工作简报2011年第一期

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      学术活动

Ø         20101022日,Nanyang Business School Bin KE教授为我中心师生做了题为:Does Managerial Stock Option Compensation Increase Shareholder Value in State-controlled Chinese Firms Listed in Hong Kong? 学术讲座。讲座摘要:We test the effect of managerial stock option compensation on shareholder value in state-controlled Chinese firms that are incorporated outside China and traded on the Hong Kong Stock Exchange. The grant and exercise of stock options differ significantly between Chinese firms and U.S. firms. The common shareholder value maximizing economic factors cannot explain Chinese firms’ stock option grant initiation. The stock market reactions to announcements of stock option scheme proposals are insignificant. There is no improvement in earnings performance after the stock option grant. We conclude that Chinese firms’ stock option compensation does not increase shareholder value.

Ø         20101029日,香港大学Yan (Albert) Wang教授为我中心师生做了题为:Is the Stock Market Just a Side-Show?Evidence from the Split-Share Reform in China学术讲座。讲座摘要:The 2005 split-share reform in China mandates the conversion of previously non-tradable shares into tradable status. The mandatory conversion is swift and a¤ects a large fraction of corporate shares in the country, with shareholders compensating each other with stock transfers. This reform is unique in allowing for insights into the importance on secondary share transactions: it provides for exogenous variation in stock liquidity and ownership. This paper investigates the impact of the 2005 split-share reform on Chinese .rms.real and .nancial performance. To sharpen our identi.cation, we take advantage of the subtleties of the reform in a number of ways. We explore, for example, the pilot program that took place at the beginning of the reform, as well as the staggered nature of the conversion process (with .rms converting in at di¤erent times). These various wrinkles are key in producing counterfactuals against which to test reform-led changes in performance. Using a time-varying treatment approach, we .nd that there are marked improvements in .rms.pro.tability, productivity, and investments after the .rms. stocks are allowed to be freely traded in the stock market. Importantly, we show that the reform presents distinct impacts in the short and long runs. Our .ndings speak to the success of reforms towards stock market liberalization; but more generally, they speak to the role of the stock market in the economy.

Ø         2010115日,香港科技大学Allen Huang教授为我中心师生做了题为:Informativeness of Text in Analyst Reports: A Naïve Bayes Machine Learning Approach学术讲座。讲座摘要:This study is the first to use the naïve Bayes machine learning approach to extract opinions from the text in analyst reports. The automatic approach enables us to process a large sample of 389,096 analyst reports issued for the S&P 500 firms during the period 1995 – 2008. We document that the classification accuracy using the naïve Bayes approach is substantially higher than using General Inquirer and Linguistic Inquiry and Word Count, two dictionary-based content-analysis methods. With the textual opinion measure, we show that the text in analyst reports is not provided merely to support any one of the quantitative forecasts issued contemporaneously, but reflects the favorableness conveyed by all the quantitative signals including levels and revisions of recommendation, earnings forecast and target price. We find significant market reactions to textual opinions, both unconditionally and conditional on all the quantitative forecasts released contemporaneously, consistent with the text in analyst reports providing additional information about firm values. We also find that investors attach twice as much weight to negative textual opinions as to positive textual opinions. In addition, they react even more strongly to negative textual opinions when reports contain sell recommendation or recommendation downgrades, and when the opinions are from forward-looking statements. Lastly, we find that after the enactment of Reg-FD, textual opinions become less informative, suggesting that the information content from the text partially relies on analysts’ private communication with managers.

