资本市场发展与我国产业结构升级研究

当前,我国经济发展在总量规模扩张的同时,也正面临着严峻的结构性调整,产业结构升级愈来愈成为经济增长的关键。本文从资本市场的视角讨论了产业结构升级的运行机制,并根据1994-2005年我国资本市场和产业结构有关经济数据,对资本市场融资与产业结构升级的关系进行了实证分析,证明随着资本市场规模日益壮大,对我国一、二、三产业的发展和结构变迁起到促进作用。最后,对我国资本市场存在的不足提出了相关的政策建议。     

Optimal capital structure,bargaining, and the supplier market structure

This paper studies the relationship between firm leverage and supplier market structure. We find that firm leverage decreases with the degree of competition between suppliers. Specifically, leverage decreases with the elasticity of substitution between suppliers. Leverage also decreases with the number of suppliers when the elasticity of substitution is high, and increases with the number of suppliers when the elasticity is low. We also provide empirical evidence that is consistent with the model predictions.     

Voluntary disclosure of reasons for auditor changes and the capital market reaction to information disclosure

This study examines the association between firm attributes and management’s voluntary disclosure of the reason(s) for auditor changes and evaluates the capital market reaction to information disclosure of the auditor change events accompanied by preexisting red flag and non-red flag issues. We find that managers are more likely to disclose the reason(s) for auditor changes when those changes occurred because of benign business reasons or if the reasons do not indicate the presence of any underlying operating or financial reporting problem. On the other hand, managers are less likely to disclose the reason(s) for auditor changes when those changes are preceded by red-flag situations. Furthermore, auditor changes accompanied by preexisting red-flag situations are viewed negatively by the capital market, implying that the full disclosure of reasons for auditor changes is informative to investors. This observation is supported further by our market-based analyses, which consistently show that auditor changes accompanied by prevailing red flag issues are valued incrementally in the market above and beyond the reportable events (under FRR No. 31) and auditor-initiated changes. The study contributes to the recent policy debate related to mandating the disclosure of the reason(s) for auditor switches. Specifically, the results support the recent debates that the current voluntary disclosure regime results in selective disclosure practices that are likely to contribute to the general lack of transparency with respect to auditor changes.     

汲取金融危机教训 推进资本市场稳健发展

美国推崇的新自由主义经济和金融自由化是这次金融危机形成的根源。我国资本市场建设,既不能脱离国际金融市场搞封闭运行,又不能照抄照搬国外模式;要从我国实际出发,按照邓小平理论,在科学发展观的指引下,坚持改革开放,构建中国特色的资本市场。为此,还要正确处理好三个方面的关系,即大力发展与防范风险的关系、宏观调控与市场机制的关系、发展创新与市场监管的关系。     

Dynamic analysis of stock return volatility in an integrated international capital market

This paper examines the dynamic behavior of the stock return volatility for Canada, Japan, Germany, and the United Kingdom. The evidence indicates that international stock return volatility is mainly influenced by the U.S. stock return volatility and the exchange rate volatility, supporting the international capital market integration hypothesis. There seems to be some correlation between stock return volatility and macroeconomic volatility, but the effect is relatively weaker. In addition to the economic fundamentals, the noise component is found to be time varying, confirming the AR(MA)CH specifications in the stock return models.     

Equity returns,bond returns,and the equity premium in the German capital market

This article reviews the empirical evidence for equity returns, bond returns, and the equity premium in the German capital market for the period from 1870 to 1995. Taken together, the studies reviewed provide convincing evidence that over longer investment periods, average equity returns have been higher than average bond returns. These excess returns, however, have been highly volatile and negative in many years, illustrating the higher risk of equity investments. Moreover, market timing had a major positive or negative impact on overall returns. Despite the historical evidence of a substantial equity premium there is still little equity investment by German households.     

