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1.
本文认为,与西方成熟的市场化投、融资制度背景不同,我国转轨期间的企业投融资期限错配现象严重,这一现象很难用西方传统的期限结构理论进行解释。主要表现企业的投融资期限结构错配主要是由融资制度性约束所引起。投融资期限结构的错配,不仅会使债务治理效果弱化、企业和银行的风险加大,最终会加剧宏观经济波动风险。应不断完善法律法规,加大对债权人的保护力度;还应建立多层次、多渠道的融资市场。 相似文献
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We investigate the association between the voluntary formation of a board investment committee (IC) and corporate cash holdings for a large sample of Gulf Cooperation Council (GCC) firms over the 2005–2013 period. We provide evidence that the existence of a specialized IC increases corporate cash holdings. We also find that several IC characteristics, i.e., member experience, independence, number of meetings, and committee size, are associated with an increase in firms’ cash holdings. Furthermore, the local and foreign institutional ownership of GCC firms moderates the IC-cash holdings relationship. These results remain robust to alternative specifications of cash holdings and endogeneity tests. We contribute to the literature on firms’ incentives to hold cash and to the literature on governance in emerging market contexts. 相似文献
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This paper examines the agency problem due to manager-shareholder conflicts in a real option framework by incorporating strategic debt service. We show that when the equityholders’ bargaining power is weak, the optimal coupon is larger and the manager overinvests the project relative to the case without renegotiation, while the results are totally opposite when the bargaining power is strong. An increase in equityholders’ bargaining power reduces the manager’s value and the total social value. Especially, the social value can be improved by debt renegotiation when the systematic risk is high, which provides an explanation why Chinese government encourage the market-oriented debt restructuring. 相似文献
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This study examines how information uncertainty influences investment decisions. In contrast to prior studies, which assume no information uncertainty, our model includes a discrepancy in valuing debt between shareholders and debtholders at the time of debt issuance. We derive the values of corporate securities and the optimal investment threshold and coupon under information uncertainty. We show that compared with the absence of information uncertainty, debtholders value debt less than shareholders do, and hence, shareholders should contribute more investment funds. Debt financing restraints due to information uncertainty lead to delayed investment. We find that information uncertainty plays a mitigating role in shareholder-debtholder conflicts over investment policy. Moreover, the information uncertainty costs that shareholders incur increase sharply with the level of information uncertainty. 相似文献
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We show that the distribution of any portfolio whose components jointly follow a location–scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean–variance–skewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions for the log-likelihood score and explain how to evaluate the information matrix. Finally, we present an empirical application in which we obtain the mean–variance–skewness frontier generated by the ten Datastream US sectoral indices, and conduct spanning tests. 相似文献
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本文运用我国股市1998～2006年间的财务报表数据,选择正自由现金流、低自由现金流乘数和低财务杠杆的大公司,对其以自由现金流为基础的投资组合进行了检验。结果显示,以自由现金流为基础的投资组合回报始终优于市场指数,说明在我国股市实行基于自由现金流的投资组合是积极可行的。 相似文献
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Sequential maximum likelihood and GMM estimators of distributional parameters obtained from the standardised innovations of multivariate conditionally heteroskedastic dynamic regression models evaluated at Gaussian PML estimators preserve the consistency of mean and variance parameters while allowing for realistic distributions. We assess their efficiency, and obtain moment conditions leading to sequential estimators as efficient as their joint ML counterparts. We also obtain standard errors for VaR and CoVaR, and analyse the effects on these measures of distributional misspecification. Finally, we illustrate the small sample performance of these procedures through simulations and apply them to analyse the risk of large eurozone banks. 相似文献
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Prior research shows that economic policy uncertainty affects a wide range of corporate financial decisions; however, there is little research on the relationship between economic policy uncertainty and cost of debt financing across countries. In this paper, we argue that economic policy uncertainty affects cost of debt financing through two mechanisms including information asymmetry and default risk. With a sample of 163,243 firm-years across 17 countries from 2003 to 2016, we find that economic policy uncertainty positively affects cost of debt financing and this effect is stronger during the global financial crisis from 2008 to 2009. Moreover, our research findings show that large firms’ debt financing cost is less affected by economic policy uncertainty. 相似文献
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This paper examines the impact of a company's pension contributions (PCs) on its dividend and investment policies. The effects of shocks to cash flows on these corporate expenditures are identified by changes to pension funding regulations. Using a sample of DB pension schemes in FTSE350 UK‐listed firms we find a strong negative relation between PCs and corporate dividends even after controlling for the correlation between funding status and unobserved investment opportunities. We find that the more stringent funding requirements under the Pensions Act 2004 had a more pronounced effect on both dividend and investment sensitivities to PCs. 相似文献
