Abstract In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable part of a claim) and time-consistent, extending the work of Dhaene et al. (2017) and Barigou and Dhaene (2019). We provide a complete hedging characterization for fair dynamic valuations. Moreover, we show how to implement fair dynamic valuations through a backward iterations scheme combining risk minimization methods from mathematical finance with standard actuarial techniques based on risk measures.
{"title":"Fair Dynamic Valuation of Insurance Liabilities: Merging Actuarial Judgement With Market- and Time-Consistency","authors":"Karim Barigou, Ze Chen, Jan Dhaene","doi":"10.2139/ssrn.3293741","DOIUrl":"https://doi.org/10.2139/ssrn.3293741","url":null,"abstract":"Abstract In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable part of a claim) and time-consistent, extending the work of Dhaene et al. (2017) and Barigou and Dhaene (2019). We provide a complete hedging characterization for fair dynamic valuations. Moreover, we show how to implement fair dynamic valuations through a backward iterations scheme combining risk minimization methods from mathematical finance with standard actuarial techniques based on risk measures.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117011105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Smart Derivative Contracts (Presentation Slides of the 14th Quant Finance Conference)","authors":"Christian P. Fries, Peter Kohl-Landgraf","doi":"10.2139/ssrn.3262277","DOIUrl":"https://doi.org/10.2139/ssrn.3262277","url":null,"abstract":"","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"164 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132861512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Corporate Governance Disclosure (hereafter CGD) is the extent to which an organization transparently discloses its governance practices and strategies to stakeholders. This paper aims to examine the impact of corporate governance disclosure on firm performance, board composition, and company size. To achieve the research aim, this study used secondary data from companies listed on the Nigerian stock exchange and examined 31 companies across 5 sectors from 2010-2013. This paper adopts theoretical triangulation to provide a wide and deep understanding of the topic with the aim of both contributing to the literature and providing insights on how compliance can influence current governance practice in Nigeria. This study used panel regression techniques and the results indicate that asset turnover, board composition and number of employees are all significantly related to corporate governance disclosure. However, return on assets, return on equity and earnings per share are not significant. Overall, this study found that listed companies compliance with the Securities Exchange Commission (SEC) Disclosure requirements has a positive influence on corporate governance performance for the firms listed in the Nigerian Stock Exchange.
{"title":"Corporate Governance Disclosure in Nigerian Listed Companies","authors":"Folashade Adefemi, A. Hassan, Mary Fletcher","doi":"10.2139/ssrn.3322063","DOIUrl":"https://doi.org/10.2139/ssrn.3322063","url":null,"abstract":"Corporate Governance Disclosure (hereafter CGD) is the extent to which an organization transparently discloses its governance practices and strategies to stakeholders. This paper aims to examine the impact of corporate governance disclosure on firm performance, board composition, and company size. To achieve the research aim, this study used secondary data from companies listed on the Nigerian stock exchange and examined 31 companies across 5 sectors from 2010-2013. This paper adopts theoretical triangulation to provide a wide and deep understanding of the topic with the aim of both contributing to the literature and providing insights on how compliance can influence current governance practice in Nigeria. This study used panel regression techniques and the results indicate that asset turnover, board composition and number of employees are all significantly related to corporate governance disclosure. However, return on assets, return on equity and earnings per share are not significant. Overall, this study found that listed companies compliance with the Securities Exchange Commission (SEC) Disclosure requirements has a positive influence on corporate governance performance for the firms listed in the Nigerian Stock Exchange.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134480366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper is the first to investigate risk disclosures by German non-listed firms in relation to key attributes of governance and ownership. Based on manual content analysis of risk disclosures by 100 firms in the manufacturing sector we employ univariate tests and multivariate regressions to examine the characteristics and determinants of risk disclosures, respectively. Results suggest that non-listed firms provide fewer risk disclosures but follow similar patterns in respect to the composition of risk disclosures as compared to prior evidence on German listed firms. Consistent with agency theory, the volume of risk disclosures is positively associated with the existence and size of a supervisory board and the use of a Big-4 auditor while negatively associated with concentrated ownership in subsidiaries or family firms. Our findings contribute to limited evidence on risk and discretionary disclosures by non-listed firms.
