投资者情绪、风险承担与股票收益

本文从整体投资者情绪和投资者情绪分歧两个维度,考察投资者情绪截面特征对股票定价的影响,并探究投资者情绪对股票定价的影响机制。一方面,分别使用投资者情绪横截面均值和方差表征整体投资者情绪和投资者情绪分歧,并构建同时包含整体投资者情绪和投资者情绪分歧的资产定价模型。另一方面,使用沪深A股上市公司2007—2020年面板数据,实证检验上述理论模型的结论。理论和实证研究表明,整体投资者情绪和投资者情绪分歧均显著正向影响股票收益,两者的交互作用负向影响股票收益;整体投资者情绪和投资者情绪分歧均显著提高风险承担水平,而风险承担水平的提高会增加股票收益,即风险承担在投资者情绪对股票收益的影响中起到了中介作用。     

全球经济政策不确定性对新兴市场国家银行跨境资本流动的影响北大核心

本文基于21个新兴市场国家2001—2020年季度数据,研究全球经济政策不确定性对新兴市场国家银行跨境资本流动的影响。研究发现:全球经济政策不确定性上升时,新兴市场国家银行跨境贷款总资本流入、总资本流出和净资本流入减少,银行跨境债券总资本流入减少。异质性检验结果表明:全球经济政策不确定性上升时,新兴市场国家银行持有外国净资产能缓解银行跨境总资本流入减少的程度,背负外国净负债会加剧银行跨境总资本流入减少的程度,并且前者的缓解效果远远小于后者的加剧效果。非银行金融机构为了管理外国风险暴露而与银行进行的衍生品交易也会改变银行跨境资本流动对全球经济政策不确定性的反应,非银行金融机构背负外国净负债会加剧银行跨境债券总资本流入减少的程度。     

投资者情绪对我国股市行业收益率的动态影响作用——基于固定效应广义最小二乘法的研究

本文使用2005--2011年我国股市行业收益率数据并构造投资者情绪指标,利用VAR格兰杰因果检验和固定效应广义最小二乘法分析投资者情绪对我国股市的动态影响。实证结果发现,2005--2011年的两次股票市场大幅度涨跌中,我国投资者情绪和股票收益率存在双向因果关系;投资者情绪在3个月内会对股票收益率有正面的影响,此后12个月内其正向影响作用出现了明显的负向反转,其中具有较高账面市值比和占有较高经济地位的交通运输业、信息技术业和制造业等国家基础行业容易受到投资者乐观情绪的影响而出现大幅度涨跌。     

是谁影响了股价下行风险:有形信息VS无形信息

股价下行作为资本市场的普遍现象,在极端情况下会对投资者财富和公司声誉造成巨大冲击,因此受到学界、业界和监管层的高度关注。本文选取2007-2016年我国A股上市公司股票为样本,研究了不同信息对股价下行风险的影响,在此基础上考察了过度自信和损失厌恶两种不同的投资者行为是否会影响信息与股价下行风险之间的关系。研究发现:(1)有形信息显著降低了股价下行风险,而无形信息对股价下行风险的影响并不显著;(2)投资者的过度自信水平越高,有形信息与股价下行风险的负向关系越弱;(3)投资者的损失厌恶程度越高,有形信息与股价下行风险的负向关系越强。本文的研究不仅为投资者的投资决策提供了一个良好的风险管理思路,也为监管层的政策制定提供了相关的理论依据。     

中美股市收益率与投资者情绪联动性研究

本文基于投资者情绪的视角,选取2003年6月至2015年6月的数据,通过实证研究美国投资者情绪指数对中国股票市场收益率的影响及其背后的机制,得到四点主要结论:一、美国投资者情绪对中国股市收益率的影响总体是正向的,但存在"反转"现象,即美国投资者情绪会先对中国股市收益率有负向冲击,后转为正向影响。二、以2011年为临界点,美国投资者情绪传染所需的时间缩短,上述负向冲击的时间从3个月缩短到2个月,正向冲击的时间从2个月缩短到1个月。三、国际收支平衡表中的"证券投资负债"项目的规模越大,美国投资者情绪对中国股市收益率的影响力越强,表明资本流入和跨境资产配置是美国投资者情绪影响我国市场的机制之一。四、中介效应检验显示,美国投资者情绪可通过中国投资者情绪间接影响中国股市收益率,投资者情绪传染是美国投资者情绪影响我国股市的另一机制。     

