基于Logistic模型的物流业上市公司财务预警

从物流业104家A股上市公司中选取了60家上市公司作为样本,分别用提取主成分构建逻辑回归模型和原指标构建逻辑回归模型的方法进行财务预警研究,得出了以下结论:用聚类分析方法判断上司公司是否处于财务困境能减少误差且更具有现实意义,方便投资者做出投资决策;主成分构建的逻辑回归模型和原指标构建的逻辑回归模型预测效果并无显著差异,构建的Logistic模型预测正确性都在80%左右,预测效果良好;在以后研究物流业上市公司财务预警时,必须考虑选取主营业务收入增长率、流动资产周转率、现金债务总额比和现金流量比率四个财务指标。     

DEFINING THE GOVERNMENT'S DEBT AND DEFICIT

Although the budget deficit and the public debt feature prominently in political debate and economic research, there is no agreement about how they should be measured. They can be defined for different sets of public institutions, including the nested sets corresponding to central government, general government, and the public sector, and, for any definition of government, there are many measures of the debt and deficit, including those generated by four kinds of accounts (cash, financial, full accrual, and comprehensive), which can be derived from four nested sets of assets and liabilities. Each debt and deficit measure says something about public finances, but none tells the whole story. Each is also vulnerable to manipulation, and is likely to be manipulated if it is subject to a binding fiscal rule or target. Narrow definitions of government encourage the shifting of spending to entities outside the defined perimeter of government. Narrow definitions of debt and deficit encourage operations involving off‐balance‐sheets assets and liabilities, while broad measures are susceptible to the mismeasurement of on‐balance‐sheet assets and liabilities. Reviewing the literature on these issues, the paper concludes that governments should publish several measures of the debt and deficit in a form that clearly reveals their interrelationships.     

New evidence on the impact of financial leverage on beta risk: A time-series approach

The traditional estimation of a project’s cost of capital often requires leverage adjustments to beta. Several researchers have empirically investigated the relationship between the debt/equity ratio (D/E) and beta implied by such leverage adjustments. Typically, this has involved cross-sectional analysis of a sample of U.S. firms in selected industry classifications. The major contribution of the current study is to extend this evidence by investigating the relationship between financial leverage and beta using a time-series approach. This has several advantages over the cross-sectional approach. Our results reveal that while the estimated unlevered beta produced by the time-series approach is quite close to the theoretically implied unlevered beta, the mean difference between the two measures across our sample of 348 U.S. stocks is highly significant. The analysis also reveals that 30–40% of our full sample rejects a theoretical D/E restriction on the time-series model. Moreover, the results suggest that the restriction is much more likely to be rejected for stocks with high debt/equity ratios, which in general have low unlevered betas. Further, there is a considerable cross-sectional variation in the proportion of these rejections across industry groupings. Accordingly, these results suggest that due care needs to be applied when taking the traditional view of delevering beta risk.     

公司债务期限结构影响因素的实证分析

本文以上市公司板面数据及横截面数据为基础,利用混合时间序列回归、横截面回归和固定效果回归等方法,对影响我国上市公司债务期限结构的因素进行了实证检验。结果发现,除契约成本假说中成长机会外,绝大部分因素的检验结果与预期一致,进而验证了其适用性;经验证据不支持信息不对称假说;对税负假说相关因素的检验结果表现出不确定性;期限匹配假说得到了支持。研究还证明,具有较少自由现金流量、杠杆水平较高、规模大、受到管制和资产期限长的公司具有更多的长期债务。     

Traditional beta, downside risk beta and market risk premiums

The article develops a downside risk asset-pricing model, which is based on Conditional-VaR (Mean-shortfall) risk measure. As in the traditional model the model leads to a monetary separation and yields a CVaR beta analogous to the traditional beta. An empirical study indicates that CVaR beta, which considers also downside risk, has greater explanatory power than the traditional beta. This is especially true in the case of a bearish market. Moreover, a combined model, which uses both betas, outperforms both the traditional and the CVaR models.The results indicate that in a bullish economy, risk premiums may be partially explained by the traditional beta. However, in a depressed economy investors are most likely more concerned about downside risk, which is poorly captured by the traditional beta. This downside risk can best be captured by CVaR beta, which is based on historical data and avoids assuming any prior distribution.     

Firms’ fundamentals,macroeconomic variables and quarterly stock prices in the US

This paper modeled the effects of firms’ fundamentals such as total assets and long-term debt and of macroeconomic variables such as unemployment and interest rates on quarterly stock prices of over 3000 US firms in the period 2000–07. The merged CRSP/Compustat database was augmented by macroeconomic variables and comprehensive dynamic models were estimated by maximum likelihood taking into account heterogeneity across firms. Likelihood ratio statistics were developed for sequentially testing hypotheses regarding the adequacy of macroeconomic variables in the models. The main findings were that the estimated coefficients of lagged stock prices in simple dynamic random effects models were in the interval 0.90–0.95. Second, comprehensive dynamic models for stock prices showed that the firms’ earnings per share, total assets, long-term debt, dividends per share, and unemployment and interest rates were significant predictors; there were significant interactions between firms’ long-term debt and interest rates. Finally, implications of the results for corporate policies are discussed.     

