不确定环境下的项目融资租赁租金计量模型研究——基于出租人视角

项目融资租赁租金的确定是以项目本身的资产和未来的收益为依托,涉及项目成本、收益、利率等多个参算因子。但在不确定环境下,参算因子的取值往往会发生较大变动,这大大增加了租金确定的难度,从而影响出租人对收益的保障。本文首先对不确定环境下影响项目融资租赁租金计量的主要因素进行敏感性分析,以判断对租金计量具有重要影响的因素。在此基础上构建了不确定环境下的项目融资租赁租金计量模型,将参算因子取值的不确定性嵌入到模型中,使其计算结果能更大程度地保障出租人收益。最后结合实际案例,验证了不确定环境下模型的有效性。     

Decision usefulness of whole-asset operating lease capitalizations

Monson (2001) and Hepp and Scoles (2012) argue that some leased assets should be capitalized at the assets' purchase price (whole-asset value) rather than at the present value of future minimum lease payments (right-of-use asset value). The argument is based in part on the notion that the assets under lease generate future income not the obligation related to future lease payments. To test the notion we compare associations between capitalizations representing whole asset values and current and future return on assets (ROA) and return on equity (ROE) with capitalizations representing right-of-use asset values and current and future ROA and ROE. Our results indicate that the whole-asset annuity values are incrementally associated with future ROA and ROE over right-of-use asset values. We interpret our results to suggest that the current practice of capitalizing future lease payments does not fully reflect the income generation provided by leased assets.     

Location and lease intensity

U.S. firms lease assets extensively. We find that, during 1980–2011, the average U.S. firm has a lease intensity of about 40%. Or, the average firm has present and future (up to five years) rent commitments equal to 16.6% of their total assets. We investigate whether agency costs between the lessor and the lessee affect the lease intensity of firms. To do so, we examine the impact of firms' location on the use of operating leases. The main idea of our paper is that, because obtaining information and monitoring is costly for potential lessors, especially when a lessee is relatively far away from financial centers, rural firms are less likely to use operating leases. Consistent with this hypothesis, we show that rural firms tend to have lower lease intensities than similar urban and small city firms. In addition, we find that firms with higher levels of debt capacity lease less and firms that face more financial constraint lease more. Our findings are robust to industry and lease maturity controls and consistent with the existence of an agency problem associated with leasing.     

Controlling the incentive problems in real estate leasing

This paper develops a formal model that characterizes potential conflicts of interest between real-estate landlords and tenants. The model demonstrates a tenant's incentive to undermaintain or overuse (i.e., abuse) a leased property while highlighting the moral hazard problem as a cause of the failure of the lease irrelevance proposition. As a consequence, the lease irrelevance proposition's faiure implies that if tenant abuse incentives are left unrestricted, the market for leased real estate may cease to function.The efficacies of various lease arrangements suggested by Smith and Wakeman (1985) and other researchers in controlling the tenant abuse incentives are evaluated in this framework as a means of counteracting the inherent problems. Our analysis supports the greater use of variable lease schemes (e.g., security deposits and penalty clauses), which peg real-estate lease rates to the level of property abuse rather than more traditional fixed payment contracting arrangements.     

企业处置固定资产的税务处理研究

企业处置固定资产经常会涉及到税务处理,由于固定资产处置方式多样,涉及到增值税和营业税两个税种,且在增值税转型后,纳税人销售旧货（包括固定资产）的征收方式出现了复杂化。不利于纳税人的掌握和理解,因此本文基于税务会计处理的角度,对固定资产进行重新分类,针对不同固定资产的类别,分情况详细阐述了不同固定资产的处置方式下的涉税处理。     

Canadian Evidence on the Constructive Capitalization of Operating Leases*

One type of relevant ex ante research supporting the accounting standard‐setting process is the study of a proposed standard's impact on reported figures. The International Accounting Standards Board recently decided to review the lease accounting standard, which will naturally involve consideration of the G4 + 1 recommendation to capitalize all noncancellable lease contracts, including operating leases. National evidence of the impact of the G4 + 1 proposals provides feedback for the international standard‐setter. This study developed and used a refined constructive capitalization method, in which company‐specific assumptions — interest rate, total/expired/remaining lives of leased assets, and tax rate — were used to compute the impact of operating‐lease capitalization on key financial indicators for a sample of Canadian public companies. The results indicate that capitalizing operating leases would lead to the recognition of important additional assets and liabilities on the balance sheet. It would therefore significantly increase the debt‐to‐asset ratio and significantly decrease the current ratio. These results were noted across all industry segments in the sample. Income statement effects were generally less material. Significant impacts on return on assets, return on equity, and / or earnings per share were noted in only three industry segments: merchandising and lodging, oil and gas, and financial services. Intercompany comparability would not be affected overall nor within industries, because of similar rankings for each financial indicator before and after operating‐lease capitalization.     

