证券从业人员失职行为管理研究

我国应以系统化思维完成证券从业人员失职行为管理体系的设计落地。借鉴境内外失职行为规制经验,本文构建证券从业人员失职行为的管理架构,推动失职行为的分级分类管理,并重点建立并完善信息治理共享机制、任前审查与离任审计机制、容错纠错与问责机制、行业统一责任追究机制、道德风险防范机制。这将加快推动失职行为管理工作走向常态化与闭环化,以从业人员的规范管理推动证券行业的长期稳定健康发展。     

Corporate social responsibility and litigation risk: Evidence from securities class action lawsuits

This study examines whether corporate social responsibility (CSR) is associated with the likelihood and outcomes of securities class action lawsuits. We find a lower likelihood of securities litigation for firms with higher CSR. This effect is larger for companies with lower levels of financial distress, companies with larger proportions of institutional investors, and for internal CSR. Additionally, CSR has a mitigating effect on negative market assessments around the filing dates of securities litigation. The results suggest that higher CSR firms are less likely to engage in financial misconduct, and investors are less likely to penalise them for such occurrences.     

证券监管者与中介机构博弈下的腐败行为分析

在证券市场中,中介机构为特定单位、个人提供专业服务,因其在特定领域有所专长而受到公众信赖;然而,中介机构往往滥用这种信赖和专业优势,做出有损于当事人或其他人合法利益的不当行为。中介机构作为市场的参与者必然会受到监管部门的监督与管理,它的不当行为可能导致监管者的腐败,而当监管者存在腐败行为时,也会进一步诱致中介机构的非理性选择。本文将主要探讨证券监管者的腐败行为,并分析监管者的心理特征,进而构建中介机构与监管者的博弈模型。     

Size of Financing Need and the Choice between Asset Sales and Security Issuances

We study the effect of the size of financing need on a firm's choice between selling assets and issuing securities to finance its investments. The balance sheet effect predicts that a firm prefers to sell assets when the financing need is relatively small as there is less information asymmetry regarding the value of a (small) subset of its assets. When the financing need is large, a firm prefers issuing securities to selling assets. We find evidence supporting the prediction. Our findings remain unchanged when we employ measures of financing need that are relatively independent of the actual amount of financing raised.     

How Much Do Corporate Defendants Really Lose? A New Verdict on the Reputation Loss Induced by Corporate Litigation

Using a novel sample of 83,260 lawsuits filed in US Federal District courts, we extend the results of prior studies investigating market value and reputational losses due to corporate misconduct. We examine alternative explanations for the loss in market value, such as media coverage, the expectation of subsequent litigation, and the defendant's willingness to settle, in addition to previously documented factors. Our results suggest that with the exception of securities litigation, this loss in market value can be attributed to these alternative explanations rather than to reputational consequences. This finding is confirmed by several indirect measures of reputation loss.     

Fiscal consolidations and bank balance sheets

We empirically investigate the effects of fiscal policy on bank balance sheets, focusing on episodes of fiscal consolidation. To this aim, we employ a very large data set of individual banks' balance sheets, combined with a newly compiled data set on fiscal consolidations. We find that standard capital adequacy ratios such as the Tier-1 ratio tend to improve following episodes of fiscal consolidation: for the median bank in our sample, a 1% of GDP fiscal consolidation increases the Tier-1 capital ratio by around 1.5 percentage points over two years. Our results suggest that this improvement results from a portfolio re-balancing from private to public debt securities which reduces the risk-weighted value of assets. In fact, if fiscal adjustment efforts are perceived as structural policy changes that improve the sustainability of public finances and, therefore, reduce credit risk, the banks' demand for government securities should increase relative to other assets.     

Who drives whom ‐ sukuk or bond? A new evidence from granger causality and wavelet approach

Sukuk is a highly appealing alternative instrument of conventional bond in the financial market over the last two decades. To a certain extent, the market players assume sukuk as the same as bond. However, sukuk has its own fundamental asset backed principles, whereas bond is backed by debt. The objective of the study is to examine the Granger‐causality and lead–lag relationship between sukuk and bond by using the data of the Malaysian Government securities return for both conventional and Islamic instruments. The data for every working day of 7 years covering the period from January 31, 2007 to December 31, 2013 were collected from Bloomberg database. The yield returns of both securities have been plotted for each six months of a year. This study applied both Granger‐causality and dynamic co‐movement techniques such as, continuous wavelet transforms (CWT) coherence for analyzing the temporal evolution of the frequency content of both securities by decomposing each period into different time scales. The empirical findings of the paper reveal that with a bit of exception, there is a causal relationship between sukuk securities and conventional bonds for a given period of time. For robustness, this study applied the wavelet coherence approach and found that bond is led by sukuk in the long term investment horizon rather than in the short term. Our findings relating to the lead‐lag relationship between sukuk and bonds have important implications in terms of policy regulations and investment management. Future research and market practices could reinvestigate the differences between these two securities across different markets and types.     

