Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns

This paper proposes time-varying idiosyncratic risk as a component driving conditional abnormal returns and outlines a corresponding Engle et al. [Econometrica 55 (1987) 391] ARCH-M market model. An application is given to initial public offering (IPO) aftermarket stock returns, where a positive relation between idiosyncratic risk and returns is consistent with young issues’ equity as a contingent claim on firm assets. The empirical results for an illustrative sample of German Neuer Markt stocks traded during the first two years after initial listing indicate pronounced skewness as well as a positive relation between conditional idiosyncratic risk and expected returns. Conditioning aftermarket performance on risk yields much lower levels of abnormal return significance than a standard approach.     

审计收费、审计师变更与意见购买

实证研究表明,虽然变更审计师增加了上市公司年报被出具非标准审计意见和审计意见恶化的可能性,但是审计师变更更为显著地提高了审计意见改善的可能性;审计收费异常增加与被出具非标准审计意见和审计意见恶化的可能性负相关.公司管理层在一定程度上可以成功实现审计意见购买的动机.此外,异常审计收费、审计收费异常增加和异常降低与审计师变更之间不存在显著的交互效应.     

Accounting Valuation Models: A Short Primer

This note discusses basic issues related to residual income valuation (RIV) and abnormal earnings growth (AEG) models but has only scratched the surface of a complex subject. What clearly emerges from this 'primer' is the conclusion that AEG is a more complex valuation model than RIV. This complexity concerns both the mechanics and interpretation of AEG compared to RIV. Furthermore, a study by Penman (2005 ) raises a question about the usefulness of AEG compared to RIV. His comparisons between RIV and AEG are rather remarkable and suggest that RIV gives estimates of value which are more accurate and less variable than estimates based on AEG. Clearly, these results need further study.     

风险投资背景与公司IPO:市场表现与内在机理

本文研究风险投资背景对公司在股票市场表现的影响。研究发现:相对于政府背景风险投资支持的公司,外资和混合型背景风险投资支持的公司IPO抑价率较低,股票市场累计异常回报率较高,民营背景风险投资支持的与政府背景支持的无显著差异;如果仅划分为有、无外资背景风险投资参与两类,那么外资背景风险投资参与支持的公司相对于那些非外资背景风险投资支持的公司IPO抑价率更低,股票回报率更高。对影响机理进一步剖析发现:相对于那些非外资背景的风险投资,外资背景风险投资倾向更加谨慎的投资策略,投资之后对公司治理结构安排会更加合理,并且公司具有较好的盈利能力,这些最终导致公司股票IPO抑价率较低和回报率较高。     

Currency news and international bond markets

We use a sample of 27 countries and 63 currency news announcements in an event study framework to examine the impact of currency news on international government bond markets. Our findings reveal a significant spillover of currency news into bond markets. Specifically, the evidence shows significant negative abnormal bond returns, whether measured in dollar terms or local currency terms, implying that currency news plays a role in changing the performance of international government bond markets. We also show that abnormal bond returns remain significantly negative even after controlling for macroeconomic variables. Our results are robust to using alternative risk model specifications, country-level data, and corporate bond data. Our evidence of the significant impact of currency news on bond markets provides essential insights to professional traders, policymakers, and academic researchers.     

机构投资者行为与交易量异象

我们验证了在中国资本市场上存在交易量异象,以过去3个月的换手率为基础进行套利,在未来3个月投资者能获取显著的超额回报。使用中期和年度机构持股数据,我们发现机构投资者能识别和利用交易量异象。基于交易量和机构投资者持股比例的信息,我们发现投资者如果买进过去3个月平均交易量最低与机构投资者持股比例最高的一组,同时卖空交易量最高与机构投资者持股比例最低的一组进行交叉套利,他们能在未来3个月获得10.3%的超额回报。     

基于牛市和熊市不同周期的股票市场动量效应研究

在参考国外研究方法的基础上,以周作为检验周期,将1997年6月至2001年6月的股市作为牛市,2001年6月至2005年6月的股市作为熊市,然后分别检验股市在这两个不同时期的动量效应.研究发现,赢家组合在牛市中存在着正的动量效应,输家组合在熊市中存在着负的动量效应.而牛市中的输家组合和熊市中的赢家组合都存在着价格的反转.     

现金股利政策、内部控制与市场反应

本文选取2007-2016年沪深两市A股公司为样本,按内部控制质量高低分为两组,分别检验市场对现金股利分配力度的反应。结果表明,在内部控制质量较低组,现金股利分配力度与累计超额收益正相关;而在内部控制质量较高组,两者不存在显著关系。进一步分析产品市场竞争和产权性质后发现,该效应主要存在于产品市场竞争激烈组和国有企业组。因此,本文认为,投资者对不同内部控制质量企业实施的现金股利政策存在差异化反应,该结论对管理层和监管层具有一定的指导意义。     

Risk reporting and stock return in the UK: Does market competition Matter?

This study examines the extent to which market competition influences risk reporting practice. It also explores how market competition affects the usefulness of risk reporting. The automated textual analysis measures the level of risk reporting [how much to report] and its tone [how it is reported] of UK FTSE 350 firms. The abnormal stock return is used as a proxy for the usefulness of risk reporting. In contrast to the proprietary cost hypothesis, our results indicate that the level of risk reporting is a positive function of market competition. Besides, UK firms are likely to disseminate more (less) negative (positive) news about their risks when market competition increases. However, after examining the informativeness of this reporting, we provide evidence that the level of reported risk information does not significantly enhance the abnormal stock returns of UK firms. Nevertheless, the tone of the reported risks carries incremental information indicative of a firm’s abnormal stock return, especially when market competition decreases. The findings suggest that firms are likely to alleviate their proprietary costs by framing their reporting of risk information in a way that deters potential competitors from entering their market and that market competition diminishes the perceived informativeness of such reporting. The results provide implications for investors as they should not acknowledge the disclosure of higher risk information when asking for more corporate transparency, as it lacks informativeness. Besides, policymakers may impose extra compulsory requirements on the UK firms to avoid reporting overly optimistic risk news to protect investors and avoid the adverse effects of this reporting.     

超常应计的市场识别——来自我国沪市A股的经验证据

本文以2003、2004年沪市A股为样本,以应计项目作为会计盈余的质量特征,分析市场对超常应计项目的信息识别能力。结果发现:在进行股票定价时投资者能识别超常应计项目并作出反应;对于会计盈余表现好的公司,超常应计为正的公司其盈余反应系数小于超常应计为负的公司(2004年数据不明显支持该结论);对于会计盈余表现差的公司,超常应计为正的公司其盈余反应系数大于超常应计为负的公司(2003年数据不支持该结论)。本文结果也进一步证实了现金流量表在投资决策中的重要作用。