衍生产品使用对公司价值和业绩影响的实证检验

本文在回顾企业使用衍生产品相关理论的基础上，分析了中国上市公司使用衍生产品现状，并以深沪两市有色金属加工或生产行业上市公司为研究样本，实证检验中国上市公司使用衍生产品进行风险管理是否提高了公司价值和业绩，结果发现中国企业使用衍生产品并没有像西方理论所认为的那样可以提升公司价值，其原因在于国内企业使用衍生产品的负面影响抵消了其正面作用，所以无法起到提升公司价值的作用。在此基础上，文章提出了相关的政策建议。     

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

This article presents joint econometric analysis of interest rate risk, issuer‐specific risk (credit risk) and bond‐specific risk (liquidity risk) in a reduced‐form framework. We estimate issuer‐specific and bond‐specific risk from corporate bond data in the German market. We find that bond‐specific risk plays a crucial role in the pricing of corporate bonds. We observe substantial differences between different bonds with respect to the relative influence of issuer‐specific vs. bond‐specific spread on the level and the volatility of the total spread. Issuer‐specific risk exhibits strong autocorrelation and a strong impact of weekday effects, the level of the risk‐free term structure and the debt to value ratio. Moreover, we can observe some impact of the stock market volatility, the respective stock's return and the distance to default. For the bond‐specific risk we find strong autocorrelation, some impact of the stock market index, the stock market volatility, weekday effects and monthly effects as well as a very weak impact of the risk‐free term structure and the specific stock's return. Altogether, the determinants of the spread components vary strongly between different bonds/issuers.     

Determinants of the Dollar Value of Default Risk: A Put Option Perspective

This study uses the option valuation framework to identify andinvestigate the factors affecting the cross-sectional difference inindividual corporate bonds' default risk. The dollar value of defaultrisk (DVDR) is measured by subtracting the observed trading price of arisky corporate bond from a Cox-Ingersoll-Ross model value of acorresponding pseudo-default-free bond. From an option pricingperspective, DVDR can be modeled as the value of a put option on thefirm's risky assets. The DVDR of an individual investment-grade corporatebond is hypothesized to be related to the bond rating, time to maturity ofthe bond, size of the issuing firm, volatility of firm value, and dividendyield of the issuing firm. In the case of the first four factors, theempirical results are consistent with the predictions from a put optionperspective. There is a mixed relationship between DVDR and dividendyield, however, which provides a weaker support for the prediction of theoption valuation model. Such a mixed relationship documents the importantrole that dividend payments play in signaling a firm's future earnings andreducing overall agency costs. ["In particular, the formula can be usedto derive the discount that should be applied to a corporate bond becauseof the possibility of default." (Black and Scholes (1973), Journal of Political Economy, Abstract, p. 637.)]     

Corporate Financial Control Mechanisms and Firm Performance: The Case of Value-Based Management Systems

Abstract:  We examine the performance of 84 firms that adopt value-based management (VBM) systems during the period 1984-1997. The typical firm significantly improves matched-firm-adjusted residual income after adopting VBM. This improvement persists for the five post-adoption years studied. After controlling for possible sample bias, we find that large firms show less improvement than small firms. We find a negative relation between tying compensation to VBM and post-adoption performance. We also find that firms reduce capital expenditures following VBM adoption, but that the reductions in spending do not differ based on the firms' growth opportunities. Overall, the evidence suggests that VBM improves economic performance and the efficient use of capital.     

A Relational Theory of Risk: a Case Study of the Asian Longhorned Beetle Infestation in Worcester,MA

Abstract

The rise of globalization and global increases in temperature have prompted the spread of invasive species, which poses a major threat to the ecosystem benefits provided by urban forests. Stakeholders such as urban residents, policy-makers, and forestry industry professionals deem these risks differently because they place value on threatened goods and services at different spatial and temporal scales. This article will use the frameworks of relational risk theory and relational place-making to connect ‘risk objects’ and ‘objects at risk’ to better understand how relationships of risk shape responses to threats to the environment. The data in this study comes from Worcester, MA, where discovery of the Asian Longhorned Beetle prompted the United States Department of Agriculture to remove 35,000 trees from streets and backyards in the quarantine zone. The three different stakeholder groups that were targeted for data collection were green industry representatives, government decision makers, and residents. Green industry representatives, decision makers, and residents were interviewed while additional residents responded to a survey. The results showed that greater understanding of the different objects and places at risk removed misconceptions between different stakeholders. Understanding is increased when each stakeholder recognizes the different spatial scales of the objects at risk. This improvement of transparency can lead to better communication of the variety of risks posed by invasive species and a faster and more unified response to the threats from invasive species or other natural disasters.     

