Market Timing and Managerial Portfolio Decisions

This paper provides evidence that top managers have contrarian views on firm value. Managers' perceptions of fundamental value diverge systematically from market valuations, and perceived mispricing seems an important determinant of managers' decision making. Insider trading patterns shows that low valuation firms are regarded as undervalued by their own managers relative to high valuation firms. This finding is robust to controlling for noninformation motivated trading. Further evidence links managers' private portfolio decisions to changes in corporate capital structures, suggesting that managers try to actively time the market both in their private trades and in firm‐level decisions.     

财富约束、市场时机与融资行为的实验研究——优序融资和市场择时理论的行为元素提炼

本文使用实验经济学的方法研究了匿名交易市场中的融资行为,并检验了不同财富约束条件下融资啄序和市场择时理论的预测能力。在行为元素的提炼过程中,市场择时理论的预见在财富约束程度小于50%时得到了支持,此时行为人会根据市场时机选择最有利的融资方式;而融资啄序理论在财富约束程度大于50%时得到了验证。本文还发现人们的融资行为有较强的策略性合作倾向,受到收益波动程度的调节作用;融资方的二阶信念对他的风险态度与决策有部分中介效应。     

中国上市公司融资选择的市场时机效应——基于股票换手率和股票收益的实证检验

自从市场时机资本结构理论提出以来，国内外学者从理论的解释能力和实用性等方面对这一新兴融资决策理论进行了大量研究，并得出许多有意义的结论。然而目前的实证检验主要基于市值账面比（M／B）指标作为市场时机代理变量，这一指标引起学者们很大争议，研究结论缺乏可靠性。本文根据我国资本市场实际特征选择股票换手率作为市场时机代理变量，实证检验了市场时机与外部融资方式选择的关系，同时引入股票收益变量检验市场时机对资本结构动态变动的综合影响。研究结论显示，换手率在企业权益融资中具有重要作用，换手率较高时企业选择发行更多的股权融资，股票换手率和股票收益均对资本结构变动具有显著的负向影响。这表明我国上市公司确实存在着融资选择的市场时机效应。     

Investment Strategies and Market Structure: An Empirical Analysis of Bank Branching Decisions

This paper analyzes the relationship between the competitive environment faced by depository institutions and the decisions these institutions make regarding the size of their branch networks. Specifically, we consider branches as a sunk investment that potentially increases utility for consumers and examine how local competition and product differentiation affect firms’ decisions regarding whether to make such investments. We account for endogenous market structure using an equilibrium structural model, which corrects for bias caused by correlation in the unobservables associated with market structure and branching activity. We estimate the model using data from 1,882 concentrated rural markets. Our results demonstrate the importance of accounting for market structure and product differentiation, and are consistent with a potential entry-deterring effect of bank branch investments.     

碳金融市场发展路径研究

碳金融交易市场作为发展低碳经济的前沿领域,国外的发展远远走在了前列。本文从碳金融市场基本组成要素入手,探讨了构建碳金融市场必须注重的问题和合理路径。提出在借鉴西方经验的基础上,依据国内金融发展的主、客观条件,切实加强和完善金融市场的基础建设,多方入手来发展碳金融市场。     

关于推行廉租房REITs融资模式的SWOT分析

本文利用SWOT模型对廉租房REITs融资模式的优缺点、面临的机遇和威胁进行了系统分析,提出推行廉租房REITs融资将对目前廉租房建设资金短缺、商品住宅价格非理性上涨等问题起到缓解作用.本文建议相关的法律和配套政策应该及时地推出,同时应加快人才培养以及提高资产池收益率.     

经营负债杠杆与金融负债杠杆效应的差异性检验

本文将企业的负债划分为经营负债与金融负债,以2001—2005年期间沪深两市A股上市公司为样本,比较检验了经营负债杠杆与金融负债杠杆对公司创值能力和成长性影响的差异性。结果发现:①经营负债杠杆比金融负债杠杆对公司的创值能力和成长性产生更大更显著的积极效应,即拥有更多的经营负债更能提升公司的创值能力和成长性;②两种负债的杠杆效应均存在"规模效应",即公司的规模越小,杠杆效应越强;③金融负债杠杆与经营负债杠杆具有显著的互补性,即随着金融负债杠杆比率的增加,经营负债杠杆效应会显著增强;反之亦然。显然,本文的研究结论对企业制定其负债安排策略具有一定的启示意义。     

