中国上市公司初始审计的定价折扣考察——来自审计师变更的经验证据

初始审计的定价折扣具有重要的与审计独立性相关的公共政策含义。本文基于DeAngelo(1981)和Dye(1991)关于初始审计定价折扣的竞争性理论预期,利用2002——2004年我国审计市场的数据对初始审计的定价行为与特征进行了较为细致的实证考察。经验结果支持中国证监会关于审计费用的强制性公开披露政策,准租金和低价折扣引起的潜在的审计独立性问题会随着审计费用的公开披露而得到消除或减轻。本文还具有重要的监管含义:对审计师变更的监管应着重关注那些大型上市公司在小型会计师事务所之间进行变更的行为。     

Blocks, Liquidity, and Corporate Control

The paper develops a simple model of corporate ownership structure in which costs and benefits of ownership concentration are analyzed. The model compares the liquidity benefits obtained through dispersed corporate ownership with the benefits from efficient management control achieved by some degree of ownership concentration. The paper reexamines the free-rider problem in corporate control in the presence of liquidity trading, derives predictions for the trade and pricing of blocks, and provides criteria for the optimal choice of ownership structure.     

Executive compensation and internal capital market efficiency

We document that chief executive officer (CEO) incentive compensation plays an important role in determining internal capital market (ICM) allocation efficiency. Our results suggest that CEO equity-based compensation can be effective in ameliorating inefficiencies in internal capital allocation decisions. We find that while stock grants play an important role in motivating CEOs to make more efficient internal capital allocation decisions, there is surprisingly no discernible influence of stock options. Our analysis supports the view that private benefits derived by managers are increasing in internal capital misallocation. We also document a strong positive link between CEO incentive compensation and excess value of diversified firms suggesting that the diversification discount can be ameliorated with CEO incentive compensation. The study contributes to the ICM literature and the literature on conglomerate diversification discount.     

Corporate governance and private placement issuance in Australia

In this study, we examine the effectiveness of corporate governance in mitigating dilution in the economic and voting interests of existing nonparticipating (retail) shareholders in private placements. Based on a sample of 2420 private placements in Australia from 2001 to 2012, we find support for this proposition through the influence of corporate governance on pricing negotiation and firms’ choice of issuing method in private placements. Specifically, firms with better corporate governance offer private placements with a smaller discount, and are more likely to include a share purchase plan, which protects nonparticipating shareholders from ownership dilution in the placement.     

Incentive and entrenchment effects in European ownership

In a large sample of European firms we analyze the value discount associated with disproportional ownership structures first documented by Claessens et al. (2002). Consistent with a theoretical model of incentive and entrenchment effects, we find higher value discount in family firms, in firms with low cash flow concentration, and in industries with higher amenity value. Furthermore, the discount is higher in countries with good investor protection and higher for dual class shares than for pyramids. We find no impact on operating performance, likelihood of bankruptcy, dividend policy, or growth. Finally, we discuss policy implications of these findings.     

Split Share Structure Reform,corporate governance,and the foreign share discount puzzle in China

We examine the impact of the Split Share Structure Reform on the well-known foreign share discount puzzle in China. Existing literature confirms that foreign investors are more concerned about insider expropriation because of their information disadvantage relative to domestic investors. The split share structure of the ownership of Chinese listed firms created a conflict of interests between state and private shareholders. Since, before the reform, state shareholders held restricted shares that denied them any wealth effect from share price movements, they had a limited incentive to work with private shareholders to ensure that managers maximized the stock market value of the firm. By abolishing the trading restrictions for state shareholders, this reform has increased the incentive alignment between state and private shareholders, encouraging them to monitor managers. If foreign investors’ concerns over the corporate governance implications of the split share structure at least partly contributed to their discounting of Chinese listed firms, then this discount should be reduced following the reform. Indeed, our evidence confirms this prediction, especially among Chinese listed firms with more state ownership or restricted shares. Our findings imply that this significant institutional reform of the Chinese stock market has benefitted minority investors.     

CEO Ownership,Stock Market Performance,and Managerial Discretion

We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak governance. Furthermore, owner‐CEOs are value increasing: they reduce empire building and run their firms more efficiently. Overall, our findings indicate that the market does not correctly price the incentive effects of managerial ownership, suggesting interesting feedback effects between corporate finance and asset pricing.     

