建立和完善金融市场监测分析体系

本课题以研究金融市场风险、金融市场政策传导和金融产品创新发展与金融市场监测分析体系框架的关系为出发点,在深入研究分析我国金融市场监测分析体系现状和国际经验的基础上,提出了构建和完善我国金融市场监测分析体系框架的初步设想。     

The effect of audit committee shareholding,financial expertise and size on interim financial disclosures

In recent years, corporate failures and accounting irregularities have led to concerns about the effectiveness of audit committees in the financial reporting process. In response, corporate governance committees in different countries have made specific recommendations designed to enhance the role of the audit committee in executing its financial reporting oversight duties. We investigate in this study, the effect of some of these recommendations by empirically examining the relationship between selected audit committee characteristics and the level of disclosure in interim reports of a sample of 262 UK listed companies. Specifically, the audit committee characteristics examined are shareholding of audit committee members (as a proxy for audit committee independence), audit committee size and audit committee financial expertise. Employing both a weighted and unweighted index to measure interim disclosure, the results indicate a significant negative association between shareholding of audit committee members and interim disclosure. Our results provide evidence of a significant positive association between interim disclosure and audit committee financial expertise. We find no significant relationship between audit committee size and the extent of disclosure in interim reports. Overall, however, our results suggest that audit committee characteristics have an impact on its monitoring effectiveness of the financial reporting process. These results have important implications for corporate governance policy-makers who have a responsibility to prescribe appropriate corporate governance structures to ensure that shareholders are protected.     

Public companies' cybersecurity risk disclosures

Though cybersecurity risks are significant and could materially affect business operations and the integrity of financial reporting, there is limited empirical research on the cybersecurity risk disclosure trends and practices of public companies. In this study, we conduct a longitudinal study of the content and linguistic characteristics of public companies' cybersecurity risk disclosure practices as well as factors that may drive disclosure trends. The results show that the two most commonly disclosed cybersecurity risks are risks of service/operation disruption and risks of data breach. Item 1A of the 10-K Report is the most commonly used disclosure location, but some companies also use Items 1 and 7 to disclose regulation risks and cyber incidents, respectively. The length of cybersecurity risk disclosures increases linearly during the period of our study. This increase is associated with the issuance of SEC guidance (2011 and 2018), industry, overall cybersecurity risks in the general environment, company size, and prior cybersecurity breach incidents. Disclosures have also become more difficult to read in general. They are more difficult to read as firm size increases and are easier to read as the proportion of intangible assets increases or after an executive change. Firms have increased their usage of litigious words in their disclosures. Bigger firms, on average, tend to use less litigious language, but companies in industries with high business information technology intensity (e.g., consumer services, software and services, and banking) tend to use more litigious language than other companies.     

Corporate social responsibility orientation and textual features of financial disclosures

This paper examines the relationship between corporate social responsibility (CSR) orientation and textual attributes of financial disclosures. Using a large U.S. sample from 1999 to 2017, we find that firms with high CSR orientation provide more readable disclosures and use a less ambiguous tone in their annual reports. These findings are consistent with the notion that managers in CSR-conscious firms adhere to high ethical standards and commit to improving the transparency of their firms' financial disclosures. Our results are robust to alternative measures of readability and CSR performance, potential endogeneity, and sampling methods. Moreover, in a cross-sectional analysis, we show that the impact of CSR on corporate readability/tone ambiguity is more pronounced for firms with weak corporate governance. Overall, the results suggest that CSR serves as a substitute for traditional corporate governance mechanisms to ensure transparent disclosure.     

Association between independent non-executive directors, family control and financial disclosures in Hong Kong

Our study examines whether comprehensive financial disclosures, used as a proxy for corporate board’s responsiveness, are positively associated with the proportion of independent non-executive directors (INDs) on corporate boards, and whether family control of the firm has an impact on this association. The findings suggest that the ratio of INDs to the total number of directors on corporate boards is positively associated with the comprehensiveness of financial disclosures, and this association appears to be weaker for family controlled firms compared to non-family controlled firms.     

Stock market cycles, financial liberalization and volatility

In this paper we analyze the cycles of the stock markets in four Latin American and two Asian countries, and we compare their characteristics. We divide our sample in two subperiods in order to account for differences induced by the financial liberalization processes of the early 1990s. We find that cycles in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed countries whereas Asian countries have become more dissimilar. Concordance of cycles across markets has increased significantly over time, especially for Latin American countries after liberalization.     

The impact of carbon disclosure mandates on emissions and financial operating performance

Review of Accounting Studies - We examine the impact of a disclosure mandate for greenhouse gas emissions on firms’ subsequent emission levels and financial operating performance. For...     

Religious beliefs, gambling attitudes, and financial market outcomes

This study investigates whether geographic variation in religion-induced gambling norms affects aggregate market outcomes. We conjecture that gambling propensity would be stronger in regions with higher concentrations of Catholics relative to Protestants. Consistent with our conjecture, we show that in regions with higher Catholic–Protestant ratios, investors exhibit a stronger propensity to hold lottery-type stocks, broad-based employee stock option plans are more popular, the initial day return following an initial public offering is higher, and the magnitude of the negative lottery-stock premium is larger. Collectively, these results indicate that religion-induced gambling attitudes impact investors' portfolio choices, corporate decisions, and stock returns.     