Operating and synthetic leases: Exploiting financial benefits in the post-Enron era

Applying constructive lease capitalization to operating leases of firms in the 2003 S&P 500 index, we demonstrate that currently companies can hide billions of liabilities, enhance retained earnings, income, and ratios by reporting leases as operating. With the rekindled interests of the International Accounting Standards Board and Financial Accounting Standards Board on lease reporting, our study provides valuable and timely information for their decisions.Results indicate that by reporting operating leases, firms avoided on average $582 million of liabilities (11% of total liabilities) and $450 million of assets (4% of total assets) for our 366 sample firms. Partitioning sample into negative and positive income impact subgroups provides additional insight into firm's motivation for using operating leases. Under lease capitalization the top quartile positive subgroup experienced an 18% increase in income while the top quartile negative subgroup had an 11% decline in income. There was also a significant negative impact on liquidity, leverage and performance ratios.     

CVP under uncertainty and the manager's utility function

Cost-volume-profit analysis has focused on the firm's short-run output decision assuming that the manager maximizes the firm's objective function rather than his or her own. This study argues that the decision problem facing the manager is to determine not only the level of output, but also the level of investment in risky assets in such a way that the expected utility of the manager's own end-of-period wealth can be maximized when the manager's wealth function is dependent on vested interests both within and outside of the firm, possibly in competition with the firm. Through analytical work, it is demonstrated that a change in fixed costs of the firm affects not only the production decision of a manager, but also his orher decision to invest in risky assets. The direction of this fixed cost effect depends on the particular type of risk aversion displayed by the manager. From the analytical work, five propositions are developed for empirical investigation in the future.The most helpful comments of Professor Cheng-few Lee are greatly acknowledged. We wish to thank anonymous referees who's comments have improved the paper. Furthermore, participants at the seminar at the University of Massachusetts Lowell also provided helpful comments.     

Collateral and capital structure

We develop a dynamic model of investment, capital structure, leasing, and risk management based on firms' need to collateralize promises to pay with tangible assets. Both financing and risk management involve promises to pay subject to collateral constraints. Leasing is strongly collateralized costly financing and permits greater leverage. More constrained firms hedge less and lease more, both cross-sectionally and dynamically. Mature firms suffering adverse cash flow shocks may cut risk management and sell and lease back assets. Persistence of productivity reduces the benefits to hedging low cash flows and can lead firms not to hedge at all.     

Determinants of the Savings and Fixed Asset Holdings of Turkish Migrants in Germany

This paper investigates the determinants of the bank savings and fixed assets of Turkish migrants residing in Germany. We find that migrants with firmer roots in Germany are more likely to hold savings and fixed assets in Germany, and those with stronger links to Turkey are more likely to hold savings and fixed assets in Turkey. As expected, income is a positive determinant of savings and fixed assets in both countries. Although age has a positive impact on savings and fixed assets in Turkey, it has a negative impact on savings in Germany. These results shed new light on Turkish migrants' short- and long-term savings in Turkey and Germany.     

The historical significance of the revaluation of fixed assets in Japan's state-owned railway system, 1955-6

The Government Railways of Japan (GRJ) established a fixed assets accounting system on the accruals basis after the Second World War. The revaluation of tangible fixed assets was indispensable for GRJ's introduction of depreciation in 1948. GRJ scheduled the revaluation to secure a reasonable depreciation expense, because the company had applied the replacement method to all tangible fixed assets since its foundation in 1869. At the same time, GRJ assumed the balance of the revaluation reserve account to be a means of dealing with possible future accumulated losses.     

Valuation of asset leasing contracts

This paper describes the relation among a variety of asset leasing contracts, including: (1) cancellable operating leases; (2) leases which grant the lesse an option to extend the life of the lease; (3) leases that grant the lessee an option to purchase the leased asset at a fixed price at the maturity date of the lease; (4) leases that grant the lessee the right to purchase the leased asset at its ‘fair market value’ at the maturity date of the lease; (5) leases that grant an option to the lessee to purchase the leased asset at a prespecified price anytime during the life of the lease; (6) leases that require the lessee to purchase the leased asset at a fixed price at the maturity date of the lease; and (7) leases that contain non-cancellation provisions. The paper uses a compound option pricing framework to develop a general model for valuing (or evaluating) each of the types of leasing contracts. Numerical examples are presented to illustrate the effect of the various elements of a leasing contract — including cancellation risk and residual value risk — on equilibrium rental payments.     

Pricing Upward-Only Adjusting Leases

This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predetermined intervals (usually every five years) if it exceeds the contract rent. We derive a closed form expression for the market rent of a lease with upward-only adjustments. Results indicate what the initial coupon rate on a 10-year lease with one reset should be relative to that on a symmetric up-and-downward adjusting variable rate lease under various economic conditions (level of real interest rates and expected drift and volatility of the underlying rental service flow). We also consider the calculation of effective rents when free rent periods are given.     