政策

券商自营权益类证券不得超过净资本中国证监会8日就《证券公司风险控制指标管理办法》公开征求意见,规定证券公司自营股票、权证、股票型基金等权益类证券的合计额不得超过净资本的100%;自营固定收益类证券的合计额不得超过净资本的500%,持有一种权益类证券的成本不得超过净资本的30%;持有一种权益类证券的市值与该证券总市值的比例不得超过5%,但因包销导致的情形和中国证监会另有规定的除外。     

我国投资者情绪与股票收益实证研究

根据投资者情绪是股票价格形成重要影响因素这一研究观点,围绕投资者情绪是否构成系统性风险及其对不同类型股票的差异化影响,运用我国股市交易数据进行的实证研究结果表明,投资者情绪不构成股市的系统性风险,但对不同市值的股票有着差异化的影响,随着股票的"投机性"增加,投资者情绪对其影响也增大.此外,投资者情绪会削弱股票收益与其波动的正相关性,且对于"投机性"越高的股票,这一影响也越大.     

大规模资本流入与“去工业化”北大核心

随着全球进入低利率时代,中心国家流动性泛滥导致的极端跨境资本流动事件频发。跨境资本的大规模流入在影响一国宏观经济波动和金融稳定的同时,是否会对其产业结构造成影响?本文搜集整理了154个国家和地区1980—2019年的跨国面板数据,将资本流动划分成常规时期和大规模流入时期,研究发现,常规时期跨境资本的流入不会对制造业比重造成影响,而在大规模资本流入时期,资本流入会显著降低一国的制造业比重,产生“去工业化”现象。进一步研究发现,大规模资本流入主要是通过财富效应渠道使居民消费上升,导致了非贸易品部门的扩张和贸易品部门的相对萎缩,并且无论是在OECD国家还是在非OECD国家,财富效应渠道的作用都是显著的。基于以上研究结论,本文发现,在大规模资本流入时期,加强资本管制能够有效地抑制非OECD国家的制造业比重下降幅度,对“去工业化”进程产生减缓作用。     

情绪投资组合模型及其实证分析——基于前景理论

投资者情绪对其决策有直接的影响,投资者的风险厌恶系数与其已有的投资业绩有关。本文在假设投资者风险厌恶且其风险厌恶系数受其损益情绪影响的条件下,以投资者损益情绪效用最大化为决策目标,建立基于投资者损益情绪的投资组合模型,有效地刻画出投资者的损益情绪对投资组合决策的影响。采用上证市场的行业指数进行实证分析,并与Markowitz模型进行对比,结果表明,情绪投资组合模型的组合效果更好。     

跨境资本流动会加大金融波动吗?

日益活跃的跨境资本流动与金融波动的关系备受学术界关注,"国际风险承担渠道效应"的提出使人们开始重视金融中介在其中发挥的重要作用。本文基于全球79个国家1996-2017年的面板数据,采用系统GMM估计方法,考察了跨境资本流动对金融波动的影响,以及"国际风险承担渠道效应"存在与否。研究结果表明:大规模的跨境资本流动会增大金融体系脆弱性,加剧金融波动,对一国金融稳定造成强有力的威胁;跨境资本巨额的流出与流入均无助于金融稳定;跨境资本流动会通过影响金融中介的风险感知来改变其风险承担行为,最终会进一步放大跨境资本流动对金融稳定的负向作用,即存在"国际风险承担渠道效应"。因此,中国应坚持完善跨境资本流动管理体系与健全宏观审慎监管框架,严守资本充足率这一重要风险防线,加强对跨境资本和金融中介行为的监管,维护金融稳定。     

