The Importance of Asymmetric Tax Policy and Dangers of Aggregation

Existing tax policies have many complex features that make distinctions across goods, factors, and financial structures that distort economic allocations. Their importance is ignored when tax policy is summarized by an “effective” tax rate. In fact, the losses due to asymmetries are often larger than the losses due to the level of taxation.     

投资者保护与权益资本成本的关系探讨

本文以沪深两市2003年576家上市公司为研究样本，以权益资本成本为因变量，以本文所构建的投资者保护指数为自变量，运用多元回归方法对两者关系进行检验分析。研究发现：投资者保护与权益资本成本呈显著负相关关系，即使在考虑了公司规模、Beta系数、行业影响等因素后，两者之间的负相关关系仍然显著，这就证明我国上市公司虽然整体投资者保护水平不高，但公司之间的保护程度仍有重大差异；我国证券市场上的投资者已经能够在一定程度上区别对待投资者保护水平不同的上市公司。     

Intertemporally Dependent Preferences and the Welfare Cost of Capital Income Taxation

The welfare cost of capital income taxation is analyzed utilizing intertemporally dependent preference operationalized using a variable rate of time preference. It is shown that if households exhibit increasing marginal impatience, then the welfare cost of capital income taxation is inversely related to the elasticity of the rate of time preference with respect to consumption. Therefore, the welfare cost of capital income taxation reported using time additive preferences may not be robust. Numerical examples show that the use of time additive preferences could result in the welfare cost of capital income taxation to be overestimated by as much as 25%.     

Debt vs. Equity and Asymmetric Information: A Review

Recent Nobel Prizes to Akerlof, Spence, and Stiglitz motivate this review of basic concepts and empirical evidence on information asymmetry and the choice of debt vs. equity. We first review the literature that holds investment fixed. Then we review capital structure issues related to the adverse investment selection problem of Myers–Majluf. Finally, we discuss the timing hypothesis of capital structure. Empirical studies do not consistently support one theory of capital structure under information asymmetry over the others. Thus, the review suggests that additional theoretical contributions are needed to help understand and explain findings in the empirical literature.     

Asymmetric Information and the Market Structure of the Venture Capital Industry

In this paper we study a horizontally differentiated market for financial intermediation and develop a simple explanation for concentration in the financial intermediation industry. We show that under asymmetric information, if the demand for funds is not perfectly elastic, the heterogeneity of entrepreneurs in need of financing translates into a barrier to entry. That is, we do not need to resort to learning, weak property rights or exogenous costs of entry to generate this result.     

CEO Risk‐Taking Incentives and the Cost of Equity Capital

In this paper, we show that the sensitivities of an executive's wealth to changes in stock prices (deltas) decrease the implied cost of equity capital while the sensitivities of an executive's wealth to changes in stock volatility (vegas) increase the implied cost of equity capital. Our findings demonstrate that shareholders understand the risks of firms’ future projects as embedded in executive compensation and price these risks into the cost of equity capital accordingly. The findings have strong implications for optimal executive compensation contract design, project evaluation and cost of capital estimation.     

信息不对称、激励与税收征管

税务机关与纳税人之间的信息不对称造成的影响:其一,造成了纳税人的逆向选择;其二,造成了税制的扭曲;其三,加大了税收的征收成本。应采取有力的政策措施减少纳税人与税务机关之间的信息不对称。在信息不对称条件下关联博弈和重复博弈可以有效地激励纳税人诚实纳税。     

股权激励、管理者过度自信与权益资本成本

基于行为金融的视角,从管理者过度自信角度解释了我国股权激励计划实施效果不佳的困惑。实证结果表明,我国实施股权激励计划会在高管过度自信的条件下对上市公司权益资本成本产生影响：股权激励计划的实施提高了上市公司高管过度自信水平;股权激励与高管过度自信的相互作用使得上市公司权益资本成本显著升高。这意味着从管理者过度自信的角度考察股权激励对企业权益资本成本造成的影响,可能会更好地解释股权激励的价值效应。     

股权资本与区域经济增长的内生性实证检验

在Lucas(1988)模型基础上引入金融资本建立内生经济增长分析框架,研究分析表征区域股票市场发展的两个变量(股权资本和股东权益)对经济增长的影响,并重点强调对内生性问题的分析。借助省级面板数据进行实证检验后发现,经济增长动力的地区差异十分明显,股权资本对经济增长的贡献不显著。     

内部控制报告与权益资本成本的关系研究

以2007～2009年沪深两市A股上市公司为研究样本,基于信息披露能够缓解信息不对称进而降低权益资本成本的分析检验了内部控制报告披露与企业权益资本成本的关系。结果发现企业内部控制报告的披露未对权益资本成本产生影响。无论是出于自愿或是基于监管要求披露内部控制报告,也无论是仅出具内控自评报告或是引入独立第三方另出具内控审计报告,企业的内部控制报告披露行为均未对权益资本成本产生影响。研究结果表明企业没有实现内部控制报告的有效披露。     