基于协调的保险市场与资本市场对接模式研究

本文通过比较美、英、日、德四国的对接模式发现,保险市场与资本市场的和谐对接是资金、产品和制度对接三方面的共融体,是金融市场自然演进与风险资本动态规制的最优范式结合。基于此,我国应在经济、金融微观制度基础变迁的基础上适时选择适合我国国情的可操作和可持续的对接模式。     

Real estate returns,money and fiscal deficits: Is the real estate market efficient?

This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on current real estate returns.     

Labour market conditions and the corporate financing decision: A European analysis

This study examines the influence of labour market conditions on corporate capital structure in a sample of 2892 firms from France, Germany, Italy, Spain, and the UK. After considering the effect of unemployment and inflation, we analyse the impact of two market imperfections: employees’ rights and downward wage rigidity. Results indicate that financial leverage responds to changes in unemployment and inflation. We also find that the influence of employees’ rights is non-linear, whereas the negative effect of downward wage rigidity is moderated by firms’ market power. Taken together, our results show that corporate financial decisions are conditioned not only by firm-level issues but also by a country’s labour market.     

Management control and performance management: whence and whither?

This paper is a personal account of the author's involvement with management control research over the past 35 years. The development of management control as a research area is briefly reviewed, culminating with its transition into performance management. However, the basic issues involved have remained remarkably unchanged over this period, as is illustrated by a number of anecdotes and examples. Some suggestions are made concerning potential topics for future research, together with some final comments on appropriate research methods.     

Stock market,capital flow and output: some analytical and policy perspectives

The article will theoretically examine how financial opening up can influence the real sector under alternative exchange rate regimes. We will show that private capital flows can produce favourable macroeconomic outcomes through an adjustment in stock market valuation and wealth effect induced by a change in asset prices. What we choose for analytical purpose is an effective demand framework, which can apply to a large class of emerging market economies.     

Venture capital funds and the public equity market

This paper considers the relationship between the public equity market and the returns to venture investing using a dataset which is derived from the records of two large limited partners who have been investing in venture capital for almost 30 years. Evidence is found to suggest that market conditions over the investment cycle, and exit conditions at the time of exit in particular, are an important determinant. This paper also investigates whether any other aspects of the venture investment process respond to events in the broader market. While general trends are evident in the venture investment cycle, only the intensity of the investment process is found to respond to events in the public equity market.     

Macroeconomic imbalances,financial stress and fiscal vulnerability in the euro area before the debt crises: A market view

This paper tries to identify the macro-financial imbalances that exposed the euro area countries to fiscal stress before the outbreak of the European debt crises. Contrary to conventional wisdom that interprets fiscal stress in terms of fiscal sustainability, we focus on short-term fiscal vulnerability as reflected by the conditions of debt refinancing in the sovereign bond markets. We find that market-based indicators capturing risk perceptions of sovereign debts have been influenced by the indicators defined in the European Macroeconomic Imbalance Procedure (MIP) and by variables of financial vulnerability. When pricing the risk of sovereign bonds, the holders of government debts take into account not only the macroeconomic imbalances but also factors such as banking distress, corporate bond risk, liquidity risks in the interbank market or the volatility of stock prices.     

Enticing Employees to Lie: Using Role Play to Understand and Mitigate Unintended Consequences of Budgeting*

This role play is a short, in‐class interactive exercise that places students in the role of a factory worker who is asked to commit to a future production amount. The role play demonstrates why employees may be tempted to lie when asked to reveal their future productive capacities. The experiential exercise illustrates the tension between using budget information for both planning and control purposes, and then asks students to propose how senior managers may effectively manage this tension. The role play provides an opportunity to enhance students' moral sensitivities as it concludes with a review of the fundamental ethical principles of International Federation of Accountants (IFAC), noting that although budgetary slack is a widespread phenomenon, it clearly violates IFAC's principles.     

