向国际财务报告准则过渡对欧洲企业财务报告的影响

本文以巴黎股市CAC 40大股和欧洲其他股市的21家公司为样本,研究了向国际财务报告准则(IFRS)过渡对欧洲上市公司财务报告的影响。研究发现这一影响是有限的和平稳的。首次采用IFRS使样本公司的合并报告净利润平均水平明显提高,权益资本略有减少。总量分析和回归分析均显示:商誉、无形资产、库藏股、汇率变动、资产重估、养老金和金融工具等项目的调整是产生披露差异的主要影响因素,规模较大的企业报告盈利指标调高较多。     

市场行情影响投资者的股利偏好吗?

基于2005-2017年A股上市公司的数据,研究了在不同的市场行情中,投资者对于股利政策的偏好差别。研究发现：对于现金股利而言,在上涨和下跌的市场行情中,投资者更偏好不发放现金股利的上市公司;在平稳行情中,投资者更偏好发放现金股利的上市公司。对于股票股利而言,在上涨行情中,投资者更偏好发放股票股利的上市公司;在下跌行情中,投资者更偏好不发放股票股利的上市公司;在平稳行情中,投资者对于是否发放股票股利没有显著的偏好差异。在上涨和下跌的市场行情中,超能力派现和高送转不会改变投资者的偏好;在平稳行情中,只有正常派现和正常送转才能赢得投资者的青睐,超能力派现行为无益于上市公司,高送转还会损害公司价值。     

P2P借贷市场与股票市场间的溢出机制:中国股市2015年异常波动期间的证据

本文认为,P2P借贷市场与股票市场之间存在两类溢出联动机制,即替代效应机制和互补效应机制。替代效应指的是P2P投资者资金配置导致两个市场行情呈现负相关;互补效应指的是P2P借款者杠杆融资导致两个市场行情正相关。在此基础上,本文利用事件分析法,量化研究了股市异常波动时期市场间溢出的具体表现。从P2P市场对股市溢出来看,P2P市场是拉动股市大幅上涨的重要资金渠道,但没有证据表明P2P市场是造成股市大幅下跌的直接原因。从股市对P2P市场溢出来看,股市大幅上涨对P2P市场的影响较弱,但股市大幅下跌会对P2P市场行情产生显著影响。上述现象均可由替代效应机制或互补效应机制进行解释,且这两类机制在不同股市周期和股票板块之间具有较大的异质性。     

中国股市羊群效应的区制转移时变性研究

传统研究采用静态CCK模型检验股票市场的羊群效应,但无法描述羊群行为的动态变化以及市场可能受到的外部影响。本文基于中国股市日频交易数据,在静态CCK模型中引入参数的区制转移性质识别股市在不同状态间的转换,并分析中国股市羊群效应和交叉羊群效应的时变特征。研究表明,中国股市运行周期可被划分为两个区制,分别呈现低波动和高波动的行情特征;羊群效应的程度随区制转移而变化,具有区制依存性。其中,沪深股市在高(低)波动区制中,羊群效应更强(弱),相应区制持续时间较短(长);中国台湾股市仅在高波动区制中出现羊群效应,相应区制持续时间较短;中国香港股市无论在低波动区制或是高波动区制中,均不存在羊群效应。此外,沪深A股在低波动区制中对美国股市和中国香港股市存在交叉羊群效应。     

Momentum and Foreign Investors: Evidence from the Korean Stock Market

Abstract:

We examine whether the price impact of foreign investors on the Korean stock market from December 2000 to February 2007 generated a momentum phenomenon. In our empirical results, foreigners seem to have exerted a significantly positive impact on prices in “up” markets (periods of positive stock returns), but have had little impact on prices in “down” markets (periods of negative returns). We document that the impact of foreigners’ trades is concentrated in large companies. Most importantly, when the market is in the up state, the returns of stocks of large companies that were positively affected by foreign investors in the previous six-month period continue to increase in the subsequent six-month period. As a result, the subsequent six-month return on a past “winner” stock portfolio is significantly higher than that on a past “loser” stock portfolio. This brings to mind a momentum phenomenon that has been reported not to exist in the Korean stock market.     

