业绩评价指标设计中存在的问题

“评价什么就创造什么”这句管理学领域的至理名言一语道破了企业进行业绩评价的目的和作用。业绩评价之所以重要是因为在一个组织里,如果业绩评价能够与企业的责任权利分派以及奖惩合理地结合,就能达到控制整个组织的作用。业绩评价能够产生这种作用是因为业绩评价本身是有行为后果的。比如对销售人员报价行为的衡量有一个常用的业绩指标是报价时间,在设计该指标时,有两种方式来界定报价行为的结束时点,从而产生不同的行为后果:一是销售人员向顾客发出了报价单时视为报价行为结束,另一种是当顾客实际收到报价单并确认之后作为报价行为的完…     

证券市场流动性理论综述

一、流动性概念的内容及发展 流动性是衡量证券市场运行质量的核心指标,其概念是从金融市场微观结构理论发展而来的,最早以Demsetz(1968)提出的买卖报价价差作为测量指标.Demsetz将微观交易机制引入证券市场均衡价格的形成过程,突破了无摩擦的瓦尔拉斯均衡的传统理论框架,强调流动性交易成本即买卖价差的存在.     

成交市值表示的市场流动性模型

本文从市场流动性的定义出发，从证券市场宏观交易角度，依据考察的交易时间长短不同致使新公布的证券市场信息对均衡价格产生影响，最终推导出以成交市值变化率表示的买方流动性和卖方流动性。     

证券市场流动性及其影响因素研究

流动性是证券市场运行质量的重要衡量指标。文章对证券市场流动性内涵进行归纳与总结,重新定义流动性内涵,认为证券流动性是证券资产与现金资产的相互转换能力,并对流动性与流通性的内涵进行了辨析;同时,文章还对影响证券市场流动性的因素加以总结,结果发现,证券交易特征、交易成本、市场竞争程度、交易机制与市场透明性等因素显著影响市场流动性水平。     

融资融券对中国证券市场运行绩效的影响研究——基于沪深股市的经验证据

融资融券对证券市场的运行绩效具有重要影响.以沪深股市的经验数据作为样本,通过OLS模型和Granger因果检验,对融资融券与沪深股市波动性和流动性的长期关系和因果关系进行实证分析,结果显示,股市处于不同行情时,融资融券与沪深股市波动性和流动性的长期关系呈现出不同特点.为提升证券市场运行绩效,当证券市场处于上升通道时,监管当局应适当增加融券规模及减小融资规模;当证券市场处于下降通道时,监管当局应适当减小融券规模及增加融资规模;当证券市场处于震荡态势时,监管当局应保持融资交易和融券交易的规模匹配,以达到平抑波动性与增加流动性的目标.     

中国证券市场流动性黑洞问题研究——基于正反馈交易视角的实证考察

流动性黑洞是流动性危机的一种极端现象,是指短时间内市场流动性的骤然消失。研究流动性黑洞的成因及其效应,对于实施稳健、有效的流动性管理,尽可能地消除证券市场的系统性风险,最大程度地保护投资者利益,具有极其重要的意义。本文采用Hasbrouck(1991)向量自回归模型,采用股票交易高频数据,从正反馈交易的视角对中国证券市场上存在的流动性黑洞问题进行实证度量,并运用脉冲-响应函数的方法对流动性黑洞生成的可能原因进行了研究。     

股票市场流动性应用研究概述

流动性是证券市场的生命力。研究股票市场流动性对于加强市场流动性的评估、提升流动性风险定价能力,以及提升市场流动性具有重要意义。本文对流动性的概念进行归纳,分析流动性在公司金融、市场效率及资产定价中的应用研究,展望其在中国市场的未来发展。     

流动性风险的特性

近年来,随着对流动性研究的深入,人们发现证券流动性之间存在协动现象(co-movement)。所谓流动性的协动是指单个证券与证券组合之间、证券组合与整个证券市场之间以及证券组合与行业之间的流动性变化存在趋同现象。证券市场中若存在流动性的协动现象,则在市场出现流动性危机时,投资者无法通过分散投资来完全化解该类风险,即市场上存在着系统的流动性风险。     

从证券交易制度再谈对流动性认识

在人类金融发展史上,证券市场是风险和危机频繁发生的地方,可以说,凡是有证券市场的国家,就必定发生过这样或那样的证券市场危机.流动性是证券市场存在的前提,而适度的流动性则是证券市场安全运行和保持稳定的关键因素.本文则从证券交易制度的角度对证券市场的流动性作了重点分析.     

