融资融券与企业产品市场竞争*

本文探究融资融券对上市公司产品市场竞争行为的影响。通过理论分析与实证检验，本文发现融资融券政策的实施促进了标的企业产品市场竞争行为，但是由此带来的潜在的过度竞争问题可能导致企业整体绩效有所下降。本文还发现融资融券的政策效果主要集中于融资交易强度较高、或股价信息敏感度较低的公司。本文的研究结果表明，我国融资和融券交易发展的不对称性放大了资本市场对公司正面信息的奖励效应，可能促使公司在产品市场过度竞争，降低了整体绩效，而个股股价信息敏感度的提高有助于缓解上述问题。     

Real and financial effects of insider trading with correlated signals

Summary. In this paper we study the real and financial effects of insider trading in a Static, Kyle-type model. In our model the insider is also the manager of the firm. Hence the insider chooses both the amount of the real output to be produced and the amount of the stock of the firm to trade. The aim of the paper is to study the relationship between financial decisions and real decisions. In particular, we examine how insider trading on the stock market affects the real output and price and how the real decision making affects the financial variables, such as the extent of insider trading, stock prices, and the stock pricing rule of the market maker. In the model, the market maker observes two correlated signals: the total order flow and the market price of the real good. We study the informativeness of the stock price and the effects on insider's profits. We also construct a compensation scheme that aligns the interests of the insider and the firm. Finally, we generalize the pricing rule set up by a competitive market maker and analyze the comparative statics of the model. Received: October 3, 1999: revised version: December 1, 1999     

证券市场流动性、价格有效性与最优契约设计

本文研究市场流动性的作用。我们的分析表明,市场流动性通过影响交易者收集私人信息的激励而影响交易价格的有效性。进一步的分析表明,最优经理人报酬契约中应该包括股票价格这一变量。然而,当市场流动性不足,从而价格缺乏效率时,我们不应过多依赖价格变量。     

新三板做市商制度对科技型企业经营效率的影响

新三板是科技型、创新型中小企业融资的重要平台,引入做市商制度,通过发挥做市商制度价格发现、流动性提升等功能,有利于改善科技型企业经营效率。基于DEA模型,对341家做市转让和协议转让科技型企业财务经营绩效进行研究,借助Mann-Whitney秩和检验对两类企业经营效率开展系统对比。结果发现,做市商制度对于科技型企业经营效率的综合影响并不显著,做市转让企业在技术效率、纯技术效率和规模效率上均不存在优势;通过DEA松弛变量分析发现,做市商制度在价格发现方面的功能有所体现,但不足以对企业融资需求产生显著影响,在促进企业经营改善效率方面的功效亦未显现。针对上述结果,提出了相应政策与建议。     

Marketmaking in the Laboratory: Does Competition Matter?

This paper is the first experimental study of the effects of competition and adverse selection on the performance of market maker (MM-) markets. Information distribution may is either symmetric or heterogeneous. MM-markets are either monopolistic (the specialist markets), or competitive (the multi MM-market). Welfare comparisons are with respect to a continuous double auction (DA-) market. Informed subjects receive an imperfect signal of the true state of the world. We find three main results. First, competition among market makers significantly reduces the bid-ask spread, and increases transaction volume. Second, competition among market makers induces competitive undercutting, yielding net trading losses for market makers as a group in most periods. Third, from the perspective of uninformed traders, a competing MM-regime is optimal, since it minimizes their expected trading losses.     

Insider trading with product differentiation

This paper investigates the effect of product differentiation on the real and financial decisions of a publicly-owned firm, competing $\grave{a}$ la Cournot with another privately-owned firm. The results show that the degree of product differentiation affects the stock price coefficients (i.e. the market maker’s response to the real signal and to the total order flow signal) and the output of the publicly-owned firm. It also appears to have a detrimental effect on the manager’s profits and compensation scheme. The paper then proposes an extension of the benchmark model to incorporate Cournot and Stackelberg competition between two insiders in the financial market. The type of the financial competition adopted has also an effect on the results of the benchmark model that sometimes depend on the degree of product differentiation.     

Analysis of threshold cointegration with asymmetric adjustments in the Hong Kong grocery industry

High market concentration in the Hong Kong grocery industry has been prevalent over many years with the domination of a few large supermarket chains. However, no research has been conducted on the price dynamics between the supermarket and non-supermarket sectors to investigate whether the non-supermarket sector can impose competitive discipline on the dominating supermarket chains. We argue that standard cointegration tests cannot allow for transaction costs and distinguish whether the price co-movement is attributable to price competition or collusion. Our study therefore fills this research gap by adopting the threshold cointegration tests in a three-regime threshold vector error-correction model to account for the asymmetric price adjustment dynamics between supermarket and non-supermarket sectors of Hong Kong and evaluate the market power of the supermarket sectors in the presence of transaction costs. Our results favour the presence of cointegration between the supermarket and non-supermarket price indices with asymmetric adjustment dynamics. We interpret the results of statistically significant downward price adjustments in the outer-band regimes as the evidence of mutual price competition. Nevertheless, the supermarket sector has stronger market power than the non-supermarket sector, and therefore can sustain higher price level without inducing substantial competition pressures inside the neutral band.     

