Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube

We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spanning the financial crisis of 2007–2010. We find that, even during this period, neither market is as fragmented as suggested by the previous literature.     

金融集聚能缓解中小企业融资约束吗？——基于非线性和区域异质性的视角

以2009—2017年上市中小企业面板数据为样本，应用现金现金流敏感性模型分析了金融集聚对中小企业融资约束的影响。研究发现：整体上金融集聚可以一定程度缓解中小企业融资约束，但存在地区性差异，且门槛效应明显。金融集聚对低金融集聚水平地区的中小企业融资困境有明显改善，但其影响随着金融集聚水平的增加而减少。当金融集聚水平超过高门槛值时，这一作用非常微弱，总体上呈现非线性特征。这说明当金融资源高度集中时可能产生挤出效应。     

我国金融创新人才的需求预测

金融业在现代经济中发挥着极其重要的作用,而金融创新是金融业持续发展的源泉,人才又是金融创新的关键。文章首先运用GM(1,1)模型对我国2012年-2020年金融业人才需求量做了预测,随后根据2009年金融创新人才的占比,以金融业从业人员的平均增长速度作为金融创新人才需求量的平均增长速度推算出了2012年-2020年金融创新人才需求量的占比,最后根据金融业人才需求量和金融创新人才需求量的占比预测出了2012年-2020年金融创新人才需求量,并根据预测结果提出了相关的建议。     

代建制下财务管理相关问题探讨

本文笔者结合自身的工作经验,对代建制下财务管理过程中出现的问题,进行了简要的总结与分析,并提出了相应的解决建议,以期促进我国代建制下财务管理的发展。     

Bear beta

We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow–Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor’s (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta also predicts future bear market risk exposure. We conclude that bear market risk is priced in the cross section of stock returns.     

The Impact of Farmland Transfers on Agricultural Investment in China: A Perspective of Transaction Cost Economics

There is growing concern that farmland transfers lead to less agricultural investment, which may adversely affect agricultural productivity growth in China. Prior research has primarily focused on the differences between owned cultivated land and rented plots, but little is known about how farmland transfers between relatives, which are popular in rural China, specifically affect agricultural investment. In this paper, we present a conceptual framework of transaction cost economics to compare different contracting strategies in China's farmland rental markets. As farmland rental markets in China are immature, land transfer between relatives establishes bilateral governance, which has the advantage of addressing the opportunistic activities of both parties and can ultimately increase investment by tenants. Based on data from two waves of household surveys, we empirically examine the impact of bilateral governance on the application of organic fertilizer, an indicator for agricultural investment. Our findings show that apart from economic factors, kinship is important to the functioning of farmland rental markets in rural areas.     

Should we worry about the decline of the public corporation? A brief survey of the economics and external effects of the stock market

In recent years, the number of listed companies has been declining in many countries across the world. This paper provides a selective survey of the literature on the real economic effects of the stock market to assess the potential effects of this decline and determine whether it is likely to continue. The leading economic role of the stock market’s primary market, in which firms raise capital by issuing new shares, is to help growing firms secure financing. We discuss providing and certifying information, coordinating investors, and easing the redeployment of capital as the means through which capital allocation can be efficiently achieved. The main economic roles of the stock market’s secondary market, the trade in existing shares, is to provide liquidity to shareholders, to aid in price discovery and to provide diversification opportunities. Positive external effects from an active stock market may arise for consumers, labor and private firms due to increased corporate investment, more socially responsible business strategies and a more positive business climate. Negative external effects on capital allocation and productivity can arise from short-termism, market mispricing, and increased cross-ownership. Local stock markets can spur innovation and foreign direct investment (FDI) and reduce the risk of early cross-border acquisitions. Given the myriad of useful economic functions the stock market performs, a future entirely absent of public companies is difficult to imagine and the decline is therefore likely at some point to come to an end. Whether we need to worry about the decline depends on the relative importance of the positive and negative external effects, a topic we feel warrants more research.     

Jensen's alpha and the market‐timing puzzle

Theory predicts that market‐timing activities bias Jensen's alpha (JA). However, empirical studies have failed to find consistent evidence of this bias. We tackle this puzzle in a nested model analysis and show that the bias contains an exogenous market component that is unrelated to market‐timing skill. In a comprehensive empirical analysis of US mutual funds, we find that the timing‐induced bias in JA is mainly driven by this market component, which is uncorrelated with measured timing activities. Measures of total performance that allow for timing activities are virtually identical to JA, even if timing activities are present in the evaluated fund. Hence, we conclude that JA is a sufficient measure of total performance.     

Monetary and Financial Cooperation Between China and the One Belt One Road Countries

ABSTRACT

Based on the theory of optimal currency area (OCA), we calculate the OCA index between China and the OBOR partners with the expressed objective of identifying which partners exhibit monetary and financial compatibilities, and hence present the best potential in terms of cost and benefits. Our findings suggest that among South East Asia region, Malaysia exhibits the highest compatibility and profit potential, followed by Thailand and Vietnam. For the East European area, Poland and Croatia show the best potential in terms of monetary and financial cooperation; with the Czech Republic as close third. Based on our computation, currently Central Asia and the Middle East do not possess the condition or potential for beneficial financial and monetary collaboration.