审计委员会的设立与公司治理——基于审计收费的实证研究

采用非参数检验方法和回归分析方法,本文从审计费用率视角研究了审计委员会的设立对上市公司治理的影响。本文发现,在设立审计委员会的样本和未设立审计委员会的样本之间,董事会的规模和独立性、独立董事规模和报酬存在显著差异,且这些变量及独立董事规模、审计任期与审计费用率的相关性不同。结果表明,审计委员会在加强独立董事责任和董事会、外部审计师独立性的同时,也改善了公司内部控制系统,但整体上并没有改变审计师的任期。     

Strategies for detecting fraudulent claims in the automobile insurance industry

Some property and casualty insurers use automated detection systems to help to decide whether or not to investigate claims suspected of fraud. Claim screening systems benefit from the coded experience of previously investigated claims. The embedded detection models typically consist of scoring devices relating fraud indicators to some measure of suspicion of fraud. In practice these scoring models often focus on minimizing the error rate rather than on the cost of (mis)classification. We show that focusing on cost is a profitable approach. We analyse the effects of taking into account information on damages and audit costs early on in the screening process. We discuss several scenarios using real-life data. The findings suggest that with claim amount information available at screening time detection rules can be accommodated to increase expected profits. Our results show the value of cost-sensitive claim fraud screening and provide guidance on how to render this strategy operational.     

Approximating Nash equilibrium for production control with sticky price

We study a mean field game problem arising from the production control for multiple firms with price stickiness in the commodity market. The price dynamics for each firm is described as a (controlled) jump-diffusion process with mean-field interaction. Each firm aims to maximize her expectation of cumulative net profit coupled with each other through price processes. By solving the limiting control problem and a fixed-point problem, we construct an explicit approximating Nash equilibrium when the number of firms grows large.     

我国上市公司审计费用率模型研究

通过研究2001年、2002年我国证券市场A股年度财务报告审计费用、审计费用率得出:年报审计费用与资产规模显著正相关,审计费用率与资产规模显著负相关;资产规模对审计费用率的解释度在71%以上。建立的审计费用率与资产规模的关系模型ROF=αAsset-β,为物价部门制定审计服务价格提供了客观依据,也为证券监管部门、行业主管部门和学术界进行行业监管或审计独立性研究具有参考价值。     

A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis

We study a continuous-time, finite horizon, stochastic partially reversible investment problem for a firm producing a single good in a market with frictions. The production capacity is modeled as a one-dimensional, time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment–disinvestment strategy. We associate to the investment–disinvestment problem a zero-sum optimal stopping game and characterize its value function through a free-boundary problem with two moving boundaries. These are continuous, bounded and monotone curves that solve a system of non-linear integral equations of Volterra type. The optimal investment–disinvestment strategy is then shown to be a diffusion reflected at the two boundaries.     

Strategic Experimentation in Financial Intermediation with Threat of Entry

We study how the threat of entry affects financial contracting between an incumbent firm and a bank, in a stochastic and dynamic environment. Contracts are short term and public. We determine the effects of the first period financial contract on the first period outputs in face of the threat of entry. Specifically, it is shown that the distance between first period outputs is increased due to potential entry. This is due to two underlying effects: first, the threat of entry reduces the signal dampening effect and thus the surplus left to the low cost incumbent is reduced. Second, learning is more valuable as it decreases the probability of entry. Indeed, experimentation takes on a strategic form, since the bank must take into account the impact of the possible game on its expected profits. This work integrates the agency problem between a firm and its financial intermediary with the issue of entry-deterrence under uncertainty.     

基于Benford法则的舞弊检测方法研究

根据Benford法则,统计数据的有效数字分布概率符合对数规律,人为的舞弊活动将破坏这种规律,本文将这一原理应用到审计工作中,研究这一种基于数字分布规律检测的舞弊检测方法,并提供了专用分析工具。与采用传统的分析性复核的舞弊检测手段比较,本方法基于详细交易数据,具有客观性、指向性、可操作性较强的优点。     

Duopoly information sharing with differentiated products

Consider a model where firms own the same technology in linear Cournot duopolies with differentiated products and the slope of the demand curve facing the firm is unknown, containing an own-price effect and a cross-effect. We discuss as follows: whether there is an incentive to share information when firms are symmetrically informed about the random demand. In a two-stage game, for independent goods and complements, it is a Nash equilibrium for firms to put their private information in a common pool.     

