Bias in an Empirical Approach to Determining Bond and Mortgage Risk Premiums

Empirical studies of bond and commercial mortgage performance often quantify a required risk premium by examining the difference between the promised yield and the realized yield as adjusted for default occurrence. These studies omit the effects of various other sources of risk, however, including collateral asset market risk, interest rate risk, and possibly call risk. These omissions downwardly bias the empirical risk premium estimate on the debt. In this paper, we disentangle and quantify the sources of this bias by modeling secured coupon debt (the commercial mortgage) as used in the calculation of a realized investment return. We consider deterministic and stochastic interest rate economies with mortgage contracts that are either noncallable or subject to a temporary prepayment lockout period. Given realistic parameter values associated with the term structure, underlying asset dynamics, and debt contracting, we show that the magnitude of the bias can be significant.     

Artificial Neural Networks Applied to Ratio Analysis in the Analytical Review Process

Experts claim that artificial neural network (ANN) technology can outperform standard statistical methods when applied to examine actual financial data. Researchers have used ANNs to analyze bankruptcy prediction, bond rating and the going-concern problem. Financial firms have employed ANNs commercially to predict commercial bank failures, detect credit card fraud and verify signatures. For accounting and auditing problems, however, application of ANN technology has been limited. Preliminary experiments tested whether an ANN offered improved performance in recognizing material misstatements during the analytical review process of auditing. Four years of audited financial data from a medium-sized distributor were input as data streams to calibrate the ANN across fifteen financial accounts. Researchers compared a presumed lack of actual errors and certain seeded material errors with signals from the ANN analytical review process to evaluate performance. Results were compared to analyses where financial ratios and regression methods were employed as analytical review techniques. Results tentatively suggest that the ANN method recognized patterns within financial accounts more effectively than did financial ratio and regression methods. ANNs applied as a forecasting tool seem useful for identifying patterns that can indicate potential investigations of a firm's unaudited financial data in the current year.     

The (un)informative value of credit rating announcements in small markets

This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a “rating shopping” process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008–2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements.     

The Commercial Approach vs. the Ecological Approach to rivers: An essay in response to the Indian River Linking Project (IRLP)

This paper provides a critique of the Commercial Approach to rivers and argues for an alternative, Ecological Approach, taking the Indian River Linking Project (IRLP) as a case study. It begins by summarizing the criticisms of IRLP expressed by scholars from India and other countries of the subcontinent, and then asks the question of why this project has been launched despite its apparent weaknesses. The paper shows that IRLP is a culmination of the Commercial Approach to rivers that sees rivers as objects to be ‘conquered’ and ‘consumed.’ The paper notes that time and experience have made the Commercial Approach outmoded, and a new, Ecological Approach has emerged. According to the Ecological Approach, rivers should be appreciated for what they are, i.e. as progenitor of various eco-systems and cultures. The Ecological Approach encourages harvesting river resources in a way that does not affect fundamentally the natural course and flow of rivers and the eco-systems and cultures they sustain. In view of their strong tradition of reverence towards rivers, the people of South Asia can play a prominent role in championing the Ecological Approach and emerge as an example for many other developing countries to follow.     

培养非英语专业研究生英语听力学习策略的研究

本研究从调查内蒙古师范大学部分非英语专业研究生的英语听力能力现状和听力学习策略入手,进而根据实际的调查结果,把策略训练、指导与课堂教学实践相结合,训练与指导研究生掌握、运用、选择听力学习策略,从而提高研究生的英语听力学习能力和学习成绩。     

世界性税制改革的现实思路(下)

三大做法 尽管学术界在过去的半个多世纪以来构想出税制改革的三大战略,美国的理论界和政界也在酝酿税制改革的三大方案,可是,面临着对现行税制大动手术后,新税制的实施能否补偿税制转轨所付出的代价以及转轨后难以预料的新问题等风险,还没有哪个国家敢贸然率先废旧立新,另起炉灶.但不可否认,在20世纪80年代美国掀起的世界税制改革浪潮的推动下,80年代中期的税制与80年代初期以前的税制大相径庭,而90年代中后期的税制又与80年代中期的税制差异很大.     

