公司股份回购负财务效应分析

股份回购早已成为上市公司为配合资本结构决策或股利政策而广泛采用的财务举措,而在我国股份回购无疑也是证券市场上的一项重大制度突破和金融创新。本文首先阐述了股份回购的基本理论,然后结合东北老工业基地公司股份回购的相关情况,着重地分析了股份回购的负财务效应。最后针对股份回购负财务效应分析中所发现的问题,提出了一系列相应的建议和解决措施,使其无论在理论上还是实践上的研究都得到了进一步的完善。     

The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors

We consider the normalized least squares estimator of the parameter in a nearly integrated first-order autoregressive model with dependent errors. In a first step we consider its asymptotic distribution as well as asymptotic expansion up to order O_p(T⁻¹). We derive a limiting moment generating function which enables us to calculate various distributional quantities by numerical integration. A simulation study is performed to assess the adequacy of the asymptotic distribution when the errors are correlated. We focus our attention on two leading cases: MA(1) errors and AR(1) errors. The asymptotic approximations are shown to be inadequate as the MA root gets close to −1 and as the AR root approaches either −1 or 1. Our theoretical analysis helps to explain and understand the simulation results of Schwert (1989) and DeJong, Nankervis, Savin, and Whiteman (1992) concerning the size and power of Phillips and Perron's (1988) unit root test. A companion paper, Nabeya and Perron (1994), presents alternative asymptotic frameworks in the cases where the usual asymptotic distribution fails to provide an adequate approximation to the finite-sample distribution.     

The Workout of Banking Crises: A Macroeconomic Perspective

This paper provides a macroeconomic perspective for governmentinterventions in banking crisis. Such crisis occur when a largenumber of banks fail to meet capital requirements or are insolvent.Using a macroeconomic model with financial intermediation, ouranalyis suggests that strict enforcement of capital-adequaterules suffices in prosperous periods. Capital requirements serveas an indicator for crises interventions in critical stateswhich may require interest rate intervention and restructuringof the banking industry. These policies can be reinforced byrandom bailouts and temporary financial relief, with a largepercentage of the costs being covered by current and futureowners of banks. (JEL D41, E4, G2)     

中小企业融资与发展中小金融机构

一个国家的经济稳定持续增长离不开数量众多的中小企业，特别是在稳定经济、吸纳就业、出口创汇和提供社会服务等方面，中小企业的作用是不可或缺的。我国中小企业的发展状况与美国相比，相距甚远，研究美国中小企业的融资模式对解决我国现存的中小企业融资困境具有一定的参考价值。本文就中小企业融资与发展中小金融机构提高了我国相应的几点建议与对策。     

论市场经济中的艺术收藏

在我国上市公司的重组与并购活动中 ,地方政府一直扮演着一个非常重要的角色 ,这是有其深刻的经济和历史原因的 ,本文就上述问题进行简单的介绍和分析。     

Are Securitizations in Substance Sales or Secured Borrowings? Capital‐Market Evidence*

Two standard‐setting approaches have emerged globally to guide the choice of accounting for securitizations: the control and components approach (SFAS No. 125 and SFAS No. 140) and the risks and rewards transfer approach (IAS No. 39). A lack of consensus about derecognition accounting is a major impediment to achieving convergence in global standards that must be resolved. Thus, both SFAS No. 140 and IAS No. 39 will be reexamined, and evidence pertinent to the debate is timely and important. In this study, we present evidence consistent with the view of credit‐rating analysts, who view many securitizations as, in substance, secured borrowings. Specifically, for a sample of originators applying sale accounting guidance in SFAS No. 125 / 140 during the period 1997‐2003, we show that off‐balance‐sheet debt related to securitizations has, on average, the same risk‐relevance for explaining market measures of risk (that is, CAPM beta) as on‐balance‐sheet debt. We also find that, in a returns and earnings association framework, the pricing multiple on securitization gains declines as the amount of off‐balance‐sheet debt increases, implying that investors take off‐balance‐sheet debt into account when assessing the valuation‐relevance of such gains. For those who advocate the control and components approach to securitization accounting, our results suggest that, at least for frequent securitizers, the put option arising from implicit recourse is a “missing piece” that is not currently accounted for when calculating securitization gains. Our results challenge the extant measurement standards in SFAS No. 140.     

绩效诱因契约设计对经理人风险行为的影响

经理人与投资人之间的代理问题是由于在信息不对称的环境下,投资人无法观察到经理人的经营活动是否真正从投资人的利益角度出发,从而引发了经理人的道德风险,产生了自利性高风险投资组合的逆诱因选择。通过应用选择权的观念推导三种不同的绩效诱因契约设计,对于抑制经理人自利性风险调整行为倾向有较好的效果。     

Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework

Multinational companies face increasing risks arising from external risk factors, e.g. exchange rates, interest rates and commodity prices, which they have learned to hedge using derivatives. However, despite increasing disclosure requirements, a firm's net risk profile may not be transparent to shareholders. We develop the ‘Component Value‐at‐Risk (VaR)’ framework for companies to identify the multi‐dimensional downside risk profile as perceived by shareholders. This framework allows for decomposing downside risk into components that are attributable to each of the underlying risk factors. The firm can compare this perceived VaR, including its composition and dynamics, to an internal VaR based on net exposures as it is known to the company. Any differences may lead to surprises at times of earnings announcements and thus constitute a litigation threat to the firm. It may reduce this information asymmetry through targeted communication efforts.     

对新疆财政工作的现实思考

在市场经济条件下,财政具有优化资源配置、调节收入分配和协调经济发展等重要功能。因此,做好财政工作对经济快速发展和社会全面进步具有重要的推动作用。本文主要对新疆财政收支的基本状况、财政工作中存在的问题及新疆财政工作的特殊性进行了分析,在此基础上提出了今后新疆财政工作的基本思路。