家庭股票投资行为与家庭金融资产组合风险的关系研究

本文使用CHFS的2013年的家庭数据,分析了家庭股票投资行为和家庭金融资产组合风险的关系。实证结果显示,家庭持有股票的平均时长、家庭股票投资盈亏状况较好与家庭金融资产风险之间存在显著的负相关关系;而股票初次投资金额,使用自家电脑、办公场所电脑、网点电脑,投资股票的数量、户主作为投资主要决策人与家庭金融资产组合风险之间存在显著的正相关关系。本文的实证回归结果对于家庭如何控制金融投资组合风险有着较为重要的意义,家庭在进行股票投资时,应该更加理性投资,同时也要提高自身的金融知识水平。     

我国农村居民家庭金融资产现状与影响因素的实证分析——基于全国500户农村居民家庭的调查

本文利用2012年农村居民家庭实地调查的样本数据,详细描绘了我国农村居民家庭金融资产的分布状况,分析了金融资产的结构及主要特征。构建家庭金融资产函数,从实证角度研究影响金融资产的影响因素,结果表明：财产水平、家庭收入、金融借贷行为、家庭投资活动、户主专业技能、社会政治资本、家庭劳动力人数等对农村居民家庭金融财产积累均具有正面影响,农村居民家庭金融资产分布存在生命周期效应。     

我国农村居民家庭金融资产现状与影响因素的实证分析

本文利用2012年农村居民家庭实地调查的样本数据,详细描绘了我国农村居民家庭金融资产的分布状况,分析了金融资产的结构及主要特征,并构建家庭金融资产函数,从实证角度研究影响金融资产的因素,结果表明：财产水平、家庭收入、金融借贷行为、家庭投资活动、户主专业技能、社会政治资本、家庭劳动力人数等对农村居民家庭金融财产积累均具有正面影响,农村居民家庭金融资产分布存在生命周期效应。     

中国居民家庭金融资产配置特征及对零售银行业务的启示

一、中国居民家庭金融资产配置特征 （一）居民家庭金融资产配置总体较为保守 与西欧国家偏爱证券并配置较高比例的保险资产不同，中国家庭金融资产中的银行储蓄存款一直居高不下。截至2010年末，储蓄存款占比仍有75％左右：证券在整个家庭金融资产中的占比近年虽有所提高，但不足20％；保险等其他金融资产配置的占比更微不足道。在投资组合方面，约22％的家庭持有股票，其中多数家庭持有的股票种类少于3种：持有基金的家庭比例为17.39％。从家庭储蓄的主要动机来看，医疗和突发应急、子女教育、养老保障和财富保值为主。     

家庭人口年龄结构、养老保险与家庭金融资产配置

在人口老龄化程度加深和金融市场快速发展的背景下,研究家庭人口年龄结构、家庭成员参加养老保险情况和家庭资产配置三者之间的关系有重要意义。通过运用中国家庭金融调查2011年数据,分析家庭人口年龄结构老化程度对家庭成员参加基本养老保险情况的影响,以及二者对家庭金融资产配置的影响。研究表明:家庭人口年龄结构老化程度越高,家庭成员参加养老保险的比例越高,该效应城市高于农村;家庭人口年龄结构老化程度越高,家庭持有金融资产的概率和比重越低;养老保险对家庭金融资产产生收入效应和替代效应,家庭收入较低时,替代效应较大。     

居民家庭风险型金融资产选择行为研究——基于赣州市1043户居民的微观调查数据

以赣州市居民的相关统计数据为样本,对赣州市居民家庭金融资产持有状况进行调研和分析,论述了影响居民家庭风险型金融资产选择行为的主要因素及其作用机理,构建了基于Probit的居民家庭风险型金融资产选择行为回归模型并进行了实证研究。研究结果显示,家庭决策者文化水平、决策者职业、家庭收入和家庭房产持有状况四个因素是居民家庭风险型金融资产持有行为的重要影响因素;决策者年龄和家庭人口数对风险型金融资产持有行为影响不够显著。房产投资对居民家庭风险型金融资产持有行为存在正向作用,对居民家庭风险型金融资产投资不存在"挤出效应"。     

居民家庭风险型金融资产选择行为研究——基于赣州市1043户居民的微观调查数据

以赣州市居民的相关统计数据为样本,通过对赣州市居民家庭金融资产持有状况的调研和分析,论述了影响居民家庭风险型金融资产选择行为的主要因素及其作用机理,建立了基于Probit的居民家庭风险型金融资产选择行为回归模型并进行了实证研究。研究结果显示,家庭决策者文化水平、决策者职业、家庭收入和家庭房产持有状况四个因素是居民家庭风险型金融资产持有行为的重要影响因素;决策者年龄和家庭人口数对风险型金融资产持有行为影响不够显著。房产投资对居民家庭风险型金融资产持有行为存在正向作用,对居民家庭风险型金融资产投资不存在"挤出效应"。     

