The development of the group accounts disclosure system in Japan

The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.     

Past Returns and Investment Trust Discounts

Abstract:   The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing 'skill' from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.     

Replacement Investment: Optimal Economic Life Under Uncertainty

Replacement investment is essentially a regenerative optimal stopping problem; that is, the key decision concerns when to terminate the life of existing plant – and hence when to start over again. This paper examines this optimisation problem within a continuous time framework and studies the qualitative and quantitative impact of uncertainty on the timing of new investment (and the criteria that should be used for terminating the life of existing plant).     

The Wealth Effect of Domestic Joint Ventures: Evidence from Taiwan

This study presents important international evidence by examining the wealth effect of domestic joint ventures by Taiwanese firms. In opposite to United States evidence, we find that announcements of domestic joint ventures by Taiwanese firms are, on average, associated with significantly negative abnormal stock returns. We also find that the stock market response to announced domestic joint ventures is significantly positively related to the announcing firms' investment opportunities, size of investment and debt ratio, and is significantly negatively related to the business relatedness variable. In contrast, free cash flow, firm size, relative firm size and managerial ownership are found to have no significant power in explaining the market response. Our results support the investment opportunities, synergy and complementarity hypotheses as well as a broad interpretation of the free cash flow hypothesis, but reject the absolute size, relative size and alignment-of-interests hypotheses. This study makes valuable contributions to the literature by providing the first direct evidence on the role of investment opportunities, synergy and alignment-of-interests in explaining the wealth effect of domestic joint ventures     

Additive and Multiplicative Uncertainty Revisited: What Explains the Contrasting Biases?

above the certainty level while for additive uncertainty the price should be lower than the certainty level. This note gives an intuitive explanation for the result after first presenting a parsimonious review of the two models. We also discuss which, if either, of the two models is more realistic. Received December 14, 2001; revised version received July 16, 2002 Published online: April 30, 2003 We thank referees for helpful comments. Ciaran Driver would like to acknowledge the research facilities from ANU, Canberra for their help in writing this paper.     

Investment Opportunities and the Relation Between Equity Value and Employees' Bonus

A sample of firms where employee stock options and other long‐term incentives are absent but an annual bonus is required is examined. A positive relation is found between firm equity value and stock bonus but not cash bonus. The positive relation is stronger when the firm has greater investment opportunities. Additionally, the relation is shown to be nonlinear in the sense that the marginal effect of stock bonus on equity value is positive but decreasing (negative) when the stock bonus is below (above) the breakpoint. Overall, the annual stock bonus is valued positively by investors even though it is linked to the firm's contemporaneous but not future performance.     

Optimal investment with fixed financing costs

Models with a premium on external finance produce counterfactual predictions about liquidity management. We address this shortcoming by introducing a fixed cost of increasing external finance into an otherwise standard investment/financing problem. This additional financial friction is well-motivated by case studies and our analysis shows that it generates more realistic predictions about liquidity management: firms hold external finance and idle cash simultaneously, and may invest an additional dollar of cash flow in liquidity rather than repaying external funds or investing in productive capital. In addition to better fitting the stylized facts about the time-series and cross-sectional pattern of liquidity holding, these results may help shed light on the fragility of estimates of investment–cash flow sensitivities.     

我国投资基金业绩的持续性分析

基金业绩的持续性是指业绩优秀的基金以后一段时间继续保持优秀的业绩,而业绩差的基金继续表现出差的业绩。如果基金具有持续性,对于投资者来讲,他们可以买进前期业绩优秀的基金,而卖出前期业绩差的基金,来获取超额收益,投资者不必耗费大量的资金和时间去评价和选择基金经理。本文就基金业绩持续性的研究理论方法进行阐述,并对我国投资基金作实证分析。     

国际投资税收政策对跨国企业集团投资战略的影响

由于各国经济发展水平、经济资源优势和经济国际化程度不同,各国都制定符合各自经济政策目标的国际投资税收政策,采取的税收优惠政策的侧重点也各不相同。跨国企业集团在制定投资战略时应注重分析各国引导投资的侧重点并充分加以利用,在投资战略选择中,必须慎重确定投资所在国的重点优惠项目或重点优惠地区,全面考虑投资国和投资所在国之间的国际税收协调性,正确认识资本投入量同税收负担与其他投资环境要素之间的关系。应以全球的观点进行国际化投资战略规划,以谋求集团整体税收负担的最小化和整体投资收益的最大化     

THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.