Financial Forecasting,Risk and Valuation: Accounting for the Future

Valuation involves forecasting payoffs and discounting expected payoffs for risk. Forecasting is often seen as the province of the statistician, risk determination the province of asset pricing. This paper elaborates on the idea that financial forecasting, risk determination and valuation are a matter of accounting. Accounting not only provides information to forecast payoffs but also specifies the payoffs to be forecasted. Further, accounting determines the transition from the present to the future and thus implicitly the evolutionary parameters that a statistician might estimate for forecasting. Accounting also bears on risk determination in the way it handles uncertainty. Accordingly, accounting is involved in both the numerator and the denominator of a valuation model. Indeed, a valuation model is a model of accounting for the future, and the effectiveness of a valuation model rides on the accounting principles employed.     

对赌协议的价值判断与我国多层次资本市场的发展

对赌协议的合法性取决于其价值。从法经济学和商法学的角度分析,对赌协议具有创造效益的价值;从法理基础分析,对赌协议的调整机制具有其必要性和合理性价值;从对赌协议的调整机制分析,其具有保护私募股权投资基金的投资利益和激励企业家创造效益的价值;从对赌协议的法律性质分析,是一种具有股权激励和保值功能的射幸合同,具有合法性。认可对赌协议的合法地位并予以规制,对发展我国多层次资本市场具有重要意义。     

基于CVM法评估石家庄世纪公园使用及服务价值

随着城市化进程的加快和城市人口的高度集中,城市公园的功能日益突出,但也易被改变用途.基于CVM调查法,调查评估石家庄世纪公园的使用状况及其服务价值.结果表明,(1)公园的辐射范围主要为30分钟的距离,游人以中年和老人为主;(2)运动是游客的主要活动类型,不同年龄段活动形式呈多样化、活动区域差异较大,林荫道为所有年龄段青...     

Differentiating use and nonuse values for coastal pond water quality improvements

This paper measures the benefits of water quality improvements in three coastal ponds on the island of Martha's Vineyard, Massachusetts, U.S.A. Use, option, and existence values were elicited from Martha's Vineyard property owners by the contingent valuation method. On average, more than half of the total benefits are attributed to existence value. Results from the Heckman selection model show that the exclusion of protest, as well as missing bids, does not cause significant bias in estimating respondents' willingness-to-pay. Socioeconomic characteristics are found to have distinctively different influences on use, option, and existence values. Different model parameters are likely to be estimated depending on which value categories are measured by a selected valuation technique. These findings emphasize the importance of nonuse values from water quality improvements and of socioeconomic characteristics for measuring different categories of values.Associate Scientist, the Marine Policy Center, Woods Hole Oceanographic Institution. Support for this research was provided by the Pew Charitable Trust, and the Marine Policy Center. Thanks are due Elliot Backerman for making the data available to the author, and Peter Britz and Sarah Repetto for research assistance. Comments and suggestions on an earlier draft of this paper from Steven Edwards, A. Myrick Freeman, Porter Hoagland, Raymond Kopp, V. Kerry Smith and two anonymous reviewers are gratefully acknowledged. This article is WHOI Contribution No. 7752.     

Income Tax Effects on Asset Valuation and Managerial Analysis

Under an income tax structure that treats profits and losses unequally, the tax function is non-linear. This note examines how this non-linearity affects asset valuation and related managerial analyses.     

Presenting Discounted Future Cash Receipts and Payments in Financial Statements

This article is about the commonly asserted view that present value, the discounted amount of future cash receipts and payments, is an attribute of assets and that it ideally should replace acquisition cost as the attribute of assets to present in financial statements. The view is based on faulty extrapolation from economics and the study of finance. Use of present value in connection with the preparation of financial statements does not contribute to performing their basic function, which is to report relevant real world conditions as they exist and existed and relevant financial effects of relevant real world events as they occurred. The view turns discounting into a magical process, it reverses the chronological order of cause and effect, and it unjustifiably substitutes the financial effects of supposed future events for the financial effects of historical events as the raw material of financial statements. The future does not yet exist and such financial events have not yet occurred; the present condition therefore can in no way depend on them. The discounted amount of future cash receipts and payments is not an attribute of assets and it should therefore not replace acquisition cost as the attribute of assets to present in financial statements.     

银行商誉的剩余收益法实证检验

使用Feltham和Ohlson阐述的剩余收益评估模型对国内银行类上市公司的商誉与会计科目之间的关系进行评估,实证检验结果表明:银行商誉价值主要源于存款、贷款以及销售有偿服务。但由于在产权结构及经营模式等诸多环节存在的差异,高度适应于国外商业银行商誉评估的剩余收益模型却在国内表现出非适应性。     

Risk measure pricing and hedging in incomplete markets

This article attempts to extend the complete market option pricing theory to incomplete markets. Instead of eliminating the risk by a perfect hedging portfolio, partial hedging will be adopted and some residual risk at expiration will be tolerated. The risk measure (or risk indifference) prices charged for buying or selling an option are associated to the capital required for dynamic hedging so that the risk exposure will not increase. The associated optimal hedging portfolio is decided by minimizing a convex measure of risk. I will give the definition of risk-efficient options and confirm that options evaluated by risk measure pricing rules are indeed risk-efficient. Relationships to utility indifference pricing and pricing by valuation and stress measures will be discussed. Examples using the shortfall risk measure and average VaR will be shown. The work of Mingxin Xu is supported by the National Science Foundation under grant SES-0518869. I would like to thank Steven Shreve for insightful comments, especially his suggestions to extend the pricing idea from using shortfall risk measure to coherent ones, and to study its relationship to utility based derivative pricing. The comments from the associate editor and the anonymous referee have reshaped the paper into its current version. The paper has benefited from discussions with Freddy Delbaen, Jan Večeř, David Heath, Dmitry Kramkov, Peter Carr, and Joel Avrin.     

Happy workers value effort,sad workers value reward

Why do various workers exhibit dissimilar motivational levels and performance results within the same incentive systems? According to expectancy theory, this might result from distinct evaluations of whether those rewards deserve corresponding effort. We proposed and verified that affective states influence the valuation of effort and reward. We concluded that happy people are likely to exert efforts for future rewards and sad people tend to seek rewards without extra effort. Our finding can explain divergent employee reactions to the same incentive programme. Our results provide an explanation for the finding that happy workers are more productive than sad workers. These results have crucial implications for human resource management theory and practice.     

Did the financial crisis affect the market valuation of large systemic U.S. banks?

We examine the impact of the financial crisis on the stock market valuation of large and systemic U.S. bank holding companies (BHCs). Using the Bertsatos and Sakellaris (2016) model of fundamental valuation of bank equity, we provide evidence that the financial crisis has not altered investors’ attitudes towards bank characteristics. In particular, before, during, and after the crisis, investors in large and systemic U.S. BHCs seemed to penalize leverage, albeit temporarily. Both before and after the crisis, they reward size in the short run. This pattern is appearing only briefly during the crisis. We also show that bank opacity plays no role in market valuation either in the short run or in the long run. Last but not least, we find evidence that stress testing has been informative to the market and that those BHCs that failed at the post-crisis stress tests were not subsequently valued differently by the market.