全球金融周期与跨境资本流动

本文从全球42个主要的股票市场指数提取全球股票市场因子,作为全球金融周期的代理变量,考察全球金融周期对跨境资本总流入的影响。结果发现:(1)当全球股票市场因子(全球风险规避和不确定性)上升时,跨境资本流入显著下降;(2)一国处于经济繁荣时期,经济增速和利率处于相对较高水平,全球金融周期对资本流入的影响会减弱;(3)一国资本账户开放程度或金融发展水平越高,全球金融周期对资本流入的影响会越强;(4)更具弹性的汇率制度尽管不能完全隔绝全球金融周期的影响,但相比固定汇率制度,可提高一国抵御全球金融周期冲击的能力;(5)美国货币政策冲击是全球金融周期的重要驱动因素,并通过全球金融周期影响跨境资本流动。本文的政策含义在于,一国应夯实经济基本面、采取富有弹性的汇率制度和适当的资本管制措施,以缓解全球金融周期给资本流动带来的冲击。     

内外部金融周期差异如何影响中国跨境资本流动?

本文揭示了内外部金融周期差异影响跨境资本流动的机制,并以美国为外部经济代表,基于1998年第一季度至2018年第一季度数据进行了实证检验。研究发现:(1)中国跨境资本流动波动主要来自短期资本流动波动;分类看,其他投资波动较大;方向上看,流入波动要大于流出波动。(2)利差、汇差、资产价差(股指变动差异和房价变动差异)是影响跨境资本流动的重要因素,汇差和资产价差对短期资本流动影响尤甚。(3)内外部金融周期差异变动对资本流入的影响比对资本流出的影响更明显。(4)近年来,利差对跨境资本流动影响减弱,汇差和资产价差对跨境资本流动影响增强。结果说明,防范跨境资本流动风险要关注其他投资资本流动大幅波动风险,同时注意防范汇率和资产价格波动共振对跨境资本流动的冲击。     

International income risk-sharing and the global financial crisis of 2008–2009

We examine the impact of the global financial crisis on the degree of international income and consumption risk-sharing among industrial economies using returns on cross-border portfolio holdings (e.g., debt, equity, FDI). We split the returns from the net foreign holdings as receipts (inflows) and payments (outflows) to investigate which of the two sides exhibited the greater resilience for income risk-sharing during the recent crisis. First, we find that debt delivered better risk-sharing than equity, mainly reflecting the deficit deterioration in EMU countries during the post-crisis period. FDI, by contrast, did not correspond to noticeable risk diversification. Second, separating output shocks into positive and negative components reveals that debt holding receipts (equity liability payments) performed better under negative (positive) realizations of the shock variable. Third, the unwinding of capital flows resulted in a sharp fall in income dis-smoothing via the debt liability channel in the new EU countries.     

Capital inflows,equity issuance activity,and corporate investment

This paper uses issuance-level data to study how equity capital inflows that enter emerging market economies affect equity issuance and corporate investment. It shows that foreign inflows are strongly correlated with country-level issuance. The relation especially reflects the behavior of large firms. To identify supply-side shocks, capital inflows into each country are instrumented with exogenous changes in other countries’ attractiveness to foreign investors. Shifts in the supply of foreign capital are important drivers of increased equity inflows. Instrumented contemporaneous and lagged capital inflows lead large firms to raise new equity, which they use to fund investment.     

Global financial shocks and foreign asset repatriation: Do local investors play a stabilizing role?

We study the dynamic response of gross capital flows in emerging market economies to different global financial shocks, using a panel vector-autoregressive (PVAR) approach. Our focus lies primarily on the potentially stabilizing role played by domestic investors in offsetting the response of foreign investors to adverse global shocks. We find that, while foreign investors tend to retrench from emerging markets in response to global risk aversion and monetary policy shocks, foreign asset repatriation by resident investors does not always follow suit. Local investors play a meaningful stabilizing role in the face of global risk aversion shocks, with sizeable asset repatriation largely offsetting the retrenchment of non-residents. In contrast, foreign investor retrenchment in response to global monetary policy shocks is not mirrored by asset repatriation. Finally, we find robust evidence that positive global real shocks tend to have a positive impact on net capital inflows to emerging markets. Our results shed light on the likely impact of the Fed's QE tapering on capital flows to emerging market economies.     

