The Value of Financial Statement Verification in Debt Financing: Evidence from Private U.S. Firms

I examine how verification of financial statements influences debt pricing. I use a large proprietary database of privately held U.S. firms, an important business sector in which the information environment is opaque and financial statement audits are not mandated. I find that audited firms have a significantly lower cost of debt and that lenders place more weight on audited financial information in setting the interest rate. Further, I provide evidence of a mechanism for this increased financial statement usefulness: accruals from audited financial statements are better predictors of future cash flows. Collectively, I provide novel evidence that audited financial statements are more informative and that this significantly influences lenders’ decisions.     

美国金融监管改革的新框架与新趋势

针对金融危机中暴露的监管缺陷,美国正在进行"大萧条"以来最为全面的金融监管改革.本文在宏观和微观审慎监管相结合的框架下介绍了美国金融监管改革的主要内容,分析了围绕改革的主要争论,并对国际金融监管改革趋势进行总结比较,认为美国这次金融监管改革将从监管标准、方法、模式和理念等方面重构美国金融监管体系,有利于形成更加稳定有序的金融市场新秩序,防范金融危机重演.     

美国金融监管体制:特征与改革趋势

美国是最早建立金融分业监管体制的国家,也是金融监管结构相对复杂的国家。一方面,分业监管体制是美国金融监管当局为应对1929～1933年经济危机做出的必然选择,对保证美国金融体系的安全稳定运行发挥了积极的作用;另一方面,1999年美国《金融服务现代化法案》通过后,美国重新建立了混业经营的金融体系,金融市场发生了重大变革,美国金融监管体制的缺陷和弊端开始逐渐显露,要求改革金融监管的呼声日渐高涨。2007年次贷危机的爆发,再次暴露了美国金融监管制度的不足。在新的     

从立法看美国对金融外资的规制

美国构建了全球最为庞大的综合性金融外资法制体系.根据各项金融外资立法涉及的领域不同,美国既有针对金融外资实行常规监管的综合性立法,又有针对外资开展银行业务、证券业务以及保险业务予以规制的专门法律.美国已有立法对金融外资的规制遵循透明度原则、竞争原则和诚信原则,旨在促进金融市场的稳定.     

The Reversing Weekend Effect: Evidence from the U.S. Equity Markets

The well-known weekend effect has been reversing in Major U.S. indices from late 1980s to late 1990s. The correlation between Monday and Friday returns also exhibited a declining trend, and fluctuated around zero in the 1990s. A power ratio method is developed to measure consistently the relative contribution of Friday and Monday returns to the return of the week in each individual year. The revealed dynamics of the anomaly explains why previous researchers report different or conflicting findings. The anomaly may not be necessarily related to firm size.     

借鉴美欧经验思考中国的反倾销法

通过比对研究发现，美国、欧盟反倾销法在“非市场经济国家出口产品正常价值的确定”、“公共利益的考虑”、“对出口商替进口商交纳反倾销税的作弊行为的制裁”、“反规避的措施”和“承诺”问题上存在微妙差异，而这几个问题在我国反倾销法中或未涉及，或阐述较为粗略。研究这些差异。将有助于完善我国反倾销法以及更好地应对美国、欧盟反倾销调查。     

The Structure of Multiple Credit Relationships: Evidence from U.S. Firms

When firms borrow from multiple concentrated creditors such as banks they appear to differentiate their allocation of borrowing. In this paper, we put forward hypotheses for this borrowing pattern based on incomplete contract theories and test them using a sample of small U.S. firms. We find that firms with more valuable and more homogeneous assets differentiate borrowing more sharply across concentrated creditors. Moreover, borrowing differentiation is inversely related to restructuring costs and positively related to firms' informational transparency. The results suggest that the structure of credit relationships is used to discipline creditors and entrepreneurs, especially during corporate reorganizations.     

美国金融危机对中国经济的影响及我们的对策

近期看,美国的金融危机尚未见底,美国金融市场将经历较长时间的低迷和调整。但是,美国商业银行将通过此次危机的冲击加速其兼并和整合的步伐,美国的金融监管体系也将因此加快重组。对于近期美国金融资产价格走低的前景,我们一是不要在低位盲目抛售,使潜亏变成实际亏损。二是不能抱着抄底的侥幸;对于资金大进大出的冲击,需要进一步加强资本流动的监管;对于美元汇率进一步下跌的前景,需要注意中国对外投资的汇率风险控制;我们的银行信贷应该更加注重服务于实体经济发展的需要,避免信用盲目虚拟扩张和收缩,金融创新也要根据我国国情与经济发展的需要稳步推进。     

美国金融危机对全球的影响及我国的应对战略

由美国次贷危机引发的金融危机和经济危机,由于经济伞球化的传导,使得世界各国也因伞球金融危机引发了经济衰退.本文分析了美国金融危机的产生原因及其对全球经济的影响,并就我国如何通过经济政策、国际收支、货币政策、加工贸易、财政政策、税收政策和产业结构调整来积极应对,以保持经济持续和谐发展提出策略和建议.     