A decision support framework for internal audit prioritization in a rental car company: A combined use between DEA and AHP

Corporate scandals such as those at Tyco, Enron, and WorldCom have caused the decline of public trust in accounting and reporting practices. In response, US passed the Sarbanes Oxley Law (Sarbanes) in 2002, the most important corporate governance law since securities laws in 1930s. Section 302 of Sarbanes mandates corporations to ensure accurate financial disclosure and to take greater financial reporting and control responsibilities. Management is required to make an annual assertion regarding the design and effectiveness of company’s internal controls. Consequently, many internal auditing resources are stretched. The objective of this case study is to develop a multi-criteria decision making aid that can identify the most critical businesses units within a corporation. Using the aid, we can use efficiently and effectively the internal auditing resources. Internal audits determine if the accounting processes and systems are working as intended. It focuses on the reliability of the accounting data and evaluates business through financial, operational, and compliance review. It assesses the risk of asset loss, studies business processes, and identifies opportunities to improve efficiency and effectiveness. This study explores the potential of applying data envelopment analysis (DEA) and analytic hierarchy process (AHP) to determine the business units that need audit. Compared with conventional methods, the proposed combined model incorporates a much wider range of quantitative and qualitative criteria, and provides a more detailed and thorough study. The proposed evaluation framework is comprehensive and flexible and it shows great potential for internal audit prioritization and resource allocation.     

Capacity optimization and competition with cyclical and lead-time-dependent demands

Capacity acquisition is often capital- and time-consuming for a business, and capacity investment is often partially or fully irreversible and difficult to change in the short term. Moreover, capacity determines the action space for service/production scheduling and lead-time quotation decisions. The quoted lead-time affects the customer’s perceived service quality. Thus, capacity acquisition level and lead-time quotation affect a firm’s revenue/profit directly or indirectly. In this paper, we investigate a joint optimization problem of capacity acquisition, delivery lead-time quotation and service-production scheduling with cyclical and lead-time-dependent demands. We first explore the structural properties of the optimal schedule given any capacity and lead-time. Then, the piecewise concave relationship between the delay penalty cost and the capacity acquisition level is found. Thereby, an efficient and effective polynomial time algorithm is provided to determine the optimal capacity acquisition level, delivery lead-time quotation and service/production schedule simultaneously. Furthermore, a capacity competition game among multiple firms is addressed. The numerical studies show that capacity equilibrium often exists and converges to a unique solution.     

Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms

It has been shown in the empirical literature that operational losses of financial firms can cause severe reputational losses, which, however, are typically not taken into account when modeling and assessing operational risk. The aim of this paper is to fill this gap by assessing the consequences of operational risk for a financial firm including reputational losses. Toward this end, we extend current operational risk models by incorporating reputation losses. We propose three different models for reputation risk: a simple deterministic approach, a stochastic model using distributional assumptions, and an extension of the second model by taking into account a firm’s ability to deal with reputation events. Our results emphasize that reputational losses can by far exceed the original operational loss and that neglecting reputational losses may lead to a severe underestimation of certain operational risk types and especially fraud events.     

Non-cooperative joint replenishment under asymmetric information

We consider jointly replenishing n ex-ante identical firms that operate under an EOQ like setting using a non-cooperative game under asymmetric information. In this game, each firm, upon being privately informed about its demand rate (or inventory cost rate), submits a private contribution to an intermediary that specifies how much it is willing to pay for its replenishment per unit of time and the intermediary determines the maximum feasible frequency for the joint orders that would finance the fixed replenishment cost. We show that a Bayesian Nash equilibrium exists and characterize the equilibrium in this game. We also show that the contributions are monotone increasing in each firm’s type. We finally conduct a numerical study to compare the equilibrium to solutions obtained under independent and cooperative ordering, and under full information. The results show that while information asymmetry eliminates free-riding in the contributions game, the resulting aggregate contributions are not as high as under full information, leading to higher aggregate costs.     

战略性新兴产业创新金融支持机理及两阶段演化博弈分析

为了研究金融支持如何影响战略性新兴产业创新主体培育的问题,在剖析金融支持主体间双螺旋耦合机理基础上,构建了战略性新兴产业金融支持两阶段演化博弈模型,运用动态系统的相平面理论求取两阶段ESS近似解析解,并借助MATLAB实现两阶段演化博弈模型的数值仿真,分析不同参数赋值对两阶段ESS演进的影响。研究发现:(1)存在机会主义(补贴创新利润率T₁<创新外活动利润率T₂)和非机会主义行为(k>T₂)两种对立占优情境;(2)机会主义行为(或非机会主义)占优情境下,金融支持主体的期望社会效用越小(或越大)、适度减小(或增加)补贴金额,越有利于提升战略性新兴产业创新主体接受补贴的积极性;(3)战略性新兴产业创新主体的自有资金R对其积极性影响不大,而补贴资金利率a越稳定越有利于提高其积极性。基于上述结论,本文最后构建了战略性新兴产业金融支持两阶段ESS演进实现框架,并探究其“累积式”、“悖论式”、“累积—悖论式”递进功能路径,为政府制定提升创新主体培育金融支持效率的相关政策提供了理论支持。     

中小企业融资中的逆向选择和道德风险

针对我国中小企业融资难的难题,利用博弈论和信息经济学的有关理论知识,从定量的角度深入分析了中小企业融资中逆向选择和道德风险的形成过程和机理,从理论上论证了中小企业融资难的重要原因在于中小企业与金融机构之间信息分布的非对称,在此基础上并给出了降低或规避逆向选择和道德风险的途径.     

