金融市场有效性联立检验的再检验

在理性预期假定下,基于证券历史价格和收益信息,不能预测证券的未来价格,即市场是弱有效的。对市场有效性检验无效可能是关于基本价格或者正常收益均衡模型设定有误所导致,借助C-CAPM与行为金融模型可以对"市场无效性"进行解释。研究表明,市场有效性假说仅为一个理想范式,无论从有效性的联立检验角度,还是从非理性投资与金融市场关系的角度,都无法对现实的金融市场是否有效做出明确的判断。     

Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program

The role that financial innovation plays in financial markets is very controversial. To provide insight into this role, we examine how market participants use the highly successful Treasury STRIPS program. We find that investors use the option to create Treasury-derivative STRIPS primarily to make markets more complete and take advantage of tax and accounting asymmetries. Although liquidity-related factors help explain differences in the prices of Treasury bonds and STRIPS, we find little evidence that the option to strip and reconstitute securities is used for speculative or arbitrage-related purposes.     

Forecasting risk,informed speculation,and financial innovation

Speculators who prey on hedgers can stifle financial innovation in the sense that new markets can fail. In this paper I analyze whether a profit maximizing exchange nonetheless chooses to open markets for speculative securities and if so, how to circumvent the problem of market failure. I find that the optimal financial innovation takes two forms. The first is a market structure consisting of hedge instruments, traded in low volume at stable asset prices. The second is a market structure consisting of speculative instruments, traded in greater volume at volatile asset prices. These strategies are derived within the same framework where the cost and the quality of the speculators' information set and the hedgers risk aversion ultimately determine which is the optimal one.     

Integration of Trans-Atlantic Capital Markets, 1790-1845

During the 1790s, European investors began to purchase substantial quantities of US government and corporate securities. A number of these securities were traded in markets on both sides of the Atlantic. Based on market price quotations we compiled for the same securities in London and New York markets, we ask if these early trans-Atlantic securities markets were integrated, and, if so, when they became integrated. We find little evidence of market integration before 1816, and substantial evidence of it thereafter. Financial globalization - the convergence of financial asset prices in markets on different continents - began earlier than most have suspected.     

Contrasting Worldviews at Bank and Securities Market Regulators

Bank and securities regulators operate with different attitudes about the appropriate regulation of financial institutions and markets. Bank regulators’ prudential oversight protects depositors from worrying about the repayment of their bank claims. In contrast, securities market regulators tend to presume that security markets (almost) always clear quickly at prices close to the asset's fundamental value. These regulators seek to assure full disclosure of information, which facilitates active securities trading. In the United States, the Securities and Exchange Commission's (SEC) investor protection duties are tailored to the financial sophistication of individual investors.     

Local parametric analysis of derivatives pricing and hedging

A novel methodology for the analysis of derivatives pricing in incomplete markets is tested empirically. The methodology generates hedge ratios and derivatives prices. They are estimated from the correlation structure between the local co-movements of securities prices. First, the hedge ratios from a parsimonious complete-market model are estimated by fitting locally the changes in the derivatives and the underlying securities prices. Second, derivatives prices are obtained from the locally estimated hedge ratios. The methodology, referred to as local parametric estimation, is tested on a dataset of DAX index options and futures transactions from the computerized German Futures Exchange.     

Financial innovation, values and volatilities when markets are incomplete

The traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations. This paper considers a model with incomplete markets in which the valuation of derivative securities cannot be treated independently from the valuation of the primary securities. The model constitutes a framework for the analysis of the consequences of financial innovation (creation of new contracts or modification of existing contracts). We provide a numerical counterexample to the popular belief that financial innovations that increase the volatilities of traded securities are bad. In this example the introduction of an option increases the volatility of the rate of return on the underlying stock, yet the creation of this asset is unanimously supported by investors.I am grateful to H. Polemarchakis and to an anonymous referee for insightful suggestions.     

Corporate Disclosure as a Tacit Coordination Mechanism: Evidence from Cartel Enforcement Regulations

We empirically study how collusion in product markets affects firms' financial disclosure strategies. We find that after a rise in cartel enforcement, U.S. firms start sharing more detailed information in their financial disclosure about their customers, contracts, and products. This new information potentially benefits peers by helping to tacitly coordinate actions in product markets. Indeed, changes in disclosure are associated with higher future profitability. Our results highlight the potential conflict between securities and antitrust regulations.     

