Inf-convolution of risk measures and optimal risk transfer

We develop a methodology for optimal design of financial instruments aimed to hedge some forms of risk that is not traded on financial markets. The idea is to minimize the risk of the issuer under the constraint imposed by a buyer who enters the transaction if and only if her risk level remains below a given threshold. Both agents have also the opportunity to invest all their residual wealth on financial markets, but with different access to financial investments. The problem is reduced to a unique inf-convolution problem involving a transformation of the initial risk measures.Received: December 2004, Mathematics Subject Classification (2000): 60G35, 91B28, 91B30, 46N10JEL Classification: C61, D81, G13, G22     

关联交易中会计信息与计税基础的趋同性研究

我国企业财务会计信息服务对象的变迁反映出会计准则中多重计量属性所引致的会计规范和税收法规在相关交易规定上存在的差异。而依据税收透明度及企业所得税法提供的相关资料两方面的要求,计税依据与会计信息指标非常必要保持一致。本文认为,关联交易会计计量与计税基础在关联关系判定标准、关联交易认定内容等方面存在差异,应该将关联关系扩大到个人,并将关联企业认定的控制标准设定为20%。     

Benefits of Downward Earnings Management and Political Connection: Evidence from Government Subsidy and Market Pricing

This paper examines the role of downward earnings management and political connection on the receipt of government subsidies and market pricing of subsidies. Using subsidies data hand-collected from Chinese listed firms over the period 2004–2014, the results show a significantly positive association between downward earnings management and the receipt of government subsidies. The results also reveal that a firm's political connection is conducive to securing subsidies for poor performers, but not for good performers. Market pricing analyses demonstrate that share markets value subsidies positively in general, but the effect is ameliorated in firms conducting downward earnings management. No discernible difference is found between the market pricing of subsidies received by firms with political connections and those without.     

Bad news does not always travel fast: evidence from Chapter 11 bankruptcy filings

This paper examines the stock price performances of 275 non‐financial, non‐utility U.S. industrial firms that continue trading on the main exchanges after filing for Chapter 11 bankruptcy between 1 October 1979 and 17 October 2005. This paper identifies a negative and statistically significant post‐bankruptcy drift that lasts for at least 6 months. This finding adds to the literature showing that the market is unable to process bad public news events in a timely manner. Further analysis suggests that the theoretical model proposed by Hong and Stein (1999) can be used to help explain this market‐pricing anomaly.     

我国上市公司融资方式选择的状况及效应分析

目前,中国上市公司的资本结构的现状呈现负债偏低、股权比例偏高的特征.形成这一特征的原因有外生性的,也有内生性的.由于资本结构的不合理,使得中国上市企业资本结构的效应较差,没有发挥应有的作用.优化中国上市公司的资本结构,应从扩大债务融资比重、规范和发展债券市场、构建风险退出机制、完善财务治理机制等方面入手.     

Information-based trade in the Shanghai stock market

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even after controlling for risk in the much-cited Fama and French [Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, XLVII, 427–465.] three-factor model. However, we also find that some of the PIN effect appears to be indistinguishable from a turnover effect.     

Legal Restrictions in Personal Loan Markets

This study examines the pricing of personal loans in the form of second mortgages to determine whether state-specific default laws have an effect on the availability and cost of that debt. We examine the pricing of loans to higher risk borrowers and whether borrowers in states that limit lender ability to seek default remedies pay higher credit costs. Our results indicate that, for the most part, lenders rationally price loans to higher risk borrowers. However, when we focus on borrowers with low credit scores, the results indicate that mean actual loan rates are higher than those predicted by our model. The results also indicate that state-specific default laws have an effect on the price of credit. Finally, the results show that there is a greater degree of error in the pricing of second mortgage loans to borrowers with low credit scores than to borrowers with high credit scores.