法制环境、供应链集中度与企业会计信息可比性

不同于常见的基于资本市场的会计信息可比性研究,本文将研究场景拓展至商品市场中处于企业供应链前后端的供应商、客户的会计信息需求,考察供应链集中是否会改变企业的信息环境,进而影响其会计信息可比性。研究发现,大供应商和大客户与企业之间的私下信息沟通,会显著削弱企业发布可比会计信息以满足供应商、客户信息需求的动机,具体表现为:供应链集中度越高,企业的会计信息可比性越差。进一步研究证实,企业所在地区的法制环境能够对会计信息可比性起到有效的约束作用,供应链集中度对企业会计信息可比性的显著负面影响只在法制环境较差的地区存在。本文从商品市场参与者的会计信息需求这一独特的视角考察了会计信息可比性的影响因素,丰富了会计信息可比性方面的文献,有助于从会计信息需求者多元性的角度全面理解会计信息质量的影响因素。     

会计信息可比性与公司避税

会计信息可比性通过公司间信息溢出效应为外界理解和判断公司的经济业务提供增量信息,使避税活动难以实施,抑制避税代理成本从而抑制公司避税。本文从会计信息质量治理效应出发,运用2005-2015年我国A股非金融上市公司数据研究会计信息可比性对公司避税的影响,结果发现公司会计信息可比性越高,避税程度越低。可比性对避税的抑制在信息透明度较低的公司以及在面临产品市场竞争更激烈的公司中更显著。进一步研究发现可比性与税收征管之间存在替代效应,可比性对避税的抑制作用在税收征管强度较低的地区更显著。本文扩展和深化了会计信息质量的治理效应,为我国政府强化会计信息披露监管以营造公平税收环境提供理论依据。     

经济政策不确定性、代理成本与会计信息可比性——基于企业生命周期视角的研究

本文以A股上市公司为研究对象,采用2014年至2019年的面板数据,从企业生命周期的视角切入,通过实证研究的方式分析经济政策不确定性对会计信息可比性造成的影响。研究结果显示,经济政策不确定性对于会计信息可比性有显著正效应,即经济政策不确定性越高,企业提供的会计信息可比性越高;代理成本加剧会抑制经济政策不确定性对会计信息可比性的正向影响;按照企业生命周期分类,经济政策不确定性对会计信息可比性的正向影响在成熟期的企业最高、成长期的企业次之、衰退期的企业最弱;代理成本抑制经济政策不确定性对会计信息可比性正向影响在企业的不同生命周期存在差异,按照成长期、成熟期、衰退期的顺序依次减弱。本文对于资本市场建设、企业治理制度完善及企业不同生命周期的经济行为决策均具有现实指导意义。     

支付方式与收购公司财富效应

股权分置改革之后,股票支付成为我国上市公司并购的主要支付工具之一。本文以股改后并购事件为研究对象,采用事件研究法来实证检验收购公司在并购首次公告期间的财富效应,且分别检验不同支付方式下的财富效应差异。结果表明,股改之后并购为收购公司股东创造了正的财富效应,股票支付的收购公司所取得的超常收益显著为正,且显著大于现金支付所获得的超常收益。超常收益的影响因素分析发现一些交易特征对收购公司超常收益有显著的影响。     

公司章程反收购条款设置的股东财富效应——基于异质性条款的实证检验

本文依据上市公司各种反收购条款的内涵和现实效果,将反收购条款划分为管理层防御条款和股东保护条款,并以A股上市公司2016―2021年数据为样本,研究了两类反收购条款设置对股东财富的影响。研究发现,股东保护条款设置公告产生了正向市场反应,管理层防御条款设置公告则产生了负向市场反应。情景研究发现,交易所监管问询会加剧管理层防御条款设置的负向市场反应并增强股东保护条款设置的正向市场反应;分析师关注强化了管理层防御条款设置的负向市场反应;公司较高的信息披露质量促进了股东保护条款的正向市场反应。进一步研究发现,投资者对高科技公司设置管理层防御条款持积极态度,显示出资本市场对高科技公司管理层控制权维护的治理需求具有包容性。     

MBO过程中中小股东财富被转移的因素分析

20世纪70年代管理层收购(MBO)在英、美等国兴起并得到了较为广泛的应用。20世纪末,中国也出现了管理层收购的初步实践,其间几起几落,在中国这样一个处于经济转轨时期的国家,通过实施MBO能否使公司价值增加,中小股东财富是否发生了转移成了讨论的焦点,本文将对我国管理层收购中中小股东财富转移进行阐述。     

