Optimal Disclosure Policy in Oligopoly Markets

This paper examines the private and social optimality of full disclosure of private information in a two-period oligopoly model. An incumbent firm is privately informed about the market demand and its production cost after operating as a monopolist in the first period, and then competes against an entrant in the second period. Two main results are derived. First, it is shown that the incumbent is best off by pre-committing to disclose both the demand and cost information. By disclosing full information, the incumbent nullifies its self-defeating intertemporal incentives, which arise whenever it has private information about the market demand, its cost efficiency, or both. In addition, the equilibrium output variance is the largest under full disclosure, which benefits the incumbent ex ante. Second, the paper shows that the incumbent's full disclosure of the demand and cost information may or may not be desirable from a social efficiency standpoint. In particular, the correlation between the firms' production costs is crucial to the rank of disclosure policies in terms of their impact on social efficiency.     

股改对流通股股东财富影响的实证研究

我国股市的二元制结构在长期中对证券市场造成了很多的困扰,其中最大的问题是使得证券二级市场的风险增高,从而流通股股东承担着相对过高的成本.2005年4月开始,股权改革开始坚决地实施,本文就股改的结果做出实证检验,发现在股改改后的一段时间里流通股股东利益得到了补偿,并且股改的对价方案对流通股股东的利益影响是最大的.     

Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders

This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no‐load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short‐term shareholders are significantly greater than those imposed by the expected long‐term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity‐risk insurance.     

Corporate Disclosure Policy and the Informativeness of Stock Prices

We examine the association between voluntary corporate disclosure and the informativeness of stock prices. We measure corporate disclosure using the AIMR-FAF annual corporate disclosure ratings. We define price informativeness by the association between current stock returns and future earnings changes: more informative stock price changes contain more information about future earnings changes. To measure this association, we regress current returns against (current and) future earnings changes. The aggregated coefficient on the future earnings changes, which we refer to as the future ERC, is our measure of informativeness (association).We hypothesize and find that greater disclosure is associated with stock prices that are more informative about future earnings (i.e., higher future ERC). These results provide empirical support for the widely held, but heretofore empirically undocumented, belief that greater disclosure provides information benefits to investors.     

Informational Feedback,Adverse Selection,and Optimal Disclosure Policy

Faceless trading in a secondary stock market not only redistributes wealth among investors but also generates information that feeds back to real decisions. Using this observation we re‐evaluate the “leveling‐the‐playing‐field” rationale for disclosure to secondary stock markets. By partially preempting traders' information advantage established from information acquisition, disclosure reduces private incentives to acquire information, resulting in two opposite effects on firm value. On one hand, this narrows the information gap between informed and uninformed traders and improves liquidity of firm shares. On the other hand, this reduces the informational feedback from the stock market to real decisions. This tradeoff determines the optimal disclosure policy. The model explains why firm value can be higher in an environment that simultaneously promotes disclosure and private information production and why growth firms are endogenously more opaque than value firms.     

货币政策、信息披露质量与公司债务融资

信息透明度是影响企业债务融资成本的重要因素。本文以2002-2010年深圳A股公司为样本,研究发现:信息披露质量较好的公司在货币政策趋紧时获得了更多的银行借款,且随着融资需求的增大,获得的银行借款更多,银行借款的利率也更低。结果表明,较高的信息披露质量有助于降低银企间的信息不对称程度,增强企业获得银行贷款的资信度,降低企业的债务融资成本,从而减轻货币政策变动对企业债务融资带来的不利影响。     

企业经济基础与收入确认政策选择:来自软件行业的经验证据

本文检验了企业的经济基础对收入确认政策选择的影响。以我国软件业上市公司为样本,我们发现,当企业具有较强的软件能力成熟度时,其更倾向于按照劳务的完工百分比法确认收入,换言之,这样的企业更倾向于及时地确认收入;反之,当企业的软件能力成熟度较弱时,其更倾向于按商品法在软件验收结项时确认收入,即这样的企业更倾向于在较晚的时点确认收入。我们的证据意味着企业的经济基础有助于企业提供兼具相关性和可靠性的会计信息;经济基础较弱的企业则更可能为了满足信息的可靠性而牺牲信息的相关性,即难以调和可靠性与相关性之间的内在冲突。     