Ø         20101119日,江西财经大学吴飞教授为我中心师生做了题为:Do Prices underreact to Information? Ananalysis of Returns Predictability Using the Price Impact of Investors Trade学术讲座。讲座摘要:Asymmetric information models posit that the trading process conveys private information about a security‘s true value.A security prices adjusting too slowly to the information will result in predictable patterns in returns.Using a trades impact on price to measure its information content,this paper documents that the aggregate price impact differential(PID) between buying trades and selling trades contains value-relevant information,which is related to cross-sectional variations in short-horizon future returns. The effect is not due to the existence of short-run liquidity costs and variations in rational risk premia. Further analysis shows that PID adds value to predicting future returns beyond the extent to which investors order flows could do,and that the PID of hypothetically informed investors predicts (leads) that of hypothetically uninformed investors. The findings suggest that stock prices underreact to information conveyed by investors trades,and that Hong and Steins(1999) gradual-information-diffusion theory seems the most likely explanation for the price underreaction.

Ø         20101126日,University of Cincinnati  Hui Guo教授为我中心师生做了题为:Aggregate Distress Risk is Priced with a Positive Premium学术讲座。讲座摘要:Using Campbell, Hilscher, and Szilagyi’s (2008) defaultprobability measure, we show in three ways that investors require a positive premium for bearing systematic distress risk. First, aggregate default probability correlates positively with future excess market returns when we control for other determinants of conditional equity premium. Second, portfolios whose returns have large loadings on lagged aggregate default probability earn higher expected returns than do portfolios with small loadings. Lastly, if a stock provides a poor hedge against distress risk (i.e., its return has a strong negative covariance with changes in aggregate default probability), it tends to have high future returns, ceteris paribus. We show that the puzzling negative default probability-return relation documented in earlier studies reflects the fact that the default probability is a poor measure of exposure to aggregate distress risk.

Ø         2010123日,香港城市大学Zhihong Chen教授为我中心师生做了题为:Does Granting Minority Shareholders Direct Control over Corporate Decisions Help Reduce Value Decreasing Corporate Decisions in Firms with Concentrated Share Ownership? A Natural Experiment from China学术讲座。讲座摘要:Using a 2004 Chinese securities regulation that requires equity offering proposals to seek the separate approval of minority shareholders, we examine whether giving minority shareholders direct control over corporate decisions helps reduce value decreasing corporate decisions in firms with concentrated share ownership. We find that the regulation deters management from submitting value decreasing equity offering proposals in firms with higher mutual fund ownership but not in firms with higher ownership by either other institutions or individuals. There is also weak evidence that minority shareholders are more likely to veto value decreasing equity offering proposals in firms with higher mutual fund ownership in the post-regulation period. Overall, our evidence suggests that the effect of granting minority shareholders direct control over corporate decisions on the quality of corporate decisions depends on the composition of minority shareholders.

Ø         为加强学术交流,促进学术创新,由厦门大学会计发展研究中心主办的《当代会计评论》研讨会于20101213在厦门大学举行。会议特别邀请Yale UniversityShyam Sunder教授为会议做“Research for Accounting Policy”主题报告。南京大学陈志斌教授为会议做“宏观政策的微观作用机理解析——基于西方国家应对金融危机政策的研究”学术报告。武汉大学余玉苗教授为会议做“长期借款债权人监控、审计风险与审计收费——基于中国上市公司的实证证据”学术报告。宁波大学宋夏云教授为会议做“绩效审计人员的专业胜任能力框架研究——基于102位国家审计人员的调研证据”学术报告。招商银行博士后科研工作站贡峻博士为会议做“交叉持股对企业价值影响的实证研究——基于A股市场20072009年的经验数据”学术报告。中山大学涂国前博士为会议做“民营化过程中控制权提前交接的后果”学术报告。南京大学黄志忠教授为会议做“强制轮换制度提高了审计质量吗?——基于中国上市公司的实证研究”学术报告。华南师范大学经济与管理学院谢军教授为会议做“现金持有量的影响因素:技术和制度的解释”学术报告。主办此次会议有利于加强学术交流、促进学术创新,对于加强厦门大学管理学科的学术联系,提升《当代会计评论》的知名度有着重要意义。

 

      重大项目进展报告

 

 

 

