Accounting Measurement and Capital Markets Research

Numerous controversies — from goodwill amortisation to the appropriateness of fair value accounting — illustrate both the importance of measurement questions, and the difficulty often encountered in devising accounting measurement solutions that are widely accepted. This paper discusses what might be learned about accounting measurement questions from the perspective of capital markets-based research. While this field of inquiry is not well developed, there are indications that further research from the capital markets perspective could provide useful conclusions about accounting measurement.     

Integrating Sustainability Into Capital Markets: Bloomberg LP And ESG's Quantitative Legitimacy

The rise in prominence of environmental, social, and governance data has been driven in large part by a growing interest among investors who seek to gain an edge through the incorporation of such data in their investment decision‐making. There are, however, several significant obstacles to the integration of ESG data into mainstream investing analysis. Perhaps most important, while finance today is a fundamentally quantitative discipline, ESG is often qualitative. Moreover, the ESG data that is available is incomplete and inconsistent, due largely to a reliance on voluntary reporting by individual companies. In short, ESG has not yet earned its quantitative legitimacy in the eyes of the investor community. Nevertheless, recent work in the area of stranded asset values has provided Bloomberg LP, a leading provider of financial data and analytics, an opportunity to “bridge theory and practice” by translating the stranded assets framework into a first‐cut valuation tool designed for mainstream financial analysts. The tool offers a quantitative introduction to an ESG issue that the authors believe will eventually become an important focus of many investment decision‐makers' analysis. While the tool continues to evolve in analytical sophistication, the authors “preview” it here in its early form as one step towards Bloomberg's broader vision of “sustainable finance,” and the company's role in supporting the quantitative maturation of ESG through the twin engines of standardization and disclosure.     

The Bright Side of Internal Capital Markets

We examine capital expenditure decisions of discount firms in response to Wal-Mart's entry into their markets. Before Wal-Mart's entry, focused incumbents and discount divisions of diversified incumbents are similar in size, geographic dispersion, and firm debt levels. However, discount divisions of diversified firms are significantly more productive. After Wal-Mart's entry, diversified firms are quicker to either "exit" the discount business or "stay and fight." Also, their capital expenditures are more sensitive to the productivity of their discount business. Internal capital markets function well, as transfers are away from the worsening discount divisions. It appears diversified firms make better investment decisions.     

资本市场与资产评估

一、资产评估对我国资本市场持续健康发展的作用 资产评估作为一种专业化中介服务行业,服务于诸多重要经济领域和经济活动．在规范交易行为、降低交易成本、维护经济秩序、保障金融安全、促进经济发展等方面发挥着十分重要的作用。     

摩根大通看好中国资本市场

2003年,摩根大通在股本资本市场仅排名第十一,去年才刚刚挤进前十名的位置,当时有部分评论家认为摩根大通并未采取行之有效的中国策略.     

把货币放到资本市场去

留易顺差导致外汇储备增加，使货币投放无法抑制。过去的货币投放是央行根据经济增长需要主动安排的，但是现在是根据外汇流入的数量．包括外国直接投资、贸易顺差和大量的热钱。货币政策从主动性变成了被动性，其中的重要原因就是贸易顺差。如果贸易顺差是可控的．在未来相当一段时间内不会持续增长．那我们现在面临的矛盾就是短期问题．用对冲操作就可以应付。但我认为这个观点有很大问题。     

商业银行经济资本管理探讨

文章探讨现代商业银行的经济资本问题。     

中国资本市场:2008回顾与2009展望

2008年,全球经济在美国次贷危机的冲击下经历了一个历史上少见的大波动;中国经济因为迅速提高的外向程度,也受到这个危机的显著冲击。作为宏观经济的晴雨表,中国资本市场的波动也是中国资本市场发展至今所少见的。对于市场     

国际资本市场监管的最新理论

近十余年来，全球资本市场发展迅速，庞大的投机资金在全球资本市场的流动加剧了世界金融市场的动荡，尤其是给金融体系脆弱的广大发展中国家带来了具有严重破坏性的后果或者威胁。全球资本市场监管体系的建立已经提上了各国政府的议事日程。……     

A Multinational Perspective on Capital Structure Choice and Internal Capital Markets

This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three‐quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.     

