Ratings Competition in the CMBS Market

We consider the relationship between competition among credit rating agencies and the ratings of commercial mortgage‐backed securities (CMBS) using data from 2002 to 2007. We characterize competition using Fitch's aggregate share of CMBS ratings and a measure of Fitch's deal‐specific market share constructed as the probability of Fitch being hired for a specific transaction. Controlling for deal characteristics, we find that subordination levels were lower when Fitch's aggregate and deal‐specific market shares were higher, which suggests that ratings competition yielded less stringent ratings when Fitch was a more significant competitor, although this effect dissipates when Fitch's market shares were high.     

Reputation,Information, and Herding in Credit Ratings: Evidence from CMBS

The Journal of Real Estate Finance and Economics - We find strong evidence of herding behavior among credit rating agencies (CRAs) in the CMBS market. CRAs are more likely to change their rating if...     

投资者情绪、资产证券化与公允价值信息含量——来自A股市场PE公司IPO核准公告的经验证据

本文基于我国企业会计准则国际趋同背景,综合运用价值相关性理论和投资者情绪理论,以2007-2011年持有PE公司股权的A股上市公司为样本,实证检验PE公司IPO核准公告的信息含量和IPO公允价值的价值相关性。研究发现,IPO核准公告具有显著的信息含量,而且与IPO公允价值显著正相关。同时,投资者情绪对IPO核准公告和IPO公允价值之价值相关性有显著的正向影响。但是,机构投资者对IPO核准公告信息含量的影响并不显著。本文的研究结论对我国全面引入国际趋同的公允价值计量规范之经济后果评估,以及投资者情绪和机构投资者在传递市场有效信息中的作用,具有重要的政策参考意义。     

The Value of Market Information in Banking Supervision: Evidence from Italy

We examine the potential use of signals arising from financial markets as a complement to the information set available to banking supervisors. We provide empirical evidence on Italian banks, using a unique dataset matching accounting ratios, market variables, and supervisory ratings. To verify what type of signal they are able to convey, we analyze the behavior of four equity-based indicators for the Italian banks listed on the Milan stock exchange. We then investigate whether the same indicators provide additional information for supervisors. Econometric results confirm the informative content of market variables and their complementarity with supervisory information.JEL Classification: Bank, banking supervision, early warning, market discipline     

从价值创造到市值管理:价值管理理论变迁研究评述

本文基于企业经营目标对价值管理理论的总体影响,系统梳理了价值管理理论从股东价值管理、利益相关者价值管理到市值管理的变迁过程。作者认为,企业经营目标不但决定了价值管理理论的性质和结构,而且对其从价值创造、价值实现到价值经营的研究路径变迁产生了重要影响。随着价值管理研究路径的融合,在未来研究中完善理论框架,关注管理模式的有效性检验,结合宏观经济、企业组织和公司金融的研究成果将是该领域深化研究的方向。     

The Market Value of Corporate Votes: Theory and Evidence from Option Prices

This paper proposes a new method using option prices to estimate the market value of the shareholder voting rights associated with a stock. The method consists of synthesizing a nonvoting share using put‐call parity, and comparing its price to that of the underlying stock. Empirically, we find this measure of the value of voting rights to be positive and increasing in the time to expiration of synthetic stocks. The measure also increases around special shareholder meetings, periods of hedge fund activism, and M&A events. The method is likely useful in studies of corporate control and also has asset pricing implications.     

Efficiency and Market Power Gains in Bank Megamergers: Evidence from Value Line Forecasts

This paper examines whether gains in bank megamergers occur due to efficiency improvements or the exercise of market power using financial statement line item forecasts from Value Line to infer the effect of the merger on prices and quantities. The average megamerger is associated with cost‐efficiency improvements. In the cross‐section, efficiency gains are limited to market expansion mergers while market overlap mergers and Too‐Big‐To‐Fail (TBTF) mergers exhibit monopoly gains. Efficiency gains dissipate when the resulting megabank size exceeds $150 billion in assets or 1.5% of gross domestic product indicating that banks thought to be TBTF are likely to be “Too‐Big‐To‐Be‐Efficient.”     

政府补助、研发支出与市场价值——来自创业板高新技术企业的经验证据

基于政治关联视角,本文以创业板高新技术企业为研究对象,讨论了政府补助、研发支出和市场价值三者的关系。研究发现,创业板的高新技术企业并没有有效地将政府给予的资源投入到技术研发上,政治关联尽管能给企业带来更多的政府补助,但却反而削弱了企业的研发创新能力,未能带来企业市场价值的提高,政府资源的配置存在严重的失效。     

资产证券化：我国资本市场的发展方向

资产证券化在20世纪70年代产生后，经过近40年的发展，目前已经成为全球发展最为迅速的金融产品。本文从资产证券化的内涵出发，通过研究资产证券化发展的国际经验，结合我国的实际情况，对阻碍我国资产证券化发展的原因进行了探讨，并从发行者、投资者以及中介机构等角度分析了我国发展资产证券化产品的必然性。     