Price Discovery and Liquidity in Basket Securities

Basket securities enable investors to purchase a broad portfolio of securities in a single transaction. We examine the link between HOLDRS, a basket security comprising stocks from an industry or sector, and the underlying stocks. We find that the price of the portfolio of underlying securities leads and is more informative than the basket price. Our results are contrary to the findings of empirical studies that use futures, which are basket securities with features less like those of the underlying equities. Our findings suggest uninformed investors can minimize adverse selection costs by trading basket securities rather than the underlying stocks.     

Home country bias: Does domestic experience help investors enter foreign markets?

This paper investigates the dynamics of individuals’ investments leading up to their decision to make the first investment abroad. We show that investors first invest in domestic securities and only some time later they invest abroad in foreign securities. We also show that investors who trade more often in the domestic market start to invest abroad earlier. Our findings suggest that the experience investors acquire while they trade in the domestic market is a key reason why active investors enter the foreign market earlier. A reason is that highly educated investors as well as investors with more financial knowledge, arguably those for whom learning by trading is the least important, do not need to trade as much in the domestic market before they start investing in foreign securities. Another reason is that investors who start investing in foreign securities are able to improve on their performance afterwards. This improvement in performance constitutes further evidence that the home country bias is costly.     

Bank valuation and accounting discretion during a financial crisis

This paper shows that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis. Real estate-related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets. Banks with large exposure to mortgage-backed securities also provision less for bad loans. Furthermore, distressed banks use discretion over the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks and provide suggestive evidence of regulatory forbearance and noncompliance with accounting rules.     

Short selling of ADRs and foreign market short-sale constraints

We examine the effect of home market short-sale constraints on securities that also trade in other countries that have more liberal short-sale rules. In particular, we focus on the case of ADRs traded in the US, as in some cases, the home markets of these ADRs prohibit short selling. We find that short sellers more heavily trade ADRs from countries where short selling is prohibited than from markets where short selling is allowed. Furthermore, we find that the greater levels of short selling in ADRs with binding home-market constraints is driven by stocks with greater dispersion of investors’ opinion, low fundamentals-to-price ratios, and recent price increases. Our results support the hypothesis that short sellers target ADRs with home market short-sale constraints because these ADRs are more often subject to temporary misvaluation.     

The cost of disclosure regulation: evidence from D&O insurance and nonmeritorious securities litigation

This study examines whether the required disclosure of directors’ and officers’ (D&O) insurance premiums leads to nonmeritorious securities litigation. Our research setting uses a proprietary D&O insurance database that includes New York and non-New York firms, combined with the fact that New York firms must disclose D&O insurance premiums. We thus can exploit a natural experiment based on inter-state variation in disclosure regulation. Disclosed premiums may influence case selection in two ways. First, higher premiums signal higher limits, which plaintiffs’ lawyers likely believe enable higher settlements. Second, higher premiums indicate higher risk assessments from insurers and thus a higher likelihood that stock price drops signal misconduct rather than bad luck. We find that D&O insurance premiums for New York firms are associated with a higher dismissal rate. Offsetting this higher dismissal rate, plaintiffs’ lawyers can achieve higher settlements in the relatively few successful cases.     

证券分析师胜任能力模型与模糊综合评价

关于证券分析师工作能力的探讨,一直是国内外学者的研究热点。本文首次构建了由四大维度20个指标组成的证券分析师胜任能力模型,并运用问卷调查以及专家咨询等调研手段,对证券分析师胜任能力进行了模糊综合评价,结果表明：当前我国证券分析师总体上还不具备胜任能力,尤其是在＂研究报告客观真实＂、＂预测准确可靠＂以及＂创新意识及独立见解＂方面表现最差,综合素质还有待进一步提高。     

Equity home bias and corporate disclosure

I show that more comprehensive corporate disclosure reduces investors’ uncertainty about domestic companies’ payoffs at no cost, thereby decreasing investors’ equity home bias toward a country. Since investors should base their investment decisions on valid and easily interpretable company information only, more comprehensive disclosure will reduce the home bias only if domestic securities law is sufficiently stratified and domestic companies use international accounting standards. Using panel data for 38 countries from 2003 to 2008 I find that more comprehensive disclosure reduces investors’ home bias, though significantly only for countries that sufficiently enforce their securities law and implement international accounting standards.     