Foreign exchange exposure: Evidence from the U.S. insurance industry

We study the foreign exchange exposure of U.S. insurers. The evidence shows that no systematic difference exists in the currency risk profiles of life and non-life segments within the insurance industry. This suggests that life and non-life insurers have similar risk exposure management strategies arising from similar risk pooling and financial intermediary functions. The empirical results reveal that a sizable proportion of U.S. insurers are exposed to foreign exchange movements against the seven largest U.S. trade partners in insurance services (U.K., Japan, Switzerland, Netherlands, France, Germany and Canada). Significant operational and size effects are also documented and we find that the frequency of foreign exchange exposure increases with time horizon.     

The effect of foreclosure laws on securitization: Evidence from U.S. states

A mortgage that defaults is more likely to enter foreclosure rather than renegotiation if it has been securitized in the private non-agency market, according to previous research. We study whether this foreclosure-propensity affects lenders’ securitization decision ex-ante. Due to the higher foreclosure probability, the value of a mortgage should be more sensitive to foreclosure costs if it is securitized. Comparing loans made in the same metropolitan area but under different foreclosure laws, we find that lenders are less likely to securitize mortgages in states with higher foreclosure costs, as measured by laws requiring judicial foreclosure. Two additional results are consistent with the proposed channel. First, the effect increases for loans with higher expected default rates and disappears for mortgage-like loans not subject to these laws. Second, the effect of judicial requirements increases for loans with higher expected default rates, consistent with differences in loss given default driving the results. Borrowers in states without judicial requirements also get riskier loans.     

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

The evidence of slowly mean-reverting components in stock prices has been controversial. The hypothesis of stock price mean-reversion is tested using a regression model that yields the highest asymptotic power among a class of regression tests. Although the evidence that the equally weighted index of stocks exhibits mean-reversion is significant in the period 1926–1988, this phenomenon is entirely concentrated in January. In the post-war period both the equally weighted and the value-weighted indices exhibit seasonal mean-reversion in January. A similar phenomenon is also observed for the equally weighted index of stocks traded on the London Stock Exchange.     

流动性冲击与金融危机传染

本文从流动性的角度分析了美国金融危机的传染机制.把流动性划分为资金流动性、市场流动性和货币流动性,阐述流动性的扩张和收缩与金融危机的相互联系.重点分析流动性与金融危机纵向和横向传染的四条机制,包括银行同业市场中流动性危机的传染、信贷市场和资本市场间的相互传导、预期传染和心理恐慌以及跨国溢出与挤出.文章进一步对流动性的国内和国际监管及流动性危机的救助与防范提出了相关建议.     

The Role of Acquisitions in Foreign Direct Investment: Evidence from the U.S. Stock Market

This paper examines foreign direct investment by studying shareholder wealth gains for 1273 U.S. firms acquired during the period 1970-1987. Three findings stand out. First, cross-border takeovers are more frequent in research and development intensive industries than are domestic acquisitions; furthermore, in three-fourths of cross-border transactions the buyer and seller are in related industries. These industry patterns suggest that costs and imperfections in product markets play an important role in foreign direct investment. Second, targets of foreign buyers have significantly higher wealth gains than do targets of U.S. firms. This cross-border effect is comparable in size to the wealth effects of all-cash and multiple bids, two effects receiving substantial attention in the finance literature, and is robust to inclusion of these two variables. Third, while the cross-border effect on wealth gains is not well explained by industry and tax variables, it is positively related to the weakness of the U.S. dollar, indicating a significant role for exchange rate movements in foreign direct investment.     

Finance and employment: Evidence from U.S. banking reforms

Economic theory offers competing hypotheses about how the cost and availability of finance influence labor market outcomes. Making use of the U.S. banking reforms between the 1970s and the 1990s as a quasi-natural experiment, this paper studies the impact of credit market development on employment. This paper documents the significant effects of these reforms on employment growth. Potential channels between finance and employment are also investigated. Changes in the growth of the number of self-employed individuals, the entry and exit of firms, and investment growth do not explain most of the employment growth following the reforms. The reforms had a substantially higher impact in industries with higher labor intensity, which is consistent with the idea that labor has fixed costs that need to be financed.     

Modelling Credit Risk for SMEs: Evidence from the U.S. Market

Considering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyse its effectiveness compared to a generic corporate model. The behaviour of financial measures for SMEs is analysed and the most significant variables in predicting the entities' credit worthiness are selected in order to construct a default prediction model. Using a logit regression technique on panel data of over 2,000 U.S. firms (with sales less than $65 million) over the period 1994–2002, we develop a one-year default prediction model. This model has an out-of-sample prediction power which is almost 30 per cent higher than a generic corporate model. An associated objective is to observe our model's ability to lower bank capital requirements considering the new Basel Capital Accord's rules for SMEs.     

The Political Economy of Fiscal Supervision and Budget Deficits: Evidence from Germany

In many federal countries, local governments run large deficits, even when fiscal supervision by state authorities is tight. I investigate the extent to which party alignment of governments and fiscal supervisors influences budget deficits. The data set includes 427 German local governments for the period 2000–2004. I exploit a period after a far‐reaching institutional reform that entirely re‐distributed political powers on both the government level and the fiscal supervisor level. The results do not show that party alignments of governments and supervisors (co‐partisanship) drive short‐term deficits. Instead, I find that the ideology of partisan governments and supervisors matters: left‐wing local governments run higher deficits than their right‐wing counterparts; left‐wing supervisors tolerate higher deficits than right‐wing supervisors. These findings imply that political independence for fiscal supervisors is recommended.