Conditional Conservatism and Debt versus Equity Financing

Extant research suggests that conditional conservatism reduces information asymmetry between a firm and its shareholders as well as its debtholders. However, there is little evidence on whether conditional conservatism reduces information asymmetry differentially for shareholders and debtholders. We use the setting of a firm's choice between equity versus debt when it seeks a significant amount of external financing to examine this research question. We find that when firms raise a significant amount of external financing, the use of equity (versus debt) increases with the level of conservatism. We also find that the reduction in cost of equity associated with conservatism is greater for equity issuers than for debt issuers, but find no such difference when we examine cost of debt. In addition, we find that the positive effect of conservatism on the choice of equity issuance (versus debt issuance) is accentuated when the information asymmetry between the firm and its shareholders is more severe. Overall, our results suggest that conservatism reduces information asymmetry more between firms and shareholders than between firms and debtholders.     

货币政策冲击、债务保守与公司融投资

以往对货币政策传导机制的研究大多站在宏观总量的角度,较少关注传递的微观基础,也并未详尽探讨微观企业行为如何弱化了宏观经济政策的效力。本文考察公司如何通过持续多期的债务保守行为应对货币政策冲击。实证结果表明,公司在货币宽松期的持续债务保守策略显著提高了货币紧缩期间获得贷款的能力与投资水平,并且这一效应是较为稳健的。这意味着公司可通过债务保守策略应对冲击,弱化紧缩货币政策的实施效力。本文的发现支持了债务保守的财务柔性假说,丰富了对于货币政策信贷渠道微观机制的认识,同时也为公司如何应对货币政策的冲击提供了一定启示。     

Central Bank Balance Sheet Policies and Inflation Expectations

We analyse the empirical effects of credit easing and quantitative easing on inflation expectations and exchange rates. Both monetary policy strategies are summarised in measures for composition and size of the central bank balance sheet and are included in a VAR model. The results show that changes in balance sheet size had positive, albeit weak effects on inflation expectations in Japan, while the effects were negligible in the euro area. By contrast, an increasing balance sheet size is associated with reduced short-term inflation expectations in the US and UK, pointing at negative signalling effects. Shocks to balance sheet size or composition have no substantial effects on long-term inflation expectations in the euro area, US and UK. An expanding balance sheet size is associated with a depreciation of the euro, pound sterling and Japanese yen.     

The Balance Sheet and the Future of Fed Policy

The size of the Fed’s balance sheet has almost quadrupled since 2007, and the composition of the balance sheet has changed in important ways, with regard to both assets and liabilities. This short paper asseses the implications for how monetary policy works, and the entailed risks. The size of the balance sheet and its composition may not matter economically, but there are significant political risks. The political risk-taking may make monetary policy choices more difficult than they would otherwise be.     

资产负债表工具:基于中国央行资产负债表的研究

金融危机后,中国货币政策框架处在重构过程之中,作为其中重要组成工具的央行资产负债表,其未来的变化值得关注。为了更加清楚地解读我国央行资产负债表,文章在央行资产负债表趋势与结构特征基础上,详尽阐释了央行资产负债表特征背后体现的货币政策目标,货币政策目标的实现效果,以及制约央行货币政策目标实现的一些问题。文章认为,资产负债表结构调整决定着货币政策目标的效果,其关键在于汇率政策目标与货币政策目标的权衡。     

基于上证50指数公司资产负债结构的实证分析

合理的资产负债结构,可以有效降低企业面临的经营与财务风险,提高资产运行效率,增加企业收益。比较理想的资产负债结构和上证50公司的现实情况,可以发现二者之间的差距及成因,找到优化企业的资产负债结构的途径,以及调整和修正理想的资产负债结构依据。     

Sovereign Risk Premia and the International Balance Sheet: Lessons from the European Crisis

