中国农产品期货市场功能发挥的现货市场条件探讨

本文在对期货市场功能发挥和现货市场关系探讨的基础上，从期货市场发现价格和回避风险功能角度，指出农产品期货市场功能发挥所需具备的现货市场条件是：现货市场发达完善和接近完全竞争；进而实证分析影响中国农产品期货市场功能发挥的现货市场条件的因素。主要结论是中国农产品期货市场是在现货市场发育还不充分的情况下产生并发展起来的，不完善的现货市场争件是影响和制约农产品期货市场功能充分发挥的关键因素。     

CEO compensation structure and firm performance

The objectives of our study are to estimate a model of ‘efficient’ compensation structure based on firm characteristics and test the performance consequences of deviation from the efficient compensation structure. Our results are based on 3503 firm years for the period from 1999 to 2005. The results suggest that firms whose CEOs receive compensation inconsistent with their firm characteristics have a lower performance compared to those firms whose CEOs’ compensation is consistent with their firms’ characteristics. Our measure of performance is based on both accounting and market‐based performance measures. Overall, our study provides some important new insights into the links between CEO compensation structure and firm performance.     

Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices

Due to dwindling commercial interest in the feeder cattle futures contract, the Chicago Mercantile Exchange (CME) decided to replace the contract's physical delivery provision with a cash settlement provision, arguing that cash settlement would help reduce price volatility and attracts more commercial interests. In this article, we apply stochastic volatility models to investigate the CME conjecture, using four different estimators based on opening, high, low, and closing prices, respectively. With each estimator, we find that the volatility of the feeder cattle futures price decreases after the implementation of cash settlement. We conclude that the change in the contract specification enhances price discovery and the contract's hedging performance.     

关于农行开展小额现金代理支付业务的思考

2009年11月,吉林省农行推出了小额现金代理支付业务。此业务在延伸和拓展有效金融服务、解决金融机构乡镇金融服务方面空白的问题,加大支农服务力度方面进行了有效尝试,但试点过程中暴露的操作风险及制约业务发展的问题应予关注。本文对该项业务试点过程中的主要做法和存在问题进行了分析,并据此提出了相应的对策建议。     

价值创造理念与动态管理方法相结合的企业现金流管理分析

西方财务学界充斥着“现金为王”的行为准则,由此就可看出现金流管理在企业财务管理中的重要地位,如何更好地实施企业现金流管理,笔者对国内外相关领域文献进行了整理分析,得出了价值创造理念与动态管理方法相结合的企业现金流管理应该是比较符合现金流本质特征和适应企业未来发展的一种方法,并进行了简要的分析。     

分析师为什么选择性的发布现金流预测?——基于信息需求理论的实证研究

分析师在对公司发布盈余预测的同时,还对一些公司发布了现金流预测。分析师为什么仅针对某些公司发布现金流预测?其动因何在?本文基于信息需求理论对上述问题进行了研究,研究发现,分析师针对现金流信息需求高的公司发布现金流预测的可能性更大。进一步发现,分析师更可能对非国有控股的公司发布现金流预测。本文首次基于我国独特的制度背景,研究分析师选择性发布现金流预测的动因问题。本文的结论有助于加深对分析师行为的理解,并对投资者决策具有一定的参考价值。     

Information Provided by Accrual and Cash-Flow Measures of Operating Activities

This article examines accrual and cash-flow measures useful for observing companies' financing, investing and operating activities. It addresses the information provided jointly by income and operating cash flow, and reveals that information provided by these accounting measures is dependent on their relative magnitudes. A consistent pattern of income in excess of operating cash flow, with both measures appropriately adjusted and scaled, indicates superior company growth. Income and cash-flow patterns are associated significantly with various company financing, investing and operating attributes. Empirical tests confirm that both income and operating cash flow are important for observing company performance and prospects when considered jointly and when interpreted with respect to accounting measurement theory. At least for many companies, the results do not support the conventional wisdoms that accounting measures of income and operating cash flow converge over long periods of time and that earnings provide a reliable basis for cash-flow prediction.     

A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China

This paper utilizes deep learning approach widely documented in artificial intelligence, and proposes an investor-sentiment indicator (ISI) that is consistent with the purpose of forecasting stock market returns. We find that ISI is positively correlated with future stock market returns at a monthly frequency, but negatively associated with subsequent returns over a longer horizon. Moreover, ISI outperforms other well-recognized predictors both in and out of sample, and can predict cross-sectional stock returns sorted by industry. We also show a positive association between monthly ISI and dividend growth rate, which indicates that investors’ expectations about future cash flows may contribute to the return predictability of ISI.     

基于障碍期权的可提前终止贷款担保价值研究

基于担保实践中贷款担保合约可提前终止的特性,本文建立了基于障碍期权的贷款担保价值模型,测算了担保价值并分析了障碍值、债务方资产初值、资产波动率、债务面值、无风险利率及担保期限对担保价值的影响及敏感性。指出障碍值超过某阀值时,担保机构的风险才会有效降低;揭示控制担保额度和债务方资产的波动率比控制债务方资产初值和担保期限更有效,为担保实践提供了参考依据。     

投资者情绪对科技型企业R & D投入不足的校正效应

从自由现金流和股权融资约束出发,基于中国科技型上市企业2009-2016年面板数据分析投资者情绪对R&D投入不足的校正效应。研究结果表明：投资者情绪对科技型企业R&D投入不足具有校正效应;股权融资约束越小,投资者情绪对科技型企业R&D投入不足的校正效应越明显;自由现金流对校正效应的影响显著。通过企业异质性检验发现,国有、成熟、大型科技型企业的自由现金流会削弱投资者情绪对R&D投入不足的校正效应;非国有、年轻、中小科技型企业受到的股权融资约束越小,投资者情绪对R&D投入不足的校正效应越显著。