A Generalisation of the Mean-Variance Analysis

In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This 'mean-partial moments' utility generalises not only mean-variance utility of Tobin and Markowitz, but also mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision maker in this framework exhibits three types of aversions: aversion to loss, aversion to uncertainty in gains, and aversion to uncertainty in losses. Finally we present a solution to the optimal capital allocation problem and derive an expression for a portfolio performance measure which generalises the Sharpe and Sortino ratios. We demonstrate that in this framework the decision maker's skewness preferences have first-order impact on risk measurement even when the risk is small.     

Pension Plan Investment Management Mandates: An Empirical Analysis of Manager Selection

We examine the impact of several factors on the selection of portfolio managers for Australian pension plan mandates. Performance measures do not affect the probability of a mandate allocation. Pension sponsors tend to choose managers with top-quartile five-year performance who have recently beaten a market benchmark. Management expenses have a negative impact on a managers chances. A surprising result is sponsors tolerance for high portfolio trading costs. Mandates are spread across manager investment styles. The style and institutional attributes of preferred managers suggest trustees reputation and prudential concerns matter, particularly for the aggregate annual mandate allocations.     

Forecasting the Correlation Structure of German Stock Returns: A Test of Firm-Specific Factor Models

This paper evaluates the performance of various factor models with firm-specific variables in forecasting correlation matrices at the German stock market. We investigate forecasts of correlations for a comprehensive sample and a sample of blue chips and analyse the impact of stock market crashes on the forecasting accuracy. Our empirical results show that the multi-factor models do not generally produce better forecasts than 'naive' models. Specifically, the traditional industry mean model significantly outperforms all other techniques in most of the time periods.     

Improved Estimates of Correlation Coefficients and their Impact on Optimum Portfolios

To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pair‐wise correlations and individual pair‐wise differences from the average improves forecasting accuracy. Furthermore, forming homogenous groups of firms on the basis of industry membership or firm attributes (e.g. size) improves forecast accuracy. Accuracy is evaluated in two ways: First, in terms of the error in estimating future correlation coefficients. Second, in the characteristics of portfolios formed on the basis of each forecasting technique. The ranking of forecasting techniques is robust across both methods of evaluation and the better techniques outperform prior suggestions in the literature of financial economics.     

The New Basel Capital Accord: Making it Effective with Stronger Market Discipline

In January 2001 the Basel Committee on Banking Supervision proposed a new capital adequacy framework to respond to deficiencies in the 1988 Capital Accord on credit risk. The main elements or 'pillars' of the proposal are capital requirements based on the internal risk-ratings of individual banks, expanded and active supervision, and information disclosure requirements to enhance market discipline. We discuss the incentive effects of the proposed regulation. In particular, we argue that it provides incentives for banks to develop new ways to evade the intended consequences of the proposed regulation. Supervision alone cannot prevent banks from 'gaming and manipulation' of risk-weights based on internal ratings. Furthermore, the proposed third pillar to enhance market discipline of banks' risk-taking is too weak to achieve its objective. Market discipline can be strengthened by a requirement that banks issue subordinated debt. We propose a first phase for introducing a requirement for large banks to issue subordinated debt as part of the capital requirement.     

European Mutual Fund Performance

This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4-factor asset-pricing model. In addition we investigate whether European fund managers exhibit 'hot hands', persistence in performance. Finally the influence of fund characteristics on risk-adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, four out of five countries exhibit significant out-performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the UK. Our results deviate from most US studies that argue mutual funds under-perform the market by the amount of expenses they charge.     

对企业债转股的财务评价和分析

债权转股权是金融资产管理公司作为投资主体,将商业银行原有的不良信贷资产转为金融管理公司对企业的股权,以及国家开发银行对企业的股权,由原来的债权债务关系,转变为金融资产管理公司和国家开发银行与实施债权转股权企业之间的持股与被持股或控股与被控股的关系。但是,并非所有国有企业都符合债转股条件,债转股对具体企业也不是都有利。对于符合条件,能考虑实施债转股,并对企业长期发展有利的企业,需要利用现代财务分析评价方法来分析评价债转股。     

Performance Evaluation,Portfolio Selection,and HARA Utility

Absract

The main goal of this work is the generalization of the approach of Jobson and Korkie for funds performance evaluation. Therefore, the paper considers the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assumes the investor’s utility function to be of the HARA type. A performance measure is developed and its relationship to previously proposed measures is discussed. Particular attention is given to the special case of cubic utility implying skewness preferences. Findings are illustrated by an empirical example.     

Further evidence on performance evaluation: Portfolio holdings,recommendations, and turnover costs

This paper analyzes the performance of mutual funds in Spain between January 1980 and June 1990. The robustness of results to alternative measurements and benchmarks are analyzed. The results indicate that, with monthly returns alone, it is not possible to distinguish between selectivity and timing. We are only able to measure the magnitude of total performance. To be more precise about the reasons behind performance, portfolio holdings are necessary. This work employs a new data set based on monthly portfolio holdings of a representative sample of funds. A comparison of results using monthly returns and monthly portfolio holdings is made. In particular, thanks to the availability of portfolio holdings, we are able to separate selectivity and timing. Finally, the impact of turnover costs is considered.     

Binary interest rate sensitivities of emerging market corporate bonds

We develop a framework to assess interest rate sensitivities of emerging market corporate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the aftermath of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging market corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules.     