Asymmetric information,adverse selection,and the pricing of CMBS

We demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors and securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private information to liquidate lower quality loans in commercial mortgage-backed securities (CMBS) markets. Conduit lenders, who originate loans for direct sale into securitization markets, mitigate problems of asymmetric information and adverse selection in loan sales. Our theory provides an explanation for the pricing puzzle observed in CMBS markets, whereby conduit CMBS loans are priced higher than portfolio loans, despite widespread belief that conduit loans are originated at lower quality. Consistent with theoretical predictions of a lemons discount, our empirical analysis of 141 CMBS deals and 16,760 CMBS loans shows that, after controlling for observable determinants of loan pricing, conduit loans enjoyed a 34 basis points pricing advantage over portfolio loans in the CMBS market.     

What Drives Anomaly Returns?

We decompose the returns of five well-known anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their mean-variance efficient (MVE) combination. Whereas discount rate news predominates in market returns, systematic cash flow news drives the returns of anomaly portfolios and their MVE combination with the market portfolio. Anomaly cash flow and discount rate shocks are largely uncorrelated with market cash flow and discount rate shocks and with business cycle fluctuations. These rich empirical patterns restrict the joint dynamics of firm cash flows and the pricing kernel, thereby informing models of stocks' expected returns.     

Does Concentrated Founder Ownership Affect Related Party Transactions? Evidence from an Emerging Economy

This study examines the impact of concentrated founder ownership on related party transactions (RPTs) for Indian firms. We find that concentrated founder ownership is positively related to RPTs and is more likely to encourage RPTs that are beneficial for the minority shareholders. We also observe that RPTs are associated with higher firm value. This relationship is more pronounced for business group firms and firms with more highly concentrated founder ownership. We show that the reputation incentive plays a very important role in founders’ decisions, and they use RPTs as an efficient transaction mechanism.     

Is there a dark side to exchange traded funds? An information perspective

We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with (1) higher trading costs (bid-ask spreads and market liquidity), (2) an increase in “stock return synchronicity,” (3) a decline in “future earnings response coefficients,” and (4) a decline in the number of analysts covering the firm. Collectively, our findings support the view that increased ETF ownership can lead to higher trading costs and lower benefits from information acquisition. This combination results in less informative security prices for the underlying firms.     

The impact of management and board ownership on profitability in banks with different strategies

In this study I combine the ownership and diversification literature and show that the agency problem varies across traditional, diversified and non-traditional banks. In a sample of European banks, I find that management ownership has a positive impact on profitability in non-traditional banks, whereas board ownership has a positive impact on profitability in traditional banks. These findings indicate that management ownership is important in opaque banks, which are difficult to monitor, whereas board ownership is important in banks where the government guaranteed safety-net reduces the monitoring incentive of depositors, but which are not too complex or opaque for the board to monitor.     

Optimal introductory pricing for new financial services

Financial services institutions often provide special introductory prices to new customers who sign up for their services such as credit cards, credit monitoring services and online stock trading. Despite their prevalence, the decision to provide introductory prices to new customers entails challenges for decision makers. Providing small incentives may not perceptibly affect the adoption of the service while providing a large incentive leads to the loss of revenue and profits. As a result, the effectiveness of such activities on firm profitability remains largely unexplored. This study seeks to address this gap in the literature by exploring optimal introductory pricing of a financial service. Employing agent-based simulation experiments, we find that offering introductory discounts significantly increases a firm’s net present value (NPV) of profits. Moreover, the findings suggest the amount of discount and the duration of time that a new customer receives the discount are critical factors in determining the NPV of profits. The research and managerial implications are discussed.     

Collusion Proof Transfer Payment Schemes with Multiple Agents

Most of the current studies on transfer pricing under asymmetric information focus on a single principal and a single agent. Under a separating management and ownership assumption, transfer pricing is at minimum a three-person problem involving one principal and two agents. This paper considers a transfer pricing problem with two agents who possess private information and seek to maximize their net cash flows, instead of divisional accounting profits. The objectives of this paper are: (1) to derive a direct-revelation mechanism that induces truth telling and efficient allocation; (2) to study the agents' collusion behaviors under the direct-revelation mechanism. The findings indicate that when agents have the option to quit after contracting, it is optimal for the center to produce less than the first-best output level unless the costs for both divisions are at their lowest levels. The optimal amount of underproduction varies according to the demand condition. In addition, two sets of transfer functions, named as identical and nonidentical functions, are derived to induce truth-telling and yield optimal equilibrium output. The two sets of transfer functions are subject to collusion. However, the functions induce different collusion behaviors among agents, that is, the collusion sets for both functions are not common sets. This property enables us to eliminate any collusion between agents, particularly prior to their observation of private information.     

