Do financial conglomerates create or destroy value? Evidence for the EU

There is an ongoing debate about whether firm focus creates or destroys shareholder value. Earlier literature has shown significant diversification discounts: firms that engage in multiple activities are valued lower. Various factors are important in determining the size of the discount, for example cross-subsidization and agency problems. The existing literature, however, generally focuses on non-financial firms or on banks combining investment and commercial banking. Our paper focuses specifically on the valuation of bank-insurance conglomerates. We find no universal diversification discount but significant variability. The discount is explained by the size (increasing), the familiarity with the conglomerate business model (decreasing) and the risk profile (decreasing). Our results are robust to the historical origin, the merger record and the age of the conglomerate, as well as peer group specification and outlier elimination.     

Does corporate international diversification destroy value? Evidence from cross-border mergers and acquisitions

This paper investigates the valuation effects of corporate international diversification by examining cross-border mergers and acquisitions of US acquirers over the period 1990–2000. We find that, on average, acquisitions of “fairly valued” foreign business units do not lead to value discounts. In contrast, unrelated cross-border acquisitions result in a significant diversification discount of about 24% after accounting for the valuation of foreign targets. Furthermore, significant wealth gains accrue to foreign target shareholders regardless of the type of acquisition. Overall, our results suggest that international diversification does not destroy value while industrial diversification leads to discounts even after controlling for the pre-acquisition value of the target.     

Diversification,corporate governance and firm value in small markets: evidence from New Zealand

We find that diversified firms in New Zealand are associated with a value discount of 19–42 per cent relative to single‐segment (undiversified) firms. Although several competing explanations have been offered in the literature, we find that the strength of corporate governance explains between 15–21 per cent of this discount. Specifically, board size, busyness of directors, CEO ownership and whether or not compensation of directors includes equity‐based components collectively explain a large part of the reported discount. Our results from companies trading in New Zealand complement recent findings in the US by not only confirming the existence of a diversification discount but also emphasizing the role of poor governance in destroying shareholder wealth by pursuing a value‐destroying corporate strategy. All our results hold after controlling for potential endogeneity in the decision to diversify and the choice of corporate governance structure by employing two‐way fixed‐effects and dynamic‐panel generalized method of moments regression techniques.     

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

It has been claimed that, for dynamic investment strategies, the simple act of rebalancing a portfolio can be a source of additional performance, sometimes referred to as the volatility pumping effect or the diversification bonus because volatility and diversification turn out to be key drivers of the portfolio performance. Stochastic portfolio theory suggests that the portfolio excess growth rate, defined as the difference between the portfolio expected growth rate and the weighted-average expected growth rate of the assets in the portfolio, is an important component of this additional performance (see Fernholz [Stochastic Portfolio Theory, 2002 (Springer)]). In this context, one might wonder whether maximizing a portfolio excess growth rate would lead to an improvement in the portfolio performance or risk-adjusted performance. This paper provides a thorough empirical analysis of the maximization of an equity portfolio excess growth rate in a portfolio construction context for individual stocks. In out-of-sample empirical tests conducted on individual stocks from 4 different regions (US, UK, Eurozone and Japan), we find that portfolios that maximize the excess growth rate are characterized by a strong negative exposure to the low volatility factor and a higher than 1 exposure to the market factor, implying that such portfolios are attractive alternatives to competing smart portfolios in markets where the low volatility anomaly does not hold (e.g. in the UK, or in rising interest rate scenarios) or in bull market environments.     

会计国际化视野下的国有银行海外上市与金融稳定研究

本文主要研究会计国际化视野下的国有银行改制上市与金融稳定发展之间的相互关系.我们认为,在转型期的国有银行改制上市过程中,采用国际会计准则,尤其是公允价值计量,将会带来损益的剧烈波动.在中国特殊的银行信用制度下,银行系统会将很小的经济波动或者银行支付危机放大,最终极有可能酿成金融的剧烈震荡.因此,在国有银行改制上市过程中,应充分研究公允价值计量的影响,慎重地做出相关决策,将负面影响减少到最低限度之内.     

A cross-section test of the present value model

We estimate for a sample of U.S. companies an econometric model of each companies' dividend process. We use this to forecast future dividends, and thereby calculate a theoretical present value for each company. We compare this to the market price and test whether one can earn excess returns by purchasing shares which are undervalued, compared to this theoretical price. We show that portfolios of underpriced shares substantially outperform the full sample.     

