治理环境污染的经济制度安排

环境问题的外部性和环境资源的公共财产属性,决定了解决环境污染问题不能单纯依靠市场机制,需要政府的必要调控和干预,政府干预包括有关法规的制定和经济制度的安排。经济制度具有不可替代的效率作用,且应针对不同的情况安排与市场机制相沟通的不同制度形式,如“排污收费”,“治污收费”,“开征环境税”和“排污权交易”等,将环境保护由过去的政府行为转变为一种由政府调控与经济利益机制驱动相结合的市场行为和企业行为。     

The sources of momentum in international government bond returns

This study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to bond-specific risk factors, such as volatility or credit risk. The global bond momentum is driven by the returns on underlying foreign exchange rates. Controlling for currency movements fully explains the abnormal returns on momentum strategies in international government bonds. The results are robust to many considerations including alternative sorting periods, portfolio construction methods, as well as subperiod and subsample analysis.     

基于二叉树模型的农业可转债定价研究——以天康转债为例

以天康转债为例,通过构建二叉树模型对其进行定价研究,可以得到2020年4月3日天康转债的理论价格为180.69元,当日实际价格为176.88元,两者相差不大。为了更加直观地显示运用二叉树模型计算出的理论价格与实际价格的偏差,形成30个交易日的理论价格与实际价格对比图,研究表明二叉树法得出的理论价格与实际价格基本一致。将二叉树定价模型运用到其他农业可转债中,除宏辉转债外,其他可转债理论价格与实际价格偏差不大。     

Oil price shocks,geopolitical risks,and green bond market dynamics

This research explores the causal relation among oil price, geopolitical risks, and green bond index in the United States from December 2013 to January 2019. Unlike the conventional linear model specification used in earlier works, we evaluate causal relations based on Granger-causality in quantile analysis. Our empirical results reveal unidirectional Granger-causality from geopolitical risk to oil price at the extreme quantiles. We also observe a significant bi-directional causality from oil price to green bond index for the lower quantiles. Findings also reveal causality from geopolitical risk to green bond index in the lower quantiles of the distribution. Therefore, knowledge of these causal relationships can help policy makers to evaluate and implement effective policies to prevent sudden and substantial oil price shocks and geopolitical risk.     

The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China

This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates (treasury bond rates) and inflation in China. The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship. To this aim, we apply Shin et al.’s (2014) nonlinear autoregressive distributed lag (NARDL) model with asymmetric dynamic multipliers for the sample period 2002M7–2018M4. The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China. Furthermore, we find that 20-year bond rates experience the lowest partial Fisher effect.     

Where's the greenium?

In this study, we investigate whether investors are willing to trade off wealth for societal benefits. We take advantage of unique institutional features of the municipal securities market to provide insight into this question. Since 2013, states and other governmental entities have issued over $23 billion of green bonds to fund eco-friendly projects. Comparing green securities to nearly identical securities issued for non-green purposes by the same issuers on the same day, we observe economically identical pricing for green and non-green issues. In contrast to a number of recent theoretical and experimental studies, we find that in real market settings investors appear entirely unwilling to forgo wealth to invest in environmentally sustainable projects. When risk and payoffs are held constant and are known to investors ex-ante, investors view green and non-green securities by the same issuer as almost exact substitutes. Thus, the greenium is essentially zero.     

分散保险风险的资本市场创新工具

本文提出并设计出一种全新的金融产品———保险金融券 ,这种保险金融券具有固定收益证券的性质 ,同时又与保险公司的风险挂钩。它能将保险公司的风险有效地分散到资本市场上 ,从而增加保险市场的容量 ,提高保险公司的竞争力。同时又为资本市场的投资者提供了更多的投资品种。本文运用国外最前沿的理论成果 ,结合中国的实际情况 ,对保险金融券进行了定价 ,同时对保险金融券的发行、收益等方面进行了详细的论述。     

The Impact of Consulting Services on Audit Quality: An Experimental Approach

We use experimental markets to examine whether providing consulting services to a non‐audit client impacts audit quality. Our paper directly addresses concerns raised by the Public Company Accounting Oversight Board that the largest public accounting firms’ growth in their consulting practices threatens audit quality. We conduct an experiment proposed using a registration‐based editorial process. We compare a baseline where the auditor does not provide consulting services to conditions where auditors provide consulting to audit clients or where auditors only provide consulting services to non‐audit clients. Our unique design provides evidence on whether providing consulting to non‐audit clients strengthens the salience of a client‐cooperative social norm that reduces audit quality. We do not find differences in audit quality by condition in our planned analysis, however we find greater variation in audit quality in the conditions where auditors provide consulting services compared to the baseline. In unplanned analyses, our results suggest providing consulting services increases auditor cooperation with managers, increasing audit quality when managers prefer high audit quality and decreasing audit quality when managers prefer low audit quality.     

The lead-lag relation between the stock and the bond markets

I examine the relative informational efficiency of bonds and the underlying stocks through the lead-lag relation between their daily returns. I find that stock returns lead the returns of high yield bonds but not those of investment grade bonds, which indicates that the stock market is relatively more informational efficient than the bond market. The findings imply trading opportunities for the bonds that are highly sensitive to the release of new information. I also find that stocks detect impending defaults earlier than bonds, which implies that bond holders may have enough time to protect their capital.     

The Impact of Rating Agency Reputation on Local Government Bond Yields

This study examines a sample of 12,562 dual-rated local government bond issues including 6,104 split-rated issues to determine which rating agency has the greatest impact on yields. Using a database of municipal bond issues from 1986 to 2002, we show that Moody’s rated significantly more issues than S&P, and that Moody’s ratings were more conservative. However, from 1993 to 1997, there was a reduction in ratings disagreements and in Moody’s market share. Beginning in 1995, Moody’s received negative publicity related to a Department of Justice anti-trust investigation. Moody’s appears to have responded by sharply increasing their relative conservatism in 1997. From 1986 to 1994, Moody’s ratings had a greater impact on bond yields than S&P ratings, but their dominant influence on yields disappears in the recent sample period from 1995 to 2002.