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We empirically evaluate whether the profitability and investment factors from Novy-Marx (2013) and Fama and French (2015, 2018) are compatible with Merton’s (1973) intertemporal CAPM (ICAPM) framework in the pre-1963 period. We show that: (i) the covariance risk price estimates of the profitability factors are positive and statistically significant, which indicates that they have explanatory power with respect to the cross-section of stock returns; (ii) the investment factors carry insignificant covariance risk prices and are therefore not valid ICAPM risk factors; and (iii) the profitability factors forecast the first moment of the aggregate stock return and economic activity with the correct sign, which is consistent with their positive covariance risk price estimates and satisfies the sign restrictions associated with the ICAPM. 相似文献
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A structural model of pricing Write-Down (hereafter WD) bonds under imperfect information has been developed to investigate the effect of WD bonds issuance on credit risk. Information is not only delayed but also asymmetrically distributed between managers and outside investors. We derive analytical solutions for corporate securities prices and find the issuance of WD bonds could significantly improve firm value via reducing bankruptcy cost. Our numerical results further demonstrate that the WD bonds issuance increases corporate risk tolerance and reduces the risk of bankruptcy and credit spreads under imperfect information. 相似文献
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Chilean companies are forced by law to distribute at least 30% of their liquid profits. The purpose of this paper is to analyze whether this mandatory dividend rule has an impact on investment decisions. Based on accounting data and by using the discontinuous regression approach, our results show that there are no significant differences between the investment plans of Chilean companies that pay dividends and those that do not. Moreover, consistent with the signaling hypothesis, our results also show that firms with a greater probability of paying an excess dividend (above the minimum required by the law) are those with more investment opportunities and more financial constraints. 相似文献
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This study highlights the corporate governance potential of debt maturity structure for Turkish firms through investigating its association with ownership and control structure. We model leverage and debt maturity as jointly endogenous under simultaneous equations framework. Firstly, we find that both concentrated ownership structure and presence of a large shareholder is directly but moderately related to corporate debt maturity. We also document that it is important for Turkish firms to match maturity of their assets with maturity of their liabilities. Our findings lend considerable support to the prediction that as firms get financially strong or have more growth opportunities they shorten their corporate debt maturity structure. Moreover, despite having a controlling large shareholder or a concentrated ownership structure, firms with growth opportunities still prefer shorter maturities in order to solve the underinvestment problems. Finally, firm size is positively associated with long‐term debt and our empirical analysis provides no evidence that taxes affect debt maturity structure. 相似文献
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本文通过研究中国制造业上市公司投资支出与其内部现金流的敏感性,分析经济转轨过程中不同所有权企业融资约束的变动情况。研究发现:(1)制造业上市公司存在明显的融资约束,且民营企业的融资约束明显高于国有企业;(2)在研究期间,全部样本企业的投资现金流敏感性随时间逐渐降低;(3)预算软约束的存在,使得国有企业投资现金流敏感性随时间下降的幅度比民营企业低。 相似文献
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An effective portfolio selection model is constructed on the premise of measuring accurately the risk and return on assets. According to the reality that the tail of returns on assets obey power-law distribution, this paper firstly builds two fractal statistical measures, fractal expectation and fractal variance, to measure the asset returns and risks, inspired by the method of measuring curve length in the fractal theory. Then, by incorporating the fractal statistical measure into the return-risk criterion, a portfolio selection model based on fractal statistical measure is established, namely the fractal portfolio selection model, and the closed-form solution of the model is given. Finally, through empirical analysis we find that the fractal portfolio selection model is effective and can improve investment performance. 相似文献
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关于债务期限结构影响因素之研究——来自沪深股市上市公司的经验证据 总被引：2，自引：0，他引：2
本文对2001至2006年度沪深股市中的575家上市公司债务期限的影响因素进行了研究。结果表明：影响上市公司债务期限的因素主要有流动性风险的一次方、流动性风险的二次方、资产期限、企业规模、财务杠杆、增长期权和边际税率;上市公司的债务融资决策考虑到了其自身的财务风险状况,因而尽管上市公司的债务期限偏短,但却是其理性思索的结果;偏短的债务期限导致上市公司存在着固定资产投资不足的倾向,因此当前应积极发展长期债务市场,努力降低上市公司进行长期债务融资的成本,从而诱使其借入更多的长期债务,以便有更多的长期资金用于其长期资产的投资,最终切实提高其盈利能力的可持续性。 相似文献
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本文以中国上市公司为研究对象,考察了在高风险项目企业中会计信息质量对企业新增投资支出的影响,揭示了会计信息质量在债权人保护中的作用。实证结果表明:高质量的会计信息能够抑制高风险项目企业的新增投资支出,这样的抑制效果在高风险项目企业的主要负债来源为非商业银行时表现的更加显著。 相似文献
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Bertrand Djembissi 《Journal of Economic Dynamics and Control》2011,35(10):1800-1816
This paper analyses the effect of short term debt on equityholders' risk taking decisions. We show that if short term debt limits the expropriation of debtholders, it also implies a lower leverage, which prevents the firm from increasing tax shields. We then examine the incentive of equityholders to increase the firm risk when debtholders hold the option to swap a perpetual coupon bond with short term debt. We find that this option mitigates equityholders' risk shifting incentives. Compared to standard short term debt, this restructuring option deters debtholders expropriation, it increases leverage and it reduces the loss in tax shields due to asset substitution. 相似文献