国内外投资者间存在价格先导性吗?--来自我国股市A、B股的检验

本文以1994年开始同时发行A、B股的上海和深圳股市60家企业为样本(上海31个、深圳29个),样本取值从1999年1月4日到2001年12月31日的每日收盘价.用Granger因果关系模型检验了国内外投资者间会不会存在价格先导性的问题,从而分析和研究了国内外投资者投资行为特征和相互关系.研究发现,上海股市中,A股和B股间,存在着价格先导性.往往B股价引导A股价.然而在深圳股市中,A股和B股间,不存在着价格先导性.这一研究为探讨证券市场的有效性和国内外投资者投资行为特征提供了有用的线索和资料.     

卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。     

Analysis of price competition and strategic implications for heterogeneous market structure

This paper examines strategic competition behavior in heterogeneous market structure where both conventional offline and online firms coexist in equilibrium and draws strategic implications with some remarks on welfare. Research on the price competition between conventional offline and online firms has been done through empirical approaches; however, the results are conflicting. This paper reconciles the existing conflicting empirical findings on price levels between conventional offline and online firms through a theoretical approach. We find that as the online market matures, prices in both conventional and online firms drop, and the price in the online firm can be higher than that in a conventional offline firm. Furthermore, if convenience associated with the online increases, the online price tends to exceed the conventional offline price.     

国有机构投资者持股能提升企业投资效率吗?

具有国资背景的机构投资者,对于资本市场平稳发展具有重要意义。本文基于我国2015—2019年A股上市公司样本,考察持股对企业投资效率的影响。研究发现,持股显著提升了企业投资效率,并且该影响在代理冲突更严重和所处信息环境更不透明的公司中更加显著。机制检验表明,降低企业内外部信息不对称和代理成本是持股提升企业投资效率的重要渠道。进一步研究发现,国有机构投资者持股时间越长,对企业非效率投资的治理效果越好;细分国有机构投资者类型后发现,致力于长期维护资本市场稳定和上市公司长期健康发展的证金公司和汇金公司对企业投资效率的提升作用显著,但没有发现“救市”基金和外管局旗下的投资平台对企业投资效率有提升作用。研究结论从企业投资效率视角为国有机构投资者持股在微观企业日常经营中发挥的治理作用提供了新颖的经验证据,对进一步提高我国上市公司质量具有启示意义。     

保险资金持股与股价崩盘风险——市场“稳定器”还是崩盘“加速器”?

现阶段,有关保险资金持股与资本市场稳定相互关系的讨论多止于推测,少有学者以大样本数据进行实证考察。在理论上,保险资金持股上市公司,一方面可以抑制经理人负面信息隐藏,作为市场“稳定器”降低股价暴跌风险;另一方面,也能引发投资者跟风炒作,导致市场情绪高涨和股价高估,成为股价崩盘风险的“加速器”。本文基于2007—2016年中国沪深两市A股上市公司的数据,实证分析保险资金持股上市公司是否加剧市场暴跌及其作用机制。结果显示:保险资金持股加剧了股价崩盘风险,是公司股价崩盘的“加速器”。这一结论在经过DID模型、工具变量回归、PSM+OLS等内生性分析,以及稳健性检验之后依然成立。进一步研究表明,相比于民营、小型和财产保险公司,在股市投资规模更大的国有、大型和人寿保险公司更能引发市场跟风炒作,加剧股价崩盘风险;不过,当保险资金作为前十大股东参与公司治理时则能够降低股价崩盘风险。本文不仅为保险资金持股与资本市场稳定相互关系的讨论提供了经验证据,也为规范保险资金股权投资,维护资本市场稳定提供有益借鉴。     

分析师利益冲突、乐观偏差与股价崩盘风险

"股价崩盘风险"是当前金融危机背景下财务学的一个研究热点。本文使用2003-2010年中国A股上市公司的数据,研究分析师乐观偏差是否影响上市公司股价崩盘风险,并考察分析师面临的"利益冲突"是否会加剧乐观偏差对股价崩盘风险的影响。研究发现:(1)分析师乐观偏差与上市公司未来股价崩盘风险之间显著正相关,且此关系在"牛市"更为显著;(2)机构投资者持股比例越高,机构投资者数量越多,公司存在再融资行为,以及来自前五大佣金收入券商的分析师比例越高,分析师乐观偏差与崩盘风险之间的正向关系就更为显著,说明"利益冲突"会加剧两者的关系。本文的研究对于全面认识分析师在资本市场中的作用,以及如何降低我国股价崩盘风险、促进股市平稳发展具有重要的理论和现实意义。     