Pressure and Politics in Financial Accounting Regulation: The Case of the Financial Conglomerates in the Netherlands

This article examines the political process of promulgating two controversial laws which pertain to the reporting of Dutch financial conglomerates. Central to the study is the exploration of the lobbying efforts observed during the process, and the interaction between the government, the supervisors of banks and insurance companies, the industry and its associations, and the users and auditors of annual reports of financial conglomerates. Previous studies in accounting-rule development have often ignored influences that do not fall within the formal regulatory procedures. By adopting an inductive research approach, this study explores in some detail the behaviour of participants, including their use of informal lobbying methods. Pluralist theory is used to explain the nature of the political process and the behaviour of interested parties. The findings indicate that the Dutch political process in accounting matters is indeed pluralistic. Although auditors and producers of accounts seem to have greater possibilities to participate, the users of corporate reports are able to voice their opinion effectively. Overall, the users' preferences were acknowledged in the final rules governing the reporting by financial conglomerates.     

德国金融集团的监管

德国于2002年实行统一监管,金融监管局依照《欧盟金融集团监管指令》,对金融集团统一监管。德国金融集团监管的制度安排对中国金融控股公司的监管具有一定的启示意义。     

国际投资者对中国股票资产的价值偏好：来自A-H股和A-B股折扣率的证据

国际投资者因中国经济快速成长而投资A股、H股、B股等中国股票资产。已有研究从硬分割和软分割角度研究了A-H和A-B股折扣率形成原因。本文进一步从国际与国内投资者的价值偏好差异来研究折扣率差异。对1999-2007年的面板数据采用固定效应估计方法,发现在控制其他因素后,折扣率和上市公司的价值变量显著负相关,表明国际投资者偏好价值型的中国股票资产,导致其折扣率偏低。相对信息不对称,价值偏好差异是更重要的资本市场软分割因素。     

我国资源型城市经济转型的理论时机选择与现实操作模式

资源城市如何实现可持续发展这一世界性难题已日趋严峻地摆在我们面前,资源城市的经济转型问题近年来也进入了国家决策视野.由于资源的"不可再生性",资源产业的发展由其储量决定,其整个存亡过程呈"生命曲线"形态,即分为五个阶段,不同阶段其转型成本、风险不同,因此,应把握最佳转型时机,以减少转型给资源型城市发展带来的负面影响.     

基于雾霾治理视角的产业结构与能源结构调整研究

近年来,我国空气质量日渐恶化,雾霾天气呈频发趋势,危害不断加重。要想治理雾霾,必须有针对性地调整产业结构和能源结构。本文着重分析了不合理的产业结构和能源结构对雾霾天气形成的影响,认为从根本上解决雾霾需要在产业结构转型升级的基础上,积极推进低碳发展,优化能源结构,并从雾霾治理的视角分别对产业结构与能源结构的调整提出了若干政策建议。     

公司治理结构与多元化投资——来自中国上市公司的经验证据

对2008年我国上市公司公司治理结构对多元化投资的影响进行实证研究后发现:股权集中度与多元化程度显著负相关;国有股比例和法人股比例与多元化程度负相关,但不显著。董事会规模、独立董事人数和两职合一状态与多元化投资不具有显著的相关性;董事会会议次数与多元化程度显著正相关;高级管理层持股比例与多元化程度相关性不显著;资产负债率与多元化程度正相关,但不显著。     

Financial market frictions and diversification

We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that large, diversified publicly traded firms increase their scope during times of high external capital market frictions, such as in the recent Great Recession. Moreover, during these times firms diversify their investment needs and cash flow across industries. We also find similar phenomena outside diversified public firms. Examining the mergers and acquisitions activity of stand-alone and diversified private firms, we uncover similar patterns. In aggregate data, we find that the composition of mergers shifts from focused to diversifying and back with changes in external market conditions. Our evidence is broadly consistent with the notion that firms diversify their scope in response to tightening in external capital markets.     

Excess returns and international diversification: The Scandinavian view

The paper discusses excess returns within four Scandinavian stock markets and also how Scandinavian returns are related to the returns in non-Scandinavian markets. Some underlying reasons for the observed economically weak relationships between markets are reviewed. Moreover, some reasons why the interrelationships between markets can be expected to increase in the future are provided.     

重大资产重组核准制效果研究

2014年,证监会对《上市公司重大资产重组管理办法》进行了第二次修订,修订前上市公司所有的重大资产重组都需要得到证监会核准,而修订后现金支付的重大资产重组不再需要证监会核准。本文以此次修订作为准自然实验,选取2007—2018年中国A股上市公司作为收购方参与的重大资产重组事件为研究样本,研究原本需要核准但因政策放松不再需要核准的重大资产重组事件的绩效变化。研究发现,相较于对照组,放松核准后的重大资产重组虽然数量显著提高,但绩效有所降低并具有异质性:放松核准后重组绩效下降的情况在收购方第二类代理问题较严重和成长性较低的重组事件中更加显著,而对于成长性较高的企业,放松核准却会提高其重组绩效。进一步研究表明,放松核准后,收购方进行跨省和跨国重组的可能性增大,但这两种重组的绩效降低;放松核准还增加了重组后商誉减值的可能性。本文结论表明,放松核准可以有效地激发市场活力,但依然存在相关因素影响市场化改革。