盈余信息风险的权益风险溢价研究——基于中国上市公司财务数据

盈余信息是公司金融与投资决策的主要依据之一。以三因素定价模型、流动性定价模型和多因素定价模型为比较检验基准模型,利用中国上市公司财务数据,本文探讨了总应计和线上项目的盈余信息风险对权益风险溢价是否具有显著的增量解释能力。研究表明,权益风险报酬对总应计利润信息风险的因素载荷为正,其反应比较显著;权益风险报酬对线上项目利润信息风险的因素载荷也为正,但是其反应程度不太显著。在综合考虑多种风险因素的情况下,总应计利润信息风险的因素载荷较大。     

The risk–return relation in the corporate loan market

This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are positively related. Our main findings support this prediction, in contrast to the only previous work that examined this problem two decades ago. Nevertheless, we find evidence of mispricing regarding the risk of deteriorating firms using their facilities more intensively and during the subprime crisis.     

Auditors' Fee Premiums and Low‐Quality Internal Controls*

We examine the relation between low‐quality internal controls and audit fee premiums. Using a novel data set of audit hours and audit fees we find, consistent with the audit risk model, that auditors increase their effort (hours) owing to low internal control quality. We find that auditors also charge a significant fee premium to clients with internal control weaknesses. This premium is observed for severe internal control weaknesses and companies with low‐quality alternative governance mechanisms. The results are robust to multiple methods to address endogeneity, including company fixed effects, difference‐in‐differences design, and a propensity score‐matched sample. Taken as a whole, low internal control quality leads to fee premiums, which are a deadweight loss to client companies.     

微信运动健康因子对健康保险费率影响研究

近年来,微信运动促进群众的运动风潮不断上涨。然而查询已有文献,较少提及微信运动使用与健康保险费率的关系。借由因素萃取、逻吉斯回归、均值检定等方式研究发现,微信健康计步功能使用时间越长的消费者,其住院概率较低（P<0.1）,健康保险费率也显著低于不使用微信健康计步功能的消费者（P<0.01）。因此,建议在合法的情况下,进行认识客户工作,采集的数据可作为健康保险订定差异费率的参考。     

通用桥式起重机主梁自重对拱度的影响及修正

通用桥式起重机主梁上拱度是起重机的重要技术指标,因此生产检测中所测的拱度值必须保证是准确可靠的。而在进行起重机桥架结构时,由于各种条件的限制,支架位置常常处于0.8倍跨度处,此时主梁自重对主梁拱度产生的影响值会有偏差,造成测得的主梁上拱度值是不准确的,因此需要对该值进行修正。通过生产实践总结和理论计算相结合,可准确得出支架位置在0.8倍跨度处主梁自重对主梁上拱度的影响修正值,此时测得的拱度值再减去修正值后就是准确的拱度值。     

Do subjective expectations explain asset pricing puzzles?

The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-defined expected utility, finite moment generating function of the predictive distribution of consumption growth, and tractable expressions for equity premium and risk-free return. Our quantitative analysis reveals that explaining the historical equity premium and risk-free return, in the context of subjective expectations, requires implausible levels of structural uncertainty. Furthermore, these implausible prior beliefs result in consumption disaster probabilities that virtually coincide with those implied by more realistic priors. At the same time, the two sets of prior beliefs have diametrically opposite asset pricing implications.     

Does the liquidity effect guarantee a positive term premium?

This paper examines the liquidity effect and the term structure in two versions of the limited participation model—an imperfect information model and an adjustment cost model. With a discrete-state solution approach, I find a striking contrast: while the imperfect information model successfully generates the liquidity effect and the positive term premium seen in the data; the adjustment cost model replicates only the liquidity effect. This is because the adjustment cost that drives the liquidity effect in the adjustment cost model also creates an adjustment cost effect, which leads to a negative term premium.     

The Valuation of Volatility Options

This paper examines the valuation of European- and American-style volatilityoptions based on a general equilibrium stochastic volatility framework.Properties of the optimal exercise region and of the option price areprovided when volatility follows a general diffusion process. Explicitvaluation formulas are derived in four particular cases. Emphasis is placedon the MRLP (mean-reverting in the log) volatility model which has receivedconsiderable empirical support. In this context we examine the propertiesand hedging behavior of volatility options. Unlike American options,European call options on volatility are found to display concavity at highlevels of volatility.     

Non-cooperative Tacit Collusion,Complementary Bidding and Incumbency Premium

This article focuses on testing the intuitive idea of Folk Theorem in a repeated game, and the existence of complementary bidding and incumbency premium. Through careful analysis of bidding behaviors in the Dallas-Ft. Worth (DFW) school-milk industry, I find that cooperation based on rationality and repetition satisfies the conditions for a kind of Folk Theorem. The data also strongly suggest that all major milk processors are engaged in complementary bidding to allocate consumers geographically and command statistically significant incumbency premia in their incumbent districts. Even if the equilibrium outcomes are largely non-cooperative, some pieces of circumstantial evidence uncovered in this school-milk market study may be sufficiently convincing to enable dispensing with evidence of actual communication.