A Model of Financialization of Commodities

We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. The equity‐commodity correlations also increase. We demonstrate how financial markets transmit shocks not only to futures prices but also to commodity spot prices and inventories. Spot prices go up with financialization, and shocks to any index commodity spill over to all storable commodity prices.     

The behavior of stock prices on LDC markets

The paper investigates the behavior of stock prices for a group of well established and newly emerging LDC securities markets. The results suggest the probability distributions to be consistent with a lognormal distribution with some securities exhibiting non-stationary variance. LDC markets, even though not as efficient as major DC markets, are quite comparable to the smaller European markets and the behavior of security prices as reported in this study appears to be generalizable for the heavily traded segments of LDC markets.     

Derivatives securities: what they tell us

Jing Chen discusses how the study of derivatives securities provides a simple way of understanding financial markets and how derivative deals offer some early warning signals.     

From Wall Street to Main Street: The Impact of the Financial Crisis on Consumer Credit Supply

How did the collapse of the asset‐backed securities (ABS) market during the 2007 to 2009 financial crisis affect the supply of credit to the broader economy? Using new data on the U.S. credit union industry, we find that ABS‐related losses are associated with a large contraction in the supply of credit to consumers, especially among those credit unions that began the crisis with weaker capitalization. We also find that this credit supply shock restricted the availability of mortgage and automobile credit. These results show how movements in the prices of financial assets can affect the real economy.     

SECURITIZATION: A FINANCING STRATEGY FOR EMERGING MARKETS FIRMS

With emerging markets now in crisis, companies in developing countries are finding it difficult to obtain financing. Securitization, a transaction structure in which the securities sold to investors are backed by a company's receivables, is one of the few vehicles with at least the potential to provide financing at economic rates in the current environment of uncertainty.
Unlike U.S. securitization issues, emerging markets transactions often use a structure known as "future flows" securitization, in which the securities are backed by receivables that are not expected to be generated until after issuance. This article begins by describing how the process of future flows securitization carves out securities with levels of political risk acceptable to foreign capital market investors. Then it traces the history of emerging markets securitization from its origins in Latin America to its more recent uses during the Asian crisis. Securitization helped bring foreign investors back to Latin America after its debt crisis of the early 1980s. And while the Asian crisis has sharply reduced new issuance for all kinds of emerging market financings, the volume of securitization issues appears to have declined less precipitously than other types of transactions geared to foreign investors. Moreover, investment bankers are now hard at work planning new securitization issues for companies in both Latin America and Asia.
In exploring the longer-term effects of securitization on both domestic issuers and their economies, the author suggests that securitization could play a pivotal role in restoring emerging markets companies' access to global financial markets. Indeed, with a few exceptions such as Malaysia, most emerging markets are now responding to the crisis by taking measures to protect investors, such as requiring greater financial transparency and dispelling legal uncertainties that have discouraged securitization in particular and overseas investment more generally.     

Supervisor and Market Analysts: What Should Research be Seeking?

This article is primarily directed towards examining the desirability of incorporating market signals in the process of supervision of commercial banks by regulators and insurers. But the ideas developed here can also be applied to the general problem of using market information to assess the solvency and safety of any financial or non-financial institution.Market prices and yields of securities anticipate actions by regulators, central banks, and other players due to the fact that such actions may materially influence the risk and the expected return associated with investment decisions pertaining to those securities. It is well known that the yield curve of government securities such as T-bills, T-notes and T-bonds reflect the market's consensus regarding the actions that the Federal reserve may take as they pertain to the valuation of such securities. The extent to which the market has already discounted the future actions of the central bank will no doubt play a role in the way in which the central bank may think about its actions, its actual effect and how it relates to its intended effects.The extent to which market prices can provide useful guides depends on the underlying market structure and the practices in the industry.While markets may do lot of the hard work in aggregating and incorporating future actions, the task of supervision and regulation can never be put on automatic pilot. Ideally, supervisory policies should effectively combine the market signals with initiatives that serve to maintain the safety and the soundness of the underlying markets. I will begin by exploring the extent to which equity prices may be used as a signal of bank credit risk. I will then explore the advantages and disadvantages of using subordinated debt securities to derive a market signal.     