Strategic Manipulation Approach for Solving Negotiated Transfer Pricing Problem

This paper suggests an approach for solving the transfer pricing problem, where negotiation between divisions is carried out considering the manipulation game theory model for a multidivisional firm. The manipulation equilibrium point is conceptualized under the Machiavellian social theory, represented by three concepts: views, tactics and immorality. In this approach, we are considering a non-cooperative model for the transfer pricing problem: a game model involving manipulating and manipulated players engaged cooperatively in a Nash game, restricted by a Stackelberg game. The cooperation is represented by the Nash bargaining solution. The transfer pricing problem is conceptualized as a strong Stackelberg game involving manipulating and manipulated divisions. This structure established conditions of unequal relative power among divisions, where high-power divisions tend to be abusive and less powerful divisions have a tendency to behave compliantly. For computation purposes, we transform the Stackelberg game model into a Nash game, where every division is able of manipulative behavior to some degree: the Nash game relaxes the interpretation of the manipulation game and the equilibrium selection for the transfer pricing problem. The manipulation dynamics and rationality proposed for the transfer pricing problem correspond to many real-world negotiation situations. We present an example, that illustrates how manipulation can be employed to solve the transfer pricing problem in a multidivisional firm.     

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Abstract

In debt financing, existence of information asymmetry on the firm quality between the firm management and bond investors may lead to significant adverse selection costs. We develop the two-stage sequential dynamic two-person game option models to analyse the market signalling role of the callable feature in convertible bonds. We show that firms with positive private information on earning potential may signal their type to investors via the callable feature in a convertible bond. We present the variational inequalities formulation with respect to various equilibrium strategies in the two-person game option models via characterization of the optimal stopping rules adopted by the bond issuer and bondholders. The bondholders’ belief system on the firm quality may be revealed with the passage of time when the issuer follows his optimal strategy of declaring call or bankruptcy. Under separating equilibrium, the quality status of the firm is revealed so the information asymmetry game becomes a new game under complete information. To analyse pooling equilibrium, the corresponding incentive compatibility constraint is derived. We manage to deduce the sufficient conditions for the existence of signalling equilibrium of our game option model under information asymmetry. We analyse how the callable feature may lower the adverse selection costs in convertible bond financing. We show how a low-quality firm may benefit from information asymmetry and vice versa, underpricing of the value of debt issued by a high-quality firm.     

公司盈余质量:董事会微观治理绩效之考察——来自我国独立董事制度强制性变迁的经验证据

本文选用我国上市公司董事会结构变迁背景下的经验数据,系统地考察了董事会特征对公司盈余信息披露质量的治理效应问题.研究结果表明,董事会的独立性、专业性特征是影响我国上市公司财务呈报质量的重要因素,即:公司拥有更高比例的独立董事、拥有财务独立董事、或者设立审计委员会,均能更好地抑制公司的盈余管理行为;但作为表征董事会行为特征的变量,如董事会持股水平、董事会年度会议频率和兼任控股股东职务等,却与公司盈余质量之间没有显著关系;而且,在认同审计委员会与独立董事制度能够发挥财务报告监督作用的同时,亦要避免其形式上的装饰现象。     

The Nash solution of a maintenance-production differential game

A simple two-person nonzero-sum differential game between the maintenance crew of a firm and the production department of the same firm is considered. It is assumed that preventive maintenance decelerates the decrease in quality of a machine, whereas the production activities set by the firm reduces the quality of the machine. Due to the special structure of the game a system of two differential equations for the non-cooperative Nash solution trajectories can be derived. This provides a possibility to obtain qualitative insights into the structure of the solution paths by phase diagram methods without solving the necessary optimality conditions explicitly.For small salvage values of the machine, it is shown that the optimal maintenance expenditures decrease over time whereas the optimal production rate increases monotonically.Moreover, another interpretation of the differential game analyzed is given as a conflict situation between a firm polluting the environment by producing an output and a governmental agency cleaning up the pollution.     

省域审计供求关系与审计质量——基于审计投入的中介效应视角

文章基于我国上市公司年度样本,利用审计工时数据研究探索审计市场供需不平衡对审计质量的影响作用机制。结果表明,审计投入在事务所“异常”供给与审计质量间起中介作用,具体而言,审计投入在Big4事务所“异常”供给对审计质量的影响中发挥了完全中介效应,在Next6和Small事务所“异常”供给对审计质量的影响中发挥了部分中介效应。文章丰富了审计质量相关研究,并为深入分析审计质量影响因素的路径机制提供了一些经验证据。     

偿付能力监管中审核问题博弈分析

偿付能力监管是我国保险监管体系的三大支柱之一,居于监管体系的核心地位,然而保险人报送的不真实数据严重影响了偿付能力监管的效果.将对监管机构和保险人的行为进行分析,建立博弈模型,研究在偿付能力监管过程中,监管机构如何通过审核制度设计保证被监管者报送数据的真实性,并在此条件下对审核制度影响因素进行分析.