{"title":"Risk Disclosures, Governance and Ownership: Evidence from German Non-Listed Firms","authors":"M. Dobler, Melissa Luckner","doi":"10.22495/COCV15I4ART4","DOIUrl":"https://doi.org/10.22495/COCV15I4ART4","url":null,"abstract":"This paper is the first to investigate risk disclosures by German non-listed firms in relation to key attributes of governance and ownership. Based on manual content analysis of risk disclosures by 100 firms in the manufacturing sector we employ univariate tests and multivariate regressions to examine the characteristics and determinants of risk disclosures, respectively. Results suggest that non-listed firms provide fewer risk disclosures but follow similar patterns in respect to the composition of risk disclosures as compared to prior evidence on German listed firms. Consistent with agency theory, the volume of risk disclosures is positively associated with the existence and size of a supervisory board and the use of a Big-4 auditor while negatively associated with concentrated ownership in subsidiaries or family firms. Our findings contribute to limited evidence on risk and discretionary disclosures by non-listed firms.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123158691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Investors increasingly hold stock in multiple firms that compete in the same product market (“common ownership”). Taking market share from peers no longer maximizes shareholder value under common ownership, which incentivizes managers to implement less competitive strategies (Azar, 2016). Consistent with the existence of a negative relation between competition and disclosure, we predict and find that common ownership is positively associated with voluntary disclosure. We also show the result is diminished in industries for which there are direct communication channels, industries with low barriers to entry, industries facing high demand uncertainty, and industries containing dissimilar firms. Lastly, we examine an exogenous shock to common ownership to support our assertion that common ownership causes changes to disclosure behavior. Our paper contributes to the literature regarding the influence of shareholder preferences on disclosure, suggesting there are spillover effects from common ownership to other shareholders in the form of increased disclosure.
{"title":"Common Ownership and Voluntary Disclosure","authors":"Andrea Pawliczek, A. Skinner","doi":"10.2139/ssrn.3002075","DOIUrl":"https://doi.org/10.2139/ssrn.3002075","url":null,"abstract":"Investors increasingly hold stock in multiple firms that compete in the same product market (“common ownership”). Taking market share from peers no longer maximizes shareholder value under common ownership, which incentivizes managers to implement less competitive strategies (Azar, 2016). Consistent with the existence of a negative relation between competition and disclosure, we predict and find that common ownership is positively associated with voluntary disclosure. We also show the result is diminished in industries for which there are direct communication channels, industries with low barriers to entry, industries facing high demand uncertainty, and industries containing dissimilar firms. Lastly, we examine an exogenous shock to common ownership to support our assertion that common ownership causes changes to disclosure behavior. Our paper contributes to the literature regarding the influence of shareholder preferences on disclosure, suggesting there are spillover effects from common ownership to other shareholders in the form of increased disclosure.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128077311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Many have argued that rewards for external whistleblowing on corporate crimes to regulatory agencies could discourage internal reporting in companies, but this issue has not yet been fully analyzed. Based on the observations of past trends in whistleblower cases, this paper develops a model based on the hypotheses that internal reporting helps a company’s internal governance system prevent crime through the exercise of internal control and that external whistleblowing helps a regulatory agency deter crime through the threat of sanctions. The model shows the amount of external whistleblower rewards has a non-monotonic relationship with the probability of internal reporting occurring: As the amount of rewards increases, the probability of internal reporting first increases and, after reaching a maximum, decreases to zero. The socially optimal amount of external whistleblower rewards is determined by considering a trade-off between internal reporting as a means of prevention and external whistleblowing as that of deterrence.
