股权再融资、盈余管理与资本配置效率

本文建立了一个模型来分析股权再融资过程中盈余管理产生的机理，分析了盈余管理与配股后运营业绩和股票长期收益的关系。研究表明：上市公司在配股过程中存在系统的盈余管理行为；上市公司配股后的经营业绩出现滑坡，配股前3个年度和配股当年的异常应计利润与配股后的经营业绩具有负相关关系；上市公司配股后的股票长期收益和异常收益下降，配股前3个年度和配股当年的异常应计利润与配股后的股票收益具有负相关关系。本文认为，上市公司配股过程中的盈余管理误导了投资者的决策，造成了股票价值的高估和资本配置效率的下降。     

配股对股票长期收益的影响：基于改进三因子模型的研究

在中国证券市场中,配股一直是上市公司再融资的主要途径。配股行为是否影响公司股票的长期收益,这一问题具有重要的研究意义。本文以1999-2005年中国A股市场所有配股公司为样本,采用日历时间回归方法考察了配股后的股票长期收益。研究发现,配股样本主要集中于大公司,配股样本的股票收益和传统方法构造的因子收益时序上高度相关,配股后股票收益的长期低绩效并不是配股公司所特有的现象。本文进一步从模型设定偏误的角度改进了三因子模型,模型定价能力显著改善,并且从整体上减弱了配股发行的长期低绩效。     

制度变革、盈余持续性与市场定价行为研究

本文将会计制度变迁、配股政策的变革和股权分置改革作为资本市场制度变革的典型代表引入Ohlson剩余收益模型,结合盈余持续性分析了其对市场定价行为的影响。研究发现:随着我国证券市场的发展,营业利润在市场定价中发挥着主导作用,线下项目的定价作用减弱;随着配股政策和会计制度等的改革,线下项目对配股权在市场定价中的作用下降;会计制度改革和股权分置改革增强了持续性盈余的定价作用。这说明,制度变革提高了市场效率。     

Black-Scholes模型及其在新型期权定价中的应用

虽然Black-Scholes模型成功解决了在有效市场下的期权定价问题,但由于它是在一定的假设条件下建立的,在实际的交易实施中,投资者会在得到一定的股票红利同时忽视了交易成本。Black-Scholes模型是近年来在期权定价方面应用的重要模型之一,极大推动了期权市场的革命性变化。本文围绕着Black-Scholes模型的期权定价,对其在新型期权定价中的应用进行了分析,并给出了一些自己的看法和建议。     

错误定价与股权集中的公司治理效应——基于中国上市公司的经验证据

现有的股权结构治理效应理论和实证研究结论大多建立在资本市场有效的基础之上。考虑中国上市公司股权相对集中和普遍存在错误定价的背景,分析了市场错误定价对股权集中治理效应的可能影响,并利用中国上市公司2005—2013年的财务数据进行了实证检验。结论表明,我国上市公司的股权集中治理效应会受到投资者非理性行为下错误估价的影响,并且这种影响在高估和低估的情况下存在非对称效应。具体而言,公司价格被高估时股权结构的治理效率更高,这一点在非国有企业中尤其明显。     

可比非受控交易标准约束条件下的预约定价模型

以往有关转让定价的模型均无法准确描述预约定价的机理。可比非受控交易标准约束条件下的预约定价模型则对所涉政府进行转让定价约束的条件进行了扩展,并在分析所涉国政府对转让定价进行管制和约束时,加入跨国公司可能受到的补税和罚款因素,使之更加符合实际情况。     

中国上市公司盈余和盈余构成的错误定价——来自A股市场的经验证据

A股公司盈余（EARN）和盈余构成（应计盈余ACC和现金盈余CFO）的错误定价与成熟资本市场并不完全一致。一致的地方在于确实存在“应计异象”。不一致的地方在于“应计异象”的相对性。在分年度的检验中,EARN、ACC和CFO的错误定价方向一致,CFO和EARN的错误定价程度基本相同,相对于CFO的错误定价程度,ACC被高估——出现高估的时候,ACC被高估的程度更大;出现低估的时候,CFO被低估的程度更大。一个简单的模型表明,由于这种相对的高估,ACC和CFO的错误定价可以出现三种组合。     

