审计师收取客户债务风险溢价了吗?

已有研究发现,公司债务风险越高,审计师收取的审计费用越高;然而,审计费用提高的原因可能是审计投入的增加,也可能是审计师收取客户公司的债务风险溢价。由于缺少审计投入的数据,已有研究无法回答审计师是否收取客户公司债务风险溢价的问题。本文以我国A股上市公司为研究样本,运用我国独到的审计工时数据,就此展开相关问题研究。研究发现,在控制了审计投入之后,客户债务风险与审计费用显著正相关,表明审计师收取了客户公司的债务风险溢价。进一步研究表明,审计师对财务状况较差和治理较差的公司以及非国有企业收取更高的债务风险溢价,规模较小的会计师事务所收取的债务风险溢价高于规模较大的会计师事务所。     

居民风险偏好与中国货币政策的宏观经济效应——基于DSGE模型的数量分析

当前,我国宏观经济形势复杂多变,货币政策实施效果的影响因素随之呈现多样化特征。在此背景下,本文试图以风险偏好为研究视角,对我国居民风险偏好水平变动与货币政策宏观经济效应之间的关系进行分析。本文以标准新凯恩斯模型为基础,构造符合我国宏观经济现实特征的DSGE(动态随机一般均衡)模型,并对转型时期的最优混合型货币政策规则进行研究;为进一步强调货币在中国宏观经济波动中所扮演的重要角色,模型中引入消费和实际货币余额不可分的跨期效用函数形式。研究结果表明:(1)包含名义货币增长的混合型泰勒规则拟合我国转型时期的货币政策规则效果最佳,因此货币供应量仍是重要的政策工具;(2)与可分性模型相比,不可分模型拟合我国宏观经济现实特征的效果更优。在不可分效用函数下,与货币供应量相关的实际货币余额将影响经济的产出缺口和通货膨胀,使得居民风险偏好成为决定货币政策效果的重要因素。具体而言,当居民风险偏好水平上升时,货币政策对我国宏观经济波动的影响随之增强。因此,在选择货币政策实施时点上,应充分考虑市场中的风险偏好情况,从而更好地发挥货币政策调控宏观经济的职能。     

国家治理视域下科技伦理审查的制度路径

为应对科学研究活动可能产生的伦理道德问题,我国建立起以伦理审查委员会为主体的伦理审查制度。由于制度安排及体制机制存在先天不足与运行梗阻,运行中针对审查权缺乏有效监管,伦理审查未能达到预期风险防范效果,反而屡屡曝出有违伦理道德的学术丑闻。分析科技伦理审查的价值以及伦理审查制度安排的不足,最后提出,基于伦理审查较强的公权属性与公益目标价值,应以确立“风险预防”为核心的更加审慎的审查原则,优化审查主体建制模式,强化对伦理审查的监督与制约,以及加快伦理审查统合性立法进程,作为伦理审查制度完善走向,为科技发展扎紧伦理“篱笆”,推动科学技术“向善”良性发展。     

中国企业海外并购溢价决策影响因素实证分析

以主并企业为研究对象,结合信息不对称理论、行为金融理论和企业国际化理论等,构建分析框架并实证检验了中国上市公司海外并购溢价决策的影响因素。研究结果显示:信息不对称程度是影响中国上市公司海外并购溢价决策的基本因素,海外并购高溢价在一定程度上属于我国企业"走出去"交纳的"学费";企业高管的自利与过度自信心理特征会放大并加剧中国上市公司的海外并购溢价程度;高国际化程度能有效抑制中国上市公司的海外并购溢价水平。     

关于建立新常态下的资信评估体系的研究

中国的资信评级业已有20多年的发展历程,资信评级机构在评级理念、评级方法、指标体系等方面取得了不同程度的进步。但就其总体而言,目前我国资信评级体系尚未形成,需求市场有限,经营规模受融资模式制约及业务单一等一系列问题。公信力及资信评级自身建设难以适应金融市场健康发展和社会信用体系建设的需要。我国资信评级存在的问题主要表现在以下几个方面：资信评级是揭示企业信用风险,有利于投资者快速、方便地得到客观、公正的信用信息,为投资者提供有效的参考信息。因此,我们应由政府牵头发展资信评级体系的建设,建立权威的资信评级机构,与国际评级机构合作,完善资信评级制度、相关法律制及公司治理结构。     

