配机制,解决旅游企业与社区居民的利益协调问题。 相似文献
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An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to
risk, liquidity affects asset prices and returns. Theories of asset pricing suggest that the expected return of an asset is
increasing in its risk, because risk-averse investors require compensation for bearing more risk. Because investors are also
averse to the costs of illiquidity and want to be compensated for bearing them, asset returns are increasing in illiquidity. Thus, asset prices should depend on two asset characteristics: risk and liquidity. This paper surveys research on the effects
of liquidity on asset prices and returns, showing that liquidity is an important factor in capital asset pricing. 相似文献
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来自政府的声音: "动员各种社会资源,发展教育" 此次论坛上财政部长助理张少春的发言是最受关注的发言之一.他的演讲传达出的信息有这样几方面:第一,谈到现实,他认为全社会对教育的巨大需求与我国公共投入不足已成为我国教育事业发展的突出矛盾.近年来,以公共部门投入为主,多渠道筹措教育经费的教育投入机制成为解决这一问题的重要途径,也使得公共部门与私营部门在教育领域的合作日益密切.第二,谈到前景,他认为,1.中国经济持续、快速的增长对高技能人才产生巨大的需求,这为私营部门的参与提供了广阔空间.2.随着公共财政职能的不断完善,财政资金将在各项教育事业中重新进行分配,进一步优化财政支出结构,提高资金的使用效率.在"十一五"期间,我国将把公共支出的重点转移到农村.我们将逐步把全体农村适龄儿童的义务教育全部纳入公共财政体制. 相似文献
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Thomas H. McInish Olena Nikolsko-Rzhevska Alex Nikolsko-Rzhevskyy Irina Panovska 《Financial Management》2020,49(4):973-996
We investigate how short-lived liquidity supply due to order cancellations affects the order-placement behavior of slow traders. When order cancellations increase, slow traders submit fewer and less aggressive orders. Both short- and long-lived liquidity supply have positive effects on the market overall, reducing spreads and increasing depth. We conclude that it is not necessary to require limit orders to have a minimum lifespan. We develop econometric and machine-learning frameworks that allow traders to predict whether a quote is likely to have a short or long life, increasing the ability of slow traders to respond strategically to changing order flow. 相似文献
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LIBOR and swap market models and measures 总被引:9,自引:0,他引:9
Farshid Jamshidian 《Finance and Stochastics》1997,1(4):293-330
A self-contained theory is presented for pricing and hedging LIBOR and swap derivatives by arbitrage. Appropriate payoff
homogeneity and measurability conditions are identified which guarantee that a given payoff can be attained by a self-financing
trading strategy. LIBOR and swap derivatives satisfy this condition, implying they can be priced and hedged with a finite
number of zero-coupon bonds, even when there is no instantaneous saving bond. Notion of locally arbitrage-free price system
is introduced and equivalent criteria established. Stochastic differential equations are derived for term structures of forward
libor and swap rates, and shown to have a unique positive solution when the percentage volatility function is bounded, implying
existence of an arbitrage-free model with such volatility specification. The construction is explicit for the lognormal LIBOR
and swap “market models”, the former following Musiela and Rutkowski (1995). Primary examples of LIBOR and swap derivatives
are discussed and appropriate practical models suggested for each. 相似文献
19.
Han N. Ozsoylev 《Annals of Finance》2008,4(2):157-181
We often observe disproportionate reactions to tangible information in large stock price movements. Moreover these movements
feature an asymmetry: the number of crashes is more than that of frenzies in the S&P 500 index. This paper offers an explanation
for these two characteristics of large movements in which hedging (portfolio insurance) causes amplified price reactions to
news and liquidity shocks as well as an asymmetry biased towards crashes. Risk aversion of traders is shown to be essential
for the asymmetry of price movements. Also, we show that differential information can enhance both amplification and asymmetry
delivered by hedging.
This paper is based on part of my Ph.D. thesis submitted to the University of Minnesota. I am grateful to Andy McLennan and
Jan Werner for their valuable advice and unwavering support. Also, I would like thank Mehmet Barlo, Michele Boldrin, Partha
Chatterjee, Mehmet Ozhabes, Dimitrios Tsomocos and seminar participants at the University of Minnesota, the MEA and the MFA
Meetings in St Louis for helpful comments. Comments on a previous draft by an anonymous referee greatly improved the presentation
of this paper. Financial support from William W. Stout Fellowship is gratefully acknowledged. 相似文献
20.
STEPHEN A. ROSS 《The Journal of Finance》1985,40(3):637-657
With a graduated personal tax schedule, Miller showed that there could be an equilibrium debt supply for the corporate sector as a whole. In the presence of uncertainty there is also a unique debt/equity ratio for each individual firm, and this ratio is related to the firm's operational risk characteristics. However, if firms merge and spin off in response to tax incentives, the identity of firms is ambiguous and only the corporate sector is a meaningful construct. These arguments are developed in both discrete and continuous models that employ extensions of the arbitrage-free pricing theory. 相似文献