Discussion of “Conservatism, growth and return on investment”

Providing data for the measurement of financial performance is a key objective of financial reporting. Rajan, Reichelstein, and Soliman (2007, Conservatism, growth and return on investment, Review of Accounting Studies, this issue) provide new insights into the well known biases involved in measuring return on investment (ROI) on the basis of accrual accounting. They analyze the relationships among ROIs, growth rates, accrual policies and cash flow profiles in a fairly general steadystate model (only the last parameter is severely restricted). New and interesting results outside steady-state are presented as well. In the empirical part of the paper Rajan et al. demonstrate that the biases involved are systematic and economically significant. Hence empiricists must pay attention (whatever their sample sizes). Hopefully this paper will generate renewed interest in the analytical aspects of accrual accounting.     

Minimum return guarantees,investment caps,and investment flexibility

We study the merits of capped retirement products with guarantee for investors who have the flexibility to dynamically adjust their investment strategy. All contracts under consideration are fairly priced such that the net profit of the provider is zero. Without the rider, an expected utility maximizing CRRA investor does not want an investment cap. Here, she commits herself to a strategy a priori. With the flexibility rider, the optimization problem changes and the optimal strategy is a response to an exogenously set price. A fair pricing then anticipates the optimal response of the investor. We show that the maximum expected utility of the investor can, for anticipated fairly priced products, be obtained for a finite cap. Thus, a capped product design can give a Pareto improvement to the otherwise uncapped contract version.     

Traditional investment versus absolute return programmes

Hilary Till and Joseph Eagleeye argue that the differences between the hedge-fund and traditional-investment industries arise from competing views of the key sources of investment returns.     

Limits-to-arbitrage, investment frictions, and the asset growth anomaly

We empirically evaluate the predictions of the mispricing hypothesis with limits-to-arbitrage suggested by Shleifer and Vishny (1997) and the q-theory with investment frictions proposed by Li and Zhang (2010) on the negative relation between asset growth and average stock returns. We conduct cross-sectional regressions of returns on asset growth on subsamples split by a given measure of limits-to-arbitrage or investment frictions. We show that: (i) proxies for limits-to-arbitrage and proxies for investment frictions are often highly correlated; (ii) the evidence based on equal-weighted returns shows significant support for both hypotheses, while the evidence from value-weighted returns is weaker; and (iii) in direct comparisons, each hypothesis is supported by a fair and similar amount of evidence.     

Art as an investment: risk, return and portfolio diversification in major painting markets

The present paper examines risk, return and the prospects for portfolio diversification among major painting and financial markets over the period 1976–2001. The art markets examined are Contemporary Masters, French Impressionists, Modern European, 19th Century European, Old Masters, Surrealists, 20th Century English and Modern US paintings. The financial markets comprise US Treasury bills, corporate and government bonds and small and large company stocks. In common with the published literature in this area, the present study finds that the returns on paintings are much lower and the risks much higher than conventional investment markets. Moreover, while low correlations of returns suggest that opportunities for portfolio diversification in art works alone and in conjunction with equity markets exist, the construction of Markowitz mean‐variance efficient portfolios indicates that no diversification gains are provided by art in financial asset portfolios. However, diversification benefits in portfolios comprised solely of art works are possible, with Contemporary Masters, 19th Century European, Old Masters and 20th Century English paintings dominating the efficient frontier during the period in question.     

Profitability of return and sentiment-based investment strategies in US futures markets

Our study adds to the literature by providing initial evidence on the interaction between short-horizon return predictability and investors’ sentiment by traders’ types on US commodity futures market. We find that the short-term contrarian profit is more associated with an increase rather than a decrease in hedgers’ sentiment. However, the interaction between lagged return and past change in speculators’ sentiment illustrates that the short-term contrarian profit is more associated with a decrease rather than an increase in sentiment. Based on behavioral finance theories, we conclude that hedgers behave like irrational traders while speculators behave like rational ones. Using Chou et al. (2007) decomposition, our results confirm the obtained relations between change in trader's sentiment and the overreaction. By expanding this decomposition, we find that the winners’ portfolio tends to more overreact with futures specific information. Also, the cross-autocorrelation between winners and losers and between losers and winners can represent another source of contrarian profits.     