着力打造中国的财富管理中心——在第四届中国证券投资基金国际论坛上的致辞

中国经济快速增长，使如何管理好居民金融资产成为金融业乃至全社会的重大课题。近15年来，我国GDP快速增长。2005年9月，中国居民储蓄存款接近15万亿元，中国金融资产总额超过30万亿元。据统计，2002年中国家庭金融资产户均798万元，从1984年到2002年，户均金融资产每年增幅达25．5％。按照党中央提出的全面建设小康社会的战略目标，到2020年，中国GDP将达到36万亿元，按照目前GDP与金融资产1：3的比例保守测算，金融资产总量将超过100万亿元。从国际经验看，随着家庭持有金融资产比重的上升，家庭更倾向于通过包括共同基金在内的战略投资者间接持有金融资产而不是直接持有股票和债券。     

上山下乡经历与家庭风险金融资产投资——基于断点回归的证据

本文使用中国家庭追踪调查(CFPS)2010年家庭和个人层面数据,考察了户主的上山下乡经历对于家庭风险金融资产投资决策的影响。结果表明,上山下乡经历显著提高了家庭对于股票及广义风险金融资产的投资概率和投资规模。机制分析表明,此经历主要通过提升家庭投资的风险偏好和投资能力来影响家庭的风险金融资产投资。分样本讨论结果表明,上山下乡经历对家庭风险金融投资产生的正向影响在高人力资本、高收入和高社会资本群体中更为显著。     

阳光私募是否改善了股价信息效率？

本文以沪深两市的股票为研究对象,考察了近几年逐渐成长起来的阳光私募基金对股票流动性和信息效率的影响。研究发现:阳光私募基金持股比例越高,股票流动性越强。说明阳光私募基金改善了股票的流动性,能起到灵活市场的作用。阳光私募基金持有股票比例越高,股票信息效率越高。阳光私募基金交易股票的频率越高,信息效率越低。说明阳光私募基金持有股票在一定程度上能够改善股票的信息效率,但频繁交易却降低了信息效率,这也从另一个角度说明阳光私募基金应采取较为稳健的投资策略。由上述结论可以推断出,阳光私募基金在一定程度上起到了稳定市场的作用。     

Stronger Risk Controls,Lower Risk: Evidence from U.S. Bank Holding Companies

We construct a risk management index (RMI) to measure the strength and independence of the risk management function at bank holding companies (BHCs). The U.S. BHCs with higher RMI before the onset of the financial crisis have lower tail risk, lower nonperforming loans, and better operating and stock return performance during the financial crisis years. Over the period 1995 to 2010, BHCs with a higher lagged RMI have lower tail risk and higher return on assets, all else equal. Overall, these results suggest that a strong and independent risk management function can curtail tail risk exposures at banks.     

Financial structure change and banking income: A Canada–U.S. comparison

Data suggest that the Canadian financial structure, and particularly indirect finance (e.g., banking), have become more market-oriented. We associate this financial trend in part with the regulatory changes that have occurred in Canada since the 1980s. Financial intermediaries are increasingly involved with financial market activities—e.g. off-balance sheet (OBS) activities such as underwriting securities. In this article we analyze the noninterest income attributable to these financial market activities. We find that the variance of Canadian banks’ aggregate operating-income growth is rising because of the increased contribution of noninterest income. Overall, our analysis corroborates the U.S. findings of Stiroh and Rumble (Stiroh, K., 2006. A portfolio view of banking with interest and noninterest assets. Jounal of Money, Credit, and Banking 38, 1351–1361; Stiroh, K., Rumble, A., 2006. The darkside of diversification: the case of U.S. financial holding companies. Journal of Banking and Finance 30, 2131–2161): by contributing to banking income volatility, market-oriented activities do not necessarily yield straightforward diversification benefits to Canadian banks.     

美国高收入阶层收入变动与股市关系的实证分析

美国收入分配自1980年代出现了加剧不平等的趋势,塞斯等人利用税收资料建立一个长期的高收入阶层的收入份额时间序列,利用其数据建立计量模型考察收入变动与股市指数的关系,发现股市是造成收入份额增长的一个因素,两者存在一定的正相关关系。同时,通过对不同收入组别与股指的相关系数的比较,发现收入阶层越高,其受股市影响程度越大,这也验证了收入越高其在股市中的投资比重越大,其收入增长来源越多地依赖于股市。通过时变参数模型度量了股指对收入份额的弹性系数的动态过程,发现自1981年开始弹性系数略有上升,其原因可能与税率下降及投资热情有关。     

The Revenue Consequences of Using Formula Apportionment to Calculate U.S. and Foreign-Source Income: A Firm-Level Analysis

This paper examines the 1989–1993 publicly available financial reports of 46 U.S.-based multinationals to estimate the revenue implications of implementing a U.S. federal formula apportionment system. Ignoring behavioral responses, we estimate shifting to an equal-weighted, three-factor formula would have increased their U.S. tax liabilities by 38 percent, with an 81 percent increase for oil and gas firms. We find the firms report a lower percentage of their worldwide profits as American profits than their American share of assets, sales, or payroll. The results may be attributed to more profitable foreign operations, tax-motivated income shifting, or measurement error.     