套利限制对股票错误定价的影响研究

本文从形成套利限制的基础要素出发,将套利限制划分为交易成本、交易风险和交易约束,研究了不同维度套利限制对股票错误定价的影响。结果显示：在对错误定价具有正向影响的各细分维度套利限制中,交易约束起主导作用;股价高估情形下,交易约束对错误定价的影响起主导作用,交易成本则具有负向影响;低估情形下,交易成本起主导作用,各细分维度套利限制与错误定价的相关关系与高估情形相反,呈现显著的非对称关系;各细分维度套利限制通过改变投资者买卖行为导致了这一现象。本文首次探究了不同维度套利限制对错误定价的影响,并将T+1交易制度引发的套利限制纳入研究范围,为套利活动和我国资本市场基础制度改革提供相关建议。     

上市公司股权再融资盈余管理行为的实证分析

本文运用横截面修正的Jones模型,对我国1997—2002年A股上市公司配股盈余管理行为作了实证分析。研究发现,配股前3个年度和配股当年存在系统的盈余管理行为,影响了上市公司资本配置效率,并导致配股后上市公司业绩出现下降。会计师对于盈余管理进行了必要的关注,说明融资后的审计意见报告具有一定的质量。     

注意力驱动下的资产误定价——基于盈余质量视角的研究

本文基于行为金融学和信息不对称理论,以盈余质量的视角研究投资者注意力驱动下的资产误定价的具体表现和客观根源,结果表明,注意力驱动下的投资者交易使得股价呈现高估状态;盈余质量差是投资者注意力产生的重要客观原因之一,随着盈余质量的提高,注意力驱动下的股价高估程度明显减弱。进一步研究发现,盈余质量缓解投资者注意力对股价高估正向影响的作用在信息不对称程度高的上市公司表现得更加显著。该研究结论为多学科领域交叉研究资产误定价影响因素提供必要的理论依据,同时也为相关部门从盈余质量入手制定相关政策、缓解注意力驱动下的资产误定价,提供必要的实证证据,进而充分发挥资本市场资源配置功能,提升资本市场定价效率。     

Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

The development of the group accounts disclosure system in Japan

The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.     

Moments of Compound Mixed Poisson Distributions

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.     

The designing of corporate accounting law in Japan after the Second World War

After the Second World War, during the neutralization of the controlled economy of wartime Japan, a design for a Corporate Accounting Law was elaborated by the Investigation Committee on the Business Accounting System. The Investigation Committee tried to establish not only new business accounting standards but also a central and independent administrative organ of corporate accounting regulation on the basis of the Corporate Accounting Law. The Corporate Accounting Law was expected to lay the legal foundation of the new corporate accounting regulation regime in Japan. Nevertheless, even though the original design of the fundamental accounting law was never realized, it should be considered the starting point for our understanding of external accounting history in post-war Japan.     

The deliberation around accounting techniques: accounting for depreciation and foreign exchange in an Indian jute company, 1870-1900

This paper examines the way two accounting techniques, namely depreciation and foreign exchange, were deliberated on, between 1870 and 1900, in an Indian jute company whose shareholders resided in the UK. The arena for these deliberations was the conflictual relationship between controlling and non-controlling shareholders as to how best to account for depreciation and foreign exchange especially when the particular accountings affected distributional issues such as the dividend decision. The purpose of this paper is to analyse and explain the processes by which a company's accounting practices emerge and develop as a contest between different interests. Accounting framed the parameters of the deliberations and provided the language of power and dissent. The paper uses a rich archive that includes narrative and accounting material.     

Disclosure of government financial information and the cost of local government’s debt financing——Empirical evidence from provincial investment bonds for urban construction

China’s slowing economic growth and rapid urbanization have made local government debt financing a significant issue.This study uses a sample of China’s provinc...     

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

We introduce an expected utility approach to price insurance risks in a dynamic financial market setting. The valuation method is based on comparing the maximal expected utility functions with and without incorporating the insurance product, as in the classical principle of equivalent utility. The pricing mechanism relies heavily on risk preferences and yields two reservation prices - one each for the underwriter and buyer of the contract. The framework is rather general and applies to a number of applications that we extensively analyze.     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:1 Submissions must be original     

International harmonization of Japanese accounting standards

Historically, Japanese accounting standards have been quite distinct from International Accounting Standards (IASs) which have been perceived as being modelled on British-American accounting standards. However, in the 1990s, after the publication of E32 in 1989 and the IASC-IOSCO Agreement in 1995, the Business Accounting Deliberation Committee (BADC), the standards-setting body in Japan, has pursued a policy of harmonization with IASs. Accounting standards relating to consolidated financial statements of companies that make cross-border offerings of securities or operate worldwide are being revised drastically. This paper focuses on the development of international accounting harmonization and its impact on Japan.