世界性税制改革的现实思路(上)

20世纪80年代的确是全球性税制改革的10年,而且这场税制改革浪潮不仅蔓延整个90年代,还大有涌向新千年伊始的势头.     

Formal Analysis of Segregation of Duties (SoD) in Accounting: A Computational Approach

This study examines a computational framework for segregation of duties (SoD) in the design as well as implementation of accounting systems. The framework consists of a model of workflows in accounting systems based on workflow graphs, a partial order model of roles performed by the actors in the accounting system, and a specification of SoD rules. We develop a set of algorithms for four SoD rules that can be used in the enforcement of SoD. For the SoD rule that precludes task type conflicts, our results show that while compliance verification can be carried out efficiently, finding an SoD compliant assignment of tasks is computationally intractable. For those situations, we present an integer linear programming (ILP) formulation for finding compliant assignments using public domain ILP solvers. For the remaining three SoD rules, we demonstrate efficient ways of testing compliance for a given assignment as well as finding compliant assignments.     

The Valuation Approach to Stock Market Impact: Some Tests With SSAP 16 (Current Cost Accounting) Disclosures

The purpose of this paper is to evaluate the role of security price models in measuring the impact of accounting information on financial markets. This contrasts with the more common approach of employing security returns. The tests here examine some econometric properties of the price model approach in the context of current cost disclosures required by SSAP 16. Special consideration is given to an important statistical issue likely to be met in the valuation approach, namely the heteroskedasticity of the error term. The evidence suggests that a simple security price model can provide an effective tool in accounting event studies.     

Natural Resource Management and Economywide Policies in Costa Rica: A Computable General Equilibrium (CGE) Modeling Approach

A computable general equilibrium (CGE) model is used to tracethe effects of government policies on Costa Rican forests inthe presence of incomplete markets. The results indicate thatcorrecting the market failure would, as expected, reduce deforestation.More interestingly, in the presence of the market failure, loweringthe tax on unskilled labor reduces deforestation because peoplegain employment in other parts of the economy. Taxation of otherproduced goods changes the incentives for deforestation. Forexample, a tax on agricultural products elevates the relativeprice of capital and shifts resources away from the capital-intensiveindustrial sector toward the agricultural and forest sectors;as a result, such a tax increases deforestation.     

注册会计师考试有关问题解答(八)

《会计》科目问:修改债务条件后,如果债权人将来应收金额大于重组债权的账面价值但小于账面余额的,债务重组时债权人、债务人如何进行账务处理?答:修改债务条件后,如果债权人将来应收金额大于重组债权账面价值但小于账面余额的,债权人应按将来应收金额小于应收债权账面余额的差额,冲减已计提的坏账准备和应收债权的账面余额,借记“坏账准备”科目,贷记“应收账款”等科目。如果债务人将来应付金额大于或等于重组债务的账面价值的,债务人不需进行账务处理;待实际支付时,实际支付的金额大于重组债务账面价值的差额计入当期财务费用。需要说明…     

注册会计师考试有关问题解答(七)

《会计》科目问:长期股权投资差额的摊销期限是否不分借差或贷差,摊销期限都是不超过10年?如果产生贷差应如何进行会计处理?答:长期股权投资在采用权益法核算的情况下,如果初始投资成本大于应享有被投资单位所有者权益份额之间的差额按一定的期限平均摊销,计入损益。具体的摊销期限为:合同中规定了投资期限的,应按合同约定的投资期限摊销;合同中没有规定投资期限的,按不超过10年的期限摊销。根据《关于执行〈企业会计制度〉和相关会计准则有关问题解答(二)》(财会[2003]10号)的规定,企业采用权益法核算长期投资时,长期股权投资的初始投资成…     