重大项目之一:创意经济与管理及管理会计创新问题研究

项目负责人:傅元略

 

阶段性成果: Budgeting Control Theory and the Improved budgeting system Model: Case Evidence From Budgeting Practice in China Company(已形成文章,待发表)

 In China, Budget management has historically played a key role in management control for about 20 years. And there are a lot of theoretical research results on budgeting theory and its application recently to support some new budgeting mode. This paper constructs a new model IBS which combine strategy management with budget management and solve the problems of traditional budgeting and considerable criticism Hansen et al (2003) had proposed in his paper  and book(Hope and Fraser,2003a; Hansen et al,2003). Moreover, in this paper, there are two other contributions: 1) by the new model to answer the criticisms for budgeting and management accounting; 2) this model not only provides a way to show that budgets continue to be used for control purposes and are perceived to be value-added but also provides a tool how to improve those weaknesses of budgets in China company.

 

 

重大项目之二:上市公司财务信息披露质量研究

项目负责人:李常青

本阶段继续按照项目计划,在前期文献梳理和现状调研工作基础上,收集上市公司财务数据、公司治理数据等,有步骤地针对中国上市公司开展财务信息披露质量相关问题的实证研究。

 

阶段性成果之一:“中国上市公司年报重述影响因素的实证研究”(《商业经济与管理》2010年第4期)

本文以2003-20065000多家上市公司为样本,较为系统地剖析了中国上市公司年报重述的影响因素。实证结果表明,公司特征、股权结构和外部治理环境是目前影响我国上市公司年报重述的主要因素,而内部治理结构对年报重述的约束和影响力较小。进一步地,文章构建了一个财务报告重述、信息披露与投资者保护的扩展分析框架,对加强财务报告重述监管、引导和规范上市公司信息披露行为提出了相应的政策建议。

 

阶段性成果之二:“试论买卖价差对我国证券市场信息不对称度量的适用性”(《统计与决策》2010年第7期)

做市商的买卖价差被认为是在知情交易者的预期损失和流动性交易者的预期收益之间的权衡,买卖价差中的不利选择成本在西方被广泛运用来反映证券市场的信息不对称状况。但是运用买卖价差对我国证券信息不对称进行研究却发现我国深沪两市的信息不对称程度均小于欧美和香港市场,这与我国作为新兴市场信息不对称状况严重的情况不符。究其原因,我国为集中竞价的拍卖市场,不存在做市商或造市者,买卖价差不能被认为是做市商或造市者的盈利来源,所以不能正确反映我国证券市场的信息不对称状况。本文认为我国证券市场的买卖价差与存在造市者市场的买卖价差意义是不同的,如果说买卖价差反映了信息不对称,那也就是在9:00 9:30 之间的“黑箱”操作时间,当然此时的买卖价差应当还有其他的因素如投资者情绪等。如果运用一日内加权平均买卖价差等相关指标来衡量市场的信息不对称状况必然会得出错误的结论,造成中国市场信息不对称状况的低估,给监管者提供错误的信息。

 

 

重大项目之三:我国会计准则国际趋同效果检验

项目负责人:曲晓辉

 

阶段性成果之一:市场价格、价值发现与公允价值计量

2007年爆发的次贷危机使公允价值再度成为焦点。公允价值计量具备市场参与者观、交易的虚拟性、有序交易、退出价格(也称脱手价值)、估值参数级次等特征。麦克尼尔借助市场价格形成机制中供需双方力量的分析对其进行了解释。本文提出的“公允价值域”模型借助对不同价值形式的区分,以及其相互间的关系对公允价值具备的特征深入进行阐释。市场价格在会计计量中的应用历史久远,是与市场化进程不断深化,市场机制不断完善相适应的。公允价值计量适应了新经济形态的客观必然要求,由于传统的会计计量模式对知识、信息等无形资产为核心要素的新经济计量显得软弱无力,因而讨论会计计量问题应该回到问题的根源, 寻求新的开始