股东财富最大化与利益相关者价值最大化的差异和相容性分析

本文首先通过比较分析,指出"股东财富最大化"和"利益相关者价值最大化"这两种代表性的企业财务目标在理论基础、公司治理模式及资源配置原则等方面存在着明显的差异,在此基础之上引入各利益相关者的利益均衡,进一步分析了这两种理财目标的相容性及实现条件,并为公司理财目标的选择提出自己的建议。     

企业财务管理目标中股东财富最大化问题探析

财务管理在企业的管理中占有重要的地位,反映和影响到企业经营的诸多方面,而财富最大化作为其中的管理目标也逐渐被更多的企业所采用,笔者就从企业财务管理中股东财富最大化目标的选择原因,现存的障碍以及对此相关的解决策略入手进行一番探讨,希望进一步完善股东财富最大化目标的选择模式,为企业的健康发展提出一些积极的建议。     

Mental Accounting, Loss Aversion, and Individual Stock Returns

We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio, and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: In that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross section which can, to some extent, be captured by a commonly used multifactor model.     

The Book-to-Price Effect in Stock Returns: Accounting for Leverage

This paper lays out a decomposition of book‐to‐price (B/P) that derives from the accounting for book value and that articulates precisely how B/P “absorbs” leverage. The B/P ratio can be decomposed into an enterprise book‐to‐price (that pertains to operations and potentially reflects operating risk) and a leverage component (that reflects financing risk). The empirical analysis shows that the enterprise book‐to‐price ratio is positively related to subsequent stock returns but, conditional upon the enterprise book‐to‐price, the leverage component of B/P is negatively associated with future stock returns. Further, both enterprise book‐to‐price and leverage explain returns over those associated with Fama and French nominated factors—including the book‐to‐price factor—albeit negatively so for leverage. The seemingly perverse finding with respect to the leverage component of B/P survives under controls for size, estimated beta, return volatility, momentum, and default risk.     

Accounting Ratios and the Cross‐section of Expected Stock Returns

Under clean‐surplus accounting, the log return on a stock can be decomposed into a linear function of the contemporaneous log return on equity, the contemporaneous log dividend–price ratio (if the stock pays a dividend), and both the contemporaneous and lagged values of the log book‐to‐market equity ratio. This paper studies the implications of this decomposition for the cross‐section of conditional expected stock returns. The empirical analysis reveals that the log accounting ratios capture cross‐sectional variation in both the conditional mean and conditional variance of log stock returns, which is consistent with the decomposition. It also brings fresh insights to the relation between firm size (market equity) and conditional expected stock returns. The evidence indicates that the conditional median return increases with firm size, while the conditional return skewness decreases with firm size. Empirically, the skewness effect outweighs the median effect, leading to the well‐documented inverse relation between size and average returns. The results of out‐of‐sample tests suggest that investors could use the information provided by the observed values of the log accounting ratios to formulate more effective portfolio strategies.     

上市公司会计信息与股票超额收益率关系的实证研究

从上市公司年报信息出发,本文首先借助FSCORE方法建立了对上市公司会计信息的综合分析评价方法,随后以上海证券交易所A股上市公司1998年4月至2007年4月的数据进行实证研究,分析上市公司会计信息综合评价所获分数的高低与公司股票前后连续三年的超额收益率的相关关系。研究结果表明：上市公司的T年年报会计信息综合评估得分与T-1年和T＋1年公司股果的超额收益率都没有显著的相关关系,而与当年的公司股票的超额收益率呈现出显著的正相关关系,该结论对大中规模公司仍然显著。     

Stock Returns and Open-Market Stock Repurchase Announcements

Recent studies document stock price underreactions and overreactions. This evidence is extended by studying open-market stock repurchase announcements. Repurchase announcements were chosen for the study because of the uncertainty regarding the appropriate interpretation of the repurchase announcement. Cross-section regression models are used to test the relation between the reaction to the repurchase announcement and returns in subsequent periods. The results indicate that the market overreacts to repurchase announcements that are deemed to be “good news” by the market. Neither reversal nor drift is observed following repurchase announcements considered to be “bad news” by the market. The results are robust and are not driven by a few influential observations, beta shifts, or bid-ask bounce.     

On Stock Market Returns and Returns on Investment

This article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions (the Hayashi (1982) conditions), it is possible to establish, state by state, the equality between the return on investment and the market return of the financial claims issued by the firm. This result proves to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes.     

Excess Cash and Stock Returns

I document a positive relationship between corporate excess cash holdings and future stock returns. The difference in returns of portfolios of high and low excess cash firms amounts to 5% annually or 6% after standard three-factor risk adjustment. Firms with more excess cash have higher market betas and earn lower returns during market downturns. High excess cash companies invest considerably more in the future than do their low cash peers, but do not experience stronger future profitability. On the whole, this evidence is consistent with the notion that excess cash holdings proxy for risky growth options.     

Information Uncertainty and Stock Returns

There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.