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.     

金融发展和经济增长：文献述评

20世纪90年代以来，有关金融发展和经济增长问题的研究成为经济学领域一个热点，相关文献汗牛充栋。本文就金融发展和经济增长的理论研究和实证研究进行系统地分析和综述。     

The impact on stock prices of deferral and elimination of internal control audit requirement for small firms

This paper examines the cumulative market reaction to the events related to deferral of internal control audit requirement under the Sarbanes-Oxley Act of 2002 and its elimination under the Dodd-Frank Act of 2010 for nonaccelerated filers (small firms). We document that small firms experienced negative cumulative abnormal returns around these events; and the differences between the cumulative abnormal returns for small firms and the two control groups (accelerated and large accelerated filers) were negative and significant at the 1% level. These results support the notion that market participants value the reliability of financial information irrespective of the firm size. Within the small firms, we find no firm characteristic significantly explains the market reaction to the events considered. That is, all small firms lost market value in reaction to the events that delayed and eliminated their internal control audit requirement.     

金融错配、非金融企业影子银行化与经济“脱实向虚”

当前,我国一些非金融企业通过直接或间接的方式从事影子银行业务。本文利用2004-2015年上市公司数据研究发现,金融错配程度的提高整体上会提高企业影子银行化规模,并且这种效应仅在金融深化程度较高、经济资源市场化配置程度偏低的地区显著;僵尸企业和盈利性较差的企业,分别受到\"利润追逐\"和\"投资替代\"机制的影响,金融错配对其影子银行化趋势的正向作用更为明显。机制检验发现,金融错配水平的上升通过提高融资约束程度从而降低企业实体投资水平,这种效应在资产专用性较强的企业中更为明显;金融错配主要通过融资约束程度和实体投资规模,而非资本回报率渠道作用于企业影子银行化行为。本文研究对于提高信贷资源配置效率,防范经济\"脱实向虚\"具有较强的政策意义。     

中国公司的增长策略研究

论文根据中国所有的上市公司在2004——2008年的数据分析了中国公司的增长策略。根据研究结果,发现近75%的中国上市公司都没有足够的内部资源来保证其按照行业平均增长率来实现增长,这些公司的财务绩效(ROE和ROA)都显著地劣于其他公司;只有3%的中国上市公司的增长率落在精明增长区间(Raisch & Von Krogh,2007)内,这些公司可以凭借内部资源的支撑以高于行业平均增长率的速度来实现增长,其ROE显著地优于其他公司。论文并根据实证的结果对中国公司的增长策略提出建议。     

实现利益冲突向利益和谐转化统领社会主义和谐社会的构建

每一个社会的经济关系首先是作为利益关系表现出来的,所以利益问题是一个涉及社会生活全局性的问题.利益关系是人类一切社会发展的基础,人们所奋斗的一切归根到底都与其利益相关.协调的利益关系是和谐的基础.因此,在构建社会主义和谐社会的过程中,须调节利益关系,以利益冲突向利益和谐转化统领社会主义和谐社会的构建.     

Failure to learn from failure: The 2008 mortgage crisis as a déjà vu of the mortgage meltdown of 1994

This article traces the developments in the market for residential mortgage-backed securities (MBS) during the period 1970–2008. Drawing on an analysis of trade publications, business press, and interviews with practitioners, it shows that an MBS market meltdown in 1994 provided clear signals of problems with MBS. The market participants did not re-evaluate their use of risk management tools or adjust security design in response to the 1994 crisis, suggesting a lack of understanding of the implications of the crisis. The 1994 meltdown showed that MBS were vulnerable to systematic risks and that these risks could precipitate an MBS market crash. Furthermore, the 1994 meltdown demonstrated that large-scale investment in MBS could affect the primary mortgage market, thereby rendering the MBS risks unpredictable. After 1994, MBS investment shifted to MBS backed by mortgages with default risk – a development that led to the crash of 2008. By drawing parallels between the 1994 and 2008 crises, this article shows how the MBS market failed to self-correct. The results suggest that financial market participants do not always incorporate relevant information in their decision-making and that market participants have difficulties in both foreseeing the effect of financial innovations on markets and interpreting these effects.     

G-3经济“L型”衰退,中国经济“V型”调整

2008年9月以来,随着雷曼兄弟的破产及此后一连串重大金融机构事件的发生,美国次贷危机急剧恶化,并迅速演变为全球性金融危机。各国政府,特别是美国政府采取了一系列紧急救市行动,由于这些政策措施只是暂时稳定了市场信心,未能解决引发危机的根本性问题,因此全球金融危机仍在继续发展,金融市场仍将巨幅波动。金融危机进一步冲击了实体经济增长。基于此次危机的特殊性和严重性,我们认为G-3(美、欧、日,下同)经济体将会陷入"L型"衰退。尽管中国金融体系受到金融危机的直接影响较小,但是危机却通过出口和投资等间接渠道对中国实体经济产生了较大影响。随着中国政府及时出台系列重大应对措施,中国经济有望走出与G-3经济体不同的"V型"调整轨迹。     

“国际金融中心”需要怎样的城市形象广告片?——上海城市形象广告片的受众认知和态度比较研究

上海立志建设成为国际金融中心,打造这一城市品牌形象是一个系统工程,营销传播工作是重要的组成。本研究从广告效果空间论角度,对上海现有的四部城市形象广告进行了受众认知和态度效果的比较,并引入中外受众所代表的不同涉入度作为调节变量。我们根据结果绘制了四支广告在认知-态度二维图上的位置,并发现不同涉入度对认知效果没有调节作用,而对态度效果上则有调节作用。基于这些发现,我们提出了如何创作有效的国际金融中心城市形象广告的建议。