Conservatism,SEC investigation,and fraud

We present evidence on the relationship between firms that have engaged in fraudulent financial reporting and accounting conservatism. We empirically investigate the extent to which US firms identified by the SEC in their Enforcement Releases demonstrate higher levels of conditional conservatism in order to mitigate information asymmetry and agency problems. Specifically, by assessing the timing of changes in the litigation risk environment for fraud firms, we document how differences in heightened legal liability guide changes in conservative accounting behavior. Compared to a matched non-fraud control sample, we document that fraud firms have significantly lower levels of accounting conservatism in the pre-fraud period. Consistent with changes in potential legal liability, we find an increase in accounting conservatism for fraud firms during the SEC investigation period. Subsequently, during the public discovery of fraud, any increases in accounting conservatism are marginal and appear to converge back to lower levels compared to the SEC investigation period. Overall, our findings suggest more temporary changes in conservative reporting in the short-term for fraud firms. We also document that increased levels of accounting conservatism for fraud firms are not due solely to the passage of the SOX Act. Our findings aid in explaining fraud firms’ incentives and opportunities for accounting conservatism and lend support for why standard setters, regulators and auditors should continue to monitor and re-evaluate conservatism’s short-term effects that are conditioned on changes in a firm’s risk environment.     

不确定性、会计稳健性与分析师盈余预测

文章在考察企业不确定因素对分析师盈余预测产生影响的基础上,重点分析和检验企业会计稳健性对这一关系的调节效应。研究显示,一方面,不确定因素的增多会导致分析师盈余预测误差和预测分歧度的增大;另一方面,公司在预测年份里的会计稳健性总体上有助于降低不确定因素对分析师盈余预测的不利影响。文章将预测年份里的会计稳健性进一步区分为"持续稳健"和"非持续稳健"之后发现,并非所有在预测年份里表现稳健的公司,其稳健性就能遏制不确定性对分析师预测的不利影响,而是只有"持续稳健"能够有效抑制不确定性加剧分析师预测误差和预测分歧度的趋势,"非持续稳健"则没能发挥上述作用。     

Risk and return: Long-run relations,fractional cointegration,and return predictability

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility index (VIX), coupled with frequency domain methods, we separate the series into various components. We find that the coherence between volatility and the volatility-risk reward is the strongest at long-run frequencies. Our results are consistent with generalized long-run risk models and help explain why classical efforts of establishing a naïve return-volatility relation fail. We also estimate a fractionally cointegrated vector autoregression (CFVAR). The model-implied long-run equilibrium relation between the two variance variables results in nontrivial return predictability over interdaily and monthly horizons, supporting the idea that the cointegrating relation between the two variance measures proxies for the economic uncertainty rewarded by the market.     

产权性质差异、管理层过度自信与会计稳健性

本文从行为金融角度,利用沪深两市A股上市公司2008-2012年的经验数据,实证检验了管理层过度自信对会计稳健性的影响,以及不同产权性质下二者影响程度的差异。研究结果表明,管理层的过度自信心理会显著降低公司的会计稳健性水平。进一步区分产权性质,国有上市公司由于存在所有者缺位和债务软约束,管理层过度自信对会计稳健性的影响较民营上市公司更强。文章的结论为完善上市公司管理层权力约束和监督机制提供了一定借鉴意义。     

会计稳健性、融资约束与投资效率

会计稳健性是一项备受争议的会计信息质量要求,考虑到我国企业普遍受融资约束影响的背景,本文以2007-2015年A股上市公司为样本,实证检验了会计稳健性、融资约束及投资效率之间的关系。研究发现:(1)会计稳健性对投资过度和投资不足均具有抑制作用,融资约束会抑制投资过度而加剧投资不足;(2)融资约束加强了会计稳健性对投资过度的抑制作用,二者在一定程度上存在协同效应;(3)融资约束加强了会计稳健性对投资不足的抑制作用,会计稳健性表现出治理效应。本文揭示了会计稳健性与融资约束的交互作用对投资效率的影响机制,从而提供了改善投资效率的有效途径,证明了会计稳健性存在的必要性,有利于为企业的决策提供理论指引。     