THE STATE OF THE HOME EQUITY SECURITIES MARKET (AND HOW TO IMPROVE IT): REPORT FROM A RECENT CONFERENCE

In 1998, a year which saw the origination of a record volume of single-family mortgage loans, at least 12 of the top 20 home equity lenders experienced severe problems related to their business models, accounting practices, and access to the debt and equity markets. In march of 1999, Banc of America Securities (BAS) sponsored a conference to explore the causes of and possible solutions to these problems.
This article begins by tracing the industry's problems to lenders' inability to sell the subordinated and residual classes of home equity securities, and goes on to argue that the key to the regular distribution of these securities lies in enhancing the quality and depth of information that lenders provide investors about the underlying loans. The article discusses four proposals for improving lenders' disclosure—proposals that are designed to increase institutional investors' demand for home equity securities by helping them to assess the prepayment and credit risk associated with the securities.
Following the author's summary of the BAS proposals, the article concludes with selected comments on the future of the home equity securities markets by two panels of experts representing bond insurers and rating agencies.     

融资融券视阈下的投资者情绪与A股收益率波动研究

本文以融资融券市场作为研究目标分析投资者的获利倾向、心理状态、行为决策等因素所反映出的投资者情绪特征对A股收益率波动的影响。采用CR I T I C赋权法,通过计算融资融券中融资余额、融券余额、融资融券交易占比以及融资买入量等多个数据指标构建融资融券投资者情绪指数CRISI。结合A股市场日交易数据,分析研究了融资融券市场中投资者情绪指数和股市收益率波动的相互作用。本文实证结果表明,融资融券投资者情绪指数对A股市场收益率存在正向作用,而A股市场收益率对投资者情绪的影响并不显著。此外,A股市场中股价的“异常涨跌”亦对投资者情绪影响不明显。实证结果反映出我国融资融券市场中投资者情绪与A股市场收益率之间存在一种单向的影响关系,为我国股票市场投资者情绪调查机制与监控系统的建立和完善提供了依据。     

Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios

This study investigates the risk and returns on one of the newest digital asset classes instruments, non-fungible tokens (NFTs), by accounting for tail dependence of higher-order moments and portfolio characteristics. We used a wide range of asset classes, encompassing equites, fixed income securities, and commodities, and document the desirable hedging and portfolio attributes of NFTs by employing Conditional Value-at-Risk (CoVaR) and ∆CoVaRs with various copula functions. We found that NFTs exhibit beneficial investment and hedging attributes under all market conditions, including the Covid-19 pandemic. Our findings have important implications for investors, risk managers, and regulators.     

Joint Effect of Investor Protection and Securities Regulations on Audit Fees

We document in this study that the institutional factor of securities regulations is positively associated with audit fees in low investor-protection countries. Strict securities regulations in these countries are likely to be associated with higher audit effort and risk, which result in higher audit fees. On the other hand, we do not find any significant association between audit fees and securities regulations in high investor-protection countries. Auditors in these countries generally expend higher audit effort to reduce risk irrespective of the strictness of securities regulations. Consequently, strict securities regulations do not have a significant impact on audit fees in these countries. Our findings suggest that strict securities regulations in weak investor-protection countries play an important role in audit pricing.     

Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization

As barriers to international investment fall and technology improves, the cost advantages for a firm's securities to trade publicly in the country in which that firm is located and for that country to have a market for publicly traded securities distinct from the capital markets of other countries will progressively disappear. Securities laws remain an important determinant of whether and where securities are issued, how they are valued, who owns them, and where they trade. I show that there is a demand from entrepreneurs for mechanisms that allow them to commit to credible disclosure because disclosure helps reduce agency costs. Under some circumstances, mandatory disclosure through securities laws can help satisfy that demand, but only provided investors or the state can act on the information disclosed and the laws cannot be weakened ex post too much through lobbying by corporate insiders. With financial globalization, national disclosure laws can have wide-ranging effects on a country's welfare, on firms and on investor portfolios, including the extent to which share holdings reveal a home bias. In equilibrium, if firms can choose the securities laws they are subject to when they go public, some firms will choose stronger securities laws than those of the country in which they are located and some firms will do the opposite.     

Financial reporting fraud and other forms of misconduct: a multidisciplinary review of the literature

Financial reporting fraud and other forms of financial reporting misconduct are a significant threat to the existence and efficiency of capital markets. This study reviews the literature on financial reporting misconduct from the perspectives of law, accounting, and finance. Our goals are to establish a common language for researchers interested in this line of research, describe the main findings and challenges in these literatures, and provide directions for future research. Although research on financial reporting misconduct faces challenges, those challenges provide significant opportunities to advance the literature, as the answers to many questions on financial reporting misconduct remain unsettled.