 

阶段性成果之二:上市公司利用递延所得税资产确认进行盈余管理吗?—— 基于与IFRS 趋同后欧盟及中国上市公司的经验证据比较

本文以国际财务报告准则IFRS趋同下所得税会计准则在欧盟及中国上市公司的实施情况为背景研究并证明欧盟及中国上市公司均在一定程度上利用递延所得税资产确认进行避免利润下滑的盈余管理其中中国上市公司递延所得税资产确认具有可操纵应计利润之外的增量作用欧盟上市公司则具有线下项目可操纵性应计项目之外的增量作用但在避免亏损的盈余管理中欧盟及中国上市公司递延所得税资产确认均未存在这种增量作用进一步研究发现中国上市公司递延所得税资产确认的盈余管理与市场监管动机相关与债务契约管理层薪酬激励无关本文研究结果表明IFRS 趋同下所得税会计准则在欧盟及中国上市公司的实施效果已经具有一定程度的等效性但其财务报告质量还受到特定制度环境因素影响

 

重大项目之四:盈余持续性与公司价值

项目负责人:孙谦、张国清

 

阶段性成果:Huang, J.J., Shen, Y.F. and Sun, Q. 2010. Nonnegotiable shares, controlling shareholders, and dividend payments in China. Journal of Corporate Finance, 9, 1-12.

China has some unique institutional features. For example, the shares of listed firms are segmented into negotiable and nonnegotiable ones. The controlling shareholders, usually connected to the government, hold nonnegotiable shares. We examine how these institutional features affected cash dividend payments in China during the period 1994–2006. We find that dividend payments are positively associated with the proportion of nonnegotiable shares in a firm and the proportion of nonnegotiable shares held by the controlling shareholder; moreover, the 2001 China Securities Regulatory Commission stipulation requiring cash dividend payments does not benefit negotiable shareholders. However, we also find that dividend payments are downside flexible, and controlling shareholders cannot force firms to pay or to pay more dividends when firms' earnings decline significantly. The conventional factors, especially profitability or the capability to pay, still play an important role in determining the dividend policy. The propensity to pay and the payout ratio in China are not high compared to those of other countries.

 

 

 

重大项目之五:制度环境、会计准则变迁及会计信息的决策有用性与契约有用性研究

项目负责人:杜兴强

阶段性成果之一:“寻租、政治联系与真实业绩:基于民营上市公司的经验证据”,已发表于《金融研究》2010年第10

本文手工搜集了中国民营上市公司20042008年高管政治联系的数据,明确区分了政府官员类政治联系与代表委员类政治联系两种类型,以“超额管理费用”作为“寻租”的替代变量,尝试建立起寻租与不同类型政治联系之间的经验关系,并分析了政治联系、政府官员类政治联系、代表委员类政治联系对“真实业绩”的总体或不对称性的影响。研究结果表明,政治联系总体上是寻租的结果、与超额管理费用显著正相关,且政府官员类政治联系及其强度大小均与超额管理费用显著正相关,而代表委员类政治联系及其层级高低则都与超额管理费用正相关、但不显著;民营上市公司的真实业绩与政治联系总体上显著正相关,但两类不同的政治联系对真实业绩的影响具有不对称性,其中政府官员类政治联系及其强度大小均显著负相关,而与代表委员类政治联系及其层级高低则都显著正相关。本文研究表明,政府官员类政治联系和代表委员类政治联系的划分,能够更加深刻的刻画政治联系的前因与后果。

 

阶段性成果之二:已被接受论文“政治联系、预算软约束与政府补助的配置效率”(金融研究,2010.01接受,即将发表)

