政府审计信息披露质量评价体系构建

政府审计信息公开是政务信息公开的一个重要方面,审计署公开审计信息一方面提高审计监督的透明度,另一方面保障公民、法人和其他组织对审计的知情权、参与权和监督权。文章阐述了政府审计信息披露的理论基础和现状,并在此基础上对审计署近几年公布的审计信息公开工作报告进行加工整理,进而对政府审计信息公开工作报告存在的问题做出尝试性的归纳和总结。最后,提出中国政府审计信息披露质量评价指标体系由及时性、完整性、准确性、客观性、重要性及清晰性等六个方面质量特征构成。     

Ireland’s 2010 EU/IMF intervention: Costs and benefits

This paper examines the costs and benefits of the EU/IMF rescue package for Ireland, on November 29, 2010. We analyze the costs of the intervention and the subsequent increase in value of debt and/or equity issued by Irish banks, the Irish government, and European banks with substantial holdings of Irish debt. The total initial value increase around the announcement amounts to €5.59bln at a realized taxpayers’ cost of €4.23bln. While the value increase depends on somewhat generous assumptions, it further increases by €2.8bln up to Ireland’s exit in December 2013. About €3.1bln of the value created indirectly supports the European banking sector, indicating that substantial benefits arise from systemic risk containment.     

基于异质信号的资产价格学习机制及均衡演化路径

本文从金融市场指令交易机制出发,将市场投资主体分为市场追随者和自我相信者两类,分析了两类投资者面对由异质分析资产价值信号形成的市场价格的学习机制,且对交易量变化以及均衡价格的达成路径进行了研究。研究表明,单期价格均衡下市场仍存在资产交易,且投资者随着均衡价格期数增加和价格精度增大逐渐撤离市场,较大的市场追随者比重将滞后混合策略市场的价格均衡期数。     

Market development and market efficiency: evidence based on nonlinear panel unit root tests

This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.     

Formal Participation in the EFRAG’s Consultation Processes: The Role of European National Standard-Setters

While the European Financial Reporting Advisory Group (EFRAG) considers European national standard-setters (NSSs) as close partners that play a vital role in its legitimacy, empirical evidence on EFRAG’s consultation processes and the involvement of NSSs therein remains scarce. We use a multi-issue/multi-period approach to investigate the formal participation in EFRAG’s consultation processes. By examining 2,102 comment letters submitted to EFRAG in the 2002–2015 period, we find that NSSs typically outweigh other stakeholder groups in terms of level of participation across stages of the consultation process and project topics. Although NSSs’ level of participation is rather stable over time, it significantly varies across European countries. We also provide a recent classification of European NSSs and show that NSSs’ level of participation varies by their institutional status and is the highest for private NSSs. Our findings have implications for aspects of the legitimacy of both EFRAG and NSSs and shed light on the role of intermediaries in international accounting standard-setting.     

欧债危机的根源、前景与影响

欧债危机自2009年爆发以来,欧盟已采取了一系列措施,但欧债危机仍愈演愈烈。文章从债务问题国家自身经济结构性因素与欧元区制度性因素等方面分析了欧债危机产生的根源,指出欧债危机可能促使欧洲走向更为紧密的财政和政治联盟。针对欧债危机对我国经济的影响,我国应继续坚持经济结构调整政策,制定并积极实施金融业长期改革战略,不断提高金融服务于实体经济的能力。     

Max headroom: Discretionary capital buffers and bank risk

This paper examines the association between discretionary capital buffers, capital requirements, and risk for the 99 largest European banks from 2013 to 2020. Discretionary buffers are banks’ own buffers, or headroom: the difference between reported and required capital. Against the backdrop of steadily increasing capital requirements over the sample period, I exploit unique and detailed Pillar 2 data that banks disclose since the release of a 2015 European Banking Authority opinion. I show that less headroom is associated with increased bank risk, even for well-capitalized banks. An additional examination of banks’ responses to the 2016 and 2018 EBA stress tests reveals that banks supervised by the ECB struggled to improve headroom. Overall, I document limitations of the effectiveness of bank capital requirements.     

董秘性别与信息披露质量——来自沪深A股市场的经验证据

大量证据显示,高管性别会影响其决策行为和效果。近年来,我国上市公司高管中女性董秘持续增多,出现了“女性董秘崛起”现象。本文以心理学、管理学等相关研究作为理论基础,通过考察董秘性别对信息披露质量的影响,对这一现象进行了理论分析和实证检验。研究发现:董秘性别是影响信息披露质量的重要因素,尽管在上市公司中,女性董秘比例越来越高,然而,女性担任董秘并未导致公司信息披露质量更高,相反其所在公司信息披露质量更低,这种效应在大公司中更为明显。在控制CEO性别、CFO性别和董事会女性比例,以及内生性等影响后,上述结论依然成立。本文的研究对上市公司选聘董秘具有参考意义。     

Stock market recovery from the 2008 financial crisis: The differences across Europe

This study investigates the influence of the 2008 financial crisis on a number of European stock markets. The sample includes EU benchmark indices as well as European markets with slowed or hampered recovery over a period of ten years (2004–2014) thus allowing a comparison on their development before, during and after the crisis. We utilize a novel approach based on a combination of stochastic modeling and continuous wavelet transform. It enables a robust distinction between expected and unexpected spillover effects as well as assessment of the expected speed of European stock markets recovery. It further quantifies the temporal boundaries of absorption of negative and positive shocks coming from the US stock market and explains the observed asymmetry. The studied European markets are divided into several groups and expectations are built on the speed of their recovery. We find that the major reasons for the discrepancies observed between actual and expected recovery for some of the markets are due to structural breaks in the co-movement with US market as well as to weak domestic fundamentals.     

The impact of SEPA in credit transfer payments: Evidence from the euro area

This paper analyses the effect of the implementation process of the Single Euro Payments Area (SEPA) project on credit transfer payments in euro area countries during the period between 2008 and 2013. Using both univariate and multivariate fractional regression models, we found that, when controlling for socio-demographic, economic, technological and institutional factors, the progress in the migration to SEPA formats had a relevant positive impact on the share of payments made with credit transfers. Our results provide for the first time empirical evidence of the direct effect of the implementation of SEPA on payment habits and set the basis for the discussion of some of the possible implications of payments digitalization from both economical and societal perspectives.