{"title":"Effects of External Whistleblower Rewards on Internal Reporting","authors":"Masaki Iwasaki","doi":"10.2139/ssrn.3188465","DOIUrl":"https://doi.org/10.2139/ssrn.3188465","url":null,"abstract":"Many have argued that rewards for external whistleblowing on corporate crimes to regulatory agencies could discourage internal reporting in companies, but this issue has not yet been fully analyzed. Based on the observations of past trends in whistleblower cases, this paper develops a model based on the hypotheses that internal reporting helps a company’s internal governance system prevent crime through the exercise of internal control and that external whistleblowing helps a regulatory agency deter crime through the threat of sanctions. The model shows the amount of external whistleblower rewards has a non-monotonic relationship with the probability of internal reporting occurring: As the amount of rewards increases, the probability of internal reporting first increases and, after reaching a maximum, decreases to zero. The socially optimal amount of external whistleblower rewards is determined by considering a trade-off between internal reporting as a means of prevention and external whistleblowing as that of deterrence.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125271005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze the optimality of allowing disclosures of different types of information before equity offerings and of alternative rules for private securities litigation, where courts may penalize unduly optimistic disclosures ex post. In our model, firm insiders, with private information about variables affecting firm performance, may make claims (disclosures) about their future realization prior to new equity offerings. Equity offering prices are affected by firm disclosures; demand from institutional investors, with access to a costly disclosure verification technology; and demand from retail investors. We analyze self-regulation incentives and develop policy implications for disclosure regulation and for private securities litigation reform.
{"title":"Optimal Disclosure and Litigation Rules Around IPOs and SEOs","authors":"Onur Bayar, Thomas J. Chemmanur, P. Fulghieri","doi":"10.2139/ssrn.3076684","DOIUrl":"https://doi.org/10.2139/ssrn.3076684","url":null,"abstract":"We analyze the optimality of allowing disclosures of different types of information before equity offerings and of alternative rules for private securities litigation, where courts may penalize unduly optimistic disclosures ex post. In our model, firm insiders, with private information about variables affecting firm performance, may make claims (disclosures) about their future realization prior to new equity offerings. Equity offering prices are affected by firm disclosures; demand from institutional investors, with access to a costly disclosure verification technology; and demand from retail investors. We analyze self-regulation incentives and develop policy implications for disclosure regulation and for private securities litigation reform.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130010654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this study is to determine the overall performance of Apollo Food Holdings Berhad with firm specific risk factors and macroeconomic factors on profitability performance. The data used in Statistical Package for the Social Sciences (SPSS) in developing the ordinary least square relationship between profit and risk is obtained from annual report of Apollo Food Holdings Berhad from year 2013 to 2017. The overall performance of Apollo Food Holdings Berhad is measured by using the liquidity, debt to income and operating ratio in 5 years. This paper utilizes liquidity (current ratio), debt to income, operating ratio, GDP, inflation and exchange rate to study the relationship between risks factors and the profitability of Apollo. The linear regression analysis suggests that credit risk (deb to income ratio) is the most significant firm specific factor which has the highest impact on the profitability. Meanwhile, the liquidity, operational and all of the macroeconomic variables are not significant to profitability and thus, have low impact on the profitability of Apollo.
