Chief Audit Executive as Supervisory Board Member and Executive Compensation Contracts

This paper studies a unique phenomenon in China's corporate governance—that chief audit executives (CAEs) sit on supervisory boards (CAE duality)—and examines its effects on executive compensation contracts. Using a sample of listed firms between 2010 and 2018, we find a significant positive relation between CAE duality and pay-for-performance sensitivity, which suggests that the dual position helps integrate monitoring resources and reduces agency costs. This positive relation is more pronounced when companies face a stricter monitoring environment and in non-state-owned enterprises (non-SOEs) than in SOEs. In addition, we find that the recent reforms on compensation strengthen the role of CAE duality in SOEs. Further analysis identifies the reliability of performance information (i.e., earnings quality) and reduced executive self-interested behaviours (i.e., perquisite consumption) as the influencing mechanisms that increase the demand for performance-based compensation and thus improve pay-for-performance sensitivity.     

美国金融危机压力的来源及其对中国防范金融风险的启示——基于MIMIC模型的实证分析

党的十九大报告指出：“要坚决打好防范化解重大风险攻坚战，其关键又是防范金融风险，包括防范中国系统性金融风险的发生和抵御国际性金融危机传导所带来的外部冲击。”2007年由美国次贷危机演变成的全球性金融危机，至今还在持续影响着部分国家的经济和金融发展。2015年底开始的美国第六轮加息周期和2018年3月中美贸易战的爆发，使得中国的经济发展面临更大的机遇和挑战。本文以次贷危机为背景，基于MIMIC模型对2005—2016年的美国金融危机压力进行了测度，找到压力的来源为外汇储备增长率、出口增长率和实际有效汇率高估三个方面，进而分析其产生的根本原因，最后从三方面提出中国防范化解重大风险的对策和启示。     

Short-sale constraints and informational efficiency to private information: A natural experiment

Exploiting a regulatory change in short-sale constraints (Regulation SHO) as a natural experiment, this paper examines the effect of short-sale constraints on informational efficiency of stock prices to private information. I find that short-sellers act as informed traders prior to forthcoming analyst news and trade on negative private information. When short-sale constraints are relaxed for pilot stocks (treatment group), both trading volume and stock price sensitivity increase prior to the analyst announcement for bad news but not for good news, relative to that of nonpilot stocks (control group). The findings are consistent with the Diamond and Verrecchia model that predicts that short-selling increases the speed of adjustment of stock prices to private negative information. In the cross-section, the effect of Reg SHO is stronger in stocks of firms with weak and uncertain information environments (i.e., small firms and firms with high analyst forecast dispersion).     

Institutional quality,investment efficiency,and the choice of public–private partnerships

We examine a sample of 625 public–private partnership (PPP) firms from 1980 to 2015 that straddle nine countries with varying degrees of economic development and PPP markets. We find that the motivations of the firms that undertake PPP investments vary. While private sector firms in economies with low institutional quality choose to engage in PPPs to alleviate capital constraints attributed to underinvestment, those in economies with high institutional quality participate in PPPs to solve the problem of overinvestment due to an abundant cash flow. In the long run, the benefits of lower capital constraints through PPP investments are more pronounced in economies with high institutional quality.     

Disappearing investment-cash flow sensitivities: Earnings have not become a worse proxy for cash flow

According to a recent conjecture in the literature, earnings have become a poorer proxy for cash flow from operations over time. We find that since 1988, when cash flow statements started to be consistently reported in Compustat, the cash effectiveness of earnings has actually increased for a large sample of US manufacturing firms. This occurs despite the introduction of fair value accounting and increasing accounting accruals during the last three decades. Also contrary to the conjecture, using more comprehensive measures of cash flow does not restore the investment-cash flow sensitivity, which continues to be around 0.05 in more recent periods.     

Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures

We examine the impact of the introduction of VIX exchange‐traded products (ETPs) on the information content and pricing efficiency of VIX futures. We document that trades in VIX futures have become less informative and that pricing errors exhibit more persistence after the introduction of VIX ETPs. In addition, we observe that the price process of the VIX futures has become noisier over time. These findings suggest that the introduction of the VIX ETPs had a prominent effect on the properties and dynamics of the VIX futures.     

The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.     

Young consumers in the digital era: The selfie effect

This article investigates a mechanism named the selfie effect. By their frequent sharing of selfies on social media, perhaps displaying their cool new fashions or newly acquired tattoos, young people—unintentionally—help providers to promote their products and services, and thereby contribute to the commercial pressure. The existence of a selfie effect builds on hypotheses originating from a pilot interview study concerning how young adults master the consumer role. In this article, the existence of a selfie effect is investigated in a nationally representative web survey with 1,707 respondents aged 16–60, living in Norway. While 59% of the teenagers said they were posting selfies weekly or more often, only 2% among those in their fifties did. The multivariate quantitative analyses support the idea that teenagers and young adults, frequently online, become vulnerable in the consumer role. Particularly posting selfies and following bloggers increase consumer detriment and overconsumption.     

地方财政压力与投资多样性——基于所得税分享改革的研究

利用企业所得税分享改革构建强度倍差模型，使用1997—2012年全国地级市数据，检验了地方财政压力对于投资多样性的影响及相关传导机制。结果表明，地方财政压力不利于投资多样性的提高；在财政压力下，地方容易形成偏向房地产行业的投资倾向。然而，不同地区地方财政压力对投资结构的影响存在异质性。经济发展水平较低的地区在财政压力下更容易降低投资多样性；而经济发展水平高的地区应对财政压力时，更倾向于通过多元化投资的方式做大税基、减轻财政压力。优化分税制结构、建立地方性税种能缓解地方财政压力，对于改变地方“房地产集中型”投资结构有一定的积极作用。     

异质机构投资者对高管薪酬的影响研究——来自A股上市公司的经验数据

以2012—2016年沪深A股上市公司为样本，从静态和动态两个角度实证研究异质机构投资者对上市公司高管薪酬的影响，结果表明：在高管薪酬方面，压力抵抗型投资者持股对薪酬总额的影响并不显著，而压力敏感型机构投资者则能显著提高薪酬总额；在高管薪酬变动速度方面，压力抵抗型机构投资者能够显著提升上市公司的业绩—薪酬敏感性，压力敏感型机构投资者的这一提升效果不显著；在高管薪酬变动幅度方面，A股上市公司高管薪酬普遍存在向下的粘性，相较于压力敏感型机构投资者，压力抵抗型机构投资者能够显著抑制高管薪酬粘性。