经济运行的逻辑 – 读书笔记

市场研究面临的现实困难

  1. 未来并非过去的重复
  2. 即使未来是过去的重复,准确的预测需要对现实和历史全面和没有重要遗漏的认识和把握

市场研究在操作上的难点

  1. 如何看待逻辑
  2. 如何看待历史

证券研究的要点

形势逻辑和实证精神相结合

  1. 严密,能解释现实现象的逻辑
  2. 基于逻辑作出的预测
  3. 通过对证据系统性的梳理来验证预测

中国与成熟经济体的通胀模型差异

  1. 中国可贸易部门在经济中占比很大;成熟经济体虽然高度开放,但制造业占比很小
  2. 主导中国CPI的食品类价格以及驱动农户通胀预期的生产资料价格不存在明显的价格粘性
  3. 中国生产资料价格变化主要反映企业生产能力的余缺和资本存量的多寡;成熟经济体产品和服务价格变化的背后多反映劳动力市场的松紧和工资增长的快慢

高善文的宏观经济研究思路

  1. 基于中国深度介入国际生产分工的事实,依靠国际收支模型和国外经济数据对中国经济现象进行解读/预测
  2. 对具体的生产资料价格、供给/需求等要素的分析采用排除法,圈定唯一的合理可能因素
  3. 基于经济指标的内涵的相互因果关系,依托经济数据展开分析,支持2中的分析路径

中国与成熟经济体在结构方面的区别

Claim: 成熟经济体虽然高度开放,但制造业占比很小,基本上可以看作封闭经济体来处理, why ?

资本存量

用于商业生产的经济和其他各种生产要素

企业部门存货及固定资产投资意愿与资产价格的关系

  1. 当企业预期回报上升时,企业部门补存货及固定资产投资意愿上升,则在资产端,企业会降低现金及等价物持有用于购买存货和投资;在负债端和权益端,企业会加大债务融资和股权融资的力度。

由于债务融资需求的增加,市场信贷利率存在上升压力;股权融资需求的增加带来了一级市场的股票供应,带来了二级市场股票估值的下行压力。

国外融资需求的并行上升,表现为国家层面的资本流入放大,带来本币升值压力。

  1. 当企业预期交易量上升时,企业部门会增加现金持有以应对高周转,在资产端,企业会增加现金及等价物持有用于交易,降低存货水平;在负债端和权益端,企业会加大债务融资和股权融资力度。

Auditing and Assurance Services – 读书笔记

Management Assertions

  1. Existence or occurence
    Assets or liabilities exist at a given date, and recorded transactions have occurred during the period
  2. Completeness
    All transactions and accounts that should be presented in the financial statements are so included.
  3. Valuation or allocation
    Assets, liabilities, equity, etc have been included in the financial statements at appropriate amounts.
  4. Rights and obligations
    The public company holds or controls rights to the assets, and liabilities are obligations of the company at a given date.
  5. Presentation and disclosure
    The components of the financial statements are properly classified, described and disclosed.

Persuasiveness of Evidence

  1. Appropriateness
Relevance of Evidence
Reliability of Evidence

(1) Independence of provider
(2) Effectiveness of client's internal control
(3) Auditor's direct knowledge
(4) Qualification of individuals providing the information
(5) Degree of objectivity
(6) Timelineness

  1. Sufficiency
    The quantity of evidence obtained in an audit determines the sufficiency evidence.

Types of Audit Evidence

  1. Confirmation
    Confirmation describes the receipt of a direct written respnose from a third party verifying the accuracy of information that was requested by the auditor.

  2. Inspection
    Inspection is the auditor's examination of the client's documents and records to substantiate the information that is, or should be, included in the financial statements.

  3. Analytical Procedures
    Analytical procedures are defined by auditing standards as evaluations of financial information through analysis of plausible relationships among financial and nonfinancial data.

  4. Inquiry
    Inquiry is the obtaining of written or oral information from the client in response to questions from the auditor.

  5. Recalculation
    Recalculation involves rechecking a sample of calculations made by the client.

  6. Reperformance
    Reperformance is the auditor's independent tests of client accounting procedures or controls that were originally done as part of the entity's accounting and internal control system.

  7. Observation
    Observation consists of looking at a process or procedure being performed by others.

  8. Three Risk Terms in Audit Planning
    1) Client Business Risk
    2) Acceptable Audit Risk
    Audit Risk is the risk taken of giving audit opinion that doesnot reflect the financial position of client based on certain amount of audit evidence.
    Audit risk is only correlated with the sufficiency of audit evidence.
    More audit evidence results in a lower audit risk
    3) The Risk of Material Misstatement

  9. Considerations on Accepting a New Client
    1) The new auditor is required by auditing standards to communicate with the predecessor auditor.

  10. Materiality in Financial Audit
    The magnitude of misstatement that individually, or when aggregated with other misstatements, could reasonably be expected to influence the economic decision made by users of the financial statements.

  11. The need for the allocation of preliminary judgement of materiality
    This is also call the determination of performance materiality.
    Some accounts are likely to be overstated, whereas others are likely to be understated, resulting in a net amount that is likely to be less than the prelimary judgement.

The aim of determine performance materiality is to minimize audit costs without sacrificing audit quality.

