Risk-Adjusted Discount Rates Revisited

This paper shows that small changes in even slightly negative discount rates can cause substantial changes in present value. Small changes in the discount rate, which may seem appropriate, turn out to have huge effects on present value and are not economically justified. This paper also points out problems associated with large negative discount rates. It is shown that the present value can become discontinuous as the discount rate is lowered and that the present value of the risky cash outflows becomes erratic depending on whether the outflow is discounted an even or odd number of periods.     

The Risk-Adjusted Cost of Financial Distress

Financial distress is more likely to happen in bad times. The present value of distress costs therefore depends on risk premia. We estimate this value using risk‐adjusted default probabilities derived from corporate bond spreads. For a BBB‐rated firm, our benchmark calculations show that the NPV of distress is 4.5% of predistress value. In contrast, a valuation that ignores risk premia generates an NPV of 1.4%. We show that marginal distress costs can be as large as the marginal tax benefits of debt derived by Graham (2000) . Thus, distress risk premia can help explain why firms appear to use debt conservatively.     

Risk-Adjusted Performances of World Equity Indices

This article investigates whether equity indices of twenty-four emerging and twenty-eight developed markets compensate their investors equally after adjusting for total or downside risk, and examines the predictive power of reward-to-risk ratios for expected market returns. We find that when all fifty-two markets are ranked based on their alternative reward-to-risk ratios, almost all of the countries in the top (bottom) quartile are emerging (developed) markets. The pooled means of the reward-to-risk ratios are also significantly higher for emerging markets. Both portfolio and regressions analysis reveal that there is a significantly positive relation between various reward-to-risk metrics and expected market returns.     

经济增加值估价模型在证券投资分析中的应用

在证券投资分析中,充分利用现有财务报告中有关企业当前与未来的有价值信息,构造EVA估价模型,符合价值创造角度的思想。根据财务报表中存在的重要财务数据与企业价值的确定关系,通过对EVA进行分解,得到下一层指标Roc,通过Roc这个中间渠道,可从已知过去的EVA数据,推算出预测期EVA的数据,逐步解决“会计信息怎样从价值层面帮助投资者进行投资”这一重要问题。     

从经济学角度分析资产评估的价值内涵

资产评估学是一门发现待评估资产价值的应用学科,它的核心目的是确定资产的价值。但是这个价值不是抽象劳动形成的价值,它实际指的是基于商品使用价值的交换价值的货币表现即价格。从资产评估学科起源角度讲,其原因一是因为西方经济学价值论之争;其二是因为新古典经济学家马歇尔的贡献。     

Risk-Adjusted Discount Rates and Projects of Unequal Lives

When evaluating mutually exclusive projects of unequal lives and with differing risk, standard approaches such as the constant chain of replacement, lowest common multiple and equivalent annual value techniques are usually applied. In using these techniques to rank projects, a critical issue is the manner in which uncertainty in the cashflows is resolved through time. We explore the applicability of net present value techniques to the problem of valuing assets with unequal lives, emphasising the use of equivalent annual value and lowest common multiple methods, and the correct choice of discount rate. Our results have direct application to practical capital budgeting problems such as choosing the optimum lifespan for a single asset, choosing between assets with different lifespans, and deciding whether to "run an asset for another year".     

经济资本管理创造价值的理论依据与路径分析

经济资本管理在实践中已成为国际先进银行经营管理的基础和主轴．但其能否实现价值创造尚未有理论上的答案。本文在新制度经济学视角下,对经济资本管理与价值创造的关系从理论层面进行了诠释。由于现实世界中,代理成本和交易成本广泛存在,银行经济资本管理确实能够创造价值。降低违约可能性是核心理由,降低代理成本和交易成本是两条具体路径。     

经济增加值的价值相关性——与盈余、现金流量、剩余收益指标的对比

本文通过实证分析对比了经济增加值、盈余、现金流量之间的价值相关性。我们的研究分为两个部分 :相对关联研究 (相对信息含量检验 )与增量关联研究 (增量信息含量检验 )。基于水平与变化模型的实证检验结果显示 :在相对信息含量方面 ,EVA没有表现出明显的优于传统收益指标 (净利润 )的特性 ;在增量信息含量方面 ,尽管EVA的独特构成部分 (资金成本和会计调整项 )显示了一定的增量价值相关性 ,但是与传统收益的构成部分 (现金流量和应计项 )相比较 ,这种增量效应不是十分显著。     

Risk-Adjusted Performance of Mutual Funds: Evidence from China

In this article, we evaluate the performance of mutual funds in China between 2006 and 2014. We first estimate time-varying abnormal returns of each mutual fund using an active peer benchmark-augmented factor pricing model. An index of riskiness is then estimated and used to calculate the augmented performance measure (APM). By construction, the APM separates the managerial premium of the fund from systematic risk premium, so it is better than the economic performance measure. The APM incorporates information beyond the first and second moments of the distribution of fund abnormal return; therefore, it is more informative than the Sharpe ratio.     

The Economic Value of Volatility Timing

Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.     

