Decision usefulness of whole-asset operating lease capitalizations

Monson (2001) and Hepp and Scoles (2012) argue that some leased assets should be capitalized at the assets' purchase price (whole-asset value) rather than at the present value of future minimum lease payments (right-of-use asset value). The argument is based in part on the notion that the assets under lease generate future income not the obligation related to future lease payments. To test the notion we compare associations between capitalizations representing whole asset values and current and future return on assets (ROA) and return on equity (ROE) with capitalizations representing right-of-use asset values and current and future ROA and ROE. Our results indicate that the whole-asset annuity values are incrementally associated with future ROA and ROE over right-of-use asset values. We interpret our results to suggest that the current practice of capitalizing future lease payments does not fully reflect the income generation provided by leased assets.     

A statistical equilibrium model of competitive firms

We find that the empirical density of firm profit rates, measured as returns on assets, is markedly non-Gaussian and reasonably well described by an exponential power (or Subbotin) distribution. We start from a statistical equilibrium model that leads to a stationary Subbotin density in the presence of complex interactions among competitive heterogeneous firms. To investigate the dynamics of firm profitability, we construct a diffusion process that has the Subbotin distribution as its stationary probability density. This leads to a phenomenologically inspired interpretation of variations in the shape parameter of the Subbotin distribution, which essentially measures the competitive pressure in and across industries. Our findings have profound implications both for the previous literature on the ‘persistence of profits’ as well as for understanding competition as a dynamic process. Our main formal finding is that firms' idiosyncratic efforts and the tendency for competition to equalize profit rates are two sides of the same coin, and that a ratio of these two effects ultimately determines the dispersion of the equilibrium distribution.     

劳动力转移对资本回报率影响的机制分析与实证研究

在新一届政府提出大力发展城镇化的背景下,我国资本回报率是否可以支撑城镇化将带来的大量固定资本投资？本文构造了一个两部门模型,并结合中国的省际数据和多重代理变量方法从理论机制和实证研究两方面证明了：由于劳动力从农村部门向现代部门转移,资本回报率有可能出现随资本存量增加而先递增后递减的趋势。即如果城镇化可以拉动劳动力的持续转移,那么固定资本投资在一段时期内将有较高的资本回报率作为支持。研究结果还表明,制造业规模、存贷比指标、非国有企业所占的比重以及产品市场的发育程度也会对资本回报率的产生一定的影响。     

The CRM process in retail and service sector firms in Japan: Loyalty development and financial return

Research on customer relationship management (CRM) in general has focused on the effects of customer satisfaction with CRM, customer retention and profit management, and the effects of CRM technique on performance. Conceptually, however, a sequence of effects of CRM is expected, from CRM implementation to financial performance, but this sequence has not been explored. Whilst several definitions of CRM have been proposed, this article defines CRM as relationship-development programmes based on IT. CRM is regarded as the integration of relationship technology (i.e. data consolidating and data mining) with loyalty schemes. Survey research was conducted in Japan in the retail and service industries to test three hypotheses: (1) a firm's relationship orientation has a positive effect on CRM implementation (data warehousing, data mining, using customer data for decision making); (2) CRM implementation has a positive effect on return on equity; and (3) CRM implementation has an indirect effect on return on equity, mediated by customisation. Using a structural equation model the first hypothesis was supported, but the third hypothesis was only partially supported. In these analyses a direct effect of CRM implementation on return on equity (ROE) was supported; however, a negative impact of customisation on ROE was found.     

金融危机传染实证研究

本文在梳理金融危机传染的定义,分析金融危机传染的机理,介绍Copula函数的金融危机传染检验方法的基础上,通过运用多种静态Copula和动态Copula函数对金融危机传染进行了分析。主要结论包括三个方面：一是金融危机时期,中国股市下跌与美国股市下跌在一定程度上存在联动,但中国股市的波动也有一定独立性;二是全球金融危机后,国内股市和债市呈现显著负相关性关系;三是从国内金融机构看,不论是否处于危机期间,国有商业银行之间、国有商业银行与中小型银行之间的风险传染并不明显,中小型银行之间风险传染较强,但不是由金融危机引起的,而是由其他因素导致。     

出口退税政策对我国外贸增长方式转变的影响效应及建议

本文分析了出口退税政策对我国外贸增长方式转变的影响效应，并在此基础上提出利用出口退税政策促进我国外贸增长方式根本转变的几点建议。     

中国高新技术企业研发溢出与公司股票收益率:基于吸收能力的实证研究

高新技术企业是中国创新体系中的重要创新主体,其研发活动能够在创新系统中形成溢出效应并影响其它企业的创新活动。运用随机前沿生产函数模型估算高新技术企业对外部研发溢出的吸收能力,利用2009-2015年企业的财务数据和股票行情数据,检验了企业对外部研发溢出的吸收能力对其长期股票收益率的影响。结果表明,在长期层面,企业对外部研发溢出的吸收对其股票收益率有正向滞后性影响。同时,在一定时期内,研发投入对企业吸收能力具有显著正向影响。     

Loan loss provisions and return predictability: A dynamic perspective

This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994–2017. We find that on average, LLPs are negatively associated with one year ahead stock returns. This effect is particularly significant during the global financial crisis but much weaker during the Basel II and III periods. Consistent with these findings, a long–short trading strategy based on LLPs generates positive abnormal returns during the Basel II and III periods but negative abnormal returns during the financial crisis. Cross-sectional tests show that this effect is more pronounced among banks with greater information asymmetry. Decomposition of LLPs suggests that these findings are driven mainly by nondiscretionary LLPs. Overall, our results suggest that the relationship between LLPs and future stock returns is not linear but contingent on bank regulations and macroeconomic conditions.     

When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns

Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other established asset pricing effects and remains robust to many considerations. We link the observed phenomenon with investor overreaction to geopolitical news driven by the availability bias.     

Common analyst links and predictable returns: Evidence from China

Based on shared analyst coverage, we are the first to document the common-analyst momentum (CAM) effect in China. Empirically, we show that average returns of common-analyst peer firms have strong predictive power for future focal firm returns. Moreover, the CAM effect is stronger than other cross-asset momentum (XAM) effects. Interestingly but differently, the CAM cannot unify other XAM effects as the U.S. market does. Exploiting the underlying mechanism, we find that common-analyst-connected firms are fundamentally similar. Further, the CAM effect is stronger when inter-firm linkages are stronger when the information processing task is more complex and on earnings announcement dates. We conclude that sluggish analyst forecasting and investors’ attention constraint could contribute to the stronger CAM effect, and our results support the hypothesis that slow information diffusion generates the CAM effect.