产品市场竞争对股权资本成本的影响研究——以异质性风险为中介变量

以我国2003～2006年A股上市公司为样本,以产品市场势力为产品市场竞争的代理变量,采用"产品市场竞争—异质性风险—经济后果"这一研究范式,实证分析产品市场竞争对股权资本成本的影响及其作用路径。结果发现,产品市场势力越大、则股权资本成本越小,异质性风险是产品市场势力与股权资本成本间的中介变量。     

Quality of Corporate Social Responsibility Disclosure and Cost of Equity Capital: Lessons from China

This article explores the relationship between the quality of corporate social responsibility (CSR) disclosure and the cost of equity capital by analyzing the financial data and CSR reports of A-share listed firms in China from 2008 to 2014. The quality of the CSR disclosure is shown to be negatively related to the cost of equity capital of the listed firms. This negative correlation proves to be more prominent among firms of environmentally sensitive industries. Taking the ownership of the listed firms into consideration, it is further confirmed that the negative relationship between the CSR disclosure and the cost of equity capital is of higher significance for state-owned enterprises. Our findings also empirically demonstrate that the quality of CSR disclosure is more negatively related to the cost of equity capital among the large listed firms than the smaller ones.     

国有产权、会计稳健性与权益资本成本——来自中国证券市场的证据

以2007～2008年上市公司为样本,实证检验了会计稳健性和权益资本成本的关系,以及国有所有权对二者关系的影响。结果表明:会计稳健性与权益资本成本负相关,而国有所有权则削弱了会计稳健性在降低权益资本成本方面的作用。     

The Multi-Period Cost-Benefit Rule with Mobile Capital and Distorted Labor

Lind (1990) argues that capital mobility should be incorporated into the discussions of the social discount rate. He finds that when labor market distortion is ignored in that context, the appropriate discount rate for both project benefits and costs is the net rate of return, and the gross rate of return does not enter into the rule. Taking into account the labor market distortion, we find that a projects impacts on government receipts should be incorporated into its evaluation and that costs should be multiplied by a marginal cost of funds (MCF) before being compared with benefits. Although the net rate continues to be the correct discount rate to use, the gross rate enters into the rule by having effects on the projects receipt impacts and the MCF.JEL Code: D61, H43, F21     

The Effects of the Asian Crisis on Global Equity Markets

We investigate the comovement of daily returns from 13 Asian and non‐Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven‐fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post‐crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three‐month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post‐crisis interval was the result of subperiod transitory shocks.     

Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia

Abstract:  Recent theoretical work argues that information risk is a non-diversifiable risk factor that is priced in the capital market. Using accruals quality to proxy for information risk, Francis et al. (2005) provide empirical support for this argument using a sample of US firms. This paper re-examines the interplay of accruals quality, information risk and cost of capital in Australia, where a number of important institutional and regulatory differences are hypothesized to affect the relation between accruals quality and cost of capital. The results suggest that, while accruals quality impacts on the cost of capital for Australian firms, some salient differences exist. In contrast to findings for US firms, the costs of debt and equity for Australian firms are largely influenced by accruals quality arising from economic fundamentals (i.e., innate accrual quality) but not discretionary reporting choices (i.e., discretionary accrual quality). This finding is consistent with our predictions based on the Australian institutional and regulatory environment. In addition, using both the asset pricing tests in Francis et al. (2005) and Core et al. (2008) , we provide evidence consistent with accruals quality being a priced risk factor.     

Life Insurer Cost of Equity with Asymmetric Risk Factors

This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross‐sectional regression analysis finds a positive (negative) premium for downside (upside) betas, conditional on down and up markets, respectively. Coskewness and cokurtosis are also priced factors.     

Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers

This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei (1988). The in-sample forecast ability of the models is evaluated by applying the mean squared error method, the Theil U2 (1966) statistic, and the Granger and Newbold (1978) conditional efficiency evaluation. Based on forecast evaluation procedures, the APT and Wei's unified CAPM/APT models perform better than the CAPM in estimating the cost of equity capital for the PC insurers and a combined forecast may outperform the individual forecasts.     

Capital Constraints,Asymmetric Information,and Internal Capital Markets in Banking: New Evidence

A growing literature investigates the role of internal capital markets in mitigating financial constraints faced by the subsidiaries of a conglomerate. Most studies have relied on indirect tests based on correlations between the cash flows and the investment of the subsidiaries. In contrast, we avoid the widespread criticisms of such specifications by providing direct tests that focus on the mechanisms through which internal reallocations of funds occur. We find that internal capital markets are used by multibank holding companies to mitigate capital constraints faced by individual bank subsidiaries. In addition, we show that internal capital management within a multibank holding company involves not only the movement of capital to those subsidiaries with a relatively greater need for capital but also the movement of assets (loans) from less well capitalized to better capitalized subsidiaries by means of loan sales and purchases among the subsidiaries. Furthermore, net loan sales are used to allow efficiency‐enhancing specialization among bank subsidiaries, insofar as those subsidiaries with the best loan origination opportunities are able to focus on loan originations even if they do not have sufficient capital to hold the loans. Our evidence is consistent with banks affiliated with holding companies more actively participating in loan sales and purchases because, by using their internal secondary loan market, they are able to avoid the “lemons” problem faced by stand‐alone banks.