The external dimension has emerged as an important factor in the euro debt crisis. The crisis has also shown that fluctuations in risk premia can be dramatic. We investigate the relevance of the net international investment position for sovereign risk perception and the role of market uncertainty in this relation. Furthermore, we ask whether the composition of net external assets, in terms of debt and equity instruments, is relevant in explaining sovereign risk premia and their fluctuations in time. We find that both public debt and NIIP are subject to fluctuations in risk premia; the external variable is more sensitive to the uncertainty of future expectations, and net external debt is what drives this result. Net foreign debt liabilities are associated with a lower government bond yield spread when market optimism justifies their presence with high future growth patterns; however, it becomes an important risk factor for sovereigns when global uncertainty increases and the capacity to repay foreign debt becomes a concern. Portfolio equity and FDI are related to sovereign risk in a stable manner, while a given amount of net external debt can be associated with government yield spread spikes as high as 4 %.     

中国对外金融的政策排序——基于国家对外资产负债表的分析

文章立足于中国国际投资头寸表,以提高中国对外净资产为目标,讨论了中国对外金融开放的政策排序。增加对外负债的前提是提高对外资产的投资收益,这一逻辑决定了人民币汇率形成机制改革、外汇储备管理体系改革、资本流出管理改革是当前最迫切的改革内容,人民币国际化与资本流入管理改革应该在上述改革的基础上推进。     

Commitment and Cost of Equity Capital: An Examination of Timely Balance Sheet Disclosure in Earnings Announcements

In this paper, I examine the relation between disclosure commitment and cost of equity capital using accelerated earnings announcement disclosures as a measure of commitment. In settings characterized by imperfect market competition, I find that firms which consistently disclose balance sheet detail in relatively timely earnings announcements have lower costs of capital compared to other firms. This result is statistically significant and economically meaningful, and is robust to various alternative measurements for cost of capital, and alternative designs addressing endogeneity and underlying information quality. Overall, this result is important because it highlights additional dimensions of disclosure commitment (consistency and timeliness), while incorporating important features from theoretical models (information quality and market competition). In particular, my results suggest that consistency and timeliness are salient features of firms' disclosure behavior that have predictable and robust relations with capital market outcomes. This result is robust to controlling for underlying information quality; however, consistent with theory, it is conditional on low levels of market competition.     

Deterioration of Firm Balance Sheet and Investment Behavior: Evidence from Panel Data on Thai Firms*

Using firm‐level data, the present paper investigates whether, and to what extent, firm balance sheet problems mattered for investment over the period 1992–2002. Various categories of firms are compared, with firms grouped according to their a priori degree of liquidity constraint. Firms are also divided into pre‐crisis and post‐crisis periods to examine the impact of the financial crisis on firms’ investments. The results support the existence of the balance sheet channel and suggest that Thai firms faced greater liquidity constraints following the financial crisis. Small firms and non‐bond‐issuing firms are found to have been more adversely affected by the crisis than large firms and bond‐issuing firms.     

Monetary Policy, Credit, and Real Activity: Evidence from the Balance Sheet of Japanese Firms

We analyze the mechanism of monetary transmission in the Japanese economy by using the quarterly time series data disaggregated by firm size. In particular we examine the channels through which monetary policy influences the firm's fixed investment with special focus on the firm's land. We estimate the vector autoregressive model where we encompass two competing hypotheses on the monetary transmission: monetary and credit channels. Our evidence is in support of the credit channel. We find that land has played a vital role in the monetary transmission, especially for small firms. Moreover, we find that fall of land value in 1990s weakened the efficacy of monetary policy considerably. J. Japan. Int. Econ., December 2000, 14(4), pp. 385–407. Institute of Social and Economic Research, Osaka University, Osaka, Japan Copyright 2000 Academic Press.Journal of Economic Literature Classification Numbers: E22, E32, E44, E51.     