Asset pricing with Second-Order Esscher Transforms

The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the same time, the tractability and flexibility of the associated asset pricing model. This goal is achieved by introducing the notion of exponential-quadratic SDF or, equivalently, the notion of Second-Order Esscher Transform. The log-pricing kernel is specified as a quadratic function of the factor and the associated sources of risk are priced by means of possibly non-linear stochastic first-order and second-order risk-correction coefficients. Focusing on security market models, this approach is developed in the multivariate conditionally Gaussian framework and its usefulness is testified by the specification and calibration of what we name the Second-Order GARCH Option Pricing Model. The associated European Call option pricing formula generates a rich family of implied volatility smiles and skews able to match the typically observed ones.     

Portfolio efficiency and discount factor bounds with conditioning information: An empirical study

Stochastic discount factor bounds provide a useful diagnostic tool for testing asset pricing models by specifying a lower bound on the variance of any admissible discount factor. In this paper, we provide a unified derivation of such bounds in the presence of conditioning information, which allows us to compare their theoretical and empirical properties. We find that, while the location of the ‘unconditionally efficient (UE)’ bounds of [Ferson, W., Siegel, A., 2001. The efficient use of conditioning information in portfolios. Journal of Finance 56 (3), 967–982] is statistically indistinguishable from the (theoretically) optimal bounds of [Gallant, R., Hansen, L., Tauchen, G., 1990. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Journal of Econometrics 45 (1), 141–179] (GHT), the former exhibit better sampling properties. We demonstrate that the difference in sampling variability of the UE and GHT bounds is due to the different behavior of the efficient return weights underlying their construction.     

Empirical Evaluation of Asset–Pricing Models: A Comparison of the SDF and Beta Methods

The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset–pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. We establish the correct framework for comparing the two methods and show that the SDF method is as efficient as the beta method for estimating risk premiums. Also, the specification test based on the SDF method is as powerful as the one based on the beta method.     

The impact of anti-corruption measures and risk effects on equity incentives and financial misreporting in China

This study examines the effects of anti-corruption and equity incentive risk on financial misreporting in the context of China’s unique corporate ownership structure and governance regime. Using a sample comprising 2,708 cases of financial restatement over the 2007–2017 period. Our key findings suggest that managers’ shareholdings are significantly and positively associated with their firms’ financial misreporting, and certain equity risk factors dramatically alter Chinese corporate governance. Furthermore, managers’ motivation to misreport is significantly more pronounced in non–state owned enterprises (non-SOEs), suggesting that equity incentive risk effects mitigate the “absence of ownership” problem believed to affect SOEs. Managers in highly competitive industries and firms with low institutional ownership are found to be highly motivated to misreport performance.     

An Empirical Examination of the Pricing of Seasoned Equity Offerings: A Test of the Signaling Hypothesis

This paper tests the predictions made by Signaling Theory against the competing Price–Irrelevance Hypothesis (Eckbo and Masulis, 1992). Signaling Theory suggests that the issue price of a security provides a signal of quality of the issuing firm. In contrast, the Price–Irrelevance Hypothesis suggests that equity pricing does not possess information content. This paper investigates the pricing of seasoned equity offerings by examining the role of firm quality and relative firm valuation on issue price discounts. Additionally, this paper investigates the relationship between the issue price discount and the market reaction at the issuance of seasoned equity offerings. The results indicate that firm quality does not have a significant impact on the degree of price discounting by the issuing firm. Relative firm market valuation does appear to be a determinant of the magnitude of discounting in setting the issue price. This paper also provides evidence that seasoned equity offerings firms that provide a lower issue-price discount experience a lower stock-price decline following the issuance as compared to firms offering a higher price discount.     

Corporate bond pricing and ownership heterogeneity

We examine how heterogeneity in institutional equity ownership affects bondholders. Firms with larger short-term (long-term) institutional ownership are associated with higher (lower) future bond yield spreads. The adverse effect of short-term ownership on bond pricing is driven by issuing firms that have larger financial distress risk and larger equity volatility. The favorable effect of long-term ownership appears to be more systematic. Further, this bond pricing effect is stronger in cases where shareholder rights are relatively weak. Finally, the effect of short (long) horizons is driven by concentrated (diffused) institutional holdings.