Water disclosure and firm risk: Empirical evidence from highly water‐sensitive industries in China

In this paper, we examine the relationship between water disclosure and firm risk. Specifically, based upon a panel dataset of 334 Chinese listed firms operating in highly water‐sensitive industries during 2010–2015, we use regression models to analyze the relationships between water disclosure and three types of firm risk (i.e., total risk, systematic risk, and idiosyncratic risk) and the moderating effects of media coverage on these relationships. Our empirical results show that (a) although there are no significant relationships between water disclosure and total risk and idiosyncratic risk, there is a significant negative relationship between water disclosure and systematic risk; (b) negative media coverage weakens the negative relationship between water disclosure and systematic risk, whereas nonnegative media coverage reinforces this negative relationship. Our cornerstone study examines the effect of a specific type of environmental disclosure (i.e., water disclosure) on firm risk, and our empirical findings are different from previous studies, which examined the effects of overall corporate social responsibility (CSR) disclosure on firm risk. We analyze the causes of the differences in detail. With this study, we make theoretical, empirical, and managerial contributions to CSR disclosure–firm risk research in business ethics literature.     

经济责任审计覆盖率与地方国有企业杠杆治理--来自地方审计机关的经验证据

在供给侧结构性改革和审计全覆盖的大背景下,本文探讨了经济责任审计覆盖率对地方国有企业杠杆治理的影响。研究发现,经济责任审计覆盖率的提升可以有效降低地方国有企业的有息负债率;从地区层面来看,在政府干预程度较大的地区该影响更为显著;从企业层面来看,在金字塔层级较多的上市公司中该影响更为显著。进一步分析发现,经济责任审计覆盖率的提升会降低地方国有企业获得的贷款期限,同时提高企业贷款使用效率和地区的信贷配置效率。本文的研究结论可为国家审计在国资国企改革中发挥作用提供一定的启示。     

财经公关提升公司价值了吗?——来自公司IPO期间的经验证据

媒体作为重要信息中介可被上市公司用以提升其市场价值，但公司是通过何种方式去进行媒体披露管理及其市场效应又如何呢？文章以公司IPO 为样本，关注公司财经公关行为对IPO期间媒体报道以及IPO 绩效的可能影响。实证研究发现：（1）IPO 期间公司会通过财经公关来提高其媒体曝光度，并获得更有利的报道倾向，即存在明显的媒体披露管理倾向。（2）媒体关注度 的上升和有利的报道倾向可在短期内助推股价上升；但中长期来看则会导致股价反转，致使公司 蒙受更大价值损失。（3）进一步研究发现，公司特征及市场环境对其财经公关行为也有重要影响， 即小规模、民营性质和东部发达地区公司的财经公关行为更为明显。     

Federal Reserve communications and newswire coverage

In this article, we explore the determinants of newswire coverage of Federal Reserve (Fed) communications. Our sample covers all 344 forward-looking communications made in the period May 1999 to May 2004. We find, first, that there is a higher likelihood of newswire coverage for monetary policy reports and speeches by Chairman Greenspan than for testimony and speeches by other Fed members. Furthermore, communications with an explicit monetary policy inclination or tone different from the current interest rate path are particularly likely to be covered. However, the release of important macroeconomic news reduces the likelihood of newswire coverage. Second, speeches by regional Fed presidents are relatively less likely to be reported than speeches by Board members. Nevertheless, newswire coverage of Fed president speeches is more likely if central bank communication is stale. Finally, our results indicate that Ben Bernanke played a distinguished role even before his Chairmanship.     

The effect of the interest coverage covenants on classification shifting of revenues

ABSTRACT

While prior studies focus on real/accrual-based earnings management and expense misclassification to investigate earnings manipulation in avoiding covenant violations, this paper extends such research in a new direction. In particular, it examines whether firms employ classification shifting of revenues when they are subject to interest coverage EBITDA-based covenants close to their threshold values or limits. This earnings management tool allows firms to increase reported EBITDA by misclassifying non-operating revenues as operating revenues to remain within covenant limits that include EBITDA. Using a sample of 559 UK listed firm-years for the period 2005–2014, it establishes that the use of classification shifting of revenues is high when interest coverage covenants are close to their limits. Further analysis suggests that firms also employ revenue shifting when all their loan covenants are EBITDA-related.     