The Stock Market and the Financing of Corporate Growth in Africa: The Case of Ghana

This paper examines corporate financing patterns in Ghana, in particular, whether listed Ghanaian corporations make considerable use of the stock market to finance their growth. The paper also examines econometrically the effect of stock market development on the importance of debt relative to external equity in the balance sheet of Ghanaian firms. The results show that the average listed Ghanaian firm finances its growth mainly from short-term debt. The stock market, however, is the most important source of longterm external finance. Stock market development tends to shift the financial structure of Ghanaian firms toward more equity and less debt. Overall, the evidence suggests that the stock market is a surprisingly important source of finance for funding corporate growth.     

基于MM定理的深化扩展研究——流通权分割影响公司价值吗

以我国的股权分置为原型,本文抽象出流通权分割结构是否影响公司价值的问题。以MM定理Ⅰ的假设为基础,运用投资组合复制法论证了企业价值与流通权分割结构无关。本文同时研究扩充了MM定理Ⅱ。同时认为,资产定价的流动性效应和本文的研究结论本质上是一致的,并应用这一最新的理论框架分析了我国的股份分置及改革问题。进一步讲,本文提出的公司价值四维模型很好地回答了股权分置对股市定价问题的影响机理。     

The Effect of Interest Rates on the Value of Corporate Assets and the Risk Premia of Corporate Debt

A growing number of papers have applied option pricing techniques to the valuation of risky debt. This paper deals directly with how a firm's relationship to interest rates affects its debt. A sequential binomial model is used to price the zero-coupon bonds of a firm whose value is related to interest rate changes.The results show that the strength of the relationship between firm value and interest rates (interest-rate risk) can have a significant impact on the value of a firm's debt. The model produces its most powerful results when the volatility of firm value is high and the term structure has a steep (negative or positive) slope; there is no impact when the term structure is flat. Our results indicate that empirical studies of yield spreads may have severe shortcomings if the relationship of firm value to interest rate changes is ignored.     

中国能源海外投资风险管理实证研究——以南苏丹石油投资为例

中国“21世纪海上丝绸之路”是全球政治、贸易新格局下改革开放的伟大构想,其核心价值在于通道价值和战略安全。能源战略安全是中国资本输出优先目标选择之一,而风险管理是中国能源海外投资亟待解决的问题。通过模糊综合评价法对南苏丹进行风险实证检验,着重建立风险评估相对科学的指标体系和定量评价方法以及防范风险政策框架。     

Enterprise risk management and firm performance: Role of the risk committee

In recent years, there have been increasing efforts in the corporate world to invest in risk management and governance processes. In this paper, we examine the impact of Enterprise Risk Management (ERM) on firm performance by examining whether firm performance is strengthened or weakened by the establishment of a board-level risk committee (BLRC), an important governance mechanism that oversees ERM processes. Based on 260 observations from FTSE350 listed firms in the UK during 2012–2015, we find the effectiveness of ERM significantly and positively affects firm performance. We also find strong BLRC governance complements this relationship and increases the firm performance effects of ERM. Our findings suggest the mere formation of a BLRC is not a panacea for ERM oversight; however, existence of a structurally strong BLRC is crucial for effective ERM governance.     

Forecasts in IPO Prospectuses: The Effect of Corporate Governance on Earnings Management

Prior research suggests that managers may use earnings management to meet voluntary earnings forecasts. We document the extent of earnings management undertaken within Canadian Initial Public Offerings (IPOs) and study the extent to which companies with better corporate governance systems are less likely to use earnings management to achieve their earnings forecasts. In addition, we test other factors that differentiate forecasting from non‐forecasting firms, and assess the impact of forecasting and corporate governance on future cash flow prediction. We find that firms with better corporate governance are less likely to include a voluntary earnings forecast in their IPO prospectus. In addition, we find that while IPO firms use accruals management to meet forecasts; the informativeness of the discretionary accruals depends on whether or not the firm would have missed its forecast without the use of discretionary accruals.     

论《公司金融》与《财务管理》本科教学差异——内容侧重和教学法的选择

《公司金融》与《财务管理》在目前的本科课程教学中往往混为一谈,侧重点不清,让学生无所适从。基于我国的现状,《公司金融》课程在理论讲授上应该注重与金融资产定价和金融市场学理论的结合,要注重宏观经济与公司治理环境的分析。而实务方面则更应强调对财务资料运用计量经济学方法检验与分析。《财务管理》课程则更应重视案例分析与启发式教学,并可大力推进任务驱动教学法与全英教学模式。     

试论我国城镇就业风险的监测与管理

国际金融危机对实体经济产生的负面影响越来越大,中国的城镇就业风险也随之加大。因此,有必要进行城镇就业风险研究,帮助政府把握各项城镇就业风险因素的影响程度,制定相应政策并实施城镇就业风险管理。     

银行在公司控制权市场中的作用研究——来自中国上市公司的证据

本文以我国上市公司中26例最为接近市场收购行为的要约收购作为样本,实证检验了我国银行贷款强度对公司成为收购目标的可能性和收购成功率的影响。研究发现,银行贷款强度与公司成为收购目标的可能性和收购成功率之间呈显著负相关关系。这一结果的政策含义在于,随着我国资本市场的完善,银行可以通过控制权市场加强对公司的治理。     

