Optimal model averaging forecasting in high-dimensional survival analysis

This article considers ultrahigh-dimensional forecasting problems with survival response variables. We propose a two-step model averaging procedure for improving the forecasting accuracy of the true conditional mean of a survival response variable. The first step is to construct a class of candidate models, each with low-dimensional covariates. For this, a feature screening procedure is developed to separate the active and inactive predictors through a marginal Buckley–James index, and to group covariates with a similar index size together to form regression models with survival response variables. The proposed screening method can select active predictors under covariate-dependent censoring, and enjoys sure screening consistency under mild regularity conditions. The second step is to find the optimal model weights for averaging by adapting a delete-one cross-validation criterion, without the standard constraint that the weights sum to one. The theoretical results show that the delete-one cross-validation criterion achieves the lowest possible forecasting loss asymptotically. Numerical studies demonstrate the superior performance of the proposed variable screening and model averaging procedures over existing methods.     

Demand for fair value accounting: The case of the asset revaluation boom in Korea during the global financial crisis

When the fair value accounting (FVA) option for property, plant, and equipment was introduced in the midst of the global financial crisis, a significant proportion of Korean firms elected FVA. We attribute this unusual boom in asset revaluations to the nation's culture of government intervention and civilian compliance, which was particularly espoused during this period of financial turmoil, and a foreseeable option to switch back to historical cost accounting. We find that among those firms whose debt‐to‐equity ratios are low, public firms opt for the FVA option more often than private firms, suggesting that the need to communicate fair value information with diversified equity holders is more important than the need to do so with creditors. In contrast, among those firms whose debt‐to‐equity ratios are high enough to warrant such unfavorable dispositions as new debt freezes and monitoring by regulators, we find no difference in the FVA choice between private and public firms. These findings imply that during the global financial crisis, private firms that rely heavily on debt financing have a strong incentive to utilize FVA to comply with government guidelines for the debt‐to‐equity ratio and to ease a potential hold‐up problem by influential creditors.     

Do analysts who understand accounting conservatism exhibit better forecasting performance?

This study investigates the performance of analysts when they match the asymmetric timeliness of their earnings forecast revisions (i.e., asymmetric forecast timeliness) with the asymmetric timeliness of firms’ reported earnings (i.e., asymmetric earnings timeliness). We find that better timeliness‐matching analysts produce more accurate earnings forecasts and elicit stronger market reactions to their forecast revisions. Further, better timeliness‐matching analysts issue less biased earnings forecasts, more profitable stock recommendations and have more favorable career outcomes. Overall, our results indicate that analysts’ ability to incorporate conditional conservatism into their earnings forecasts is an important reflection of analyst expertise and professional success.     

Information Sharing in the Presence of Preemptive Incentives: Economic Consequences of Mandatory Disclosure

Thisstudy examines the welfare implications of a mandatory disclosurerequirement in an oligopolistic market, in which firms can choosetheir output either before or after the resolution of demanduncertainty. Two main results are derived. First, it is shownthat there exists a set of parameter values under which mandatorydisclosure is ineffective in the sense that it does not induceany change in the equilibrium production. Second, for some otherparameter values, imposing mandatory disclosure alters the firms'incentive structure in a way that gives rise to a Pareto lossin welfare; i.e., firms and consumers are made strictly worseoff. These two results suggest that the regulatory implicationsderived from the information-sharing literature should be interpretedwith caution.     

Expected Accrual Models: The Impact of Operating Cash Flows and Reversals of Accruals

This paper augments the Jones (1991) model with operating cash flows and lagged accruals to evaluate the impact of (1) the negative association between accruals and concurrent cash flows, (2) the positive association between accruals and lagged cash flows, and (3) the reversal of accruals. I find that operating cash flows greatly improve the explanatory and predictive power of the Jones model; but, lagged accruals do not. A market test of the expected and unexpected components of accruals indicates that unexpected accruals are on average informative with respect to concurrent stock returns; however, the market does not fully understand the implications of accruals anticipated at the beginning of the return period.This paper has benefited from helpful comments and suggestions from Tae Hee Choi, In-Kyu Moon, and two anonymous reviewers on earlier versions of this paper. The author gratefully acknowledges the financial support from the Queens School of Business.     

资本市场和创业投资对自主创新的价值创造研究

中国制造业大部分处在低成本竞争层次,利润稀薄,处在全球价值链的最底层,没有定价权.抗风险能力差,普遍存在重市场轻研发的现象.根据中外企业的发展经验,自主创新能力是企业生存的基础和增强企业竞争力的灵魂.自主创新成败的关键取决于机制和环境.资本市场和创业投资是增强企业自主创新能力的重要机制保障,并对企业自主创新的价值创造能量十分巨大,全球重量级、横空出世的知名企业皆是风险投资和资本市场造就的.本文从实证的角度就资本市场和创业投资对自主创新的价值创造问题进行了探讨.     

Unexpected Accruals and Conditional Accounting Conservatism

Abstract:  This paper examines the impact of management discretion over accruals on conditional accounting conservatism, defined as the tendency of accountants to recognize bad news on a timelier basis than good news. Prior research suggests that conditional accounting conservatism reflected in earnings is mainly due to the accrual component of earnings, not the cash flow component of earnings. After decomposing total accruals into expected and unexpected accruals, I find that (1) conditional accounting conservatism reflected in accruals is mainly due to unexpected accruals; (2) the negative association between unconditional and conditional accounting conservatism is mainly attributable to unexpected accruals; and (3) firms with higher leverage exhibit conditionally more conservative accounting primarily through unexpected accruals. These results are robust to accrual models that take into account the systematic association between accruals and cash flows and their non-linearity and to the asymmetric persistence of earnings changes specification of conditional accounting conservatism. Taken together, these results suggest that managers exercise their discretion over accruals to expedite the recognition of bad news rather than good news.     

延期支付下部分价格折扣的变质物品订货模型

一般的延期支付库存模型将产品采购价视为固定不变的,而实际商业活动中,价格折扣是供应商促销的一种常用手段。本文在进一步考虑"数量界限"的价格折扣问题的基础上,建立了一个延期支付下部分价格折扣的变质物品经济订购批量模型,分析了两种情况下订货商的最优订货策略,并用算例进行了说明。     

媒介在消除知识沟中扮演的角色:三地区农村儿童的媒介使用、人际交谈与知识水平

近年来,中国农村居民可支配收入显著提高;然而,中国农村教育面临严重的资源紧缺问题,限制了儿童的知识获取。本研究的核心问题是:在城乡差异、地区差异的复杂情况下,报纸、电视、电脑、手机等媒介能否显著提升农村儿童的知识水平,并最终消除不同家庭条件儿童之间的知识沟?本研究以知识沟理论为框架,调查了浙、赣、黔三地的935名农村儿童,通过建立OLS回归模型和混合效应模型,探讨了农村儿童的媒介使用、人际交谈和地区差异对知识沟的影响。研究发现,不同家庭社会经济地位的农村儿童之间确实存在知识沟;不同地区农村儿童的知识水平和知识沟存在显著差异;电视和电脑不显著地扩大了知识沟,报纸和手机不显著地缩小了知识沟,人际交谈对知识沟没有显著影响。实质上,报纸和手机更可能是知识沟消除过程中的“知识提供者”,而非直接推动者;作为“知识提供者”的报纸和手机确实难以减弱“绝对知识沟”,但可以有效地缩小“相对知识沟”,缓和社会矛盾。