投资者关注与市场反应——来自中国证券交易所交易公开信息的自然实验

涨停的股票能否被交易公开信息披露取决于收益率排名中的随机因素,与股票的基本面特征无关。本文利用这一机制设计自然实验检验了投资者关注对股价的影响。实证结果显示交易公开信息披露使股票受到投资者更多的关注,增加了小额资金的净流入,减少了大额资金的净流入和股价的短期收益率,抑制了股价短期波动率,同时降低了股价在长期发生反转的可能性。频繁登上交易公开信息的知名营业部买入的股票受到更多关注,相应的市场反应也更加显著。进一步的研究表明监管性信息披露引发的投资者关注通过降低市场信息不对称抑制了股价反转。     

我国上市公司关联方交易信息披露的问题及成因分析

上市公司与控股公司及子公司之间的关联方交易大量增加,规范的关联方交易确实可以减少交易成本,提高企业效率,但我国上市公司内部治理结构的不健全和外部监管的不完善使上市公司与控股公司及子公司的关联方交易沦为操纵利润的工具。为了保证市场持续稳定的发展,必须对上市公司关联方交易及其信息披露作出明确的规范。本文将重点分析我国上市公司关联方交易信息披露存在的问题及其成因,并有针对性地提出改进的措施。     

内幕信息、私下披露及其控制

证券市场的效率与公平与上市公司的信息披露形式密切相关。信息披露形式分为公开披露和私下披露 ,私下披露与内幕信息关系密切。内幕信息对证券市场价格有重大影响 ,当内幕信息被公开披露时 ,对所有投资人的影响是公平的 ;当内幕信息被私下披露时 ,有可能造成内幕交易 ,导致市场不公平。为此必须严格控制内幕信息 ,并对内幕交易进行严格管制和处罚。然而 ,内幕信息的私下披露有其存在的必然性 ,因此必须谨慎选择私下披露的渠道和方式 ,并对内幕信息的私下披露进行有效的控制 ,以实现证券市场的公平有效。     

股票杠杆交易行为及收益分析——基于融资融券交易数据

作为重要金融工具,股票杠杆交易对于资本市场效率的提高具有重要意义.本文通过融资融券的交易数据研究中国股票杠杆交易行为及收益情况,从信息披露、盈余质量及公司估值三个层面,本文发现参与融资融券的杠杆交易者更多选择信息披露质量差、盈余质量低的公司,且交易的股票估值偏高.通过构建投资组合,我们发现这种杠杆交易行为获得超额收益.本文进一步从业绩预告和证监会处罚两个视角进行检验,发现杠杆交易者可能是通过内幕信息获得收益.本文打开杠杆交易的黑箱,为监管层监管杠杆交易的合理性和必要性提供了依据,也为在打造规范、透明、有活力的资本市场过程中,如何让金融工具更好地服务于资本市场提供了参考.     

我国上市公司关联方交易信息披露的问题及成因分析

上市公司与控股公司及子公司之间的关联方交易大量增加，规范的关联方交易确实可以减少交易成本，提高企业效率，但我国上市公司内部治理结构的不健全和外部监管的不完善使上市公司与控股公司及子公司的关联方交易沦为操纵利润的工具。为了保证市场持续稳定的发展．必须对上市公司关联方交易及其信息披露作出明确的规范。本文将重点分析我国上市公司关联方交易信息披露存在的问题及其成因，并有针对性地提出改进的措施。     

构建关联交易信息平台 加强关联交易披露监管

关联交易因其特殊性容易使企业利用它进行操纵利润等违规行为,完善企业关联交易披露行为对于引导企业正确进行关联交易,防止利用此造假有重要意义。通过关联企业交易信息平台,可以加强关联交易披露的监管,保证关联交易披露的公开、完整、真实、及时。     

构建关联交易信息平台 加强关联交易披露监管

关联交易因其特殊性容易使企业利用它进行操纵利润等违规行为,完善企业关联交易披露行为对于引导企业正确进行关联交易,防止利用此造假有重要意义。通过关联企业交易信息平台,可以加强关联交易披露的监管,保证关联交易披露的公开、完整、真实、及时。     

美国证券法对衍生交易市场风险披露的监管及借鉴——以SEC“305规则”体制的监管要求为视角

在以市场风险披露为基础的衍生交易监管政策下,SEC的“305规则”体制由定量、定性信息披露要求与前瞻性信息披露的安全港规则有机构成。我国应当借鉴先进的风险监管规则,构建创新的衍生工具市场风险披露法律框架,并解决好创新规则实施过程中的成本-收益权衡问题、收益波动性问题。     