本文以20042008年的民营上市公司为研究对象,用“雇员负担”作为“政策性负担”的替代变量,以“政府补助”衡量企业获得的政府救助(补贴),实证研究了民营企业的政治联系对预算软约束及政府补助效率的影响。研究结果发现,政治联系是一把“双刃剑”:一方面,政治联系的民营企业容易受到“政府干预”、由此承担了较重的雇员负担,也因此获得了较多的政府补助,从而支持了林毅夫等对预算软约束从政策性负担层面提供的解释。另一方面,虽然政治联系未直接发挥“关系”作用,但若限定存在雇员,则往往影响着企业所能够获得的政府补助,即政治联系的“关系”作用增加了企业预算软约束的程度。进一步本文也发现,在政治联系的民营企业中,政府补助对公司绩效的促进作用显著低于无政治联系民营企业,揭示了政治联系改变了政府补助的流向、降低了政府补助资金的配置效率。

 

阶段性成果之二: “商誉的解构及其确认问题探讨”,已形成文章,待发表。

本文立足于商誉问题的既有文献,在对商誉进行解构的基础上,尝试对商誉的确认进行拓展性的分析。本文首先对商誉的构成进行了分解与组合,指出商誉的构成应更“干净化”,应该只包括“合并商誉”和被并购企业的自创商誉。前者的确认是因为存在客观的证据,而后者是因并购行为而得以显性化。以此为基础,本文探讨了解构后的商誉是否应该在财务报表上确认为一项资产、如何进行初始确认与后续确认等问题。

 

重大项目之六:我国证券市场财务分析师信息引导机制及其监管研究

项目负责人:薛祖云

 

课题按计划开展。已过去的这一季度,课题组完成一篇会议论文,由课题组成员刘万丽博士携论文参加由香港理工大学于二○一一年一月三日举办的第六届《现代会计及经济期刊》博士生论坛。课题组成员林朝南博士完成了一本署名本课题研究成果的专著《中国上市公司控制权私利影响因素的理论与初评研究》将于20101月由中国经济社出版,专著包含部分课题研究成果。课题组主持人薛祖云教授、于李胜副教授近期也已完成一篇课题论文初稿,还在进一步完善与整理过程中。

课题组注意到,2010年,中国证监会集中部署,重点开展防范打击内幕交易专项工作。1-10月,证监会共受理内幕交易线索114件,立案调查内幕交易案件42起,因内幕交易对16名个人、2家机构做出行政处罚,将15起涉嫌内幕交易犯罪案件移送公安机关,披露的案件中有部分分析师、基金经理利用虚假信息或所谓的内幕信息误导投资者, 甚至与庄家勾结, 操纵股价。证监会对内幕交易的执法力度达到了前所未有的高度。政策动向为课题研究提供了新的研究方向,即财务分析师作为市场中介,在研究分析中要大量采集公司各种各样的数据和信息,在履行信息传导机能的过程中,如何远离内幕信息,不受执业利益冲突的影响。在课题前期的研究成果中,已经有结论认为,分析师面临的各种利益冲突是影响分析师充分发挥信息引导机制更为基础性的因素。而我国当前市场已具备了滋生分析师滥用信息优势误导投资者, 最终导致股市泡沫破灭的土壤 。在这种形势下,如何对财务分析师的执业利益冲突进行有效的法律监管,提高证券研究的客观性和独立性,使其能充分发挥证券市场信息“导管”的角色,保证证券市场信息的充分流通,从而促进证券市场的健康发展,已成为各国监管层共同关心的问题。为此,课题组在下一阶段将结合我国财务分析师行业的现状,在借鉴美国监管政策的基础上,尝试性地提出有针对性的监管思路。

 

重大项目之七:中国上市公司内部控制评价与指数研究

项目负责人:陈汉文

该项目已经教育部正式批准为2010年度教育部人文社会科学重点研究基地重大项目,项目批准号:10JJD630003

重大项目之八:行业经济周期,R&D投融资行为与公司价值

项目负责人:肖虹

该项目已经教育部正式批准为2010年度教育部人文社会科学重点研究基地重大项目,项目批准号:10JJD630004