中国证券市场流动性黑洞问题研究——基于正反馈交易视角的实证考察

流动性黑洞是流动性危机的一种极端现象，是指短时间内市场流动性的骤然消失。研究流动性黑洞的成因及其效应，对于实施稳健、有效的流动性管理，尽可能地消除证券市场的系统性风险，最大程度地保护投资者利益，具有极其重要的意义。本文采用Hasbrouck（1991）向量自回归模型，采用股票交易高频数据，从正反馈交易的视角对中国证券市场上存在的流动性黑洞问题进行实证度量，并运用脉冲一响应函数的方法对流动性黑洞生成的可能原因进行了研究。     

What drives the liquidity premium in the Chinese stock market?

This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate decomposition approach to measure the individual contributions of various driving forces of the premium (such as firm size, idiosyncratic volatility, and market liquidity betas). By employing a wide range of liquidity measures, we show that liquidity premium is generally significant in the Chinese stock market. Furthermore, this premium is increasing in recent years starting from 2011; this observation is different from the United States market, in which the premium has declined over the years. Moreover, the multivariate decomposition approach highlights several asset pricing factors as the main driving forces of the premium. Based on the Amihud liquidity measure, the decomposition approach indicates that the size factor contributes 45–65% to the liquidity premium. However, the measure based on turnover suggests that idiosyncratic volatility accounts for at least 60% of the liquidity premium. In contrast, the global market liquidity beta does not significantly contribute to the premium. However, there is some evidence that the local market liquidity beta has become more significant in its impact on the premium during the period from 2011 to 2015. Our results imply that the findings on the liquidity premium in the Chinese stock market could be sensitive to the liquidity measure used and period of analysis.     

Liquidity and asset pricing: Evidence from the Chinese stock markets

We introduce a novel two-factor model, incorporating market and liquidity factors, which outperforms the CAPM and Fama–French factor models when applied to stock market returns in Shanghai and Shenzhen over 2000–2019. We compute the liquidity factor as the return on a liquidity-mimicking portfolio, which we construct simultaneously using two measures of liquidity (one of them capturing liquidity’s trading-quantity dimension, and the other associated with its price-impact dimension). Unlike the CAPM and Fama–French factor models, the advocated two-factor model is able to account for numerous return anomalies, such as size, book-to-market ratio, earnings-to-price ratio, cash-flow-to-price ratio, return-on-equity, and volatility. The model’s performance is similar when applied separately to the Shanghai and Shenzhen stock markets. Furthermore, it fares similarly over the 1994–2004 and 2005–2019 sub-periods. This result is somewhat surprising, because liquidity seems likely to have been substantially lower over 1994–2004, as the Chinese markets were noticeably smaller, and the critical market reform aimed at eliminating non-tradable shares by the end of 2006 did not occur until 2005.     

Retail investors’ trading and stock market liquidity

The paper investigates the relation between retail investors’ participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors’ trading and stock market liquidity. Examination of the determinants of retail investors’ trading reveals that, on average, retail investors with more diversified trading activity tend to trade when liquidity is higher, the frequency of their arrival to the market is not affected by the level of liquidity, and retail investors are willing to trade at a lower liquidity level as sellers than as buyers. Moreover, retail investors’ trading does not create price noise at the aggregate market level. Overall, the evidence suggests that retail investors contribute to market quality.     

Stock liquidity and stock prices crash-risk: Evidence from India

In this paper, we examine the role of stock liquidity as a governance mechanism to discipline managers for withholding bad news (stock price crash-risk). This topic is useful to emerging markets because the dominance of controlling owners limits the monitoring of internal governance. Stock liquidity can be altered by the financial market regulations, thereby improving firm-level governance. In empirical analysis, we show that stock liquidity decreases stock price crash-risk. We identify two possible mechanisms through which stock liquidity reduces stock price crash-risk: the threat of intervention and price informativeness.     