Capital Structure and the Market for Corporate Control: The Defensive Role of Debt Financing

A capital structure theory based on corporate control considerations is presented. The optimal debt level balances a decrease in the probability of acquisition against a higher share of the synergy for the target's shareholders. This leads to the following implications: (i) the probability of firms becoming acquisition targets decreases with their leverage, (ii) acquirers' share of the total equity gain increases with targets' leverage, (iii) when acquisitions are initiated, targets' stock price, targets' debt value, and acquirers' firm value increase, and (iv) during the acquisition, target firms' stock price changes further; the expected change is zero and the variance decreases with targets' debt level.     

An Analysis of Accounting Frauds and the Timing of Analyst Coverage Decisions and Recommendation Revisions: Evidence from the US

This paper provides a comprehensive exploration of the types of accounting fraud committed by firms over the period 1995–2009. Using detailed data from US SEC Accounting and Auditing Enforcement Releases (AAER), we examine the likelihood and timing of analyst coverage decisions and recommendation revisions related to fraud firms versus firms without accounting fraud. We find that analysts have a higher probability of taking the more severe action of dropping coverage rather than only revising down recommendations for firms with any type of accounting fraud and also for specific egregious types of accounting fraud. Through the use of competing hazards models, we also find that accounting frauds and their egregiousness are positively (negatively) associated with the timeliness of the analysts’ action to drop coverage (revise only). Overall, we find that analysts’ actions may be useful in determining the occurrence of accounting fraud prior to the public announcement of the fraud.     

以地融资、地方债务与杠杆——地方融资平台的土地抵押分析

中国的高经济杠杆率和地方债务风险受到广泛关注,目前较少研究地方债务中的银行贷款,而地方融资平台的土地抵押贷款是其中重要的融资来源。本文首次利用爬虫工具获取了中国土地市场网上的土地抵押数据,并且搜集了地方融资平台名单,通过对比融资平台和非平台公司的土地抵押信息,发现地方融资平台在抵押金额和抵押率上,都显著高于非融资平台的土地抵押。我们进行了各种稳健性检验,通过采用PSM方法,降低样本选择偏误,发现结果是稳健的。此外,本文还探究了背后的政治经济学因素,发现中西部的抵押金额和抵押率显著高于东部;未到期的城投债存量越大,土地抵押越大;地方政府的经济增长压力越大,土地抵押也越大。这一定程度上意味着,融资平台获得的土地抵押较高,是出于地方政府强烈的举债动机和对信贷市场的干预,导致信贷资源的无效率配置。即使是土地抵押这种相对来说风险较小的融资渠道,依然可能蕴含着地方债务风险,这也为地方债务融资的抵押率高提供了证据。     

Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market

We use statistical model selection criteria and Avramov's (2002) Bayesian model averaging approach to analyze the sample evidence of stock market predictability in the presence of model uncertainty. The empirical analysis for the Swiss stock market is based on a number of predictive variables found important in previous studies of return predictability. We find that it is difficult to discard any predictive variable as completely worthless, but that the posterior probabilities of the individual forecasting models as well as the cumulative posterior probabilities of the predictive variables are time-varying. Moreover, the estimates of the posterior probabilities are not robust to whether the predictive variables are stochastically detrended or not. The decomposition of the variance of predicted future returns into the components parameter uncertainty, model uncertainty, and the uncertainty attributed to forecast errors indicates that the respective contributions strongly depend on the time period under consideration and the initial values of the predictive variables. In contrast to AVRAMOV (2002), model uncertainty is generally not more important than parameter uncertainty. Finally, we demonstrate the implications of model uncertainty for market timing strategies. In general, our results do not indicate any reliable out-of-sample return predictability. Among the predictive variables, the dividend-price ratio exhibits the worst external validation on average. Again in contrast to AVRAMOV (2002), our analysis suggests that the out-of-sample performance of the Bayesian model averaging approach is not superior to the statistical model selection criteria. Consequently, model averaging does not seem to help improve the performance of the resulting short-term market timing strategies.     

Momentum Profitability and Market Trend: Evidence from REITs

This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.

