Do sovereign rating changes trigger spillover effects?

This paper examines whether changes in a particular country's sovereign ratings provided by Standard and Poor's and Moody's trigger a spillover effect on other countries. The analysis focuses on two sets of countries namely where there are trade links between the countries and where there are links between the financial markets of each country. The findings indicate that there are more significant results when the links in financial markets are analysed compared to trade links. Moreover, the results are dependent on which rating is under analysis, that is, Standard and Poor's Local Currency, Standard and Poor's Foreign Currency, Moody's Bank Deposit or Moody's bonds and notes. Finally, there does appear to be a contamination effect for both upgrades and downgrades among the countries.     

利率与股价之间的价格溢出效应与波动溢出效应

基于具有外生变量的二元VAR-MGARCH模型对中国货币市场利率和股价之间的关联进行了理论分析和实证研究。结果表明,利率和股价之间基本不存在价格溢出效应;货币市场利率和股价序列均表现出时变方差的特征和波动的持久性特征,货币市场和股市之间存在双向波动溢出效应;货币供给的正向冲击对利率的影响是正向的。     

Interaction of investor trades and market volatility: Evidence from the Tokyo Stock Exchange

This paper examines the relation between market volatility and investor trades by identifying who supplies and demands market liquidity on the Tokyo Stock Exchange. Because the different trading patterns of various investor types such as individual investors, institutional investors, and foreign investors affect market liquidity differently, we find that market volatility fluctuates significantly depending on which investor types participate in trade. We show that market volatility increases by more than 50% from the average level when there are greater buy trades by momentum investors that demand liquidity and there are less sell trades by contrarian (or profit-taking) investors that supply liquidity. On the other hand, volatility dampens by more than 57% when there are greater sell trades by profit-taking investors, mostly by domestic investors, while there are less momentum buy trades.     

The Rise of China Energy

As of 3Q 2006, there are 6 energy deals happened in China, 3 of them occurred in the third quarter. In addition, there are lots of other outstanding performance occurred in China venture capital market.     

Knowledge transfer costs and dependence as determinants of financial reporting

Abstract This paper examines the circumstances in which financial reporting exists. Jensen and Meckling (1995 ) observe that where there are high knowledge transfer costs, then decentralisation is necessary; and that where decentralisation occurs there is a control problem, which can be addressed by providing a control system. I predict that where there are high knowledge transfer costs there will be a control system; if the control system uses financial reports, these will occur for activities with high knowledge transfer costs. The ability to decentralise is reduced where dependence makes it potentially costly to allow a subordinate to make decisions about the activity. The paper predicts that high dependence will be negatively associated with the existence of financial reports. The results confirm the predictions that financial reports are positively associated with knowledge transfer costs and negatively associated with dependence.     

The accrual anomaly: Australian evidence

This paper investigates whether there is evidence of the accrual anomaly ( Sloan, 1996 ) in Australia, whereby investors overestimate the impact of accruals on the persistence of earnings. While our results provide general support for the existence of the anomaly in Australia, there are a number of idiosyncrasies. First, there is evidence of Australian investors underestimating the persistence of earnings. Second, there is evidence of investors incorrectly assessing the implications of accruals and cash flows for the persistence of earnings (i.e. an accrual anomaly and a cash‐flow anomaly). Third, returns to a hedged portfolio trading strategy based on reported accruals are decreasing over the three‐year period subsequent to portfolio formation. Furthermore, they are statistically significant only in the first year. Additional analysis of the hedge portfolio results indicates that these results are primarily attributable to a limited number of firm‐year observations in the extreme positive tail of returns.     

非寿险业未决赔款准备金调整行为的实证研究

保险企业破产主要原因是准备金提存不足。国外相关文献认为公司通过调整未决赔款准备金的目的有四种，但对该行为的检验方法都存在一个明显缺点，就是要等5年之后才可以研究当前行为。据未决赔款准备金估算模型，同期影响因素有保费收入与赔款支出。运用多元统计方法，建立未决赔款准备与净保费收入和净赔款支出回归模型，结果表明，我国非寿险业不存在较普遍的人为调整现象。     

A Comparative International Analysis of the Impact of Accounting Principles on Profits: The USA versus the UK,Sweden and The Netherlands

This paper explores the extent to which there are material quantitative differences in profits reported under US GAAP compared to profits reported in accordance with generally accepted accounting principles in the UK, Sweden and the Netherlands. From an analysis of Form 20-F reports filed with the SEC in the USA, there is support for the hypothesis that UK GAAP are significantly less conservative than US GAAP. On the basis of a case study approach, it seems that Swedish GAAP tend to be more conservative than US GAAP, particularly when the transfers to reserves are analysed, but there is insufficient evidence to establish a systematic pattern. In the Netherlands, on the other hand, there is evidence to suggest that Dutch GAAP are at the less conservative end of the spectrum of financial reporting measurement practices, in a position relatively similar to that of UK GAAP, although again the evidence is insufficient to establish a systematic pattern.     

An empirical analysis of the equity markets in China

This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect.     

亚洲地区股票指数收益率的波动性研究一基于GARCH族模型

为防范股票市场上的不确定性和风险,有效地度量股票指数收益率的波动性显得尤为重要。本文运用GARCH族模型,拟合了股票指数收益率的波动性方程,并实证研究了亚洲地区四个最具代表性国家：日本、中国、印度和韩国的股票指数收益率的波动性。结果表明：亚洲地区股票指数收益率的波动呈现出聚集性和持续性,股票市场存在着冲击的非对称性;中国和印度的股票市场抗风险能力比日本和韩国弱,股票指数收益率的波动性带来的负面影响更大。     

Does the cost of capital differ across countries? An agency perspective*

In this keynote speech, I ask the question: Does the cost of capital differ for firms located in different countries? I argue that there are two ways to look at the cost of capital. First, there is the neoclassical perspective, which assumes that there are no agency problems. In integrated markets, the neoclassical cost of capital is the same in every country. Second, there is the agency perspective. Agency costs increase the cost of capital understood as the expected rate of return necessary for an investment to leave the value of the firm unaffected. Adjusting the cost of capital for agency costs, I argue that it differs across countries because of differences in corporate governance. I then provide a comparison of the agency-adjusted cost of capital between Japan and the US.     

