区域性民间金融风潮：中国式金融危机简史（1883-2015）

与西方国家发生于正规金融市场、以资产价格爆跌为主要特征的金融危机不同,中国式金融危机主要表现为局部市场发生的区域性民间金融风潮,早期以钱庄等传统金融机构倒闭和挤兑狂潮为主要特征,改革开放后主要表现为非法集资信用链断裂引发的“倒会案”、机构倒闭引发的企业主跑路,以及挤兑狂潮引发的群体性事件等。根据历史资料、媒体报道及学术文献,结合田野调查,对各类民间金融风潮具体案例进行系统梳理,并通过与一般金融危机的比较分析,发现区域性民间金融风潮的演化路径也经历“疯狂惊恐崩溃”三个阶段,但在具体成因、影响后果上存在较大区别。民间金融风潮具体成因与市场分割、二元结构下地方金融监管体制缺陷等有关,因此,在应对措施上也应与普通金融危机不同。     

Investment bank monitoring and bonding of security analysts’ research

We assess investment banks’ influence over the agreement between their analysts’ research behavior and their clients’ interests, in the post-reform era. Competing banks discipline their analysts with worse career outcomes for producing biased reports, issuing shirking reports, and for involvement in the earnings guidance game, showing meaningful monitoring of their analysts. Highly reputable banks provide more monitoring discipline of their analysts and bonding of their moral hazard than other banks. The findings agree with the banks taking responsibility for aligning analysts’ behavior with clients’ interests.     

房价波动、金融稳定与最优宏观审慎政策

本文通过构建包含家庭住房抵押借款摩擦和银行贷款摩擦的动态随机一般均衡模型,重点考察了异质性冲击下房价波动对金融稳定的影响。研究发现,房价上涨会导致银行风险溢价及杠杆率显著上升,进而加剧金融体系的内在不稳定。为降低房价波动及维护金融稳定,选取两类宏观审慎政策工具进行逆周期调控实验,结果表明,在住房需求冲击下,金融管理部门应选取贷款价值比政策,且应对房贷积极调控,而对房价进行中性调控。在最终产品部门生产率冲击、房地产部门生产率冲击及跨期偏好冲击下,应选取资本充足率政策,但对房贷和房价调控力度的把握则存在差异。本研究为厘清房价波动对金融稳定的动态传导机制,以及金融管理部门如何选取宏观审慎政策工具以稳定房价并降低系统性金融风险提供了启示。     

引入国债期货合约能否发挥现货市场稳定效应?——基于中国金融周期的研究视角

我国国债期货市场能否发挥稳定现货市场功能,金融周期风险是否会改变国债期货市场对现货市场波动的影响,是投资者实施风险管理和监管部门构建市场稳定机制的重要依据。本文通过信息传递机制和交易者行为两个维度探析国债期货市场发挥稳定功能的微观机理,分析金融周期风险对衍生工具稳定功能的影响,解析引入国债期货合约能否缓解金融周期波动对国债市场冲击,同时关注我国国债期货交易机制改进与现券波动关系。研究发现:(1)我国国债期货市场已实现抑制现货市场波动的功能,金融周期风险会引发现货价格波动,国债期货市场能够降低金融周期的波动冲击;(2)改善现货市场深度和套保交易是国债期货市场发挥稳定功能的微观路径,国债期货市场增进国债预期交易量流动性、减弱非预期交易量干扰,金融周期低波动区间套保交易稳定作用受到抑制;(3)国债期货投机交易和波动溢出效应助长现货市场波动,正负期现基差对国债波动影响具有非对称特征。     

Leveraging a call-put ratio as a trading signal

We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: (1) specific market participant's options trading volume is a predecessor to asset price movements, and (2) portfolios based on the put-call ratio adjusted for four factors Carhart model and transaction costs exhibit abnormal excess returns.     

US stock returns: are there seasons of excesses?