The Timeliness of Income Recognition by European Companies: An Analysis of Institutional and Market Complexity

This study examines international differences in the asymmetric timeliness of accounting earnings by modelling international exposure to different jurisdictions as a firm-specific effect, using an index of regulatory complexity that relates to conditions in each of the capital markets in which the firm's equity is listed. The companies investigated are those with shares cross-listed on European stock exchanges, some of which are also listed in New York. Variation across jurisdictions and markets with respect to earnings timeliness and conservatism can be explained in part as an interaction of market effects and regulatory effects, with some evidence of opposition between the two, and the sensitivity of earnings to stock price changes shows a common, converging trend towards greater accounting conservatism in Europe.     

Stock market automation and the transmission of information between spot and futures markets

This paper examines the impact of automated trading in the stock market on the information transmission between the stock and futures markets. This issue is of particular relevance given the trend of exchanges to introduce automated trading. We focus on the Australian market as its institutional features and recent changes in trading systems have created an ideal environment for examining this issue. We initially find evidence of a substantial bidirectional information flow between the stock and futures markets. The paper then focuses on the period surrounding the move by the Australian stock exchange to automated trading. After the introduction of automated trading, we find a significant change in the information transfer process between the two markets. The findings are consistent with the hypothesis that automated trading results in a richer and more timely information set which accelerates the price discovery process. However, the evidence is not overwhelming and alternative explanations exist.     

When ESG talks: ESG tone of 10-K reports and its significance to stock markets

Since the ESG topic consistently gains on importance in the investment universe, companies provide investors with information regarding recent and future ESG activities through different reporting channels. The most recent research finds relevance of ESG-related corporate activities for formation of investors' opinion regarding companies' valuations and growth prospects. Based on a sample of more than seventeen thousand unique 10-K reports of US companies filed with SEC in period 2013 to 2019 and the word-power methodology proposed by Jegadeesh and Wu (2013), this study also shows evidence for significant relation of ESG textual tone of 10-K reports to stock market returns of filing companies around the report filing dates. Using the ESG linguistic dictionary recently proposed by Baier, Berninger, and Kiesel (2020), this study shows evidence for significant relation of social and governance-related topics disclosure to stock returns, while environmental narratives being ignored by the markets. When looking at individual words from the ESG lexicon, such words as “community”, “health”, “control” imply positive reaction of markets, while “discrimination”, “embezzlement”, and “crime” are related to negative returns. The robustness analysis based on the inverse document frequency word weightings and actual ESG performance scores confirms the significance of ESG information disclosure of 10-K reports for investors. Thus, this study sheds light on the mechanics of ESG information perception and its influence on capital markets.     

Adoption of IFRS in Spain: Effect on the comparability and relevance of financial reporting

EU Regulation 1606/2002 requires application of International Financial Reporting Standards (IFRS) by groups listed on European stock markets. In Spain, listed groups are now obliged to prepare consolidated financial information under IFRS, and legislative changes to bring local rules into line with international standards have been tabled.In this context, the potential impact of IFRS is fraught with uncertainty. Our study of IBEX-35 companies focuses on the effects of the new standards on comparability and the relevance of financial reporting in Spain. We address these objectives by seeking significant differences between accounting figures and financial ratios under the two sets of standards (i.e. Spanish accounting standards and IFRS).The results obtained show that local comparability has worsened. The study reveals that local comparability is adversely affected if both IFRS and local accounting standards are applied in the same country at the same time. Reforms to bring local rules into line with international standards are therefore urgent. We also find that there has been no improvement in the relevance of financial reporting to local stock market operators because the gap between book and market values is wider when IFRS are applied. While there has been no gain in terms of the usefulness of financial reporting in the short-term, improved usefulness may be achieved in the medium to long-term.     

Ein Regressionsmodell zur sparten- bzw. marktbezogenen Analyse der Eigenkapitalkosten von Unternehmen am Beispiel der Versicherungsbranche

In this paper we present a regression model which is fitted in the cost of equity of stock market companies. In this way we can estimate the cost of equity for companies which are not listed on the stock market based on the weights of line of business and market. Thus the cost of equity used for a value based management of strategic business units can be derived on the basis of these economic parameters. The theoretical model is introduced in a general setting for companies of any industry sectors. Then the model is applied to the insurance sector based on the lines of business Life and Non-life as well as on markets for Germany, Europe and the United States of America.     