  1. The Procedure of Assessment of the Risk of Material Misstatement.

1). Inquiries of Management and Others Within the Entity
2). Analytical Procedures
3). Observation and Inspection
4). Discussion among engagement team members
5). Other Risk Assessment Procedures

  1. Risk of Material Misstatement

1) PDR: Planed detection risk (planned detection probability)
2) AAR: Acceptable audit risk
3) IR: Inherent Risk
4) CR: Control Risk

PDR = AAR/(IR*CR)

马克斯韦伯:经济与社会 – 读书笔记

现代社会的支配类型

  1. 理性规则体系带来的支配与被支配地位
  2. 个人权威导致的支配关系
  3. 对异象或超凡魅力信仰的服从

理性规则 - 现代官僚行政体系的结构

  1. 有明确的官职管辖权限的界定
  2. 有保证官职管辖命令得到履行所需的强制手段
  3. 官职的当选者需要满足相应的资格

家产制官僚

  1. 遴选依赖个人新人,而不是技术资格
  2. 对家产制行政,任何辨认"管辖权"的尝试都是徒劳的,因为官衔的含义可以随意变更
  3. 在官员任命上,统治者的个人酌处权和亲疏好恶具有决定性的作用
  4. 在统治者的整个权利范围内,决策都是临时做出的,因为任何人都没有牢固的个人权利对它进行约束

AICPA – Intermediate Financial Accounting读书笔记

Interest Capitalization (利息资本化)

利息资本化指企业通过债务融资手段筹集PPE资金后,将部分/全部利息以资产形式计入PPE账目下,而不是计入费用的会计处理手段。

在GAAP里,PPE的历史成本需包含对应资产在到达可使用状态前所必要发生的所有成本,包含债务利息。

计息期间,认定利息资本化区间的三个必要条件是:
1. 购置开销已经发生
2. 购置资产已经处于交付的过程中
3. 购置资产对应的债务在计息过程中

Cost Subsequent to Acquisition (交付后成本)

购置资产的交付后成本的资本化需要满足下列三条件之一:
1. 资产的使用期限被延长
2. 资产的生产能力有提升
3. 资产的生产质量有提升

交付后成本的产生有以下几个分类:
1. Additions
2. Improvements and Replacements
3. Rearrangement and Reinstallation
4. Repaires

Depreciation Methods

  1. Activity Method (units of use or production)
  2. Straight-line method
  3. Decreasing charge methods (accelerated):

Straight-line method

  1. Depreciation charge is based on the historical cost on book.

Decreasing charge method
1. Depreciation charge is based on the asset account balance.

调整固定资产折旧的方法和折旧期限对财报净利润有很大的影响

Intangible Asset

  1. Lack physical existence
  2. They are not financial instruments

Asset Impairment

  1. The carrying amount of a long-lived asset is not recoverable (through future economic benefits, ie, expected future net cash flow from the use of asset and eventual disposal)

Current Liability

  1. Obligations whose liquidation is reasonably expected to require use of existing resources properly classified as current assets, or the creation of other current liabilities.

Current Liability

Special treatment:
A company should classify as current any liability that is due on demand (callable by the creditor) or will be due on demand within a year (or operating cycle, if longer)

Refinancing Criteria:
1. It must intend to refinance the obligation on a long-term basis
2. It must demonstrate an ability to consummate the refinancing.

Compensated Absences

Recognition for Accural:
1. The employer's obligation relating to employees' rights to receive compensation for future absenses is attributable to the employees' services already rendered.
2. The obligation relates to the rights that vest or accumulate
3. Payment of the compensation is probable
4. The amount can be reasonably estimated.

Contingency

A contingency is "an existing codition, situation, or set of circumstances involving uncertainty as to possible gain (gain contingency) or loss (loss contingency) to an enterprise that will ultimately be resolved when one or more future events occur or fail to occur.

民营企业和互联网企业的资金需求差异

民营企业

  1. 需求资金用于投资PPE, 进口原材料,扩大再生产,实现利润增长
  2. 以债务融资为主

互联网企业

  1. 需求资金用于R&D, 市场推广,人员招聘,实现用户量的规模增长,抢占市场,扩大市场占有率,认可亏损换体量
  2. 以股权融资为主

JF读书笔记 – 2018年7月

Does Herding Behavior Reveal Skill? - An Analysis of Mutual fund Performance

https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12699

羊群效应是否反映投资水平 - 关于共同基金投资表现的分析

本文基于数据研究以下假设在现实金融市场中的有效性:
水平一般的基金经理更多的维持前任的投资策略,水平高超的基金经理更有可能偏离前任的策略,做出独特(离群)的投资决策。

换句话说,我们是否可以通过观察一个基金经理的投资决策与行业热门投资组合的模仿程度来预测这个基金经理的投资水平。

针对作者数据集中的基金历史数据,作者构造了一个"herding tendency"指数并计算了所有基金的该指数数值。

结果发现,herding tendency在前25%位的基金(即追逐行业热门投资的基金),年化收益率比后25%位的基金要低2.28%。

这证明羊群效应在基金行业是和低投资收益有关联的。

关于投资水平差异导致的投资跟风现象的形成原因,有多种理论曾经试图加以阐述。

  1. 基金经理模仿前任投资策略是为了增强市场对其投资水平的信心,维护其声誉
  2. 提早获取相关信息的投资者可以预测较晚获取信心的投资者的市场行为,从而采取相反的投资动作以获取收益

在研究中,作者针对以下几个具体问题展开了测试:
1. Anti-herding fund是否持续的做出优于herding fund的投资决策
2. 在股票市场大盘表现不佳的时候,performance gap是否有所扩大
3. Anti-herding fund是否有信息优势