The Riskiness of REITs Surrounding the October 1997 Stock Market Decline

Real estate investment trusts (REITs) are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides an excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was about one-half as large as the decline of non-REIT stocks. Additionally, market uncertainty on the event day was shown with an increased bid-ask spread for all stocks. On the following day when the market decline was partially reversed, the bid-ask spreads continued to increase for non-REIT stocks, but declined for REIT stocks. This suggests that REITs, like defensive stocks in general, are less prone to significant declines during market-wide disturbances. Also, we order stocks based on the standard deviation measures of risk and show that this risk measure explains the cross-section of returns for non-REITs but is not valid for REITs.     

The Role of Investment,Financing and Dividend Decisions in Explaining Corporate Ownership Structure: Empirical Evidence from Spain

This paper analyses the determinants of ownership structure by focusing on the role played by investment, financing and dividend decisions. The use of the Generalised Method of Moments allows us to provide new evidence on this important corporate governance topic, since it controls for the endogeneity problem. Our most relevant findings show that: i) increases in debt lead insiders to limit the risk they bear by reducing their holdings; ii) monitoring by large outside owners substitutes for the disciplinary role of debt; and iii) both inside and outside owners are encouraged to increase their stakes in the firm in view of higher dividends. Our results hold after controlling for equity issues and share repurchases.     

Corporate Governance and Performance in the Market for Corporate Control: The Case of REITs

We examine 132 mergers and acquisitions by Real Estate Investment Trusts (REITs) during 1997–2006 and explore the relationship between acquirer external and internal corporate governance mechanisms and announcement abnormal returns. We argue that in regulated industries with absent active takeover market, the importance of outside governance mechanisms is diminished and substituted by internal governance controls. We focus on the REIT industry. We find that bidder returns are higher for REITs with smaller boards, with more experienced CEOs, but with shorter tenure. Acquirers’ announcement returns are also significantly and positively related to higher ownership by their CEOs and board directors. We find no significant relationship between presence of staggered board and abnormal bidder returns, which supports our hypothesis that anti-takeover defense measures have reduced importance for REITs.     

Market Statistics and Technical Analysis: The Role of Volume

We investigate the informational role of volume and its applicability for technical analysis. We develop a new equilibrium model in which aggregate supply is fixed and traders receive signals with differing quality. We show that volume provides information on information quality that cannot be deduced from the price statistic. We show how volume, information precision, and price movements relate, and demonstrate how sequences of volume and prices can be informative. We also show that traders who use information contained in market statistics do better than traders who do not. Technical analysis thus arises as a natural component of the agents' learning process.     

Debt Financing and Earnings Management: An Internal Capital Market Perspective

This paper investigates the role internal capital markets play in mitigating earnings management of group firms. We predict that the funding advantages of internal capital markets from business affiliates obscure solvency problems resulting from higher leverage for individual firms within a group, which in turn mitigates their incentives for earnings management. Using Taiwanese firms as a sample, we provide evidence that is consistent with such a prediction. In particular, we show that higher group profitability reduces its member firms’ sensitivity of earnings management to debt levels. Among business groups, earnings management in pyramidal groups is less sensitive to debt levels. We also find that the debt‐abnormal accrual curve becomes smoother as group profitability increases when considering the non‐monotonic relationship between firm leverage and earnings management.     

Disequilibrium Structures and Financing Decisions in the Firm

The business firm confronts interdependent decision problems in production, investment, and finance. Emphasis is here placed on the firm's decision criteria in disequilibrium situations or at infra-optimum structural planning and decision points. The operative cost of capital is shown to be 'the full marginal cost of relaxing the money capital availability constraint'. The popular 'weighted average cost of capital' is shown to be an 'equilibrium datum' which has operative significance only at optimum structural positions. It does not offer adequate guidance to financing and investment decisions in disequilibrium situations.     

Capital Budgeting versus Market Timing: An Evaluation Using Demographics

Using demand shifts induced by demographics, we evaluate capital budgeting and market timing. Capital budgeting implies that industries anticipating positive demand shifts in the near future should issue more equity to finance greater capacity. To the extent that demand shifts in the distant future are not incorporated into equity prices, market timing implies that industries anticipating positive shifts in the distant future should issue less equity due to undervaluation. The evidence supports both theories: new listings and equity issuance respond positively to demand shifts during the next 5 years and negatively to demand shifts further in the future.