Expectancy balance model for cash flow

Economic agents try to find out the composition of different forms of assets, and the amount of each, that maximizes total wealth. The money demanded by firms is a function of the benefits and costs of holding it considering other forms of assets. The money held in cash can be remunerated by some earning asset. Even when the money is invested in bank funds or bonds, the interest rate is usually lower than the return that the firm’s business may yield. When the firm keeps idle money in cash, the firm renounces to part of its profitability, incurring in the opportunity cost of not investing in alternatives, named Holding Cost. If the firm gives preference to other assets over cash, the balance level may be insufficient for its disbursement needs. The Shortage Cost is the price of obtaining money by other means. The Expectancy Balance Model (EBM) proposed minimizes the Total Cost (combined Holding and Shortage Costs) of maintaining and transforming money from or into other forms of assets. The EBM is an instrument of cash flow decision that deals with the demand for money by firms employing the maximizing utility of total wealth (set of assets) rule.     

基于增量与流量关系的企业财务状况动态研究——总资产增加的原因与结构分析

企业财务分析的核心是对于财务状况的分析。影响财务状况的变量包括资产负债存量及其变化所引致的增量,现金流量和收入费用流量是导致增量的本质因素。本文分析了增量与流量之间存在的各类关系,并着重从总资产增加的原因与结构上进行了探讨。     

基于债务约束的自由现金流过度投资问题研究

自由现金流理论认为,当企业存在大量自由现金流时,管理者倾向于过度投资。债务控制是降低因自由现金流引起的代理成本的有效方法之一。模型检验发现,我国制造业上市公司并不显著存在自由现金流量的过度投资行为;债务约束效应在我国没有发挥应有的作用。     

An adjustment procedure for predicting systematic risk

This paper looks at the currently available beta adjustment techniques and suggests a multiple root-linear model to adjust for the regression tendency of betas. Our empirical investigate on indicates that cross-sectional betas are not normally distributed, but their distribution tends to normal after a square-root transformation. The evidence from the Box-Cox regression model and the multivariate normality observed among betas after the transformation, make the functional form of our model correct. Also, we observe that the disturbance term of the multiple root-linear model is well behaved. These findings make the ordinary least squares estimates unbiased and efficient. Finally, the mean square and extreme errors are found to be lower when our adjustment procedure is used vis-à-vis the existing procedures.     

What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research

This article is a survey of the covered bond market with a focus on recent developments in the U.S. Covered bonds are debt obligations secured by a pool of assets, usually consisting of residential mortgages or other public debt. The covered bond asset pool is ring-fenced, dynamically managed, and remains on the balance sheet of the issuer. The issuer replaces non-performing assets and maintains a minimum overcollateralization level. U.S. lawmakers, regulators, and financial institutions are currently working toward jump-starting a market for U.S. issued covered bonds. Recent academic research has focused on the determinants of covered bond spreads and whether these instruments can become an alternative source of mortgage financing in the U.S.     

The control hypothesis and recurring versus accumulated free cash flow

This paper offers and investigates the hypothesis that managers are motivated to control accumulated free cash flows, as well as to control the recurring component from operations as suggested in Jensen's (1986, 1988) theory on agency behavior and control. Such managers may be willing to sacrifice a portion of the recurring component of free cash flow in the form of additional interest expense, as well as to incur the additional monitoring by capital markets, in exchange for control over a greater level of accumulated free cash flow in the form of cash and equivalents. Partial support for this hypothesis is observed for a sample of acquisition targets possessing poison pill defenses, which enhances the likelihood of the required agency behavior. Target firms are observed to have above-average levels of capital expenditures, cash and equivalents, and debt. When regressed on premiums offered to target shareholders, however, only the target debt level is found to be significant.     

REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures extract information about the current levels of volatilities and correlations from high‐frequency data, which is particularly useful for modeling financial returns during periods of rapid changes in the underlying covariance structure. When applied to market returns in conjunction with returns on an individual asset, the model yields a dynamic model specification of the conditional regression coefficient that is known as the beta. We apply the model to a large set of assets and find the conditional betas to be far more variable than usually found with rolling‐window regressions based exclusively on daily returns. In the empirical part of the paper, we examine the cross‐sectional as well as the time variation of the conditional beta series during the financial crises. Copyright © 2014 John Wiley & Sons, Ltd.     