中国股市财富效应：理论与实证

股市的功能不仅局限于为上市公司融资,它还会对消费产生影响,健全资本市场的股市财富效应十分明显。由于中国股市规模偏小、股市存在"挤占效应"、上市公司自身缺乏可持续发展能力、中国股市价值的持续变动趋势不稳定以及投资者收益分配结构不合理,因此,应从扩大股市规模、消除市场的过度投机以及推行"富民政策"来使得中国股市得以健康发展。     

GOLBALIZATION, CORPORATE FINANCE, AND THE COST OF CAPITAL

International financial markets are progressively becoming one huge, integrated, global capital market—a development that is contributing to higher stock prices in developed as well as developing economies. For companies that are large and visible enough to attract global investors, having a global shareholder base means having a lower cost of capital and hence a greater equity value for two main reasons: First, because the risks of equity are shared among more investors with different portfolio exposures and hence a different “appetite” for bearing certain risks, equity market risk premiums should fall for all companies in countries with access to global markets. Although the largest reductions in cost of capital resulting from globalization will be experienced by companies in liberalizing economies that are gaining access to the global markets for the first time, risk premiums can also be expected to fall for firms in long-integrated markets as well. Second, when firms in countries with less-developed capital markets raise capital in the public markets of countries (like the U.S.) with highly developed markets, they get more than lower-cost capital; they also import at least aspects of the corporate governance systems that prevail in those markets. For companies accustomed to less-developed markets, raising capital overseas is likely to mean that more sophisticated investors, armed with more advanced technologies, will participate in monitoring their performance and management. And, in a virtuous cycle, more effective monitoring increases investor confidence in the future performance of those companies and so improves the terms on which they raise capital. Besides reducing market risk premiums and improving corporate governance, globalization also affects the systematic risk, or “beta,” of individual companies. In global markets, the beta of a firm's equity depends on how the stock contributes to the volatility not of the home market portfolio, but of the world market portfolio. For companies with access to global capital markets whose profitability is tied more closely to the local than to the global economy, use of the traditional Capital Asset Pricing Model (CAPM) will overstate the cost of capital because risks that are not diversifiable within a national economy can be diversified by holding a global portfolio. Thus, to reflect the new reality of a globally determined cost of capital, all companies with access to global markets should consider using a global CAPM that views a company as part of the global portfolio of stocks. In making this argument, the article reviews the growing body of academic studies that provide evidence of the predictive power of the global CAPM as well as the reduction in world risk premiums.     

中国境外上市企业私有化退市问题研究

近期,出于对股价低迷、支付费用高,或长远战略调整、转换场地上市等因素的考虑,中国海外概念股开始集体主动回归,阿里巴巴、盛大、小肥羊实施私有化退市。然而,中国境外上市企业私有化退市面临着代价过高、程序繁杂、回归A股困难以及潜在诉讼等风险。因此,我国应结合本国实际,适时推出国际板,完善主板、创业板双向退市制度,推行国有上市企业私有化,引导企业理性上市融资和私有化退市,确保投资者与经营者之间合理分配报酬,实现全员共同富裕。     

Fraudulent financial reporting in China: Evidence from corporate renaming

Using a sample of listed Chinese companies during 2010–2019, we examine whether corporate renaming is associated with fraudulent financial reporting. We find that companies that change their corporate names without making underlying changes to business fundamentals are more likely to commit financial reporting fraud. The positive association between corporate renaming and financial reporting fraud is more pronounced for non-state-owned enterprises and companies with a lower ownership concentration. There is further evidence that corporate renaming is more likely to be associated with disclosure-related fraud (e.g., failure to disclose or delayed disclosure) and that the likelihood of fraudulent behavior increases with the frequency of corporate renaming. Overall, the findings of this study provide evidence of a new red flag for regulators and investors investigating financial fraud. This study is timely and has policy implications for market regulators hoping to establish and improve emerging capital markets in which the information environment is generally considered weak and opaque.     

Equity and fixed income markets as drivers of securitised real estate

This paper re-examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural breaks within the data. The results provide a different perspective on the relationship securitised property has with these markets and sheds new light on their long-run interaction. Once structural breaks are accounted for the results show that securitised property is driven by both interest rate and stock market changes, regardless of the type of securitised property being examined. Evidence also points to companies with increased debt-to-asset ratios and companies that are tax-exempt entities are still all influenced by both the equity and fixed income markets over the long-run period, although the influence these factors have do vary across time.     