The impact of Basel III on financial (in)stability: an agent-based credit network approach

The Basel III accord reacts to the events of the recent financial crisis with a combination of revised micro- and new macroprudential regulatory instruments to address various dimensions of systemic risk. This approach of cumulating requirements bears the risk of individual measures negating or even conflicting with each other which might lessen their desired effects on financial stability. We provide an analysis of the impact of Basel III’s main components on financial stability in a stock-flow consistent agent-based computational economic model. We find that the positive joint impact of the microprudential instruments is considerably larger than the sum of the individual contributions to stability, i.e. the standalone impacts are non-additive. However, except for the buffers, the macroprudential overlay’s impact is either marginal or even destabilizing. Despite its simplicity, the leverage ratio performs poorly, especially when associated drawbacks are explicitly taken into account. Surcharges on SIBs seem to rather contribute to financial regulations complexity than to the resilience of the system.     

Do voluntary disclosures of product and business expansion plans impact analyst coverage and forecasts?

We investigate whether voluntary disclosures of product and business expansion plans affect analyst coverage and forecasts. We find that the level of analyst coverage is positively associated with the incidence of disclosures of product and business expansion plans. We also find that product and business expansion disclosures increase the informativeness of analyst earnings forecasts. We find no evidence that product and business expansion disclosures increase analyst forecast errors. Overall, our study contributes to understanding the role of product and business expansion disclosures in analyst forecast behaviour.     

IMPLEMENTING A ROBUST RISK MODEL FOR SOUTH AFRICAN EQUITY MARKETS: A PEAK‐OVER‐THRESHOLD APPROACH

This paper implements a market risk model for the South African equity market using daily returns of the Johannesburg Stock Exchange All Share Index. Firstly, we separate positive returns from negative returns and model them using the peak‐over‐threshold (POT) method in order to compute the downside as well as upside risk measures separately. We thereafter compute the value‐at‐risk (VAR) and the expected shortfall (ES) estimates corresponding to upside and downside risks. We bootstrap these risk measures and compute their standard errors and confidence intervals (CIs) to see whether they fall inside these CIs. Secondly, we compute out‐sample forecasts of VAR estimates using the POT method and the generalised autogressive conditional heteroscedasticity process. Three backtesting methodologies are employed: the unconditional and conditional coverage tests and the counting of number of exceptions according to Basel II green zone. We find that all our VAR and ES estimates are well inside their CIs and that at lower quantiles, parametric ES estimates are equal to POT‐ES estimates, although the difference between the two is more pronounced at higher quantiles (99% or higher). Furthermore, our market risk model falls into the Basel II green zone, as it produces fewer exceptions in out‐sample space.     

天线选型在无线覆盖网络规划中的应用

良好的无线覆盖来自于网络规划的详细设计。无线覆盖规划是GSM网络规划的核心内容。本文重点介绍天线选型在无线覆盖的网络规划中的应用方案。     

资本监管与流动性监管能降低中国商业银行传染风险吗?

在使用条件在险价值(ΔCoVaR)计算中国上市商业银行系统性风险贡献度基础上,运用格兰杰因果检验和PageRank算法测度每家商业银行的传染风险权重,并研究资本监管与流动性监管对传染风险权重的影响.结果表明:第一,资本充足率、杠杆率和流动性覆盖率有助于降低商业银行的传染风险;第二,资本充足率与流动性覆盖率、杠杆率与流动性覆盖率在同一监管框架下发挥了降低传染风险的作用;第三,资本充足率与流动性覆盖率、杠杆率与流动性覆盖率的运用表现出较差的协同效应.中国金融监管当局需要开发偿付能力监管与流动性监管的协同机制.