International Capital Markets and Foreign Exchange Risk

Relations between foreign exchange risk premia, exchange ratevolatility, and the volatilities of the pricing kernels forthe underlying currencies, are derived under the assumptionof integrated capital markets. As predicted, the volatilityof exchange rates is significantly associated with the estimatedvolatility of the relevant pricing kernels, and foreign exchangerisk premia are significantly related to both the estimatedvolatility of the pricing kernels and the volatility of exchangerates. The estimated foreign exchange risk premia mostly satisfyFama’s (1984) necessary conditions for explaining theforward premium puzzle, but the puzzle remains in several caseseven after taking account of the pricing kernel volatilities.     

When is Goodwill not Goodwill? The Accounting and Taxation Implications

Courts have encountered perplexing questions about the definition and valuation of goodwill which have significant tax implications. This paper compares the treatment of goodwill from accounting and taxation perspectives. It examines two recent Australian court decisions concerned with the concept of goodwill and finds there are still several areas of contention that both cases failed to settle.     

Global Harmonisation of Accounting Standards: What Research into Capital Markets Tells Us

There is strong evidence that current levels of accounting diversity are reflected in various dimensions of sharemarket activity. However, there is little available research to help us assess the potential effects of accounting hamonisation on the ASX and its participants. Moreover, the available indications suggest that the answers will not be simple, and not always in accord with some of the arguments that are heard in the hamonisation debate.     

次贷危机期间国际资本市场传染效应研究

本文分析了九个国家(地区)的资本市场指数在次贷危机期间的传染效应。研究发现,危机前,美国对除中国外的7国(地区)在危机发生时冲击力更大,资本市场出现单向传染效应。在金融全球化背景下,由于国际金融危机交叉传染的存在,通过脉冲响应函数的检验揭示了危机传染的动态效应。在危机期内,美国次贷危机对其他国家市场的影响强度迅速增大,持续时间比传统过程相对延长。本文还通过高低波动率机制的比例系数伽玛检测了这些国家(地区)资本市场间的转移传染和纯传染效应。     

商誉减值测试中营运资金预测问题探讨

注册会计师年报审计时的一大难题——商誉减值测试,由于涉及管理层主观重大判断,测试涉及的参数较多,复杂程度较高。在预测未来现金流时,营运资金的预测对评估对象的价值影响很大,在现金流折现模型,营运资金的预测是重要的指标之一。对营运资金的预测方法较多,而且存在用营运资金预测来调节评估对象的评估值,存在较大的随意性,直接影响到商誉是否减值,及减值金额的大小。本文通过对运资金的分类对企业的各类营运资金进行预测,从而进一步测试出商誉是否减值。     

Learning about Internal Capital Markets from Corporate Spin-offs

We examine the investment behavior of firms before and after being spun off from their parent companies. Their investment after the spin-off is significantly more sensitive to measures of investment opportunities (e.g., industry Tobin's Q or industry investment) than it is before the spin-off. Spin-offs tend to cut investment in low Q industries and increase investment in high Q industries. These changes are observed primarily in spin-offs of firms in industries unrelated to the parents' industries and in spin-offs where the stock market reacts favorably to the spin-off announcement. Our findings suggest that spin-offs may improve the allocation of capital.     

The Choice of Private Versus Public Capital Markets: Evidence from Privatizations

We examine the impact of political, institutional, and economic factors on the choice between selling a state‐owned enterprise in the public capital market through a share issue privatization (SIP) and selling it in the private capital market in an asset sale. SIPs are more likely in less developed capital markets, for more profitable state‐owned enterprises, and where there are more protections of minority shareholders. Asset sales are more likely when there is less state control of the economy and when the firm is smaller. Our results suggest the importance of privatization activities in developing the equity markets of privatizing countries.     

The Capital Tax and Welfare Effects from Asymmetric Information on Equity Markets

This paper explores the implications of informational asymmetries between domestic and foreign investors for optimal capital tax rates and welfare. It adopts a model in which asymmetric information implies a home bias in equity. The paper finds that asymmetric information may raise capital tax rates by reducing the marginal cost of taxation. Furthermore, it shows that investors may gain from informational asymmetries. Although asymmetric information increases the uncertainty as perceived by investors, it may also increase tax rates and allow for a higher consumption of public goods. This reflects that asymmetric information may reduce the distortionary effects of competition among governments.