The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets

The outbreak of the novel corona virus has heightened concerns surrounding the adverse financial effects of the outbreak on stock market liquidity and economic policies. This paper contributes to the emerging strand of studies examining the adverse effects of the virus on varied aspect of global markets. The paper examines the causality and co-movements between COVID-19 and the aggregate stock market liquidity of China, Australia and the G7 countries (Canada, France, Italy, Japan, Germany, the UK and the US), using daily three liquidity proxies (Amihud, Spread and Traded Value) over the period December 2019 to July 2020. Our empirical analysis encompasses wavelet coherence and phase-differences as well as a linear Granger causality test. Linear causality test results suggest that a causal relationship exists between the number of cases of COVID 19 infections and stock market liquidity. To quantitatively examine the degree of causality between COVID-19 outbreak and stock market liquidity, we employ the continuous wavelet coherence approach with results revealing the unprecedented impact of COVID-19 on stock market liquidity during the low frequency bands for countries that were hard hit with the COVID-19 outbreak, i.e., Italy, Germany, France, the UK and the US. Further, evidence shows that there is a heterogeneous lead-lag nexus across scales for the entire period of the study.     

流动性的股票特征——基于中国证券市场的经验数据分析

在对流动性内涵认识的基础上,本文提出股票流动性的本质是股票与现金之间相互转化的能力,满足的是投资者正常的交易需求。从流动性的公司规模和成交金额特征、流动性与股价的关系和流动性水平的稳定性三个方面理论探讨和实证检验了流动性的股票特征,研究结果表明：（1）公司规模一定,可实现的成交金额越多,流动性越好;成交金额一定,公司规模越大,流动性越好;（2）股票的价格与股票流动性之间具有显著的正相关关系;（3）流动性水平在一定时期内具有稳定性。     

Property rights and the stock market-growth nexus

Using threshold estimation techniques, this study examines whether the growth effect of stock market development differs according to the different levels of property rights and minority shareholders protection in a cross-section of 85 jurisdictions during the post-crisis period. The results demonstrate that the impact of stock market liquidity on growth is positive and significant only in jurisdictions where there is high level of property rights protection. Similar effect is discerned in the case of strong minority shareholders protection. Using the market size as a measure of stock market development, the paper also documents a positive growth effect of market size when property rights and minority shareholders protection are strong. However, there is mixed evidence in the low to medium degrees of protection. Further analyses using other broader governance indicators as threshold variables and instrumental variable threshold regressions reaffirm the main findings. The study upholds the “better finance, more growth” proposition and contributes to the identification of thresholds above which institutional quality can positively shape the impact of stock market on economic growth.     

成交量、价格波动与流动性统一度量

流动性是股票市场的重要属性,但对流动性进行准确的定义和度量却是一件困难的事情。本文认为股票市场流动性具有多重属性,即在横向上具有层次性,在纵向上具有期限性,在比较上具有相对性。并在此基础上构建了一个股票市场流动性的统一度量指标。     

Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?

This paper examines the impact of gross foreign equity inflows on aggregate liquidity of the Malaysian stock market using newly assembled foreign trading data and the best performing bid-ask spread proxy. Employing vector autoregression, we discover a one-way causality from gross inflows to aggregate liquidity, and foreign investors erode liquidity of the Malaysian stock market. Additional analyses reveal that uncertainties in the U.S. markets negatively affect aggregate liquidity through the flows of foreign institutions, whose positive feedback trading destabilizes the local bourse. Despite the shocks, there is sufficient liquidity provision from local state-backed institutional funds and local proprietary day traders.     

股票流动性对上市公司价值的影响研究

为了考察二级市场股票流动性对上市公司价值的影响,以2004~2009年间沪深两市A股股票分笔交易数据为样本,利用相对有效价差与托宾Q作为代理指标进行实证检验并加以分析。结果表明,股票二级市场流动性同上市公司价值之间具有显著的正相关关系。股票流动性提高,公司资本成本降低,经营业绩改善,上市公司价值提升。