Financial Reporting and Supplemental Voluntary Disclosures

A standard result in the voluntary disclosure literature is that when the manager's private information is a signal correlated with the firm's liquidation value, mandatory disclosures substitute for voluntary disclosures. In this paper, we assume that the manager's private information complements the mandatory disclosure and show that the content and likelihood of a voluntary disclosure depend on whether the mandatory reports contain good or bad news. This different information asymmetry produces new, testable implications regarding the probability of and market reaction to voluntary disclosures. We also show that changes in mandatory disclosure regulations can have unintended consequences due to their effects on the manager's willingness to voluntarily provide supplemental disclosures.     

有限理性、房地产市场波动与金融稳定

本文认为,房地产市场波动对金融稳定影响的根本原因在于房地产市场存在有限理性。房地产市场有限理性包括三个方面,分别是投资者有限理性、房地产开发商有限理性和金融机构有限理性。在此基础上,本文通过构造房地产市场有限理性,论证了房地产市场波动对金融稳定的影响过程。     

Market Efficiency and Rationality in Property Investment

This article applies the present-value model to investigate property market efficiency in the United Kingdom. The existence of rational bubbles in the U.K. property market is ruled out at conventional statistical significance levels, though the U.K. property market appears not efficient. In addition, there are variations among the office, retail, and industrial property markets. The rejection of the present-value model implies a price discovery mechanism may exist for property investment.     

Impact of Culture, Market Forces, and Legal System on Financial Disclosures

This study examines the impact of legal systems (LSs) on financial disclosures by firms from different countries. The results indicate that firms from common law countries are associated with higher financial disclosures compared to firms from code law countries. The findings also reveal that cultural values have an insignificant impact on financial disclosures by firms from common law countries, and the results on firms from code law countries provide mixed signals. The results for multinationals are similar to the results for the total sample. The cultural values have no impact on financial disclosures of multinationals from common law countries, and there are mixed signals for multinationals from code law countries.     

Voluntary Causal Disclosures: Tendencies and Capital Market Reaction

In this study, we provide empirical evidence on whether voluntarily disclosed causal attributions made in management earnings forecasts are credible by investigating the conditions under which such attributions are made and the extent to which security price responses are associated with attribution existence. We find that causal attributions are more likely to be made when forecast news is bad (relative to good), and that the type of attribution made is more likely to be external (internal) for bad (good) forecast news. Incorporating the existence and type of attribution into models that explain announcement period three-day cumulative abnormal returns yields significant effects for attribution incidence and type after controlling for unexpected earnings and forecast type (e.g., point, range, etc.). Consistent with the idea that attributions enhance the credibility or precision of management forecasts, attribution disclosure enhances price reactions per dollar of unexpected earnings conveyed in a management forecast.     

征信机构的股权结构及对征信市场效率的影响

根据数据提供者、使用者是否在征信机构中拥有股权、拥有股权的比例等,可将征信机构分为六类。不同的股权安排与市场效率之间关系密切;征信机构的股权结构并不是一成不变的,一些国家征信机构的股权结构一直在调整;从个人征信机构的股权结构来看,我国兼具早期和成熟征信市场的特点,但深入分析,我国征信市场还远未达到成熟的阶段。     

Product Market Competition, Insider Trading, and Stock Market Efficiency

How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private information into stock prices and improves the allocation of capital. Several implications are derived and tested.     

Learning, Asset-Pricing Tests, and Market Efficiency

This paper studies the asset-pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash-flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.     

Earnings Surprise, Market Efficiency, and Expectations

The examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies.     

Risk Aversion,Uncertain Information,and Market Efficiency

Abstract. We reexamine and extend tests of the uncertain information hypothesis (UIH) proposed by Brown, Harlow, and Tinic (1988, 1993). We find that their empirical results are sensitive to the sampling procedure employed and that their particular methodology does not sufficiently distinguish between event and nonevent periods. When the sampling procedure is modified to identify only relatively large, isolated events, the test results generally do not support the UIH. Instead, significant price shocks are consistently followed by short-lived price reversals. We observe this behavior following positive and negative events regardless of whether the event is classified as risk increasing or risk decreasing.     

