对中国上市公司控制权溢价的实证分析

运用2001-2004年的样本数据。在对中国上市公司控制权的隐性利益水平所进行的分析显示，中国上市公司的转让溢价水平除了与转让比例呈正相关以外，转让溢价水平与净资产收益率、现金比率、流通股数和公司规模均呈负相关。同时，随着转让比例的上升，一开始溢价比例会增加，但当转让比例达到一定程度时，溢价比例又会下降，溢价比例与转让比例之问是一种倒U型的非线性关系。     

Ambiguity of measured WTP for quality improvements when quantity is unconstrained: a note

This paper addresses the issue of how to estimate by contingentvaluation methods the maximum price consumers are willing topay when a new quality is available for a market good for whichquantity adjustments are possible. We argue that current practice,which typically does not specify a quantity when asking consumersthe price they are willing to pay for a new quality product,fails to identify prospective consumers' behaviour when theyare free to adjust the quantity purchased. Theoretical modelsare discussed for assessing the maximum price consumers arewilling to pay in these cases, and econometric approaches toaddress these situations are discussed.     

价值溢价与一月效应——来自上海A股市场的经验证据

以2000年1月至2011年12月沪市A股上市公司为样本,按Size-B/M方法构建6投资组合,考察我国股市的价值溢价是否存在一月效应现象,检验大盘股、小盘股价值溢价在1月和非1月是否不同,并采用CAPM模型检验价值溢价的一月效应。实证结果发现:1)采用账面市值比B/M划分成长-价值型股票组合,大盘股和小盘股股票都存在价值溢价;2)大盘股和小盘股的价值溢价在1月与非1月存在不同的模式——大盘股在1月存在显著的价值溢价,而小盘股的价值溢价主要在非1月的月份出现;3)CAPM模型能够解释我国股市从2007年1月至2011年12月期间的价值溢价。相对小盘股,大盘股的价值溢价的一月效应更为显著。     

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。     

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.