刍议我国上市公司关联交易信息披露存在的问题和改进建议

上市公司关联交易广泛地存在于上市公司的日常经营活动中,然而不正当关联交易却损害着广大投资者的权益。上市公司若未按照有关规则披露信息,关联方将能够轻易地通过关联交易进行利益输送,这会严重破坏证券市场秩序,损害证券投资者的利益。因此,加强上市公司关联交易的信息披露监管,对于保护我国投资者的合法权益、提高资本市场的运作效率、维护证券市场的繁荣与稳定都具有十分重要的意义。在我国证券市场上,许多上市公司利用关联交易来粉饰业绩或输出利润,严重危害了中小股东的利益。本文论述关联交易的判定标准以及披露,并提出对规范我国上市公司关联交易的几点建议。     

上市公司关联交易信息披露存在的问题及其规制

在资本市场发展过程中,上市公司的关联交易披露一直存在着诸多问题,危害着资本市场的健康发展。虽然我国已颁布了规制关联交易的诸多法律法规,但从实际效果看,上市公司仍有足够的空间和时间制造与发布虚假信息。为此,比较国际证券市场,笔者认为,我国证券市场应重点强化信息披露的法律效力,将披露作为关联交易成立的法定条件;适当扩大关联方范围,减少逃避关联交易信息披露的行为;深化信息披露的内容,提高披露的质量和效率,主要是进一步完善目前摘要与全文之间的法律关系以及解决披露行为的间断性和迟滞性问题。     

Information shares of two parallel currency options markets: Trading costs versus transparency/tradability

This paper studies whether trading costs or transparency/tradability are more important to price discovery using a unique dataset of currency options that trade simultaneously in two parallel markets. The Over-The-Counter (OTC) market is characterized by sophisticated investors, low trading costs, and low transparency/tradability compared to the Tel-Aviv Stock Exchange (TASE). Pricing errors are much larger on the TASE and the information share of the OTC market is significantly larger than that of the TASE by various information share measures, showing that trading costs and trader type have a first-order effect on price discovery while transparency/tradability have a second-order effect.     

Institutional herding in international markets

This paper studies herding behavior of institutional investors in international markets. First, we document the existence of wide-spread herding in 41 countries (referred to as “target countries” hereafter) in the sample. We then examine the relation between contemporaneous institutional demand and future returns and find that institutional herding stabilizes prices. Next, we examine the relation between institutional investors’ herding behavior and the level of information asymmetry in the target countries. We measure the degree of information asymmetry in each target country along five dimensions: (1) stock market development, (2) ease of access to information, (3) corporate transparency, (4) investor rights, and (5) macroeconomic factors that relate to the information environment. We find evidence that institutional investors herd more in markets characterized by low levels of information asymmetry (high level of information transparency). This result suggests that institutional investors’ herding behavior is likely driven by correlated signals from fundamental information. Lastly, we show that price adjustment is faster in informationally transparent markets.     

公司信息透明度的市场效应——来自中国A股市场的经验证据

目前在中国市场,信息披露质量是较数量更为有效的衡量公司信息透明度的方面。基于信息披露质量,我们分别以深交所上市公司考评中不及格和优秀等级的公司、沪深违规信忠披露公司及其配对公司作为两组研究样本,同时全面考察公司的信息透明度对投资者交易行为的影响以及相应的市场效应。两组样本检验结果一致表明,低透明度和严重的信息不对称是某些知情者诈取广大不知情的中小投资者利益的温床,并扭曲了资本市场的原有功能;从2001年至2004年,尽管公司信息透明度对大量中小投资者的股票选择没有显著影响,但其的确也帮助了投资者对所选择的股票进行定价。健全法律制度、培育理性投资者与信息中介、提高公司信息透明度,是促进市场有效的根本。     

信息不对称、过度自信与股价变动

信息传导的非同步和投资者情绪变化是股票市场的两个典型特征,前者会引发投资者之间出现信息不对称问题,后者主要体现为投资者过度自信,两者共同作用影响股票价格变动。本文将信息不对称和投资者过度自信情绪置于同一个分析框架,建立两阶段动态序贯定价理论模型研究现实市场上信息传导过程中股价变动的内在机制。结果表明:(1)面临新信息的进入,投资者对股票收益预期的调整与均衡价格之间具有正相关关系;(2)面临有利消息时,过度自信投资者比例越大,股票的均衡价格越高,投资收益将越低;面临不利消息时则相反;(3)随着过度自信投资者比例以及过度自信程度升高,市场风险溢价将下降;(4)投资者群体在信息传导过程中出现分化,对股价变动形成异质信念,未获取信息和获取信息但未出现过度自信的投资者认为股价被高估,获取信息且出现过度自信的投资者认为价格被低估,促使更多的交易,引发市场成交量和股价变动;(5)过度自信投资者比例与过度自信程度提高均会对市场效率产生正向影响,而对市场深度具有负向效应。最后,基于理论结果对非对称性和持续性等典型的市场波动性特征进行解释。     