注册会计师考试有关问题解答(九)

《会计》科目问:“物资采购”和“在途物资”科目的核算内容有何差异?答:“物资采购”和“在途物资”科目是在企业采用不同方法对存货进行日常核算时所使用的不同的会计科目。在原材料、商品等采用计划成本进行日常核算的情况下,为了反映计划成本与实际成本之间的差异,需要设置“物资采购”科目进行核算。在原材料、商品等采用实际成本进行日常核算的情况下,不需要设置“物资采购”科目,但应设置“在途物资”科目,核算企业购入尚未到达或尚未验收入库的材料、商品等的实际成本。问:《会计》教材第68页例2(2)提出:已宣告但尚未领取的现金股利…     

注册会计师考试有关问题解答(六)

问:我得知2003年度注册会计师全国统一考试将延期,请问将延期到什么时候呢?新的考试日期时能否考虑不与其他全国性的考试日程发生冲突呢?答:根据财政部注册会计师全国考试委员会决定,2003年度注册会计师全国统一考试将延期举行。具体的考试实施时间正在研究过程之中。在确定新的考试时间时,我们将尽可能考虑避免与其他全国性考试时间发生冲突。但据目前了解的情况,许多全国性考虑均已延期,因此很难保证届时不会与其他的个别全国性考试发生冲突。 会计科目问:在很多辅导书中都看到“销售折扣”、“折扣销售”和“销售折让”等…     

注册会计师考试有关问题解答(五)

问:我今年第一次报考注册会计师,请问五科课程中哪一门课程相对容易掌握?答:每个人的教育程度、工作经历、知识能力等问题均不一样,从历年考试情况看,各科的合格率也没有太大的差别。但就五个课程之间的关系看,《会计》属一门核心的基础课,如果能较系统地掌握了《会计》科目的知识,对学习《审计》、《财务成本管理》和《税法》,均有益处。《经济法》科目与其他科目的关系相对不是十分密切,报考早晚均可。另外从多年来考生报考通过情况看,一次报考两门,通过率会高一点。问:我比较系统地学习过财会知识,如果想参加注册会计师考试,该补习哪些知…     

试论加入WTO后我国金融监管的创新问题

我国加入WTO后,金融机构逐渐失去原来对外资金融机构开展业务有诸多限制的政策保护,金融市场将呈现出全面竞争的趋势,这对我国的金融监管提出了前所未有的挑战.     

Accounting and control in Barclays Bank (DCO): the lending to Africans episode

This paper analyses the accounting, control and operational consequences of a pre-independence experiment by Barclays Bank (DCO) in the British Nigerian colony to liberalize its credit policy towards Africans. This was partly an attempt to develop African business, an area previously neglected by foreign banks. The new policy also appeased Africans who believed that the colonial banks discriminated against them. This experiment resulted in 'alarming' bad debts and led to a reappraisal of the bank's accounting, control and operational procedures. The paper highlights the limitations of internal controls in an era of change.     

Using Social Return on Investment (SROI) to measure project impact in local government

This paper explains how Social Return on Investment (SROI) can improve public project management in local government. The authors provide a step-by-step account of SROI implementation in an Indonesian city. The case study is a community-based sewerage treatment facility. By using participatory SROI, project management was substantially improved through better project prioritization, performance measurement and project accountability.     

The contribution of (shadow) banks and real estate to systemic risk in China

We empirically evaluate how accounting and financial variables affect the level of systemic risk in traditional and shadow banks, and in real estate finance services in China over the period 2006–2019. We also conduct some stability analysis by evaluating the impact of crisis sub-periods. We find that systemic risk increases in the Size of large financial institutions, particularly shadow entities, while it is insensitive to the Size of real estate finance services. Real estate finance services are instead particularly sensitive to Maturity Mismatch and Leverage. Finally, systemic risk differs across state and non state owned banks.