Analyst coverage: Does the listing location really matter?

Using a count panel regression method, we find that the listing location really does matter as stocks listed on the main board (FTSE350) rather than the junior market (AIM) attract more analyst coverage than can be explained by existing factors, even when we control for listing requirements and the type of cross-listing. We also find that listing requirements have a significantly greater impact on the number of analysts following AIM companies rather than their FTSE350 counterparts. Moreover, pooling stocks from different listing locations can conceal additional differences in the determinates of analyst services for the main board and junior markets. For example, cross-listing on a stock exchange increases analysts coverage for FTSE350 stocks but not AIM stocks and listing on less transparent trading venues such as over the counter and alternative trading systems (dark pools) decreases analyst coverage, especially for AIM stocks.     

The dynamics of privatization, the legal environment and stock market development

In this paper, we examine under which conditions privatization is an effective means to develop local stock markets for a panel of 61 countries over the last twenty four years. By addressing the endogeneity between privatization and stock market development, we show for the 1980-98 period that the initial legal environment is a significant contemporary determinant of stock market development, while privatization is not. When we examine the dynamics of privatization in interaction with the legal environment, we find that privatization has a two-year-lagged effect on stock market development in emerging markets, and a one-year-lagged effect in developed countries. Results for the 1999-2003 period seem to be largely affected by the global crash that followed the Asian crisis.     

The usefulness of firm risk disclosures under different firm riskiness,investor-interest,and market conditions: New evidence from Finland

To date, there is only meager research evidence on the usefulness of mandatory annual report risk disclosures to investors. Although it has been argued that corporate disclosure decreases information asymmetry between management and shareholders, we do not know whether investors benefit from high-quality risk reporting in a highly regulated risk disclosure environment. In this paper, we performed association tests to examine whether the quality of firms' mandatory risk disclosures relate to information asymmetry in the Finnish stock markets. In addition, we analyzed whether the usefulness of risk disclosures depends on contingency factors such as firm riskiness, investor interest, and market condition. We demonstrate that the quality of risk disclosure has a direct negative influence on information asymmetry. We also document that risk disclosures are more useful if they are provided by small firms, high tech firms, and firms with low analyst coverage. We also found that momentum in stock markets affects the relevance of firms' risk reports.     

全球股票市场系统性风险传递网络研究

本文采用系统性风险度量新指标LASSO-ΔCoVaR,构建全样本时期及各极端时期全球股票市场系统性风险传递网络,考察全球股票市场系统性风险传递水平及结构特征,并着重对极端状态下的风险传递进行分析。研究发现:第一,无论风险输入水平还是风险输出水平,不同股市的动态变化趋势大体一致,但波动幅度迥然不同,且单个股市风险输出水平的波动幅度远大于风险输入水平;第二,成熟经济体经济基本面恶化往往会增强其股市的系统性风险贡献,而新兴经济体则不同;第三,法国、荷兰、中国香港、德国和英国股市的风险溢出水平较高,同其他股市间的风险传递途径较多,是系统性风险传递网络中的核心节点;第四,我国股市与全球股市间的风险关联较弱,但我国股市潜在风险来源面广,同区域股市及金砖国家股市在我国股市与全球股市间的风险传递发挥重要作用。     

The determination and international transmission of stock market volatility

This paper extends the literature on low-frequency analysis of the causes and transmission of stock market volatility. It uses end-monthly data on stock market returns, interest rates, exchange rates, inflation, and industrial production for five countries (Britain, France, Germany, Japan, and the US) from July 1973 to December 1994. Efficient portfolios of world, European, and Japanese/US equity are first constructed, the existence of multivariate cointegrating relationships between them is demonstrated, and the transmission of conditional volatility between them is described. The transmission of conditional volatility from world equity markets and national business cycle variables to national stock markets is then modeled. Among the main findings are: first, world equity market volatility is caused mostly by volatility in Japanese/US markets and transmitted to European markets, and second, changes in the volatility of inflation are associated with changes of the opposite sign in stock market volatility in all markets where a significant effect is found to exist. To the extent that the volatility of inflation is positively related to its level, this implies that low inflation tends to be associated with high stock market volatility.