Optimal hedging for fund and insurance managers with partially observable investment flows

All financial practitioners are working in incomplete markets full of unhedgeable risk factors. Making the situation worse, they are only equipped with imperfect information on the relevant processes. In addition to the market risk, fund and insurance managers have to be prepared for sudden and possibly contagious changes in the investment flows from their clients so that they can avoid the over- as well as under-hedging. In this work, the prices of securities, the occurrences of insured events and (possibly a network of) investment flows are used to infer their drifts and intensities by a stochastic filtering technique. We utilize the inferred information to provide the optimal hedging strategy based on the mean-variance (or quadratic) risk criterion. A BSDE approach allows a systematic derivation of the optimal strategy, which is shown to be implementable by a set of simple ODEs and standard Monte Carlo simulation. The presented framework may also be useful for manufacturers and energy firms to install an efficient overlay of dynamic hedging by financial derivatives to minimize the costs.     

Liquidity and valuation in an uncertain world

During the 2007–2009 financial crisis there was little or no trading in a variety of financial assets, even though bid and ask prices existed for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing “fair value” for these assets. We show how the extreme uncertainty that traders face can be characterized by incomplete preferences over portfolios, and we use Bewley's (2002) model of decision making under uncertainty to derive equilibrium quotes and the nonexistence of trading at these quotes. We then suggest alternatives for valuing assets in illiquid markets.     

Recent Changes in the Regulation of Financial Markets and Reporting in Canada*

The regulation of financial reporting and financial markets has undergone significant change in both the United States and Canada since 2000. In Canada, the regulatory regime is particularly complex and politically controversial, with much speculation about possible future directions. This paper's purpose is to explain the current regulatory environment as it stands in mid‐2006 to assist those who teach or conduct research in this domain. On the basis of a review of existing regulations and related studies, this paper first provides an explanation of the major jurisdictional issues that affect financial reporting and regulation in Canada, including identifying the roles of the key players. Second, it identifies specific reporting changes that might be of particular relevance to prospective capital market researchers. Where relevant, comparisons are made with regulatory provisions in the United States, because the majority of capital markets research concerns U.S. securities exchanges regulation, and the Canadian regulations themselves often refer to U.S. regulations as a point of comparison. We find that the lack of a single national securities regulator in Canada and overlaps in federal and provincial jurisdiction and among regulatory bodies mean there is a large range of players involved in financial markets regulation. Ongoing efforts to improve integration include the new passport system, improved harmonization of securities regulation, and consideration of mergers between some of the involved organizations. Other changes have led to a greater emphasis in Canada on the regulation of continuous disclosure and corporate governance than was previously the case. Changes in specific reporting regulations and guidelines since 2002 have generally increased the amount of disclosure.     

Sizing Up Repo

To understand which short‐term debt markets experienced “runs” during the financial crisis, we analyze a novel data set of repurchase agreements (repo), that is, loans between nonbank cash lenders and dealer banks collateralized with securities. Consistent with a run, repo volume backed by private asset‐backed securities falls to near zero in the crisis. However, the reduction is only $182 billion, which is small relative to the stock of private asset‐backed securities as well as the contraction in asset‐backed commercial paper. While the repo contraction is small in aggregate, it disproportionately affected a few dealer banks.     

The financial crisis of 2008 in fixed-income markets

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the Financial Crisis of 2008 were heterogeneous securities that were hard to value. These securities created concerns about counterparty risk and ultimately created substantial uncertainty. The problems spread in ways that were hard to see in advance. The run on prime money market funds in September 2008 and the effects on commercial paper were an important aspect of the crisis itself and are discussed in some detail.     

INCOMPLETE MARKETS AND COMMODITY-LINKED FINANCE IN DEVELOPING COUNTRIES

This article provides a framework for appraising new financialinstruments and evaluating the extent to which they can helpalleviate problems of incomplete credit markets and contingentclaims markets in developing countries. Although the issuesinvolved apply to any new financial instrument, we give particularattention to commodity-linked securities because many developingcountries specialize in producing a handful of primary commoditiesand are therefore exposed to substantial commodity price risks.The article looks at the supply of, demand for, and pricingof commodity-linked securities and discusses some issues thataffect their use by developing countries: their special legalstatus as sovereign debt; their feasibility (since to becometruly effective they will require liquid secondary markets);and the construction of an optimal portfolio of external debtobligations. It also discusses the potential for new financialinstruments—particularly commodity-linked securities—asa tool for risk management in developing countries.