论资产负债管理技术指导下的寿险产品战略

资产负债管理是寿险业控制利率风险、实现稳健性和盈利性的有效方法。中国寿险业在90年代中期增出售大量的高利率产品,1996年后的连续7次降息不仅造成寿险业极为严重的利差损问题,而且使寿险业于90年代末期进入前所示有的低谷,产品变革成为必然的趋势。寿险公司的经营不稳定与寿险产品的类型密切相关,本文尝试性的将资产负债管理技术－免疫理论应用于寿险产品的设计之中,并以此为依据提出了的产品战略。     

转型期中国表外资本流动实证研究

表外资本流动通过非正常渠道发生,而没有在国际收支平衡表中正式记录。本文使用三种方法测算了中国1982-2003年间的表外资本流动规模。实证分析表明,显著影响中国表外资本流动的经济因素包括外国投资规模、经济增长率、外汇储备与外债余额,以及财政收入等;而税收制度改革、重大金融政治冲击等非经济因素也对中国表外资本流动产生一定影响。     

Hedge Fund Intervention and Accounting Conservatism

Hedge fund intervention has been associated with many positive corporate changes and is an important vehicle for informed shareholder monitoring. Effective monitoring has also been positively associated with accounting conservatism. Building upon these prior results, we predict an increase in accounting conservatism after hedge fund intervention. We use a large sample of hedge fund activist events and identify control firms with similar likelihoods of being targeted using the propensity score matching method to apply difference‐in‐difference tests. We find that when hedge fund activists have relatively large ownership and sufficient time to exert their monitoring power, target firms experience significant increases in conditional conservatism. CFO turnovers, upward/lateral auditor switches, and improvements in audit committee independence after intervention are accompanied by greater increases in conditional conservatism. Finally, we find greater increases in conditional conservatism when there is a lack of monitoring by dedicated institutional investors before the intervention. Our study suggests that hedge fund activists improve accounting monitoring tools and thus adds important new evidence on the effectiveness of shareholder monitoring on accounting practices.     

Accounting Accruals and Auditor Reporting Conservatism*

Accounting accruals are managers' subjective estimates of future outcomes and cannot, by definition, be objectively verified by auditors prior to occurrence. This causes audits of high-accrual firms to pose more uncertainty than audits of low-accrual firms because of potential estimation error and a greater chance that high-accrual firms have undetected asset realization and/or going concern problems that are related to the high level of accruals. One way that auditors can compensate for this risk exposure is to lower their threshold for issuing modified audit reports, an action that will increase modified reports and, therefore, lessen the likelihood of failing to issue a modified report when appropriate. We call this auditor reporting conservatism and test if high-accrual firms in the United States, are more likely to receive modified audit reports for asset realization uncertainties and going concern problems. Empirical results for a large sample of U.S. publicly listed companies support the hypothesis that auditors are more conservative, that is, more likely to issue both types of modified audit reports for high-accrual firms. Further analyses show that income-increasing accruals are somewhat more likely to result in reporting conservatism than income-decreasing accruals, and that only the Big Six group of auditors show evidence of reporting conservatism. These findings add to our understanding of the audit report formation process and the potentially important role played by accounting accruals in that process.     

基于资产组合再平衡渠道的央行资产负债表政策溢出效应研究

国际金融危机后,中央银行资产负债表政策成为各国央行实行货币政策操作的核心工具,但对其溢出效应的研究还停留在传统的传导渠道层面。文章基于非传统传导渠道的视角,先构建以CAPM为基础的模型理论说明资产组合再平衡传导渠道的机制,再以MSVAR模型实证检验日本央行资产负债表政策通过资产组合再平衡渠道对中国的溢出效应。实证结果表明,日本央行资产负债表的扩张使中国长期国债收益率下降、通货膨胀上升、产出水平下降,并且在不同区制下溢出效应的程度有所不同。中央银行资产负债表政策、资产组合再平衡渠道和信号渠道是货币政策发挥作用的新机制。这一结论对中国人民银行改革货币政策框架及加强国际货币协调有现实意义。