基于LPPL模型的股市泡沫研究——兼论主权债务危机时国际援助计划效果

运用 LPPL模型对主权债务危机时期希腊股市泡沫状态进行判断,考量各轮援助计划的实施效果.结果表明:在第一轮援助期内,股市处于负泡沫状态;而在第二轮援助期与第三轮援助期内,股市局部处于反转负泡沫状态,但整体依旧处于负泡沫状态.国际援助计划虽然有所助益,但没有从根本上有效改善其市场低迷状态.为避免发生此类危机,应促进实体经济健康发展,密切关注政府债务问题,注重货币政策与财政政策相协调.     

Say-on-pay judgements: the two-strikes rule and the pay-performance link

We undertake an experiment to explore shareholder voting behaviour when the pay-performance link is weak or strong; and when there has (has not) been a first strike in the preceding year. We find shareholders are more supportive of a remuneration package evidencing a strong pay-performance link than a weak link. Further, shareholders are less supportive of a remuneration package when there has been a first strike in the preceding year than when there has not been a first strike. Importantly, we find that a first strike reduces the effect of the pay-performance link on voting intentions.     

论区域金融调控

由于区域间经济发展差距的客观存在，必然会产生区域间的金融差距，通过实施适度区域差别的金融政策是各国为控制区域经济发展差距过大而普遍采用的政策措施。为此，建立区域经济发展基金，加快不发达区域经济发展，实行金融政策区域化，赋予区域中央银行一定的地方金融政策制定权和调控权，为区域经济发展提供金融保障是区域金融调控较好的选择。     

An analysis of efficiency in the delivery of financial services: The case of life insurance agencies

Scale and scope economies are examined for life insurance agencies that distribute multiple financial products. The results of this study suggest that there are significant administrative returns to scale for firms that sell a mix of financial products. The findings for scope estimates are inconsistent, suggesting that there are positive and negative cost complementaries for pairs of products. Subadditivity can be rejected, suggesting that joint distribution of financial products is not necessarily more efficient than specialization and that different-sized agencies are not necessarily at a cost disadvantage.     

Opportunities for banks to cross-sell insurance products in Greece

The paper aims to identify whether or not there are opportunities for banks in Greece effectively to cross-sell insurance products through their branch network. In addition, it seeks to investigate the areas of insurance product portfolio that could have a better potential to be distributed by Greek banks, and to identify the profile of potential customers. For this reason a questionnaire was designed, and was completed by 720 bank customers. The analysis showed that the greatest opportunity comes from the fact that consumer awareness of the offering of insurance products by banks is low in contrast to their willingness to use banks as insurance products providers, which is very high. Additionally, there are indications that based on consumer attitudes, there are identifiable market segments which are more attractive. In conclusion, the paper discusses the managerial implications of the findings and proposes suggestions for further research.     

Non-audit Services and Auditor Independence: New Zealand Evidence

Abstract:  This paper examines evidence in New Zealand about whether auditors providing more non-audit services are less independent. Three sets of tests are used to address the issue. The first examines whether there is a relation between non-audit fees and audit fees, the second examines whether there is a relation between non-audit fees and audit report qualification or modification, and the third examines whether there is a relation between non-audit fees and stability of audit tenure. The results suggest a potential for the impairment of auditor independence in appearance when auditors provide non-audit services but no evidence of any impact on independence of mind.     

The information content of cash dividend announcements in a unique environment

Due to its distinctive institutional background, Oman offers a valuable opportunity to examine stock price reactions to dividend announcements. In Oman, (1) there are no taxes on dividends and capital gains, (2) there is a high concentration of share ownership, (3) there is low corporate transparency, and (4) firms frequently change their dividends. Our results show that announcements of dividend increases are associated with increased stock prices, while announcements of dividend decreases cause decreases in stock prices. Firms that do not change their dividends experience insignificant negative returns. These results contradict tax-based signaling models, which argue that higher taxes on dividends relative to capital gains are a necessary condition for dividends to be informative.     

亚洲地区股票指数收益率的波动性研究——基于GARCH族模型

为防范股票市场上的不确定性和风险,有效地度量股票指数收益率的波动性显得尤为重要。本文运用GARCH族模型,拟合了股票指数收益率的波动性方程,并实证研究了亚洲地区四个最具代表性国家:日本、中国、印度和韩国的股票指数收益率的波动性。结果表明:亚洲地区股票指数收益率的波动呈现出聚集性和持续性,股票市场存在着冲击的非对称性;中国和印度的股票市场抗风险能力比日本和韩国弱,股票指数收益率的波动性带来的负面影响更大。     

Gibt es den umverteilungsfreien Sicherheitszuschlag im Versicherungsentgelt?

Research on insurance premium loadings so far mainly focussed on pricing problems or on the optimal risk reserve process. In contrast, this article investigates, which redistribution effects between the insured and the insurer could arise from the payment and use of loadings, and whether there are situations which do not involve redistribution. On the basis of different models of increasing complexity various cases are analysed. It is shown that in addition to the cases with redistribution by loadings there are special constellations without such redistribution.