Market-Consistent Valuation and Funding of Cash Balance Pensions

Cash balance pension benefits are accumulated at guaranteed crediting rates, usually based on yields on government securities. Viewed as a financial liability, the benefit is a form of interest rate derivative, which can be valued using financial models and theory. In this article, we derive the market value for a range of commonly used crediting rates, assuming the accrued benefit liability comprises the past contributions, allowing for full interest credits up to a known future retirement date. We use the Hull-White interest rate model to determine crediting rates and to determine the market value. We explore the risks associated with different crediting rate choices by evaluating the liability using market data from 1998 to 2013. We propose two other approaches to the accrued benefit. The first approach assumes the accrued benefit comprises past contributions with interest up to the valuation date, but no future interest credits. Future credits on past contributions are assumed funded through future contributions. The second method projects all contributions and interest to retirement and assumes equal units of accrual of this projected benefit in each year of service. We compare the three approaches through numerical examples.     

Advertising intensity,investor recognition,and implied cost of capital

The main purpose of this paper is to test Merton’s (J Finance 42(3):483–510, 1987) hypothesis that better investor recognition is correlated with lower expected returns. We measure investor recognition with the firms’ advertising intensity and offer consistent evidence that higher advertising intensity is associated with lower implied cost of capital, as derived from Value Line target prices and dividend forecasts. Investor recognition plays an important role in attracting investors, improving liquidity, and ultimately reducing the cost of capital. The findings shed light on the capital market implications of advertising expenditures and complement the extant research on investor recognition.     

Wealth transfer through private placements: Evidence from China

We examine private issuance of public equity (PIPE) in China, and our results suggest that PIPE investors benefit from the price manipulation before and after issuance. These investors tend to cash out after lockup expiration and make large profits. We also find evidence that the trading of PIPE investors after lockup expiration is informed. Tests about the abnormal returns in the 3 years after lockup expiration suggest that at least part of the benefits PIPE investors receive come from wealth transfer from outside investors. Overall, PIPE issuers in China seem to use an opaque mechanism to compensate PIPE investors.     

Do regulations limiting management influence over auditors improve audit quality? Evidence from China

We use data from China to examine whether regulations that limit management influence over auditors improve audit quality. China’s State-owned Assets Supervision and Administration Commission of the State Council (SASAC) issued two rules in 2004 aimed at improving audit quality for state-owned enterprises ultimately controlled by the central government (CSOEs). These rules limit management influence over auditors by mandating that SASAC assign auditors for CSOEs and by requiring management to retain auditors for at least 2 years and at most 5 years. Since these rules apply only to CSOEs, we use a difference-in-difference design to study the impact of these regulations on audit quality. We find that audit quality for CSOEs relative to other companies improves after the enactment of these rules. Our results are robust to a battery of sensitivity analyses. Our findings suggest that limiting management influence over auditors helps improve audit quality.     

我国"油井管工程"标准化进展

阐述了“油井管工程”的概念和内涵,对中国“油井管工程”标准化的现状、进展和发展方向作了概述、指出．“油井管工程”是合理使用油井管的系统工程,“油井管工程”标准化是以标准来规范管柱设计验证、选择和评价、采购、检验、使用和维修等过程,以保证;由井管使用的安全可靠性;现场作业标准是“油井管工程”的重要内容,目前国内油井管等同、等效采用API．ISO标准,产品标准较齐全,但仍存在新型管材标准缺乏等一些问题、发展我国“油井管工程”标准化．应以等同采用API．ISO油井管标准、发展特殊螺纹产品标准为重点,制定并不断完善我国“油井管工程”标准体系、为此．要跟踪研究国内外油井管工程技术现状和发展,结合现场实际工况条件制定附加技术条件的规范或标准,使标准体系适应油田开发发展。     

大学生应确立终身体育意识

培养终身体育意识和能力,是我国学校体育发展的最终目标。本文从大学生终身体育意识的确立与人的发展;体育兴趣对终身体育意识的形成;高校体育与终身体育发展等多种因素,提出了:宣传体育时尚培养体育兴趣;大学生体育消费意识;从需要的角度出发确立教材内容,逐步建立终身体育教育体系的基本发展对策。     

Implementing Fischer Black's Simple Discounting Rule

Corporate managers typically estimate the value of capital projects by discounting the project's expected future net cash flows at the cost of capital. The capital asset pricing model (CAPM) is generally used to estimate that cost. But, as anyone who has worked on the finance or business development staff of a public company can attest, there are major challenges in applying the CAPM, including largely unresolved questions about what constitutes the “market portfolio,” how to estimate market risk premiums, and how to estimate the betas of projects. In a short article published in Financial Management in 1988, Fischer Black proposed a valuation “discounting rule” that avoids all these problems—one that involves discounting a relatively certain (as opposed to an expected or average) level of operating cash flows at the risk-free rate. But Black's article does not address the question of how to calculate these “certainty equivalent” or “conditional” cash flows. In this article, the authors propose a way of implementing Black's rule that involves estimating the “conditional” cash flows in a three-step procedure:

• • Find a benchmark security that correlates with the project's cash flows;
• • Estimate the percentiles of the distribution in which the benchmark return equals the risk-free rate over different investment horizons;
• • Use information from corporate managers to assess the cash flows that define the same percentiles in the cash flow distributions.

As the authors point out, the virtue of Black's rule is that it shifts the focus of the analyst away from the assessment of discount factors and puts it squarely on the more challenging, and arguably more relevant, problem of estimating the project's cash flows.     

改进的沾滴法测量缓蚀剂预膜厚度

分析了传统沾滴法测量预膜厚度存在的问题,对原有的方法进行了改进,使用自制实验装置采用改进后的沾滴评价法测试分析了不同材质、不同管径管件的平均预膜厚度。结果表明,不同材质的管材表面吸附能力不同,导致管件平均预膜厚度相差较大,其中铜管的平均预膜厚度最大(0.05mm左右),碳钢管的平均预膜厚度最小(0.013mm左右);而管径对管件平均预膜厚度的影响很小。实验所得结果与同位素示踪法测定膜厚结果较吻合,从而说明改进后的沾滴评价法是一种室内评价管件平均预膜厚度的有效方法。     

The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares

We develop a non-linear Markov error correction approach to examine the general co-integration relation between the H- and A-prices of cross-listed Chinese stock issuers across the period January 1999 to March 2009. We unravel three important dimensions of this relation. These pertain to (i) the long-run expectation of the H- (to A-price) discount; (ii) the level of short-run co-movement in prices; and (iii) the magnitude of error corrections. Findings point to significant improvements in all three areas. Policy and corporate governance change appears to be the principal force driving the efficiency gains. Weakening informational asymmetries underlie much of the change in the markets’ relative pricing. In contrast, sentiment effects strongly underpin the contemporaneous response and error correction adjustments. Finally, the escalating Global Financial Crisis of 2008 appears to have not only bolstered the A- and H-markets’ short-term pricing dynamic but also temporarily increased the long-term H-share discount.     

Liquidity, analysts, and institutional ownership

In this paper, we investigate the empirical relationship between institutional ownership, number of analysts following and stock market liquidity. We find that firms with larger number of financial analysts following have wider spreads, lower market quality index, and larger price impact of trades. However, we find that firms with higher institutional ownership have narrower spreads, higher market quality index, and smaller price impact of trades. In addition, we show that changes in our liquidity measures are significantly related to changes in institutional ownership over time. These results suggest that firms may alleviate information asymmetry and improve stock market liquidity by increasing institutional ownership. Our results are remarkably robust to different measures of liquidity and measures of information asymmetry.