非经常性损益对沪市上市公司财务业绩影响研究

文章通过非经常性损益、各非经常性损益项目对上市公司财务的整体影响以及对各非经常性损益项目对公司财务业绩的具体影响三个层次的分析,发现上市公司通过主营业务经营所获得的收益仍然是构成2003年财务业绩的主要来源,并且有继续向好的趋势;其整体业绩并未因非经常性损益的原因而导致质量低下。但同时数据也表明,部分上市公司利用各非经常性损益项目进行利润调节的现象仍然较为严重,对微利公司和 T族公司尤为如此。文章也对非经常性损益项目的构成进行了分析,揭示出了2003年度上市公司利用非经常性损益来调节利润的主要手段。此外,文章对目前有关部门对非经济性损益的相关规定进行了剖析,揭示出其存在的不足之处,并提出了相应的政策建议。     

资产证券化对货币政策实效性的影响

资产证券化对货币政策的影响 ,是一个具有理论和实际意义的重要问题。本文从三个方面对此进行了表述。一是资产证券化对货币政策传导路径的影响 ,指出它并未降低利率政策的实效性 ,但对货币供应量这一货币政策的中间目标的实效性会有影响。二是资产证券化对利率期限结构的影响 ,指出资产证券化加强了短期利率影响长期利率的实效性 ;三是分析了资产证券化对银行监管的影响。     

城市公共设施供给中的融资创新——一种基于政府付费或补贴的资产证券化方式

城市政府当期财政难以满足未来城市建设中的公共设施需求,城市发展需要公共融资创新."私人生产、政府付费或补贴、公众消费"模式是城市公共设施融资中一种吸引私人投资的较好模式.在该模式基础上,提出了一种基于政府付费或补贴的资产证券化创新方式,阐述了该方式的运用范围、基本结构和运作流程,并分析了该方式在城市建设中运用的基本条件.     

资产证券化的会计处理

资产证券化凭其独特的构思和精妙的结构，既使发起人获得所需资金同时又有效地分散了资产支持证券的风险，因此成为当前国际金融市场上的宠儿。但是伴随资产证券化的广泛应用，出现了资产证券化的会计处理难题。本文从分析资产证券化的概念、特征入手，结合我国资产证券化的实际情况，探讨资产证券化的会计处理。     

Information Content of Earnings and Earnings Components of Commercial Banks: Impact of SFAS No. 115

SFAS No. 115 modified classification of debt and equity securities held by firms and also modified the reporting format for unrealised gains/losses on security transactions (URGL). This study investigates whether implementation of SFAS No. 115 improved information content of earnings and earnings components of commercial banks. Improvement in the information content is measured by comparing the association between equity returns and earnings and earnings components of the post-adoption period of SFAS No. 115 with the pre-adoption period.The test results indicate that the association of equity returns with earnings components and aggregate earnings is significantly stronger in the post-adoption period compared to the pre-adoption period. The improvement is especially evident for the components of URGL and non-interest revenues. These results suggest that information provided by earnings components is considered more value relevant for investment decision after implementation of SFAS No. 115. Findings on non-interest revenues indicate that revenues from banking activities other than lending also play an important role in the commercial banks' profitability.     

Relevance of the disposition effect on the options market: New evidence

A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines the propensity of option holders to exercise their winning relative to losing positions. Using data on individual stock and S&P 500 Index options, we find that the MPS measure has significant predictive power over the cross section of delta‐hedged option returns. We test the disposition effect in the options market based on a long–short strategy that exploits price distortions induced by the disposition bias. More pronounced evidence of the disposition bias is found for individual at‐the‐money call options than put options where the significance of abnormal returns remains robust across different subsamples even after we control for the portfolio option greeks and market‐based risk factors. The profitability of the long–short strategy is related to limit‐to‐arbitrage proxies suggesting that behavioral explanations help explain the positive relation between the MPS measure and delta‐hedged option returns.     

Canada's Housing Bubble Story: Mortgage Securitization,the State,and the Global Financial Crisis

Canada's experience during and after the financial crisis appears to distinguish it from its international peers. Canadian real estate sales and values experienced record increases since the global financial crisis emerged in 2008, rather than declines, and Canada did not witness any bank failures. The dominant trope concerning Canada's financial and housing markets is that they are sound, prudent, appropriately regulated and ‘boring but effective’. It is widely assumed that Canadian banks did not need, nor receive, a ‘bailout’, that mortgage lending standards remained high, and that the securitization of mortgages was not widespread. The truth, however, does not accord with this mainstream view. In fact, the Canadian financial and housing markets reveal marked similarities with their international peers. Canada's banks needed, and received, a substantial ‘bailout’, while federal policies before and after the financial crisis resulted in the massive growth of mortgage securitization and record household indebtedness. This article documents the growth of Canada's housing bubble, the history of mortgage securitization, and of government policies implemented before and after the crisis. Instead of making the Canadian financial and housing sectors more resilient and sustainable, the outcomes of state responses are best understood as regressively redistributive.     

New development: Can ‘public’ market-based solutions restore the banking system? The case of non-performing loans (NPLs)

The authors discuss how policy-makers could use new market-based solutions to dismantle NPLs. They examine viable solutions for NPLs and then study the Italian State Guarantee Scheme for NPL Securitization (GACS) to highlight how public actors could efficiently use public resources to solve the NPL problem.     

A study on risk retention regulation in asset securitization process

We study the impacts of the recently proposed risk retention regulation for asset securitization, i.e. the issuer has to retain a certain proportion of securitized assets. We also consider the frequently discussed measure to require the issuer disclose certain information of the securitized assets. In a dynamic model with asymmetric information between a risk-averse originating bank and a continuum of risk-averse investors, we find that it is impossible for a flat-rate retention requirement to be optimal for all asset types. Although both risk retention and information disclosure regulations are effective in reducing investors’ informational loss, neither can unconditionally enhance social welfare upon the unregulated case. For both measures, there are associated regulatory cost: risk retention regulation aggravates adverse selection problem because it undermines the channel of informational revelation by the choice of securitization intensity, and information disclosure requirement incurs a signalling cost by distorting banks’ securitization intensity in sending signals. Under an appropriate set of conditions we find that information disclosure requirement complements risk retention regulation when investors are sufficiently risk averse.     

Financialization of Housing in Brazil: New Frontiers

The financialization of housing has been increasingly identified as an important driver of social and economic change in contemporary capitalism. Focusing on the Brazilian context, this article considers the extent to which recent changes in housing regulations, policies and markets confirm or challenge narratives about the financialization of housing in the international academic debate. I argue that while many of the trends stressed in the literature are apparent, more extreme processes of financialization within the Brazilian housing sector remain limited––not only because of institutional and regulatory constraints, path dependence or political resistance, but also because of fundamental structural conditions of Brazil's position as a peripheral economy. Three different but mutually reinforcing processes are scrutinized in order to evaluate the financialization of housing and its limits in Brazil: the re‐regulation of the real estate financial sector initiated in the 1990s; the changing funding patterns among real estate companies since the mid‐2000s; and the increasing commodification of housing induced by a large‐scale and heavily subsidized housing program launched in 2009.