Internal Market Efficiency,Market Co-movement,and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets

We examine the effects of the 2008 financial crisis on the cross-market efficiency of the Hong Kong and Shanghai stock markets. Our results show a sharp decline in the cross-market efficiency during the financial crisis. We investigate whether this is due to lower internal market efficiency or higher market co-movement. The results show no evidence that the internal market efficiency dropped in Hong Kong or Shanghai during the crisis. In contrast, we document a strong increase in the market co-movement during the crisis. These results suggest that the decline in cross-market efficiency during the financial crisis is due to increased market co-movement and not a decline in internal market efficiency.     

Stockholders’ Unrealized Returns and the Market Reaction to Financial Disclosures

Using both investor‐ and stock‐level data, I examine the relation between stockholders’ unrealized returns since purchase and the market response to earnings announcements. I demonstrate that stockholders’ unrealized gain/loss position moderates their trading behavior in response to earnings announcements. I also find that this behavior generates a short‐window return underreaction to earnings news. My results are generally consistent with predictions from prospect theory regarding the manner in which stockholders’ unrealized returns moderate their trading response to belief shocks. However, my results also suggest that an emotional component (i.e., regret‐avoidance/pride‐seeking) is necessary to explain the observed investor behavior.     

商业银行商户融资的市场分析及业务建议

商户融资的目标客户群及其融资需求 商户融资目标客户群的基本情况 商户指个体工商户及规模较小的私营企业主,商户融资是指以自然人为授信主体,单户授信金额不超过500万元的私营企业、个体工商户贷款业务, 又称小商户,小业主和小企业贷款.     

Keynesian Beauty Contest, Accounting Disclosure, and Market Efficiency

This paper examines the market efficiency consequences of accounting disclosure in the context of stock markets as a Keynesian beauty contest, an influential metaphor originally proposed by Keynes [1936] and recently formalized by Allen, Morris, and Shin [2006]. In such markets, public information plays an additional commonality role, biasing stock prices away from the consensus fundamental value toward public information. Despite this bias, I demonstrate that provisions of public information always drive stock prices closer to the fundamental value. Hence, as a main source of public information, accounting disclosure enhances market efficiency, and transparency should not be compromised on grounds of the Keynesian-beauty-contest effect.     

Voluntary Disclosures,Corporate Control,and Investment

We examine the valuation and capital allocation roles of voluntary disclosure when managers have private information regarding the firm’s investment opportunities, but an efficient market for corporate control influences their investment decisions. For managers with long‐term stakes in the firm, the equilibrium disclosure region is two‐tailed: only extreme good news and extreme bad news is disclosed in equilibrium. Moreover, the market’s stock price and investment responses to bad news disclosures are stronger than the responses to good news disclosures, which is consistent with the empirical evidence. We also find that myopic managers are more likely to withhold bad news in good economic times when markets can independently assess expected investment returns.     

Asset Returns,Discount Rate Changes,and Market Efficiency

The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the distinction between “technical” discount rate changes that are endogenous and “nontechnical” changes which contain some informative policy implications. In essence, we attempt to separate expected discount rate changes from unexpected changes, or equivalently, the expected component of discount rate changes from the unexpected component. If markets are efficient, the former should have no announcement effects while the latter may be associated with an announcement effect. Accordingly, the focus of the empirical analysis is on the interaction between discount rate exogeneity, the specific monetary policy regime, and accouncement effects. In addition, we examine whether the behavior of these markets in the postannouncement period is consistent with the rapid price adjustment implied by market efficiency.     

盈余管理、经济周期与产品市场竞争

本文以2001年至2011年我国非金融类上市公司年度数据为样本,实证检验了宏观经济周期性波动"如何"影响正向盈余管理程度及其关键机制。研究发现:当管理层预期公司盈利小于行业盈利,正向盈余管理与宏观经济增长率显著正相关表现为顺周期特征,当企业面临产品市场竞争压力越大,其正向盈余管理的顺周期性特征更显著。以上结果表明,预期公司盈利与行业盈利差异及产品市场竞争压力是公司在经济繁荣阶段向上操纵利润的关键机制,因此结合宏观经济运行状况以及公司面临市场竞争程度对理解其盈余管理行为具有重要作用。