This article explores the existence of seasonality in the tails of stock returns. We use a parametric model to describe the returns, and obtain a proxy of the innovation distribution via a pre-processing model. Then, we develop a change-point algorithm capturing changes in the tails of the innovations. We confirm the good performance of the procedure through extensive Monte Carlo experiments. An empirical investigation using US stocks data shows that while the lower tail of the innovations is approximately constant over the year, the upper tail is larger in Winter than in Summer, in 9 out of 12 industries.     

A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt

Using an integrated model to control for simultaneity, as well as new risk measurement techniques such as Adapted Exposure CoVaR and Marginal Expected Shortfall (MES), we show that the aggregate systemic risk exposure of financial institutions is positively related to sovereign debt yields in European countries in an episodic manner, varying positively with the intensity of the financial crisis facing a particular nation. We find evidence of a simultaneous relation between systemic risk exposure and sovereign debt yields. This suggests that models of sovereign debt yields should also include the systemic risk of a country's financial system in order to avoid potentially important mis-specification errors. We find evidence that systemic risk of a country's financial institutions and the risk of sovereign governments are inter-related and shocks to these domestic linkages are stronger and longer lasting than international risk spillovers. Thus, the channel in which domestic sovereign debt yields can be affected by another nation's sovereign debt is mostly an indirect one in that shocks to a foreign country's government finances are transmitted to that country's financial system which, in turn, can spill over to the domestic financial system and, ultimately, have a destabilizing effect on the domestic sovereign debt market.     

Audit Partner Disciplinary Actions and Financial Restatements

This study investigates the signalling role and rectification effectiveness of an audit partner disciplinary system. The signalling role refers to whether sanctions reflect the poor audit quality of disciplined audit partners, and rectification effectiveness addresses whether disciplinary actions enhance subsequent audit quality. The sample consists of Taiwanese listed companies, in the period 2000 to 2006, where the identities of audit partners who sign audit reports and who are sanctioned are accessible. Empirical results indicate that in the pre‐sanction period, the probability of financial restatements by clients of disciplined audit partners is significantly higher than that of non‐disciplined audit partners. The more severe or frequent the sanctions, the higher the likelihood of financial restatements in the pre‐sanction period. These findings imply that audit partner disciplinary actions can serve as a signal of lower audit quality provided by those partners. The rectification effectiveness of disciplinary actions is examined from two perspectives: (1) the effects on subsequent improvements of audit quality of disciplined audit partners; and (2) audit quality enhancement of successor non‐disciplined audit partners who accept clients from disciplined audit partners. Empirical results show a lower probability of restating financial statements audited by disciplined audit partners after sanctions. We also find a lower likelihood of restating financial statements audited by successor non‐disciplined audit partners in the post‐sanction period. Both findings support our conclusion that audit partner sanctions improve audit quality. Overall, audit partner disciplinary actions can signal lower quality audit partners and are effective in enhancing audit quality.     

External finance and dividend policy: a twist by financial constraints

This study assesses distorting effect of financial constraints on the inverse relationship between internal and external finance by examining impact of an exogenous financing shock (i.e. a regulation released in China in 2008) on dividend policies in a quasi‐natural experimental setting. Our result shows that in the absence of the regulation, the inverse relationship holds. However, the relation is twisted by the 2008 regulation. Compared with unconstrained firms, financially constrained firms are more willing to pay dividends and are more restrained to reduce cash dividends after the regulation, despite the fact that their external financing capacities are further constrained.     

S&P 500 index addition,liquidity management and Tobin's Q

This study examines the revision in cash holdings and the market valuation of investment opportunities of 475 firms added to the Standard & Poor's 500 (S&P 500) stock market index from 1980 to 2010. We find that newly indexed firms have evolved to significantly lower cash balances, which we partially explain by the decreasing growth opportunities following index inclusion. Consistent with index inclusion loosening financial constraints, we document a larger decrease in cash for index inclusions in sectors with high financial dependence. We sort S&P 500 inclusions by corporate governance quality but do not find any empirical support that changes in cash and Tobin's Q are related to management entrenchment.