会计随想——"经济附加值"给你一双慧眼

其实,经济附加值(Economic Value Added,EVA)并不是什么“新玩艺”。知道管理会计的人都知道“剩余收益”(ResidualIncome)。就基本思路而言,经济附加值与剩余收益没有什么差别。然而,自从2001年思腾思特公司(Stern Steward)在《财经》杂志发表《谁在创造财富,谁在毁灭财富——2000年中国上市公司财富创造和毁灭排行榜》之后,经济增加值观念似乎成为国人的“时装”。大有不知道经济附加值就是21世纪“经济文盲”之味道。在一般人眼里,利润就是赚钱。人们一直认为利润是衡量企业经营管理工作的成果。其实,经济学家的眼里的“利润”观念与…     

经济增加值:盛誉下的思索

本文从价值问题入手 ,通过对价值和价值创造的分析与评述 ,阐明了经济增加值和企业价值的内在联系及其在价值计量和评价上的作用。并通过对EVA的概念实质、适用范围等方面的解析 ,阐明了EVA对传统会计准则的修正及其使用中可能出现的问题和相应的解决方案。最后 ,针对EVA的一些特点提出了进一步的思索 ,以求学术界讨论。     

助力经济复苏 持续创造价值——在第十八届世界会计师大会上的演讲

尊敬的罗伯特·邦廷先生,尊敬的各位来宾, 女士们,先生们: 围绕持续创造价值的主题,怀着振兴会计行业的梦想,我们相约来到风光旖旎、花团锦簇的吉隆坡,参加第十八届世界会计师大会.椰风蕉雨中的吉隆坡仿佛一座美丽的雕塑,高昂激越的双子塔与庄严肃穆的清真寺交相辉映,气势非凡的印度庙与金碧辉煌的天后宫促膝谈心,风格典雅的火车站与古朴厚重的国家博物馆水乳交融.这里是全球建筑的交响曲,是世界文化的万花筒,它向我们充分展示了多元文化碰撞与交融所绽放的诗意,向我们生动描绘了人类智慧和包容所构筑的辉煌.它启示我们:美,来自和谐共生.     

经济增加值与商业银行财务管理

如何提高财务管理的水平,合理地考核经营绩效,建立有效的激励约束机制已经成为国有商业银行目前最为关注的问题之一。经济增加值已经在跨国公司中得到了广泛的应用,对于国有商业银行的财务管理有着非常重要的应用价值。     

基于报偿价值的经济金融逻辑

报偿价值是行为之所得与所投入之比。预期报偿价值须大于1,行为是有利的,人类才会从事经济活动。通过比较各类行为、各类活动的报偿价值,选择报偿价值较大的行为和活动,稀缺资源才能得到较好的配置和利用。基于报偿价值的经济逻辑是:较高的报偿价值是经济行为的目的和重心;交换(广义交换,创新和生产也是交换)是实现较高报偿价值的途径和形式;而人际契约和由之界定的产权,则一方面便利交换,降低交易成本,另一方面,更重要的是,为人们追求较高报偿价值提供激励和约束。     

Usefulness of Value Added and Abnormal Economic Economic Earnings: An Empirical Examination

This paper investigates the usefulness of two alternative measures of performance: value added and abnormal economic earnings. Using earnings as the benchmark, firm value analysis, levels analysis, and changes analysis were performed to evaluate their explanatory power. Results show that value added is a statistically significant variable; its explanatory power is higher than that of earnings. Abnormal economic earnings, however, are not a significant variable.     

Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures

This study uses risk-adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day-of-the-week, the month-of-the-year, and the day-of-the-month effects. Using the nonparametric Kruskal-Wallis test, we find more evidence of day-of-the-week and day-of-the-month effects in futures index price behavior than in their underlying spot indexes. The January effect is found to be more pronounced for spot indexes than for stock index futures contracts. It is also more pronounced in the smaller firm synthetic index. Our results tend to disagree with efficient market proponents.     

价值链合作推动亚太经济发展

作为APEC北京峰会的重要成果,加强全球价值链合作得到各成员经济体的一致赞同,并被写进会议宣言。全球价值链合作该如何理解？它对推动亚太自由贸易区建设和互联互通将担任怎样的角色,产生何种影响？在APEC会议期间,官员与学者们给出详细阐述。亚太成为全球价值链连接最紧密地区＂有关在APEC加强全球价值链合作的倡议得到了所有成员一致赞赏,包括发达成员和发展中成员。＂     

公允价值的决策有用性:从经济分析视角的思考

公允价值自提出之日起就备受各国准则制定机构的青睐和重视,但在这次国际金融危机中却备受责难,因此,更加值得学术界从不同的角度对公允价值计量属性进行全面、深入的考察和分析。本文从经济分析的视角,对公允价值的决策有用性进行了探讨,从信息观与计量观两个角度分析了公允价值计量、资产负债表公允价值估值和公允价值利润的决策有用性问题,研究结论支持公允价值的决策有用性,并认为我国在新会计准则体系中全面、适当、谨慎地引入公允价值,既具有理论支持,也能够体现会计信息的决策有用性的目标。