Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach

We incorporate regime shifts in the mean of price‐dividend ratios into the present value model of van Binsbergen and Koijen (2010) who propose a latent variable approach to modeling expected returns and dividend growth rates. We find that accounting for regime shifts results in much lower persistence of expected returns and higher volatility of expected returns, and thus higher in‐sample predictability, when compared to the results from the van Binsbergen and Koijen (2010) model. We also show that the main source of the increase in the mean of price‐dividend ratios in the mid‐1990s is a decrease in the mean of expected returns.     

Do Restatements Improve the Persistence of Earnings and Its Components?

We examine the persistence of earnings in the pre‐ and postrestatements periods and find that restatements generally improve the persistence of earnings. We also examine how the persistence of earnings is influenced by restatements that are voluntarily initiated by managers (voluntary restatements) and those forced onto firms by outsiders (mandated restatements). Our analysis shows that voluntary restatements are followed by improvement in the persistence of earnings and that mandated restatements are not followed by improvement in earnings persistence. We find results that are consistent with the main finding when we decompose earnings into accruals and free cash flows. We use a difference‐in‐difference research design and confirm that the improvement in the postrestatement persistence of earnings components exceeds that of control firms only for voluntary restatements. Further, we show that our results are robust after controlling for endogeneity of voluntary restatements by including a two‐stage model using the Heckman ( 1979 ) method where we first estimate the likelihood of manipulation detection and analyze change in persistence conditional on the first stage analysis. The improvement in earnings persistence around voluntary restatements is not driven by the level of earnings decomposition or a subgroup of voluntary restatements. The results support our hypothesis that voluntary restatements have distinctly different economic consequences from mandated restatements.     

Firms as the source of innovation and growth: the evolution of technological competence

It is argued that the firm is the principal source of innovation and growth, a device for the establishment of technological competence, and for its continued development over time. Markets, products and background knowledge may change quite dramatically over time. Yet as a result of the cumulative nature of learning in the production processes of firms, the profile of corporate technological competence will tend to persist over quite long periods, provided there is institutional continuity. Within the same firm, competence may evolve into related areas, but the firm's technological origins will remain identifiable in its subsequent trajectories. However, if the institution itself changes more dramatically, this technological persistence may be disrupted. Supporting evidence is provided from data on the patenting of 30 large US and European companies, which have been continuously active since the interwar period. The science and the knowledge base, and the composition of products and markets may shift quite radically, but the firm's productive and technological system itself is potentially more stable. The firm provides a vehicle for potential institutional continuity and a device for managing transitions within the economic system.     

中国综合类上市公司盈利持续性研究

盈利持续性是衡量公司利润质量的重要指标之一,也是衡量市场竞争强度的指标。盈利持续性越低。意味着盈利的调整速度越快,市场竞争程度越高。本文运用时间序列分析和二阶自回归模型检验了1996年-2007年中国综合类上市公司盈利持续性的情况,发现长期里综合类上市公司拥有比非综合类上司公司更高的盈利水平,短期内综合类上市公司的盈利持续性低于非综合类上市公司。这说明多元化经营并未在短期内带来盈利持续性的增强。对此现象本文做出了经济学上的解释。     

经济学视角下的制度变迁:内生性、驻存与演进

制度变迁的效率假说隐含地将经济体简约为一个绝对理性的最大化行为者,这种做法存在缺陷。就长期而言,制度变迁的本质是内生的,但也受到外部冲击的影响。制度演进过程既体现出路径依赖的特征,又不乏偶然性和机遇。经济因素或政治因素都可能导致内卷化,即长期陷入某种低效率或无效的制度安排。有效制度的演进可以通过多种途径而实现:它往往得益于一些偶然事件的影响或冲击,但也可能因经济行为者如利益集团的推动而出现。     

Globalization and firm level adjustment with imperfect labor markets

In a model with search generated unemployment and heterogeneity on both sides of the labor market, exporting firms are bigger and pay higher wages than other firms. Moreover, there is imperfect persistence in the decision to export and liberalization increases the wage gap between high- and low-skill workers. Openness can increase aggregate productivity in export-oriented markets while generating within-firm productivity losses for the weakest firms. In contrast, openness can lead to within-firm productivity gains for the weakest firms in import-competing industries.     

Why Does Performance Persistence Vary Among Closed-End Funds?

This study extends the research on closed-end fund performance persistence by investigating whether the persistence of both net asset value (NAV) and market price returns of U.S. registered closed-end funds is related to various fund characteristics. The sample consists of 505 closed-end funds, which are investigated over the period from January 1976 to December 1996. The analysis tests whether persistence is related to the fund characteristics size, goal, management fees, turnover, fund family membership, fund experience, and the exchange on which a fund is traded. The results vary across holding periods used to calculate persistence but are similar with respect to the NAV and market price returns. Funds with lower expense ratios and funds traded on the NYSE show more persistence of strong NAV and market price performance.     

以“数”谋“盈”：企业数字化转型对盈余持续性的影响研究

以2007—2021年沪深A股上市公司为研究样本,基于企业数字化转型的“治理效应”“信息效应”和“融资效应”,实证检验企业数字化转型对盈余持续性的影响及作用机制。研究发现,企业数字化转型可显著提高盈余持续性,其作用机制在于抑制真实盈余管理、提高信息透明度和缓解融资约束。从异质性视角来看,“底层技术运用”和“技术实践应用”均可显著提高盈余持续性;在非国有企业、成长性低的企业中,企业数字化转型对盈余持续性的影响更加显著。企业应该坚定实施数字化转型的信心,增强实施数字化转型的动力,以谋求持续稳定的收益。     

财务能力与股票价格关系的实证研究--来自电力上市公司的研究

本文在分析影响股票价格的因素的基础,提出了相应理论假设。以2003年沪深股票市场电力上市公司为样本,通过计量经济分析发现：股票价格与反映公司盈利能力的每股收益变量呈显著正相关,与流通股本规模呈显著负相关,与反映公司偿债能力、营运能力和发展能力的流动比率、总资产周转率和税后利润增长率变量相关性不显著。