我国寿险公司市场价值评估体系刍议

市场价值评估方法作为一种衡量现代企业整体价值的新型手段逐渐被寿险公司采用,但是在市场价值评估的过程中仍存在一些问题,需要进行改善。本文在借鉴相关文献研究成果的基础上,结合自己的理解和实践,对市场价值评估体系应用以及存在的问题做了进一步的探析。     

A passenger demand model for air transportation in a hub-and-spoke network

This paper develops an air passenger model that deals with city-pair demand generation and demand assignment in a single framework. Using publicly available and regularly collected panel data, the model captures both time series and cross-sectional variation of air travel demand. The empirical analysis finds that pattern of correlations among alternatives can be described by a three-level nested logit model. Fare, frequency, flight time, direct routing, on-time performance, income, and market distance have significantly effects on air demand. Correcting for the problem of endogenous air fares using instrumental variables yields more plausible estimates of price sensitivity and value of time.     

Determining fair values of performance‐vested and forfeiture‐embedded employee stock options

This study provides a new approach to determine the fair value of ESOs by extending the performance‐vested option pricing model. The model developed in this study takes both vesting period and forfeiture rate into consideration to capture characteristics of ESOs. Empirical and sensitivity analyses give evidence for the importance of these two elements. Empirical results also support that the derived model can be employed to increase the accuracy of ESOs’ fair value.     

What explains the value premium? The case of adjustment costs,operating leverage and financial leverage

This paper empirically examines and compares the different theoretical predictions on how adjustment costs, operating and financial leverage influence the value premium. Consistent with Ozdagli (2012), financial leverage plays a dominant role, supported by adjustment costs (which represent the degree of investment irreversibility). Specifically, the observed value premium is driven by the financial leverage differences between value and growth firms, partially neutralized by investment irreversibility. The relation between the value premium and investment irreversibility is contrary to the intuition in Zhang (2005) and Cooper (2006). Operating leverage does not significantly influence the value premium.     

The value relevance and reliability of reported goodwill and identifiable intangible assets

We examine the value relevance and reliability of reported goodwill and identifiable intangible assets under Australian GAAP from 1994 to 2003; a period characterised by relatively restrictive accounting treatment for goodwill and relatively flexible accounting treatment for identifiable intangible assets. Our findings, using an adaptation of Feltham and Ohlson (1995), suggest that for the average Australian company the information presented with respect to both goodwill and identifiable intangible assets is value relevant but not reliable. In particular, goodwill tends to be reported conservatively while identifiable intangible assets are reported aggressively.     

The term structures of equity and interest rates

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market, and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks convey information about how the representative investor values cash flows of different maturities. We model how the representative investor perceives risks of these cash flows by specifying a parsimonious stochastic discount factor for the economy. Shocks to dividend growth, the real interest rate, and expected inflation are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show that the model can simultaneously account for the behavior of aggregate stock returns, an upward-sloping yield curve, the failure of the expectations hypothesis, and the poor performance of the capital asset pricing model.