Bond risk, bond return volatility, and the term structure of interest rates

This paper explores the time variation in the bond risk, as measured by the covariation of bond returns with stock returns and consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yields on long- and short-term bonds forecasts future excess returns on bonds at varying horizons positively; in addition, the short-term nominal interest rate forecasts both the stock return volatility and the exchange rate volatility positively. This paper presents evidence that movements in both the short-term nominal interest rate and the yield spread are positively related to changes in the subsequent realized bond risk and bond return volatility. The yield spread appears to proxy for business conditions, while the short rate appears to proxy for inflation and economic uncertainty. A decomposition of bond betas into a real cash flow risk component and a discount rate risk component shows that yield spreads have offsetting effects in each component. A widening yield spread is correlated with a reduced cash-flow (or inflationary) risk for bonds, but it is also correlated with a larger discount rate risk for bonds. The short rate only forecasts the discount rate component of the bond beta.     

Financial Constraints on German Firms after the Crisis: Evidence from Threshold Panel Estimation

This article studies the existence and magnitude of financial investment constraints in Germany between 2006 and 2012 with a special emphasis on small and medium‐sized firms. The core contention is that the sensitivity of the investment rate to the cash flow rate is a function of a firm's financial position contributing to its access to external finance. The application of a nonlinear panel threshold model reveals that the marginal effect of the cash flow rate on the investment rate is almost twice as strong for ‘high debt’ firms compared to ‘low debt’ firms. This result holds for six out of seven balance sheet threshold variables. For a single specification, the results reveal a non‐monotonic relationship between the cash flow rate and investment rate. Firm size, however, does not explain differences in the cash‐flow‐investment nexus.     

金融资产配置、金融杠杆与现金流风险

金融资产会计安排是企业执行金融工具准则的重要环节,具有显著的经济后果。基于实体企业金融化现象,研究金融资产配置与现金流风险关系,分析金融杠杆的调节功能,探讨非效率资本配置的传导作用,研究发现：金融资产配置与现金流风险之间存在U型关系;金融杠杆能够调节金融资产配置与现金流风险的关系,使关系曲线拐点右移与扁平化。区分金融资产配置类型后发现：交易类金融资产与现金流风险呈U型关系;委托贷款等新兴金融资产负向影响现金流风险;投资性房地产和长期金融股权投资未显著影响现金流风险。考虑企业生命周期后发现,成长期与衰退期企业金融资产配置与现金流风险呈U型关系,成熟期企业金融资产配置负向影响现金流风险;按照产权性质分组检验发现,金融资产配置与现金流风险的关系以及金融杠杆的调节效应在非国有企业中更显著;机制检验发现,非效率资本配置在金融资产配置影响现金流风险的过程中发挥中介作用。     

The consequences of pandemic-driven inequality

• ▀ According to our analysis, the Covid-19 pandemic is likely to exaggerate global inequality, leading to more aggregate debt among lower earners and higher savings for those at the top. The surge in savings will raise demand for safe assets, which would put downward pressure on long-term government bond yields - already depressed from a chronic shortage of safe assets.
• ▀ Historically, pandemics can trigger a rise in inequality, even over medium-term periods. Pandemics damage confidence in using in-person services, which disproportionately exposes low-skilled work to displacement. A unique feature of this pandemic is that the ability to work from home is proving a key factor in determining job losses - those that can are typically in higher paid jobs.
• ▀ The poorest households spend more of their income on essentials such as housing and basic food. When their incomes fall, they still have to spend on these essentials and so are often forced to take on debt. Conversely, the richest often consume near maximum capacity, so any additional income goes into savings to support future consumption.
• ▀ Higher aggregate savings would, all else equal, drive up demand for safe assets and therefore lower interest rates. Other factors such as weak nominal GDP growth, demographics and a chronic shortage of safe assets will also contribute to keeping yields depressed over the next five years.

     

公司发行可转换债券融资的动机分析

公司使用可转换债券筹集外部资金既是作为普通债券的替代,增加转换特性来降低利息率从而保持现金流量,也是转换条款建立“延迟股权”,通过转换,以高于现行股票的价格出售。本文研究发现,公司发行可转换债券是为了减少由于股东和管理者以及股东和债权人之间冲突所引起的代理成本;为了降低由发行普通债券带来的高额预期财务危机成本和普通股发行中经常出现的严重负面公告效应;以及在投资者和管理者对公司面临的风险认识不同时,使其价值不易受公司风险变化的影响。     

Managerial Compensation and Capital Structure

We investigate the interaction between financial structure and managerial compensation and show that risky debt affects both the probability of managerial replacement and the manager's wage if he is retained by the firm. Our model yields a rich set of predictions, including the following: (i) The market values of equity and debt decrease if the manager is replaced; moreover, the expected cash flow affirms that retain their managers exceeds that affirms that replace their managers, (ii) Managers affirms with risky debt outstanding are promised lower severance payments (golden parachutes) than managers affirms that do not have risky debt. (Hi) Controlling for firm's size, the leverage, managerial compensation, and cash flow of firms that retain their managers are positively correlated, (iv) Controlling for the firm's size, the probability of managerial turnover and firm value are negatively correlated, (v) Managerial pay-performance sensitivity is positively correlated with leverage, expected compensation, and expected cash flows.