SOME EMPIRICAL EVIDENCE ON THE USE OF FINANCIAL LEASES

In this paper, the impact of certain firm-specific factors on the level of financial leases used by corporations is examined. An industry analysis indicates that firms in certain industries tend to lease more than other firms. A Tobit analysis of the degree to which approximately 600 firms lease assets indicates that certain factors—including the debt ratio, presence of mortgage debt, level of subordinated debt, presence of restrictions on leasing, number of bonds in a firm's capital structure, and the firm's debt rating—are significantly related to the degree of leasing. Other factors, including the firm's tax rate, were not found to be significant, contrary to popular expectations.     

中国金融机构不良资产的财政风险问题分析

本从财政风险的角度对金融机构的不良资产进行分析。按照国际上公认的财政风险的划分标准，金融机构的不良资产属于政府隐含的或有负债，正是在这个意义上，金融机构的不良资产意味着政府的财政风险。对我国而言，在国有产权体制下，在国家采取的金融支持政策下，国有银行的不良资产问题更易于转化为财政风险。为此应采取包括建立公共财政体制、提高财政透明度以及建立或有储备等在内的措施予以妥善应对，以防范和化解由此引发的财政风险。     

资本投向与控制权私有收益攫取的实证研究

文章基于资本投资形成控制性资源,为获取控制权私有收益创造基础的理论阐述,以2005—2007年在沪深两市A股市场的公司为样本,对我国上市公司投资决策中资本投向与控制权私有收益的关系进行了实证检验。研究结果表明：（1）不同投向的资本投资与控制权私有收益攫取水平正相关。（2）就固定资产、股权并购、无形资产三种资本投向而言,股权并购方式取得控制权私有收益的代价较低,但控制性股东占有被并购公司控制权私有收益的比例也较低。（3）不同投向下的资本投资,在形成控制权私有收益的同时并没有通过提高公司业绩而增加控制权共有收益,很大程度上是形成控制权私有收益的自利行为。     

Asset liquidity and financial contracts: Evidence from aircraft leases

Financial contracting theories agree that more-liquid assets decrease the expected cost of external financing, thus making leasing more attractive and reducing lessors’ equilibrium return. However, the literature has ambiguous predictions about the effect of liquidity on the maturity of leases. These predictions are further complicated by the existence of two types of lease contracts—operating and capital—that differ in whether asset ownership transfers to the lessee at the end of the contract. Using data from commercial aircraft, I find that more-liquid assets (1) make leasing, operating leasing in particular, more likely; (2) have shorter operating leases; (3) have longer capital leases; and (4) command lower markups of operating lease rates.     

LESSORS' DEPRECIATION AND PROFIT-AN APPROACH VIA DEPRIVAL VALUE

Lessor accounting raises intriguing problems. Its accepted methods spread depreciation, and thus profit, in yearly doses whose size jumps capriciously and with scant regard to any principle. Yet the economic qualities of an (asset do not change just because it is leased; the only new factor is the odd way in which tax and interest re-shape its cash flows. If the rules of deprival value are sound for familiar assets, they should be sound too for leased assets. But its arithmetic must expand to cover flows (tax and interest) that are not usually coupled with depreciation. Two results then follow: after-tax profit tends to be constant throughout the lease, and the full size of tax bounty becomes clear.     

The collateral channel: Evidence on leverage and asset tangibility

We examine how asset structure is related to leverage in different institutional environments, using tens of thousands of firm-level observations from small, privately held, emerging market firms that are likely to face financing constraints. Our empirical analysis indicates that the linkage between asset tangibility (fixed assets as a portion of total assets) and leverage (measured as long-term debt over total assets) varies, such that in countries with fewer restrictions on collateral (land transferability), the relationship between these variables is much tighter. This also applies to the linkage between tangibility and debt maturity structure (measured as long-term debt over total debt). We find no evidence that industry concentration in different countries or changing composition of firms over time is driving our findings. The results are robust to using firm-level fixed effects specifications, to clustering error terms at the country level, and to using an alternative proxy for collateral law regime.     

实体企业金融化行为的逆周期效应及"脱实向虚"风险研究

基于2002-2017年A股上市公司数据,利用面板固定效应回归分析方法,检验实体企业金融化行为.结果显示:实体企业金融化行为具有显著的逆周期效应,但受企业异质性影响,不同类型企业金融化行为逆周期效应具有差异性,属于轻资产、国有制、制造业以及非东部的企业,其金融化行为的逆周期效应较为突出.实体企业金融化行为会抑制固定资产及研发创新的投入,进而挤出实体资产收益.在经济周期不同阶段,实体企业金融化行为的潜在动机表现不同.在经济上行期,企业金融化是套利投资行为;在经济下行期,企业金融化可以起到平滑资金作用,但需防范实体企业过度金融化可能带来的"脱实向虚"风险.