Estimating the Information Value of Immediate Disclosure of the FOMC Policy Directive

This paper studies the information value of immediate disclosure of the FOMC policy directive. The value of disclosure is measured by its ability to reduce investors' expected uncertainty about futures interest rates where uncertainty is defined as the conditional variance of forecast errors. Analytical relationships between new information and the conditional variance of forecast errors are developed and the relation of the “uncertainty-reducing” value of information to its social value, as defined in recent literature, is indicated. In the empirical work, forward interest rates are treated as reflecting market expectations conditioned on existing information. The empirical tests indicate that information in the undisclosed, prevailing policy directives (1974–79) were able to make only a very marginal improvement in the predictive accuracy of forecasts relying only on the forward rates. Thus, the hypothesis that immediate disclosure has a significant information value to market participants is not supported.     

Political/Policy Uncertainty,Corporate Disclosure,and Information Asymmetry*

Political/policy uncertainty causes significant disruption to capital markets around the world. This review synthesizes recent studies on this topic and provides suggestions for future research in this fast-growing area. Specifically, this review focuses on three areas of research: (i) the measurement of political/policy uncertainty, (ii) the impact of political/policy uncertainty on financial analysts' forecasts, and (iii) the impact of political/policy uncertainty on corporate disclosure. We find that political/policy uncertainty affects both corporate disclosures and financial analysts' forecasts and that these effects interact with information asymmetry in capital markets. Furthermore, we find that companies strategically change their disclosure practices during periods of heightened political/policy uncertainty.     

利益相关者财务披露监管的分析框架与体制构造

本文分析了利益相关者的会计行为,建立了利益相关者财务披露监管的博弈分析模型,提出了在按会计行为偏好对利益相关者进行分类的基础上实行分工监督的设想,并提出建立由同类利益相关者共同分担监督成本的机制以协调利益相关者集体理性与个体理性之间的矛盾,从而使该设想更具有可行性。     

不同主体收入差距对我国A股上市公司绩效影响的研究

融资结构对企业绩效影响已受到广泛关注和研究,但对企业内不同主体收入差距对企业绩效影响鲜有关注。本文研究表明:管理层薪酬差距、劳动资本收入差距、资本政府收入差距对企业绩效有显著正面影响,管理层员工薪酬差距对绩效只有很小或没有显著性影响;在每个绩效模型中,不同主体收入差距对绩效影响边际效应也不同;企业股份性质、所在地区、企业规模对收入分配差距的绩效影响有调节作用。最后据此提出政策建议。     

Double Entry Bookkeeping and the Distributional Properties of a Firm's Financial Ratios

Our purpose here is to assess whether the innate properties of the double entry bookkeeping system are such that financial ratios, calculated from the balance sheet summary measures implied by it, will be generated by distributional forms with non‐convergent moments. Our analysis begins with a brief summary of some important analytical properties of the debt and equity components of the double entry bookkeeping system. We then use these to determine the time series and distributional properties of the debt to equity ratio itself. Our analysis shows that even when the evolution of balance sheet summary measures like debt and equity can be described by 'well behaved' distributional processes, there is a distinct possibility that ratios derived from them will evolve in terms of distributional forms with non‐convergent moments. We argue that this has serious implications for parameter estimation as well as the integrity of the regression and/or discriminant procedures which underscore bankruptcy and financial distress prediction models based on financial ratios derived from the double entry bookkeeping system.     

The Effect of Lender Identity on a Borrowing Firm's Equity Return

Previous research demonstrates that a firm's common stock price tends to fall when it issues new public securities. By contrast, commercial bank loans elicit significantly positive borrower returns. This article investigates whether the lender's identity influences the market's reaction to a loan announcement. Although we find no significant difference between the market's response to bank and nonbank loans, we do find that lenders with a higher credit rating are associated with larger abnormal borrower returns. This evidence complements earlier findings that an auditor's or investment banker's perceived “quality” signals valuable information about firm value to uninformed market investors.     

