Disclosure of Private Information and Reduction of Uncertainty: Environmental Liabilities in the Chemical Industry

We investigate the potential uncertainty-reducing role of accounting information in the context of contingent Superfund liability valuation. We first develop theoretical arguments for the way reduction of uncertainty regarding these contingent liabilities is expected to affect security prices. Empirical proxies are developed for two types of uncertainty surrounding contingent Superfund liabilities: site uncertainty and allocation uncertainty. In a valuation framework, we then investigate whether financial statement disclosures and accruals reduce uncertainty and thereby affect security valuation. Specifically, we analyze the interaction of private information contained in firm disclosures and accruals with inherent uncertainty surrounding contingent Superfund liabilities. Results suggest that in a regulatory environment allowing substantial reporting discretion, firm-provided financial statement information affects valuation of contingent Superfund liabilities by reducing uncertainty. Further, we find that information revealed through accruals versus disclosures is differentially effective at reducing site and allocation uncertainty.     

我国证券投资基金投资风格实证研究

本文利用我国公开披露的证券投资基金收益率数据,对关于投资风格分析的夏普模型在我国的适用性进行验证分析,得出该模型对我国证券投资基金进行投资风格分析是有效的,是观察、判断管理人投资风格及其变化的一个良好工具的结论,并概括出我国证券投资基金的投资风格特点。     

资源类上市公司的价值评估方法探讨

现有“利润加储量”的评估方法应用于资源类公司仍在某些环节出现悖论。本文认为，资源类上市公司的价值构成应包括矿权重估溢价、正常开采投资收益及个别公司的超额利润。其中，采矿权重估溢价的潜在收益应是在矿权未市场化之前的资源类企业获得的特有收益，但其收益期和相应的折现期也因矿权的逐步市场化而受到采矿权有效期的限制。本文用简单模型估算了主要资源类上市公司的基本价值。     

Relative accuracy and predictive ability of direct valuation methods, price to aggregate earnings method and a hybrid approach

In this paper, we assess the relative performance of the direct valuation method and industry multiplier models using 41 435 firm‐quarter Value Line observations over an 11 year (1990–2000) period. Results from both pricing‐error and return‐prediction analyses indicate that direct valuation yields lower percentage pricing errors and greater return prediction ability than the forward price to aggregated forecasted earnings multiplier model. However, a simple hybrid combination of these two methods leads to more accurate intrinsic value estimates, compared to either method used in isolation. It would appear that fundamental analysis could benefit from using one approach as a check on the other.     

英国的非公开权益资本和风险投资

英国是欧洲风险投资和非公开权益资本的发源地。在欧洲国家中,英国的风险投资和非公开权益资本起步最早,发展也最快。从1979年算起,英国风险资本投资额和非公开权益资本增长了100多倍。2005年,在欧洲的风险投资市场上,英国的风险资本总额占欧洲风险投资额的40￣50%,在欧洲是当仁不让的“大哥大”,在世界范围内仅次于美国。本篇文章主要介绍了风险投资(VentureCapital,VC)及非公开权益资本(PrivateEquity,PE)的最新概念和从属关系以及英国的风险投资及非公开权益资本的历史、结构、规模、投资趋势、投资阶段、投资领域、地理特征、知名风险企业、投资表现等,以此从数据和分析的角度使中国的风险投资领域及非公开权益资本领域的从业人员以借鉴、启迪的作用。     

The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis-a-vis the equity markets, and reject this private information hypothesis. We also reject a liquidity hypothesis which suggests that equity markets always lead loan markets, despite bank lenders' access to private information, because of greater liquidity in equity markets. We further test, and reject, an asymmetric price reaction hypothesis that states that loan returns are more sensitive to negative information whereas equity returns respond symmetrically to both positive and negative information. We find evidence most consistent with an integrated markets hypothesis that suggests that both the equity and syndicated bank loan markets are highly integrated such that information flows freely across markets. This is particularly true when the equity market makers are also loan syndicate members.      

Market Valuation of Research and Development Spending under Canadian GAAP*

Section 3450 of the Canadian Institute of Chartered Accountants (CICA) Handbook requires Canadian firms to capitalize development costs that meet certain criteria and to expense those that relate to research. International Accounting Standard (IAS) No. 38 favours a similar approach. In the United States, Statement of Financial Accounting Standard (SFAS) No. 2 recommends the immediate expensing of all research and development (R&D) spending. The only exception is SFAS No. 86, which requires software development costs to be capitalized when a product successfully passes a technological feasibility test. Consequently, the Canadian financial disclosure regime provides a rich setting for testing the market valuation of capitalized R&D. Our primary research question asks whether capitalized R&D provides useful information to market participants investing in Canadian firms. We use price‐level and return models to assess the value relevance of capitalized R&D disclosed in the financial statements under Canadian GAAP. In line with expectations, using a price‐level model, we find that capitalized R&D and R&D expense as disclosed in the financial statements provide information that is value relevant to market participants. However, we find that R&D capitalized during the year helps explain returns while R&D expense does not. Thus we conclude that the application of section 3450 of the CICA Handbook produces value‐relevant information.     

The consequences to analyst involvement in the IPO process: Evidence surrounding the JOBS Act

The JOBS Act allows certain analysts to be more involved in the IPO process, but does not relax restrictions on analyst compensation structure. We find that these analysts initiate coverage that is more optimistically biased, less accurate, and generates smaller stock market reactions. Investors purchasing shares following these initiations lose over 3% of their investment by the firm's subsequent earnings release. By contrast, issuers, analysts, and investment banks appear to benefit from this increased bias, as optimism is more positively associated with proxies for firm visibility and investment banking revenues when analysts are involved in the IPO process.     

Value relevance of proportionate consolidation versus the equity method: Evidence from Hong Kong

Whether proportionate consolidation (PC) or the equity method (EM) provides more informative financial statements is a controversial issue. This study uses data from listed companies in Hong Kong to investigate the value relevance of the EM compared with PC during 2005–2008 when the local word-for-word equivalent HKAS 31 offered the same options. The results of this study provide evidence that PC does not offer higher value relevance than the EM. PC’s horizontal aggregation of a portion of the operations, assets and liabilities of the jointly controlled entities with those of the venturer is less informative to investors than the EM’s vertical aggregation.     

TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market‐consistent evaluation procedure which we call “two‐step market evaluation.” This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two‐step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time‐consistent and market‐consistent is a two‐step market evaluation. We also give characterization results and examples in terms of g‐expectations in a Brownian‐Poisson setting.