我国经济金融运行状况和相关政策解析

本文对我国经济金融运行现状进行了分析,阐述了货币政策适时适度调整,成功进行了宏观调控,促进了经济平稳较快发展。未来一段时期,我国金融业面临难得机遇和严峻挑战,需要注意把握政策的稳定性、针对性和灵活性,维护金融稳定,促进经济结构调整和发展方式转变。     

税收风险管理关键绩效指标评价体系的构建及应用

税收风险管理绩效评价贯穿于税收风险管理工作的全过程,能确保税收风险管理制度得到有效执行,并能不断完善税收风险管理的工作流程。将关键绩效指标法应用于税收风险管理绩效评价工作,对税收风险管理进行全流程、全方位的评价,构建税收风险管理关键绩效指标评价体系,有助于提高税收风险管理能力和水平,全面实现以风险管理为导向的现代化税收征管体系。     

Derivatives Usage and Financial Risk Management in Large and Small Economies: A Comparative Analysis

The objective of this paper is to expand and update previous New Zealand — based surveys in order to compare and contrast risk management practices of firms in the small, foreign trade-dependent economy of New Zealand to those of firms in the considerably larger, more developed US, UK, and German markets. This survey examines patterns of usage, reasons and objectives for derivatives use, and reporting and control procedures and finds that the practice of hedging with derivative instruments among New Zealand firms appears to be evolving as global markets become more integrated. We find that the percentage of firms involved in hedging, both large and small, has grown since the last New Zealand surveys, and that New Zealand firms have many of the same reasons and objectives for using derivatives as firms in the much larger American and European economies. We also find that the focus on control and reporting derivatives transactions in New Zealand is similar to that of firms in the other countries and appears to have strengthened since previous surveys.     

企业金融资产配置与融资约束的缓解机制:基于流动性管理的分析

企业进行金融资产配置,一方面能够为企业提供流动性,缓解融资约束;另一方面也因投机动机而占用企业流动性资源,加剧融资约束,对实体投资造成挤压。这是形成企业金融化的"投资挤出效应"和"蓄水池效应"两种现象并存的内在机制。为衡量这种内在机制,本文使用2007—2018年我国上市公司样本,对金融资产配置的流动性管理效应展开分析。结果显示:非金融企业的金融收益会推动超额现金的持有,通过超额现金的中介效应引致了融资约束程度的缓解;而企业持有金融资产行为则产生相反的效应。进一步研究发现,在典型的公司治理机制中,无论是外部股东的投票机制,还是来自内部的代理成本与高管持股机制,都在一定程度上推动了金融资产配置产生的流动性效应。     

Priorities and targets: supporting target-setting in healthcare

Management by objectives requires selecting the appropriate number of indicators to measure objectives and then defining high-priority indicators. Failing to address these two issues often results in the so-called ‘performance paradox’. This paper describes an algorithm applied in the healthcare sector in the Italian regions. The resulting performance evaluation system is able to detect priority indicators in the target-setting phase, improving management and saving costs.     

林业上市企业财务风险评价研究——基于因子分析法和聚类分析法

以33家林业上市企业作为样本,通过因子分析法对其2014年的主要财务指标进行分析,识别影响林业企业财务风险的主要因素,构建林业上市企业的财务风险评价模型,对林业上市企业的财务风险程度进行打分和排序;并采用聚类分析法根据样本企业的财务风险程度将林业公司归集为良好、一般、高风险三类。针对林业公司普遍存在的财务风险,应制定相应对策。     

Energy prices: Economic concepts and accounting realities

The PEFA (public expenditure and financial accountability) framework is an instrument that enables broad assessments of a country's public expenditure, procurement and financial accountability systems. This article provides three views of the framework: from the PEFA secretariat, a practitioner and a donor.     

Comparing schools in the U.K. and New Zealand: individualizing and socializing accountabilities and some implications for management control

This paper contrasts educational reforms in New Zealand and the U.K. exploring the role of accountability in processes of management control. The paper focuses on the use of performance measurement in schools. Performance evaluation in the U.K. is, arguably, individualized, in New Zealand an organizational focus is retained The paper will seek to provide an account of the way that individuals have been called to account for their performance (Townley, 1996). Roberts' (1996) discussion of individualizing and socializing accountability is central because of its key claim that some forms of organizational accountability provide a separation of the strategic and moral consequences of action. This is seen as potentially damaging as it may free instrumental action from any form of ethical constraint, equally it may undermine any potential for collective action. In exploring this dimension we will examine the technologies of both financial accounting and management accounting which promote particular approaches to performance evaluation, accountability and control. Our argument raises questions as to the relevance of management accounting as a tool of control and whilst recognizing that financial accounting is also limited suggests that it is worth reconsidering its role in the context of a broader approach to performance evaluation.@e$g0     

Comparative Performance of Chinese Commercial Banks: Analysis,Findings and Policy Implications

This paper investigates the financial performance of Chinesebanks by using financial ratio analysis. The analysis shows that the lowprofitability of state-owned commercial banks results from their higherratio for non-interest expenses and lower interest margin thanjoint-equity banks. The much lower profit margin in state-owned banksdraws down their levels of ROE and ROA, even with the offsetting effectsof more efficient utilization of their assets and higher financialleverage. Although data limitations prevent us from studying the riskprofiles of the banks in detail, it is clear that these Chinese banksgenerated lower returns with higher financial risks than their Westerncounterparts. The paper concludes with a discussion of major issuesaffecting Chinese bank performance. Significant difficulties encounteredin assessing bank performance are also identified anddiscussed.