Modeling capital structure decisions in a transition market: empirical analysis of firms in Egypt

It has been realized that none of the three basic theories of capital structure presents a complete answer to the actual determinants of corporate financing decisions. This study attempts to model the practice of capital structure decisions according to the basic premises of each theory of capital structure: trade-off theory, pecking-order theory and free cash flow theory. The methodology addresses modeling long-term and short-term debt financing decisions based on ten different statistical criteria using data from Egypt stock market. The empirical evidence indicates that four models of corporate financing are influenced by the trade-off theory relatively. The contributions of this paper are as follows. First, this study offers a more refined and comprehensive methodology for modeling firms’ capital structure decisions. Second, the results of this study compare to those of previous studies of other developing countries and thus add an element of external validity. Mohamed A. Ismail is currently working as a consultant for the Information and Decision Support Center (IDSC), the Egyptian Cabinet-Egypt. He would like to acknowledge the financial support provided by the IDSC.     

Product innovation, budgetary control, and the financial performance of firms

Organizations are increasingly calling for greater budgetary oversight of the product innovation process. A major focus of their concern is the costs associated with product innovation together with their need to enhance their financial performance through these endeavours. However, the literature has raised a number of issues arising from such budgetary proposals, suggesting that the creativity of those involved in product innovation should not be constrained by cost concerns, that the use of management control systems is incompatible with product innovation, and that budgets may stifle innovation. It is argued in this paper that the extent to which product innovation has a positive impact on the financial performance of firms is dependent on the manner in which budgets are used in organizations. If budgets are used predominantly as a planning mechanism, then such budget planning facilitates product innovation resulting in enhanced performance. In contrast, if budgets are used primarily as a control mechanism, then it is unlikely that product innovation will contribute to financial performance. The results of the study are consistent with these expectations. This paper makes a contribution to the literature by providing empirical evidence of the impact of budgets in the context of product innovation.     

Stock recommendations and investment portfolio formation: A study in the Brazilian market

The stock analysts have a relevant role in the capital market, since, directly or indirectly, they contribute to the paper pricing and to the composition of the investment portfolio. The purpose of this study is to verify if it is possible to obtain extraordinary returns, above those offered by a market portfolio, with the monitoring of the stock recommendations issued by Brazilian capital market analysts, one of the most important in Latin America. Based on a wide range of consensual recommendations concerning the period from 2000 to 2010, and with the monitoring of the historical series of paper returns covered by the analyses, the performance of two portfolios were compared, one formed by stocks that received favorable and the other one formed by stocks that received unfavorable analyst recommendations. The results showed bias in recommendations, since there is, systematically, a greater number of favorable against unfavorable recommendations. The results mainly showed that the analysts were unable to identify the stocks that actually offered greater returns within the period considered.     

Capital market liberalisation and voluntary corporate social responsibility disclosure: Evidence from a quasi-natural experiment in China

This paper investigates the impact of the Shanghai–Hong Kong Stock Connect (SHSC) scheme on voluntary corporate social responsibility (CSR) disclosure in China. Using a difference-in-differences (DiD) design, we find that companies that participate in the SHSC scheme are more inclined to voluntarily issue CSR reports. This effect is more pronounced for companies that have limited access to international markets and those with weak corporate governance. Additional analyses show that SHSC-connected firms also produce higher quality CSR reports and achieve a better CSR performance. Our findings imply that capital market liberalisation promotes voluntary corporate disclosure for investors.     

Capital and resolution policies: The US interbank market

We develop an empirically based simulation study to test two types of policies designed to control systemic risk: preventive policies targeting capital requirements and mitigation policies targeting default resolution. We find that capital buffers reduce both the number of defaults and the resulting losses. The loss reduction benefit increases as the magnitude of adverse shocks becomes higher. We find that a simple branch-breakup resolution strategy reduces the loss borne by the Federal Deposit Insurance Corporation (FDIC). The mitigation effect becomes higher as the fraction of assets resolved through auctions and auction competitiveness increase.