本研究的目的是确定阿波罗食品控股有限公司的整体业绩与公司具体的风险因素和宏观经济因素对盈利能力的表现。SPSS (Statistical Package for The Social Sciences)中用于建立利润与风险的一般最小二乘关系的数据来自Apollo Food Holdings Berhad 2013 - 2017年的年报。阿波罗食品控股有限公司的整体表现是用5年的流动资金、债务收入比和营业比率来衡量的。本文利用流动性(流动比率)、负债收入比、营业比率、GDP、通货膨胀率和汇率来研究风险因素与阿波罗盈利能力之间的关系。线性回归分析表明，信用风险(负债收入比)是对盈利能力影响最大的企业特定因素。同时，流动性、经营性等宏观经济变量对盈利能力的影响不显著，对阿波罗盈利能力的影响较小。
{"title":"Apollo Food Holdings Berhad: The Relationship between Performance and Internal, External Determinants","authors":"X. Lee","doi":"10.2139/ssrn.3182175","DOIUrl":"https://doi.org/10.2139/ssrn.3182175","url":null,"abstract":"The aim of this study is to determine the overall performance of Apollo Food Holdings Berhad with firm specific risk factors and macroeconomic factors on profitability performance. The data used in Statistical Package for the Social Sciences (SPSS) in developing the ordinary least square relationship between profit and risk is obtained from annual report of Apollo Food Holdings Berhad from year 2013 to 2017. The overall performance of Apollo Food Holdings Berhad is measured by using the liquidity, debt to income and operating ratio in 5 years. This paper utilizes liquidity (current ratio), debt to income, operating ratio, GDP, inflation and exchange rate to study the relationship between risks factors and the profitability of Apollo. The linear regression analysis suggests that credit risk (deb to income ratio) is the most significant firm specific factor which has the highest impact on the profitability. Meanwhile, the liquidity, operational and all of the macroeconomic variables are not significant to profitability and thus, have low impact on the profitability of Apollo.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121044232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper analyzes recent legal and regulatory developments in the EU that will potentially significantly affect the landscape of the financial services industry in the EU and elsewhere. It focuses on four specific initiatives -- delegation, common ownership, MiFID II, and EMIR -- evaluates these developments in the context of an overarching economic framework that highlights the consequences of these initiatives from the standpoint of its effect on consumer welfare in the EU, in the U.S., and globally.
{"title":"The Economic Consequences of Regulatory Protection & Extraterritorial Reach","authors":"A. Thakor","doi":"10.2139/ssrn.3176049","DOIUrl":"https://doi.org/10.2139/ssrn.3176049","url":null,"abstract":"This paper analyzes recent legal and regulatory developments in the EU that will potentially significantly affect the landscape of the financial services industry in the EU and elsewhere. It focuses on four specific initiatives -- delegation, common ownership, MiFID II, and EMIR -- evaluates these developments in the context of an overarching economic framework that highlights the consequences of these initiatives from the standpoint of its effect on consumer welfare in the EU, in the U.S., and globally.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123925809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines the incremental information in loss firms’ non‐GAAP earnings disclosures relative to GAAP earnings. Using a large sample obtained through textual analysis and hand‐collection, we posit and find that loss firms’ non‐GAAP earnings exclusions offset the low informativeness of GAAP losses for forecasting and valuation. Loss firms’ non‐GAAP earnings are highly predictive of future performance and are valued by investors, while the expenses excluded from GAAP earnings are not. Additional tests suggest that loss firms disclosing non‐GAAP profits have significantly better future performance than GAAP‐only loss firms and are not overvalued by investors. Comparing non‐GAAP earnings of profitable firms to those of loss firms, we find that loss firms’ non‐GAAP metrics are significantly more predictive and less strategic. We conclude that non‐GAAP earnings disclosures are particularly informative about loss firms and help investors disaggregate losses into components that have differential implications for forecasting and valuation.
{"title":"Non-GAAP Earnings Disclosure in Loss Firms","authors":"Edith Leung, David Veenman","doi":"10.2139/ssrn.2825977","DOIUrl":"https://doi.org/10.2139/ssrn.2825977","url":null,"abstract":"This study examines the incremental information in loss firms’ non‐GAAP earnings disclosures relative to GAAP earnings. Using a large sample obtained through textual analysis and hand‐collection, we posit and find that loss firms’ non‐GAAP earnings exclusions offset the low informativeness of GAAP losses for forecasting and valuation. Loss firms’ non‐GAAP earnings are highly predictive of future performance and are valued by investors, while the expenses excluded from GAAP earnings are not. Additional tests suggest that loss firms disclosing non‐GAAP profits have significantly better future performance than GAAP‐only loss firms and are not overvalued by investors. Comparing non‐GAAP earnings of profitable firms to those of loss firms, we find that loss firms’ non‐GAAP metrics are significantly more predictive and less strategic. We conclude that non‐GAAP earnings disclosures are particularly informative about loss firms and help investors disaggregate losses into components that have differential implications for forecasting and valuation.","PeriodicalId":181062,"journal":{"name":"Corporate Governance: Disclosure","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125064880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：