SHAREHOLDER RISK MEASURES

The aim of this paper is to put forward a new family of risk measures that could guide investment decisions of private companies. But at the difference of the classical approach of Artzner, Delbaen, Eber, and Heath and the subsequent extensions of this model, our risk measures are built to reflect the risk perception of shareholders rather than regulators. Instead of an axiomatic approach, we derive risk measures from the optimal policies of a shareholder value‐maximizing company. We study these optimal policies and the related risk measures that we call shareholder risk measures. We emphasize the fact that due to the specific corporate environment, in particular the limited shareholders' liability and the possibility to pay out dividends from cash reserves, these risk measures are not convex. Also, they depend on the specific economic situation of the firm, in particular its current cash level, and thus they are not translation invariant. This paper bridges the gap between two important branches of mathematical finance: risk measures and optimal dividends.     

Managing future uncertainty: Reevaluating the role of scenario planning

The business environment for many firms is changing rapidly and is becoming increasingly uncertain due to the disruption caused by new digital technologies, deregulation, new business models, and the threat of new competitive entrants. This dynamic competitive environment increases the level of uncertainty for senior executives and strategic planning teams who bear responsibility for the strategic development of the firm, particularly in terms of the future direction, scope, and the strategy required to deliver on corporate objectives. This in turn, places increased scrutiny on the strategic planning tools that are used to undertake a rational and comprehensive analysis of the competitive dynamics that inform strategy formulation. This article presents empirical findings and reflections on a scenario-planning project that sought to develop a long-term corporate level strategy. While scenario planning is an established constituent of the strategist’s toolbox, the increasing level of dynamism and uncertainty in many markets has meant that it has seen a resurgence. This article presents empirical findings on how the scenario-planning tool was selected and applied before reflecting on the individual and organizational outcomes of using scenario planning to develop an organizational strategy in uncertain market conditions.     

高管薪酬差距、现金持有及其市场价值——基于不同产权性质比较

薪酬差距这一话题引起社会各界的广泛关注，国内外学者对此问题已经进行了大量的研究，并取得了丰硕的成果，但目前我国上市公司高管薪酬差距如何影响其现金持有水平及其价值，几乎尚未见探讨。基于此背景，以中国A股2005—2018年非金融类上市公司为研究对象，实证考察了不同产权性质公司高管薪酬差距对其现金持有水平及价值的影响。研究结果表明：国企高管薪酬差距增加了现金持有量，降低了现金持有价值；民企高管薪酬差距降低了现金持有量，但提高了现金持有价值；稳健性检验表明文中论断依然成立；进一步分析可知国企高管薪酬差距更加倾向于增加内部现金流用于现金持有的积累，且同时导致过度投资水平的增加，民企高管薪酬差距降低了内部现金流用于现金持有的积累，对过度投资水平影响不显著。从以上结果可以得出，国企高管薪酬差距对现金持有行为的影响支持了社会比较理论；民企高管薪酬差距对现金持有行为的影响支持了锦标赛理论。     

Financialization,Shareholder Orientation and the Cash Holdings of US Corporations

Growth in the cash holdings of US nonfinancial corporations (NFCs) has received considerable attention in recent years. These cash holdings constitute a primary component of the growth in firm-level financial asset holdings often highlighted in analyses of the ‘financialization’ of NFCs. In this article, I use a panel of US corporations to empirically analyze two links between corporate cash holdings and the literature on financialization. First, I find a small but positive relationship between cash holdings and shareholder value ideology among large corporations. I capture the growing entrenchment of shareholder ideology using average industry-level stock repurchases, to proxy for industry-level norms encouraging managers to target stock price-based indicators of firm performance. Second, I find a positive relationship between a firm's cash holdings and a measure of the differential it earns between interest income and expense. Given that cash is classified with short-term marketable (and, therefore, interest-bearing) securities on firm balance sheets, this result lends empirical support to the hypothesis that traditionally nonfinancial firms are increasingly engaged in borrowing and lending for profit.     

基于自由现金流量的上市公司投资行为研究

基于融资约束理论和自由现金流量假说分析框架,以2001~2005年我国A股制造业上市公司为样本,研究了企业投资与自由现金流量之间的敏感性及其成因。研究发现,我国制造业上市公司投资与自由现金流量总体上显著正相关,低融资约束公司投资与自由现金流量的相关关系强于高融资约束公司;自由现金流量代理成本引起的过度投资,是导致两者敏感性的主要原因;预算软约束在一定程度上改变了融资约束对投资及自由现金流之间关系的影响。     

大股东控制、私有收益与多元化经营

基于控制权私人收益对财务决策行为影响的视角,将大股东控制、私有收益与多元化经营纳入一个分析框架进行分析,结果表明,大股东控制下攫取私有收益的水平会对多元化经营程度产生正向影响。进一步的分组分析发现,控股股东的控制权与现金流权分离程度越大,攫取私有收益对多元化经营的影响越明显;而控股股东性质不同时,攫取私有收益对多元化经营的影响并不存在差异。因此,要降低无效多元化经营,根本的是要降低上市公司的控制权私有收益。     

产品市场竞争的公司治理效应：基于股利政策的证据

以2004年至2007年深沪两市上市公司作为研究样本,探讨了产品市场竞争程度在上市公司股利政策中治理效应。对全样本进行回归,研究发现,产品市场竞争程度和每股现金股利呈正相关关系。通过分样本研究发现：在非国有控制样本中每股现金股利和产品市场竞争程度相关系数为正,与全样本相关性一致,但在国有控制样本中每股现金股利和产品市场竞争程度参数不显著,说明产品市场竞争在国有上市公司中并不对现金股利发放产生影响,同时反映了我国产品市场竞争程度还不够高。产品市场竞争程度较高样本组中每股现金股利和产品市场竞争程度在5%水平下显著为正,说明在集中度较高行业中的公司,趋向于支付更多的现金股利。     

股权分置改革改善了公司现金分红吗——基于A股制造业数据的检验

本文基于股权分置改革前后各年度A股制造业上市公司的数据,实证检验了“股权分置改革”对上市公司现金分红行为的影响。研究发现,股权分置改革前后各年度上市公司现金分红有显著差异,但是,短期来看,股权分置改革对于上市公司现金分红的影响并不显著;长期来看,股权分置改革对上市公司分红水平及分红比率均有显著影响。因此,我国资本市场股权分置改革的完成及股份全流通的实现对于上市公司现金分红的改善及投资者利益的保护具有积极意义。     

中国上市公司融资约束指数设计与评价

选取我国上市公司2000～2006年期间的财务数据,分别采用Logistic回归模型和多元判别分析法,构建了两个反映公司外部融资约束程度的融资约束指数——LFC和DFC指数。实证结果表明,两个指数均具有较高的判别能力,LFC指数的判别正确率为94.90%,DFC指数的判别正确率为90.00%,这两个指数的相关系数为0.709。在此基础上,借助于财务理论研究中广泛应用的投资—现金流敏感性工具,间接地对两个指数进行了实证检验。结果表明,流动性约束投资模型比Q投资模型能够更好地解释上市公司的投资行为;尤为重要的是,无论是以LFC指数还是以DFC指数为标准,高融资约束公司的投资—现金流敏感性均显著高于低融资约束公司。     

货币资金定量控制模型研究

货币资金控制是企业理财的重要内容。为满足交易性动机、预防性动机、投机动机和银行补偿性余额的需要，企业应当持有一定量的货币资金。企业应通过建立货币资金定量控制模型，对货币资金存量进行控制，以满足财务适应性的要求。