Exchange market pressure in OECD and emerging economies: Domestic vs. external factors and capital flows in the old and new normal

We study the ways domestic and external global factors (such as risk appetite, global liquidity, U.S. monetary policy, and commodity prices) affected the exchange market pressure before and after the global financial crisis, as well as the role of these factors during the Federal Reserve's tapering episode. Utilizing a comprehensive database on capital controls, we investigate whether control measures have a significant impact on mitigating exchange market pressure associated with capital flows [net and gross]. Using quarterly data over the 2000–2014 period and a dynamic panel model estimation, we find that external factors played a significant role in driving exchange market pressure for both OECD countries and emerging market countries, with a larger impact on the latter. While the effect of net capital flows on exchange market pressure is muted, short-term gross portfolio inflows and outflows comprise important factors that account for exchange market pressure. Short-term portfolio flows and long-term foreign direct investment flows have a significant impact on exchange market pressure for emerging market economies and no significant effect for OECD countries. Capital controls seem to significantly reduce the exchange market pressure, although the economic size of this impact is highly dependent on the institutional quality.     

金融开放背景下金融发展对跨境资本流动的影响研究

金融开放能够促进跨境资本流动,也具有引发跨境资本流动失衡和波动性增加的风险,而一国金融发展水平在其金融开放效应中发挥着重要作用。本文基于58个国家及地区1999-2016年的数据建立动态面板模型,研究金融开放背景下金融发展对直接投资和证券投资流入、流出以及总跨境资本流动波动性的影响。研究结果表明:金融开放本身有可能造成跨境资本流出大于流入的失衡现象,并显著增加跨境资本流动波动性风险,而金融发展水平的提高有助于在一定程度上抑制金融开放带来的跨境资本流动失衡现象和波动性风险。因此,在扩大金融开放进程中,为获得跨境资本流动的积极效应,应密切关注跨境资本流向和资本波动性变化,提高国内金融发展水平,使之与金融开放水平相匹配。     

Net Equity and Debt Flows to Emerging Market and Developing Economies in the Post-Crisis Era

We investigate the determinants of net equity and debt flows into 60 emerging and developing countries during 1986–2012, with a special focus on the period following the onset of the global financial crisis (GFC). Our results controlling for endogeneity show that net equity flows to emerging markets were mostly influenced by global risk factors, while net debt flows were affected by country-specific factors. We further distinguish the factors that were more pronounced in determining net portfolio flows to emerging markets since the GFC. The US real interest rate had significant spillover effects on net equity flows after the GFC. An increase in country’s domestic credit attracted net debt inflows before the GFC, while it was associated with net equity outflows after the GFC. We also find that capital controls moderated net debt flows since the GFC.     

Capital flows to emerging market economies: A brave new world?

We examine the determinants of net private capital inflows to emerging market economies (EMEs) since 2002. Our main findings are: First, growth and interest rate differentials between EMEs and advanced economies and global risk appetite are statistically and economically important determinants of net private capital inflows. Second, there have been significant changes in the behavior of net inflows from the period before the recent global financial crisis to the post-crisis period, especially for portfolio inflows, partly explained by the greater sensitivity of such flows to interest rate differentials since the crisis. Third, capital controls introduced in recent years do appear to have discouraged both total and portfolio net inflows. Finally, we find positive effects of unconventional U.S. monetary policy on EME inflows, especially portfolio inflows. Even so, U.S. unconventional policy is one among several important factors influencing flows.     

Does auditor choice matter to foreign investors? Evidence from foreign mutual funds worldwide

This study explores whether a firm’s auditor choice affects its ability to access foreign equity capital. Using the equity holdings of 35,665 foreign mutual funds from 30 countries for the period 1998–2009, we find evidence that appointing a Big 4 auditor is associated with the increased level of foreign mutual fund ownership in firms. Our results are robust when conditioned on firm-level information asymmetries, country-level information disclosure quality, and when employing the Enron–Andersen fiasco as the natural experiment. Furthermore, appointing Big 4 auditors is particularly important for firms to attract foreign capital during the 2008 global financial crisis.