股票网络平台中的噪音会影响股价同步性吗*

股价同步性是衡量资本市场信息效率的重要指标。股价同步性的影响机制一直以来都是金融研究的热点问题。本文使用文本分析的方法,通过机器学习度量了东方财富股吧中股民发帖评论中的非理性噪音,检验了股票网络平台中的噪音与股价同步性之间的关系。研究发现：第一,股票网络平台中的噪音会促使投资者做出非理性的投资决策,进而降低股价变动的同步性。噪音评论占全部评论的比例越高,上市公司的股价同步性越低,而且两者之间呈现倒U型的非线性关系。第二,公司个股新闻与公告数量的增加、分析师关注度的提高与外部审计质量的提升,均可以减弱股票网络平台中的噪音对股价同步性的影响。本文关注网络新媒体中的噪音对股价同步性的影响,研究结论对于监管部门加强网络信息监测以及上市公司进一步完善信息披露渠道具有现实意义。     

The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes‐in‐Changes Panel Data Estimations

This paper examines the impact of the financial crisis and economic recessions on bank shares compared to the overall stock market index for 18 OECD countries from 1993 to 2015. The empirical methodology utilizes the changes‐in‐changes approach. We compare and contrast the returns of the banking stock price index (treatment group) in each country with their general stock price index (control group), which experiences smaller changes. Our results suggest that bank returns on average perform significantly worse than that of the general stock price index during recessions. In addition, we also find significantly greater volatility in bank share returns.     

Common Currencies vs. Monetary Independence

We study the optimal monetary policy in a two-country open-economy model under two monetary arrangements: (a) multiple currencies controlled by independent policy makers; (b) common currencies with a centralized policy maker.
Our findings suggest that: (i) monetary policy competition leads to higher long-term inflation and interest rates with large welfare losses; (ii) the inflation bias and the consequent losses are larger when countries are unable to commit to future policies; (iii) the welfare losses from higher long-term inflation dominates the welfare costs of losing the ability to react optimally to shocks.     

社保基金投资组合的 定价效率和投资风险研究 基于股价同步性的实证检验

笔者利用2007年到2013年各个季度我国沪深两市A股交易数据,以股票价格收益率与沪深300指数收益率的同步性衡量股票的定价效率,通过实证模型分析社保基金投资对股票定价效率的影响。研究表明,当市场处于金融危机前后的牛市和熊市时,社保基金投资对股票定价效率无显著影响,当市场处于较平稳的阶段时,社保基金能显著提高股票的定价效率并降低了投资风险。这说明社保基金参与资本市场投资能提高我国资本市场的有效性。     

中国股票价格与房地产价格关联性研究

国际经验表明,房地产价格和股票价格的剧烈震荡之间存在紧密联系,一旦价格泡沫破灭,将给整体经济造成严重后果甚至导致经济衰退.近年来,我国房价虚高,股价大起大落,给经济发展带来了一系列不利影响.在这种背景下,揭示两者之间的内在联系对于抑制资产价格泡沫,促进股票市场和房地产市场健康发展非常必要.本文运用时间序列相关方法对我国股票市场与房地产市场的关系进行了实证研究,结果表明:房地产价格上涨对股票价格上升有显著影响,而股票价格上涨对房地产价格上升的影响较为微弱;房地产价格的上升与股票价格的上升存在两季左右的间隔,且两者呈现出螺旋式变化的趋势.对此,本文分析了产生这种现象的原因并提出了一些政策建议.     

Interconnection and competition among asymmetric networks in the Internet backbone market

We examine the interrelation between interconnection and competition in the Internet backbone market. Networks that are asymmetric in size choose among different interconnection regimes and compete for end-users. We show that a direct interconnection regime, peering, softens competition as compared to indirect interconnection since asymmetries become less influential when networks peer. If interconnection fees are paid, the smaller network pays the larger one. Sufficiently symmetric networks enter a Peering agreement while others use an intermediary network for exchanging traffic. This is in line with considerations of a non-US policy maker. In contrast, US policy makers prefer that relatively asymmetric networks peer.     

上市公司股价与经理人薪酬合同设计

在成熟规范市场,由于股票价格长期看能比较准确地反映企业的市场价值,所以股票价格可作为经理人的长期和综合的业绩度量指标。股票价格的主要激励工具为经理人期权和限制性股权,期权作为股票价格的非线性合同,能够带来更强的激励效率,适用于能力较高的经理人和质量较差的项目。