税务筹划、公司治理与股价暴跌风险

以我国2011~2013年沪市A股数据为样本,研究税务筹划程度与股价暴跌风险之间的关系,结果显示,随着税务筹划程度的提高,个股股价暴跌的风险显著增加。进一步发现,税务筹划对股价暴跌风险的影响在治理水平较低的公司中更加显著。这一结论有助于分析我国个股暴跌频繁的深层原因,同时提示企业所有者既要权衡税务筹划的边际收益与边际成本,还要提高公司治理水平,防止管理层产生机会主义行为,以有效预防股价暴跌的风险。     

股市崩盘冲击会影响个股暴跌风险吗？

本文以自然实验的方法研究股市崩盘冲击与个股暴跌风险之间是否存在因果关系。利用2008年的A股市场崩盘事件以及国内特殊的IPO暂停制度作为自然实验的设计机会,本文发现:(1)在股市崩盘中上市的新股相比较于市场逐渐恢复后上市的新股具有显著更低的暴跌风险;(2)进一步研究表明,当再次发生股市崩盘时,上述显著的差异进一步强化。稳健的研究结果证明股市崩盘冲击会显著降低个股暴跌风险。     

杠杆交易、机构投资者行为与资产价格暴跌风险——来自股票市场的证据

近年来,高杠杆交易行为引发多方关注,其对资产价格以及投资者行为的影响值得深入研究。本文利用股票市场制度建设提供的外生冲击,采用倾向得分匹配—多期倍差法(PSM-DID),研究杠杆交易对机构投资者结构以及资产价格暴跌风险的影响。通过控制不同层面的影响因素,本文实证发现,杠杆交易会显著增加股价的暴跌风险;机构投资者,尤其是以公募基金为代表的机构投资者,会显著降低杠杆交易标的持有量,且融资做多越活跃的交易标的,这种投资规避行为越明显;同时,机构投资者的规避行为与股价暴跌风险显著相关。本文的结论对于加强杠杆交易监管和投资策略制定,具有重要的借鉴意义。     

股价暴跌、投资者认知与信息透明度

本文基于Merton(1987)不完全信息市场下的认知风险假说,研究了我国股票市场个股股价暴跌与投资者认知风险的关系。我们发现投资者认知风险越大,股价暴跌的风险越大,股价暴跌造成的损失也越大。进一步我们研究了影响认知风险的因素,发现在控制住经营风险和异质信念后,信息披露不透明是影响投资者认知风险的重要因素。稳健性检验的结果表明我们的发现并不受所使用的数据频率的影响。     

过度投资对企业股价崩盘风险的影响研究——基于货币政策视角

本文从货币政策角度出发探讨过度投资与股价风险之间的关系,采用面板OLS模型进行回归.研究发现:(1)过度投资会累积资产泡沫,在坏消息或者不良预期下加大股价崩盘风险;(2)紧缩的货币政策可以通过改善公司治理抑制过度投资以及非效率投资,通过过度投资起到反向调节效应,降低股价崩盘风险.本文将货币政策与过度投资和股价风险放在一个框架中展开研究,宏微观相结合,可以为金融市场去杠杆化、加强宏观审慎监管、防范金融风险提供参考.     

个人大股东持股与股价暴跌风险

本文以2007至2016年中国A股上市公司为样本,考察了个人大股东持股与股价暴跌风险之间的关系。研究发现:第一,个人大股东持股比例的增加能够显著降低公司未来股价暴跌风险。这一结论在剔除了个人大股东中董监高持股数量、进行内生性处理、更换不同统计检验方法后依然成立。第二,个人大股东持股对公司管理层监督的效果并不明显,个人大股东持股比例的增加对于公司应计盈余管理、真实盈余管理、投资效率、过度投资等可能影响公司股价暴跌风险的经营指标并没有显著影响。第三,个人大股东的持股加强了公司股权制衡的力度,进而显著降低了公司股价暴跌风险。股权制衡机制解释了大股东持股对股价暴跌风险一半以上的影响。本文的研究对于全面认识个人大股东在资本市场中发挥的作用,促进股市平稳发展具有重要的理论和现实意义。     

企业过度投资与股价崩盘风险

实体经济的过热投资是否会导致股市出现“泡沫”进而引发股市的暴跌风险是当前学术界和实务界关注的一个焦点问题。本文以2004-2013年A股上市公司为样本,从微观层面考察企业过度投资对股价崩盘风险的影响,并从“代理理论”和“管理者过度自信”两种视角分析其背后的作用机理。研究结果表明:(1)企业过度投资显著加剧了股价未来的崩盘风险;(2)股东与经理人之间的代理冲突而非管理者过度自信是导致二者正相关的主要原因;(3)进一步的研究发现,企业过度投资对未来股价崩盘风险的影响具有长期性,且其对股价未来的暴涨不具有预测能力。本文的研究结论不仅丰富了股价崩盘风险、过度投资等相关领域的文献,对于如何抑制实体经济投资过热以降低股价崩盘风险、维护金融市场稳定也具有重要的参考价值。     

股市资金面和持股结构对股票流动性的影响 ——基于深市订单深度和买卖价差的实证检验

股市资金面和持股结构能否对个股流动性产生影响?本文基于2015年股市异常波动期间深市上市公司样本,构建固定效应面板模型,实证检验了股市资金面水平和持股结构对个股订单深度和买卖价差的影响,旨在进一步揭示股票市场整体流动性与微观个股流动性间的关系,为监管部门提供政策依据.分析结果表明:第一,股市资金面充裕水平对个股流动性有全局性正向影响,股票市场整体的流动性越高,越有助于提升个股的流动性;第二,持股结构这一异质性因素对个股流动性有负向影响,持股集中度越高、股东数越少,个股的流动性则相对越差,也意味着股价信息含量可能更低.这为管理层掩饰坏消息从而加大股价崩盘风险提供了新的补充解释.本文研究结论有助于理解股票流动性变化的原因,丰富了相关领域研究,并为监管部门制定相关政策、维护市场稳定运行提供了新视角.     

开放式基金对股价波动影响的实证分析

开放式基金的投资行为对股价产生的影响一直是学术界关注的焦点.对开放式基金持有个股的比重与个股股价波动的关系进行实证检验的结果表明,开放式基金持有个股的比重与个股的股价波动呈显著的正相关性,即开放式基金持有个股的比重越高,该股票的波动越大.     

货币政策与银行风险承担——基于银行审慎监管的角度

本文采用2003~2013年中国14家上市商业银行的面板数据,建立GMM广义矩估计模型,考察了货币政策对银行风险承担的影响,以及该风险承担渠道受银行审慎监管影响的异质性。研究发现:(1)宽松的货币政策会增加商业银行风险承担。(2)资本充足率、杠杆率和拨备覆盖率与风险资产占比衡量的银行风险承担成负相关关系,流动性比例与其比成正相关关系。(3)资本充足率、杠杆率、拨备覆盖率、流动性比例等越高(监管力度越大)的银行,货币政策对其风险承担影响的敏感性越弱,其中前三者削弱货币政策对风险承担的增加,而流动性监管削弱货币政策对风险承担的降低。     

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.