中国系统性风险综合指数构建与评估研究--基于主成分分析方法

2008年的全球性金融危机引发了世界各国对系统性风险的格外关注。文章讨论系统性风险含义及其识别指标,基于2004-2012年中国宏观经济与金融系统的实证数据,采用主成分分析方法构建了系统性风险评估指标体系,实证评估分析了中国系统性风险综合水平与结构分布的演绎特征。分析表明在研究期内系统性风险综合水平经历了下降、震荡与上升三个阶段,2009年中期至2012年属于系统性风险上升期,其中,房地产市场泡沫、政府债务、经济增长方式与金融体制效率等风险形式是现阶段系统性风险的主要构成因素。因此,研究认为系统性风险防控极为必要,而且从改革财政税收体制、完善政府债务管理制度、理顺收入分配机制以及推动金融自由化等方面提出了系统性风险防控的具体措施。     

Understanding Exchange Rate Movements during the 2008 Financial Crisis

During the 2008 financial crisis, many advanced economies, whose banking systems suffered significant capital losses, experienced large and rapid exchange rate depreciations followed by prolonged and gradual appreciation in subsequent periods. In order to understand one possible explanation of these observed exchange rate movements, we develop a simple model of a highly leveraged banking sector in which banks obtain part of their funding from abroad. A fall in bank net worth leads to foreign lenders demanding a higher risk premium on credit supplied to domestic banks. This higher risk premium can be met if the exchange rate experiences an appreciation along the adjustment path, since this raises the value of the bank's earnings in terms of the foreign currency for every period that the foreign risk premium is elevated. In order for the exchange rate to appreciate by a large amount along the adjustment path, it must initially become undervalued – relative to its long-run level – so that in equilibrium the market is willing to bid up its value in subsequent periods. This thus gives rise to the large initial depreciation of the exchange rate followed by its prolonged and gradual appreciation.     

Disentangling the Predictive Power of Term Spreads under Inflation Targeting

Under inflation targeting, S. Cho and J. Lee (2014, Inflation targeting and predictive power of term spreads. Seoul Journal of Economics, 27, 391–419), A. Estrella (2005, Why does the yield curve predict output and inflation? The Economic Journal, 115, 722–744) and P.L. Siklos (2000, Inflation targets and the yield curve: New Zealand and Australia versus the US. International Journal of Finance &; Economics, 5, 15–32) have reported that the predictive power of yield spreads for future inflation decreases in inflation targeting countries. In this paper, we decompose the yield spread into the expectations hypothesis component and the term premium, and find that the decrease in the predictability is mostly due to the deterioration of information embedded in the expectations hypothesis component. Our finding reveals that if inflation targeting is successful in achieving its main goal, then the expectations for future inflation are anchored at the target inflation rate (or range), and thereby the predictive contents of the term spreads regarding future inflation decrease.     

Is your C-suite risk literate?

Managing risk effectively is essential for business success, and thus understanding risk is vital for business executives. Effective risk management increases firm value, whereas poor risk management will damage shareholder wealth. In this article, we examine the risk literacy of business executives and find significant variation among the leaders we sample. Our findings suggest that business executives would be well served to evaluate their own risk literacy, and remediate, if necessary; to work to increase risk literacy in the company’s employees; and to include risk literacy as an important and routine part of the firm’s overall culture. Because the importance of risk literacy increases with business complexity, we believe that risk literacy will only become more important in the future.     

Questions asked about enterprise risk management by risk practitioners

Enterprise risk management (ERM) was introduced in the 1990s and has become an indicator of good management. Despite this success, many organizations still seek practical advice on ERM implementation. This article provides questions asked of an experienced chief risk officer and his staff by risk practitioners at many organizations over 11 years. Detailed answers based on best practices are provided. This article is important as it shows what areas were of concern related to ERM implementation, and many of these concerns may still apply today. The questions presented in this article fall in the following 10 areas of ERM implementation: background and context, organizational, getting started, risk identification, culture and engagement, risk criteria (which includes risk appetite and risk tolerances), tools and techniques, reporting, the benefits, and the future of ERM. This article should be of interest to practitioners involved with ERM, consultants in the area of ERM, and academics teaching courses on ERM, risk management, and related topics. This article will also provide a base against which further future research can be done to see how ERM evolves.