Risk,return, and dividends

Using only the definition of returns, together with a transversality assumption, we demonstrate that given a dividend process, any one of three variables—expected return, return volatility, and the price–dividend ratio—completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual, restrictions on the dynamics of the other variables. Our findings lend insight into the nature of the risk–return relation and the predictability of stock returns.     

中国新的增长引擎和投资契机

中国经济目前面临两大问题：一是从长期看,经济长期增长潜力和结构变化带来的投资机会;二是从短期看,宏观经济与政策的变化趋势。     

论公允价值与会计稳健性的兼顾

2006年财政部颁布了新的会计准则,最大的特点就是全面引入了公允价值计量属性。公允价值计量的引入,有利于提高会计信息的决策有用性和价值相关性。但是由于公允价值固有的不确定性及确认传统会计中不予确认的未实现的收益等,会对会计信息的稳健性产生影响。因此,深入系统探讨公允价值会计信息的稳健性问题,有着重要的理论意义和现实意义。本文从相关理论及研究文献的回顾出发,通过分析公允价值的不确定性及风险性,认为公允价值会计信息在稳健性方面存在一定的缺陷,提出通过合理确定两者使用顺序和充分披露等方法,确保公允价值信息在提高信息决策的相关性方面又能兼顾稳健性。     

Foreign direct investment,financial development,and economic growth: the case of Malaysia

The paper presents the text of a lecture given at the Bank of England in December 2005 as the first in a series of lectures in memory of John Flemming. It provides a personal view of what the profession has learnt about currency unions as a result of the establishment and operation of the European Monetary Union. It argues that the salience of business cycle concurrence as a criterion for participation is probably less than used to be understood and for some countries borders on irrelevance. In any case the effects of union upon business cycle concurrence are themselves not obvious. It also appears that, after a period in which very large estimates of the trade effect of currency unions were widespread, more modest estimates are in order. The most unlooked-for effect is probably that which has occurred in the financial markets; country premia within the EMU are very small, offering a means for insurance against asymmetric shocks. Finally, the lessons of another, local, experiment in currency union is examined. But the useful lessons from this experiment (Ecco L'Euro) are found to be limited.     

货币政策波动、银行信贷与会计稳健性

宏观经济政策(如货币政策)如何通过改变微观企业行为来影响经济发展是学术界探讨得比较少的领域。本文在此方向上进行研究尝试,并以货币政策波动对企业会计政策稳健性与银行贷款之间的关系为切人点。具体来说,当货币政策进入紧缩期时,我们预期企业会计政策变得更加稳健,以更容易取得银行贷款。运用1998～2008年的年度数据,并根据央行要求的金融机构存款准备金率、对金融机构的再贷款利率和再贴现利率的变化,我们定义2004、2006、2007年为我国的货币政策紧缩阶段。实证结果基本上支持我们的预期。我们进一步发现依赖于外部融资和拥有更高债务水平的企业会计稳健性更高,持有大量现金的企业会计稳健性更低,国有企业的会计稳健性更低。在会计稳健性的经济后果上,本文发现在货币政策紧缩阶段,会计稳健性的提高有助于企业获得更多的信贷资源。     

产权保护、公允价值与会计稳健性

在金融危机和会计国际趋同的宏观背景下,以产权保护为逻辑主线,本文重点考察了公允价值与会计稳健性之间的关系。研究发现:在历史成本会计模式下,公允价值与会计稳健性之间若即若离;在公允价值会计模式下,公允价值与会计稳健性之间彻底悖离;在混合会计模式下,公允价值与会计稳健性之间适度耦合;金融危机中公允价值论战的焦点表面上是会计的技术性问题,实质上是会计的社会性问题,即公允价值充当了一个产权博弈的筹码。