Public trust,the law,and financial investment

How does trust evolve in markets? What is the optimal level of regulation and how does this affect trust formation and economic growth? In a theoretical model, we analyze these questions, given the value of social capital and the potential for growth in the market. When social capital is valuable, regulation and trustfulness are substitutes. In this case, regulation may cause lower aggregate investment and decreased economic growth. When the social capital is less valuable, regulation and trustfulness may be complements. In the paper, we analyze the optimal level of regulation and highlight the novel predictions of the model.     

人口结构转变与金融市场发展

文章分析了人口结构变动、居民财富增长和金融市场发展间的关系,通过实证研究,文章认为,在中国人口老龄化这一结构变动趋势下,未来股票市场可能面临下行压力,而固定收益类产品,尤其是债券市场将迎来发展机遇,但长期利率可能面临下行压力。     

Fiscal policy and financial market movements

This paper estimates fiscal policy reaction function in order to investigate the links between financial market movements and fiscal policy outcomes. An increase in asset prices affects in a positive and significant manner primary balances, with the response reflecting both an increase in government revenues and a fall in government spending. The most important impact on fiscal balances is due to changes in residential property prices. Changes in equity and commercial property prices are also important determinants of fiscal balances. Our findings suggest that the steepening of the slope of the yield curve contributes to expenditure based fiscal discipline.     

Uninsurable risk and financial market puzzles

We compare the empirical performances of three risk-sharing arrangements involving idiosyncratic skill shocks: (a) where individuals are unable to directly insure their consumption against individual-specific shocks, (b) where agents strike long-term insurance contract with financial intermediaries involving a truth revelation constraint as in Kocherlakota and Pistaferri (2009), (c) full risk sharing. Based on the widely accepted assumption of cross-sectional log-normality of individual consumption levels, we work out closed form expressions of the pricing kernels for (a) and (b). We put these three models to test four financial market anomalies, namely the equity premium, currency premium, risk-free rate, and consumption-real exchange rate puzzles simultaneously in an integrated framework. We find that the pricing kernel associated with (a) outperforms the other two models in terms of the produced estimates of the agent’s preference parameters and the model ability to predict the equity and currency premia, the risk-free rate, and the log growth in the exchange rate. However, the predictive ability is still far from satisfactory for all three models under scrutiny.     

Sunshine trading and financial market equilibrium

In this article, we consider the possibility that some liquiditytraders preannounce the size of their orders, a practice thathas come to be known as 'sunshine trading'. Two possible effectspreannouncement might have on the equilibrium are examined.First, since it identifies certain trades as informationless,preannouncement changes the nature of any informational asymmetriesin the market. Second, preannouncement can coordinate the supplyand demand of liquidity in the market. We show that preannouncementtypically reduces the trading costs of those who preannounce,but its effects on the trading costs and welfare of other tradersare ambiguous. We also examine the implications of preannouncementfor the distributions of prices and the amount of informationthat prices reveal.     

Takeovers,market monitoring,and international corporate governance

We theoretically and empirically examine the role of international takeover markets in curtailing dominant shareholder moral hazard for firms with higher value‐added from acquisitions. In equilibrium, such firms strategically list shares in the markets of their targets and voluntarily dilute dominant shareholder control through capital‐raising events to lower their expected acquisition costs. Empirical tests, using a sample of foreign firms cross‐listing on U.S. stock exchanges during 1990–2003, support the framework. We find a strong influence of post‐listing dilution of dominant shareholder control through capital‐raising events on the likelihood of acquisitions and their cost to the acquirers, in both U.S. and non‐U.S. markets.     

Financial liberalization,insurance market,and the likelihood of financial crises

This paper provides empirical evidence to investigate the direct impact of financial liberalization on the likelihood of currency/systemic banking crises, and examines the roles of insurance market, country risk, and economic conditional variables on the relationship between financial liberalization and financial crises in 39 countries. Our empirical results support that financial liberalization does have a significantly negative impact on the likelihood of currency/systemic banking crises, and that the indirect effects of insurance development and lower country risk decrease the probability of crises, but the indirect effect of economic conditional proxies is enhanced with the likelihood of a financial crisis. The policy implication is that the government or authority should strengthen the positive role of the insurance sector in order to combat financial crises.     

Industry,market structure,and the informational content of financial statements

What distinguishes the competitive from the noncompetitive structure is the unequal and costly access to relevant information. Because of the characteristics of accounting information, we have put forward the hypothesis that the publication of the financial statements of firms belonging to competitive industries provides less information than the publication of financial statements of firms belonging to oligopolistic industries. The results of this research based on variance analysis fully support this hypothesis. According to our results, the informational content of financial statements is positively affected by the level of concentration in the particular industry.     

风雨飘摇环境下的美元汇市

在次贷危机日益恶化的背景下,美元不跌反升,出人意料。面对美国经济和信心再次转弱的可能,此次美元反弹与其说有基本面的支持,不如说靠技术面的推动。美元汇率大幅波动给世界经济带来冲击。美国政府的更迭,总是伴随各项政策的变动,从而引发美元的波动。为了避免对全球产生不利影响,美国当局有责任确保美元汇率的基本稳定,促进世界经济尽快走出衰退阴影。     

优化中国金融结构,打造开放和国际化的资本市场

要改革当前金融体系的结构性问题,就应该大力发展资本市场,改变资本市场本身结构的不合理以及充分发挥资本市场本身的特有功能,而且这已经显得刻不容缓了当前中国金融体系的结构性矛盾中国金融体系的结构问题主要体现在直接融资规模过小,间接融资规模过大,传统意义上的股票市场规模较大,创业板、场外以及债券市场等规模较小。