The informativeness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market

This paper uses the perfect market segmentation setting in China's stock market to compare the information content of the stock trades of domestic and foreign investors. We study 76 firms that issue both A-shares (for domestic investors) and B-shares (for foreign investors) and compare the price discovery role of the two segmented markets in China. Before Feb 19, 2001, the A-share market led the B-share market in price discovery, as the signed volume and quote revision of the A-share market had strong predictive ability for B-share quote returns, but not vice versa. After Feb 19, 2001, because some domestic investors were allowed to invest in the B-share market, we find evidence for a reverse causality from the B-share to the A-share market. Nevertheless, the [Hasbrouck (1995). One security, many markets: determining the contributions to price discovery, Journal of Finance 50, 1175–1199.] information share analysis reveals that A-shares continue to dominate the price discovery process.     

Who influences the fundamental value of commodity futures in Japan?

We present evidence on the asymmetric information content of six investor groups' transactions in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with superior information regarding the efficient price should be more profitable in the long run. We find that foreign investors have the greatest influence over the efficient price in the gold market, domestic retail investors in the gasoline market and domestic investment funds in the platinum and rubber markets. Differences in the relative influence of investor groups over commodity futures are likely to reflect the degree of contract homogeneity and associated market liquidity. Foreign (domestic retail) investors have larger information shares for the homogeneous liquid (heterogeneous illiquid) contracts than for the heterogeneous illiquid (homogeneous liquid) contracts.     

Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis

This study examines the market segmentation and information asymmetry patterns in Chinese stock markets. The recursive cointegration analysis confirms that each of six markets is not linked with other markets in the long run. Further, the result from data‐determined forecast error variance decomposition clearly shows that foreign investors in the Shanghai B‐share market are better informed than Chinese domestic investors in two A‐share markets and foreign investors in Shenzhen and Hong Kong markets over time. The finding challenges a widespread assumption of less informed foreign investors in the literature, but suggests that foreign investors could be more informed in emerging markets.     

Benchmarks in Search Markets

We characterize the role of benchmarks in price transparency of over‐the‐counter markets. A benchmark can raise social surplus by increasing the volume of beneficial trade, facilitating more efficient matching between dealers and customers, and reducing search costs. Although the market transparency promoted by benchmarks reduces dealers' profit margins, dealers may nonetheless introduce a benchmark to encourage greater market participation by investors. Low‐cost dealers may also introduce a benchmark to increase their market share relative to high‐cost dealers. We construct a revelation mechanism that maximizes welfare subject to search frictions, and show conditions under which it coincides with announcing the benchmark.     

SECURITIZATION: A FINANCING STRATEGY FOR EMERGING MARKETS FIRMS

With emerging markets now in crisis, companies in developing countries are finding it difficult to obtain financing. Securitization, a transaction structure in which the securities sold to investors are backed by a company's receivables, is one of the few vehicles with at least the potential to provide financing at economic rates in the current environment of uncertainty.
Unlike U.S. securitization issues, emerging markets transactions often use a structure known as "future flows" securitization, in which the securities are backed by receivables that are not expected to be generated until after issuance. This article begins by describing how the process of future flows securitization carves out securities with levels of political risk acceptable to foreign capital market investors. Then it traces the history of emerging markets securitization from its origins in Latin America to its more recent uses during the Asian crisis. Securitization helped bring foreign investors back to Latin America after its debt crisis of the early 1980s. And while the Asian crisis has sharply reduced new issuance for all kinds of emerging market financings, the volume of securitization issues appears to have declined less precipitously than other types of transactions geared to foreign investors. Moreover, investment bankers are now hard at work planning new securitization issues for companies in both Latin America and Asia.
In exploring the longer-term effects of securitization on both domestic issuers and their economies, the author suggests that securitization could play a pivotal role in restoring emerging markets companies' access to global financial markets. Indeed, with a few exceptions such as Malaysia, most emerging markets are now responding to the crisis by taking measures to protect investors, such as requiring greater financial transparency and dispelling legal uncertainties that have discouraged securitization in particular and overseas investment more generally.     

政府债券市场流动性研究

政府债务管理的关键是建立具有高流动性的二级市场。影响政府债券市场流动性的因素包括产品设计、市场结构、交易机制、信息披露和税收等问题。提高市场流动性的途径包括交易的竞争性结构，将税收对流动性的负面影响最小化，提高交易信息的透明度，标准化交易和清算操作，市场参与者的多元化，确定核心资产，满足基准债的市场需求，完善回购市场和衍生工具市场的功能，培育机构投资者，充分的市场监管等。