Risk reporting: A study of risk disclosures in the annual reports of UK companies

The concepts of risk and risk management have received considerable attention lately, but this has yet to be reflected in empirical research examining firms’ risk reporting practices. This study seeks to address this gap in the literature and explores risk disclosures within a sample of 79 UK company annual reports using content analysis. A significant association is found between the number of risk disclosures and company size. Similarly a significant association is found between the number of risk disclosures and level of environmental risk as measured by Innovest EcoValue`21™ Ratings. However, no association is found between the number of risk disclosures and five other measures of risk: gearing ratio, asset cover, quiscore, book to market value of equity and beta factor. The paper also discusses the nature of the risk disclosures made by the sample companies specifically examining their time orientation, whether they are monetarily quantified and if good or bad risk news is disclosed. It was uncommon to find monetary assessments of risk information, but companies did exhibit a willingness to disclose forward-looking risk information. Overall the dominance of statements of general risk management policy and a lack of coherence in the risk narratives implies that a risk information gap exists and consequently stakeholders are unable to adequately assess the risk profile of a company.     

A comparative study of stakeholder risk perception and risk communication in Europe: a bovine spongiform encephalopathy case study

The ‘Transmissible Spongiform Encephalopathy (TSE) Roadmap’ was published by the European Commission on 15 July 2005. The TSE Roadmap proposes the relaxation of bovine spongiform encephalopathy (BSE) measures in the short, medium and long term. According to the Roadmap, any relaxation of BSE measures following the scientific assessment should be initiated by an open discussion with all stakeholders and supported by a strong communication strategy. This paper discusses the risk perception, risk communication and risk management of TSEs in Europe, exemplified by the TSE Roadmap. The main conclusion is that in general, BSE is no longer a ‘hot’ topic for stakeholders, but there are slight differences between countries with respect to specific measures. Another important conclusion is that the TSE Roadmap is a very effective tool for risk communication with stakeholders.     

The Effect of Managerial Litigation Risk on Earnings Warnings: Evidence from a Natural Experiment

We examine the causal effect of managerial litigation risk on managers’ disclosure of earnings warnings in the face of large earnings shortfalls. Exploring the staggered adoption of universal demand (UD) laws as an exogenous decrease in litigation risk, we find that the adoption leads to a decrease in managers’ issuance of earnings warnings, especially among firms facing a higher litigation risk prior to the adoption. In contrast, we find no change in managers’ tendency to alert investors of impending large positive earnings surprises. Collectively, our results provide causal evidence that higher litigation risk incentivizes managers to issue more earnings warnings. Our results differ from Bourveau et al.’s finding of an increase in the frequency of management earnings forecasts after the adoption of UD laws. We reconcile our findings with theirs by demonstrating that the effect of adopting UD laws on management earnings forecasts depends critically on forecast horizon: The adoption increases long-horizon forecasts, but decreases short-horizon forecasts.     

Voluntary Listing Requirements and Corporate Performance: The Case of the Dey Report and Canadian Firms

We investigate the determinants and consequences of compliance with the Dey Committee recommendations encouraging greater board independence in Canada. Companies that acted on this recommendation appear to have done so to improve their performance and not for cosmetic purposes. Poorly performing firms that modified their boards experienced a greater increase in performance compared to those that did not. Overall, it appears that the primary function of the Dey Report was to refocus firms' attention on the quality of board monitoring, particularly those with poor relative performance.     

The Role of Risk Management and Governance in Determining Audit Demand

Abstract:  Most prior research into audit fees has been based on a theoretical model which treats audit fees as the by-product of a production function ignoring potential demand forces that may drive the level of the audit fee. Inspired by prior 'anomalous' results, we take a different perspective by focusing on demand factors that may affect the level of the audit fee. Using data collected from a sample of listed companies in Belgium, we consider both disclosures about risk and risk management and actual decisions about corporate governance to examine whether audit fees are higher when these demand forces exist. In general, we expect that external auditing will increase in situations where there are multiple stakeholders with individual risk profiles who can shift some of the cost of monitoring to other stakeholders. Consistent with our theory and expectations, our results indicate that audit fees are higher when a company has an audit committee, discloses a relatively high level of financial risk management, and has a larger proportion of independent Board Members. Audit fees are lower when a company discloses a relatively high level of compliance risk management. The latter result indicates that controls are only complementary as long as they are voluntary, as mandated controls act as substitutes for non-mandated controls.     

表外业务风险管理研究

最近十多年来,一个突出现象就是表外业务迅速发展,包括表外业务涉及的范围、规模、数量、服务、利润。表外业务收入在总收入中占比突飞猛进,表外业务已成为国内许多商业银行利润来源的重中之重。但由于我国商业银行表外业务起步较晚,在表外业务风险管理方面与西方相比有较大差距,这影响了我国商业银行的国际竞争力。本文以中国建设银行的为例,主要研究表外业务风险管理的现状,问题,并针对现状提出一些建议。