Are IFRS and U.S. GAAP converging? : Some evidence from People's Republic of China companies listed on the New York Stock Exchange

This research investigates the comparability and convergence of two sets of accounting standards from 1996 to 2002: United States’ Generally Accepted Accounting Principles (U.S. GAAP) and International Financial Reporting Standards (IFRS). The investigation involves a sample of companies from the People's Republic of China (PRC) that are listed on the New York Stock Exchange (NYSE). PRC companies traded on the NYSE generally prepare IFRS financial statements and provide a limited reconciliation to U.S. GAAP, creating a unique quasi-experimental opportunity to examine differences between two sets of accounting numbers produced by two different sets of accounting standards while holding the company constant. Comparability is measured by using Gray's index of comparability, and a set of measures are introduced to capture several dimensions of convergence over time in reported net income, net assets, return on net assets, and earnings per share. The evidence shows lack of comparability, caused largely by the revaluations of property, plant and equipment permitted under IFRS, but not permitted under U.S. GAAP. There is, however, substantial evidence of convergence over time.     

Managing Pension Risks: A Corporate Finance Perspective

Defined benefit (DB) pension plans of both U.S. and European companies are significantly underfunded because of the low interest rate environment and prior decisions to invest heavily in equities. Additional contributions and the recovery of stock markets since the end of the crisis have helped a bit but pension underfunding remains significant. Pension underfunding has substantial corporate finance implications. The authors show that companies with large pension deficits have historically delivered weaker share price performance than their peers and also trade at lower valuation multiples. Large deficits also reduce financial flexibility, increase financial risk, particularly in downside economic scenarios, and contribute to greater stock price volatility and a higher cost of capital. The authors argue that the optimal approach to managing DB pension risks relates to the risk tolerance of specific companies and their short and long‐term strategic and financial priorities. Financial executives should consider the follow pension strategies:

• Voluntary Pension Contributions: Funding the pension gap by issuing new debt or equity can provide valuation and capital structure benefits—and in many cases is both NPV‐positive and EPS‐accretive. The authors show that investors have reacted favorably to both debt‐ and equity‐financed contributions.
• Plan de‐risking: Shifting the pension plan's assets from equity to fixed income has become an increasingly popular approach. The primary purpose of pension assets is to fund pension liabilities while limiting risk to the operating company. The pension plan should not be viewed or run as a profit center.
• Plan Restructuring: Companies should also consider alternatives such as terminating and freezing plans, paying lump sums, and changing accounting reporting.

     

Captive finance and firm's competitiveness

We study the effects of establishment of a captive finance subsidiary on parent firm's competitiveness. Firms with captives have higher profitability, larger market share, lower volatility of sales, and maintain lower cash balances. Following the establishment of a captive, a firm's profitability and its industry market share gradually increase, but it takes about four years to become economically relevant. Stock returns of companies with captive finance subsidiaries correlate more with finance industry returns than stock returns of companies without captives. We estimate that captives generate about 17% of parents' net income. Thus, significant part of profits of the largest U.S. industrial corporations comes from what in essence are financial services.     

我国社会保障支出与金融结构变迁关系的实证研究

本文利用中国1992-2011年间的时间序列和协整分析方法,实证考察了我国社会保障支出对金融结构变迁的影响效果。结果显示社会保障支出显著地影响金融结构的变迁,不断增加的社会保障支出能够显著地提升股票、债券、保险等非货币资产在金融机构总资产中的占比;社会保障支出是引起股票资产占比、债券资产占比、保险资产占比的格兰杰原因,反之,股票资产占比、债券资产占比、保险资产占比不是引起社会保障支出变动的格兰杰原因。     

综合收益呈报方式与公允价值信息含量——基于可供出售金融资产的研究

本文基于可供出售金融资产考察了《企业会计准则解释第3号》中综合收益呈报方式变更的政策后果,对不同呈报位置的公允价值信息的决策有用性进行了检验。研究显示,可供出售金融资产的公允价值变动在利润表的其他综合收益项目呈报时存在增量价值相关性,直接计入股东权益变动表时仅有较弱的价值相关性。这说明在展现经营结果的会计主表中呈报全部综合收益有助于投资者的价值判断,也说明第3号解释公告显著改善了财务报告透明度,有助于减轻投资者的估值成本,提升了会计信息的决策有用性。本文的研究揭示了综合收益呈报方式的有用性,对投资者的认知能力进行了初步探讨,对于提升会计准则和财务报告质量具有一定的启发和借鉴意义。