Securitization: The Transformation of Illiquid Financial Assets into Liquid Capital Market Securities Examples from the European Market

Since the benefits a firm can derive from securitization are universal, the discussion of a market bounded by national borders is somewhat artificial unless the focus is on constraints particular to the country which promote or inhibit the use of securitization. With the exception of the United Kingdom, regulatory constraints have been an important factor in slowing the development of a European market for asset and mortgage backed securities. In addition to the regulatory hurdles, securitization in Europe has been inhibited by segmented corporate bond markets and the relatively slow development of money market savings vehicles for households. Liquidity across credit spectrums has been enhanced since the introduction of the Euro, as has been the competition for savings. European companies are developing the ability to securitize even if the technique is not yet being widely exploited. What is the European market for mortgage and asset backed securities? Does it include the U.S. credit card banks, Citicorp, Chase, MBNA, and First USA that have refinanced U.S. credit card receivables in European currencies and in Euro? Does it include GMAC which has structured Swiss Franc and Euro ABS backed by its U.S. dealer floor plan loans? Does it include Japanese banks that have refinanced Yen denominated leases with Euro and Swiss Franc ABS? Does it include Barclays' issue of $1 billion of ABS backed by sterling credit card receivables? Of course the answer is yes. Markets are defined by both the supply and demand sides. Our analysis focuses on the supply side of the domestic European market.     

公允价值变动列报的市场反应——来自中国上市公司的经验证据

在新会计准则下,上市公司金融资产公允价值的变动需要在不同的位置列报,本文考察了这一改革的市场反应。经验研究表明,金融资产公允价值变动是否进入损益以及不同列报位置,会带来不同的市场反应:市场对于同时在资本公积和利润表下其他综合收益中列报的公允价值变动反应充分,而对于仅列入资本公积的情形则反应不足,对仅计入利润表的情形则会过度反应。本文结论验证了利润表引入综合收益列报的重要性,并为功能锁定假说提供了进一步的经验证据。     

Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.     

Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations

Low-cost deposits and increased balance sheet liquidity raise banks' supply of illiquid loans more than loans easily sold or securitized. We exploit the inability of Fannie Mae and Freddie Mac to purchase jumbo mortgages to identify an exogenous change in liquidity. The volume of jumbo mortgage originations relative to nonjumbo originations increases with bank holdings of liquid assets and decreases with bank deposit costs. This result suggests that the increasing depth of the mortgage secondary market fostered by securitization has reduced the effect of lender's financial condition on credit supply.     

Property Asset Bubbles: Evidence from the Sydney Office Market

The cyclical variation in office construction, vacancies, rents, and values over the last decade has been enormous throughout the world. Reasons advanced for this enormity include prolifigate lenders, egotistical developers, and even rational behavior in the face of uncertainly and long construction periods. Our analysis of the Sydney office market suggests a fourth contributing factor: the failure of investors to understand the workings of property markets. Given the incentives of developers to build when value rises substantially above replacement cost and not to build when value is low relative to replacement cost, the property market has to be mean reverting. We provide direct evidence that Sydney investors did not incorporate mean reversion into their vacancy rate forecasts at the cyclical trough and as a result under valued properties. We provide indirect evidence that mean reversion of cash flows was not incorporated at the cyclical peak and that this triggered excessive construction and vacancies. That is, the Sydney office market in the late 1980s is another example of excess price volatility or an asset price bubble.     

Worrying about the Stock Market: Evidence from Hospital Admissions

Using individual patient records for every hospital in California from 1983 to 2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, and major depression. The effect is nearly instantaneous (within the same day) for psychological conditions, suggesting that anticipation over future consumption directly influences instantaneous utility.     

创造价值是CFO的天职

各位CFO朋友:大家好!接到《新理财》杂志社的约稿已经十多天了,迟迟未能动笔,并非仅仅是些许忙的借口,更主要的是,即将逝去的2011年的确不平坦,让人不知从何处下笔。2011年,全球经济跌宕起伏,扑朔迷离,     

R-Squared and Dividend Payout: Evidence from the Korean Market

The authors investigate R ² and its relationship with dividend payouts in the Korean stock market. R ² is derived from the market model regression. Their results are consistent with the previous literature on corporate governance and dividend payouts: they find that R ² is higher for business group (chaebol) firms and that there is a negative relationship between R ² and dividend payout. However, the relationship is not stronger for the business group firms than for the non-business group firms. The findings elucidate the relationship between R ² and dividend payout policy in the United States.     

审计市场结构与审计质量:来自中国证券市场的经验证据

本文以我国证券市场2004年~2005年的上市公司为研究样本,使用调整后的KS模型估计出的公司操纵性应计利润的绝对值作为审计质量的衡量指标,考察了审计市场结构和审计质量的关系。研究发现在控制了影响审计质量的相关变量之后,市场结构与审计质量存在以下关系:审计市场集中度与审计质量成正相关关系;市场的进入退出壁垒越高,审计质量越高;但审计师的行业专长不但没有提高审计质量,反而在一定程度上降低了审计质量;审计市场的强地域性与审计质量也没有明显的相关关系。