政策性银行监管的国际比较及其对我国的启示

随着与世界经济的接轨,我国高度集中的政策性银行多头监管模式越来越不适应参与国际竞争的需要,这种监管模式存在着权力分散、责任不明确以及人力资源浪费等各种问题.本文拟从我国政策性银行的监管着手,通过与其他国家的监管机制进行比较与分析,找出政策性银行与商业性银行监管的不同点,以期对我国的政策性银行监管机制的改革有所借鉴.     

The Global CAPM and a Firm's Cost of Capital in Different Currencies

In an integrated global market, a firm's cost of capital expressed in one currency should be consistent with its cost of capital expressed in another currency. This article presents and illustrates a process for estimating consistent costs of capital in different currencies for a U.K. based multinational. In so doing, it uses a simple, easy-to-use version of the global CAPM that attempts to incorporate the effect of uncertain exchange rates by calculating exchange rate betas. As argued in the previous article, at least part of a company's currency exposure is systematically related to the global market and thus should be treated as a component of the firm's systematic equity risk.
For example, the U.K. firm featured in this article is shown to have an exchange rate beta of 0.20 from the perspective of a U.S. investor. This implies that a 10% return on the global market in U.S. dollars tends to be associated with a 2% change in the U.S. dollar value of the British pound. One interesting consequence of incorporating exchange risk in this fashion is that two firms with identical U.S. global betas and costs of equity will have different expected returns expressed in another currency if they have different exposures to that currency.     

The tale of a committee that never reported: Disagreements on intertwining accounting with the social

The efforts of a committee which never finally reported provided an interesting insight into the problems involved in a social analysis of the accounting craft. In this tale of the deliberations on this committee both its mobilising concerns and bases for disagreement are emphasised. The latter are shown to be of wider significance to the accounting research community, related as they are to substantive debates in the social sciences generally.     

环境信息披露、行业差异和外部制度压力相关性研究——来自我国沪市上市公司环境信息披露的经验证据

当前我国发生了环境污染和生态失衡的一系列重大事件,社会公众要求上市公司披露环境信息的呼声越来越高,同时引发了人们对外部监管制度有效性的争论:外部监管制度是形同虚设,还是一直静静地发挥着它应有的作用?本文以我国沪市上市公司为例,对环境信息披露、行业差异和外部制度压力之间关系进行了实证研究。结果发现,环境信息披露状况受到行业差异和外部环境监管制度压力的显著影响,环境信息披露水平在重污染和非重污染行业之间存在明显差异,而且这种差异与行业间外部制度压力差异的相关性十分明显。外部监管制度约束对提高环境信息透明度功不可没。     

管理层激励与投资的现金流弹性

本文利用1998-2004年上市公司关于管理层持股的数据信息和年报中财务状况信息,考察了管理层持股份额对企业投资决策的影响.和Hadlock(1998)的文章一样,本文试图从一个侧面看到我国上市公司中内部现金流是如何影响上市公司投资决策. 和Had-lock的结论正好相反.文章的结果表明我国上市公司的滥用内部现金流情况严重,尤其当管理层不持有公司股票的情况时.同时,外部资金不存在系统合理的溢价,资本市场上的投资存在严重的盲目性.     

我国货币政策效果分析及相应政策

目前我国的总需求仍不够旺盛,物价指数变化率仍在低水平徘徊,经济回升的基础仍欠稳固。因此,究竟如何评价我国当前的货币政策效应?笔者认为我国近几年稳健的货币政策虽然对经济发展起了一定的促进作用,但并没有达到应该产生的效果。本文试图从理论和实践两方面对我国货币政策有效性的影响因素加以分析,从而提出提高货币政策有效性的若干思考,以期在相关争论中得出较中肯的结论。