高新技术企业融资方式、治理结构与技术创新能力关系研究

高新技术产业的发展对全球经济产生了重要的推动作用,但对于高新技术企业而言,制约其发展的一个重要障碍就是融资问题。风险投资是一种特殊的投资形式,与传统的债务融资对比,风险投资不仅为企业提供必要资金,还会参与企业的内部管理,对企业的治理结构产生影响,进而影响企业的技术创新能力。     

No-Arbitrage ROM simulation

Ledermann et al. (2011) propose random orthogonal matrix (ROM) simulation for generating multivariate samples matching means and covariances exactly. Its computational efficiency compared to standard Monte Carlo methods makes it an interesting alternative. In this paper we enhance this method׳s attractiveness by focusing on applications in finance. Many financial applications require simulated asset returns to be free of arbitrage opportunities. We analytically derive no-arbitrage bounds for expected excess returns to be used in the context of ROM simulation, and we establish the theoretical relation between the number of states (i.e., the sample size) and the size of (no-)arbitrage regions. Based on these results, we present a No-Arbitrage ROM simulation algorithm, which generates arbitrage-free random samples by purposefully rotating a simplex. Hence, the proposed algorithm completely avoids any need for checking samples for arbitrage. Compared to the alternative of (potentially frequent) re-sampling followed by arbitrage checks, it is considerably more efficient. As a by-product, we provide interesting geometrical insights into affine transformations associated with the No-Arbitrage ROM simulation algorithm.     

现行电算化会计档案管理之我见

随着会计电算化事业的不断发展,各类企业事业单位大多数已经实现了会计电算化,但实现电算化后的档案管理却没能引起足够的重视,存在着不同程度的问题。那么,怎样做好会计电算化下的会计档案管理工作,是摆在我们面前的新问题。     

Non-parametric estimation of historical volatility

Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial time series. A new non-parametric procedure for estimating historical volatility is proposed based on local maximum likelihood estimation for the t-distribution. The performance of this procedure is assessed using simulated and real price data and is found to be the best among estimators we consider. We propose that it replaces the moving variance historical volatility estimator.     

The impact of opacity on bank valuation during the global financial crisis: A channel analysis

Prior literature suggests that opacity in the banking industry is mainly caused by a lack of informativeness in the assessment of the quality of bank assets. Examining a sample of bank holding companies in the United States, we find that there is a negative relationship between opacity and bank valuation during the 2007–2009 global financial crisis. We further attempt to identify two potential channels through which opacity negatively affects bank valuation during the financial crisis: a cash flow channel and an expected return channel. We show that one channel flows from bank profitability, measured by return on equity and return on assets, confirming a cash flow channel, whereas an expected return channel, proxied by the implied cost of capital, only works for small banks. Overall, this study sheds light on the relationship between in-transparency and bank value discount during a global recession.     

基于省域面板数据模型的金融集聚影响因素研究

利用联合面板数据模型,从金融集聚驱动机制角度出发,实证研究表明:信息不对称、规模经济和政府政策对金融集聚都具有显著性影响,其中信息自由流动和规模经济对金融集聚影响效应远高于政府政策效应,从而表明我国金融集聚程度提高转向依靠市场力量来驱动.其中,东部地区对信息不对称的依赖程度较大,中部地区金融集聚程度主要依靠政府政策来驱动,而西部地区由于经济基础落后,受信息不对称影响较大.     

Knowledge transfer costs and dependence as determinants of financial reporting

Abstract This paper examines the circumstances in which financial reporting exists. Jensen and Meckling (1995 ) observe that where there are high knowledge transfer costs, then decentralisation is necessary; and that where decentralisation occurs there is a control problem, which can be addressed by providing a control system. I predict that where there are high knowledge transfer costs there will be a control system; if the control system uses financial reports, these will occur for activities with high knowledge transfer costs. The ability to decentralise is reduced where dependence makes it potentially costly to allow a subordinate to make decisions about the activity. The paper predicts that high dependence will be negatively associated with the existence of financial reports. The results confirm the predictions that financial reports are positively associated with knowledge transfer costs and negatively associated with dependence.     

Bank earnings management and performance reporting of comprehensive income

FASB’s ASU 2011-05 mandated that comprehensive income (CI) and other comprehensive income (OCI) be reported in performance statements (a single income statement or a separate statement of CI) rather than equity statements. Employing a difference-in-differences research design with ASU 2011-05 as the treatment, I find that presenting accounting information in different statements affects bank earnings management, specifically, presenting CI and OCI in performance statements (especially in single-statements with net income) reduces earnings management through selective sales of available-for-sale (AFS) securities in the banking industry. I also find that the influence of ASU 2011-05 is primarily on banks with high equity incentives in the CEO’s compensation package or less CEO job security. Additional analyses suggest that performance reporting of CI and OCI increases the predictive ability of realized gains and losses of AFS securities; however, banks may manage loan loss provision as a substitute strategy when they have to decrease selective sales of AFS securities.     

互联网金融监管的政治经济学分析

近年来,我国互联网金融蓬勃发展。面对各种互联网金融业态争相涌现,政府采取了较为积极的态度,但在2014年“两会”后则加强了对互联网金融发展的监管,以防范金融风险,维护金融安全。本文从政治经济学的角度来分析互联网金融的监管问题,指出如果放任互联网巨头开展互联网金融,可能会导致互联网超额利润和金融超额利润的叠加,从而引起新的社会不公。因此,政府需要加强对互联网金融的监管,鼓励有序竞争,促进互联网金融的健康发展。     

Pricing U.S. Dollar Index Futures Options: An Empirical Investigation

This paper develops a pricing model and empirically tests the pricing efficiency of options on the U.S. Dollar Index (USDX) futures contract. Empirical tests of the model indicate that the market consistently overprices these options relative to the derived model. This overpricing is more pronounced for out‐of‐the‐money options than for in‐the‐money options and more pronounced for put options than for call options. To validate the above results, delta neutral portfolios are created for one‐ and two‐day holding periods and consistently generate positive arbitrage profits, indicating that on average the market overprices the options on the USDX futures contracts.