Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

金融资产配置与违约风险:蓄水池效应,还是逐利效应？

本文以2007—2016年中国A股上市公司为研究对象,检验了企业金融资产配置对违约风险的影响。实证研究发现:金融资产持有量越多,企业的违约风险越低,金融资产配置的“蓄水池效应”显著;在货币政策宽松时期,金融资产配置导致的代理冲突显现,宽松的货币政策会抑制金融资产投资对违约风险的降低作用。政府规制也会有一定的公司治理作用,将产业政策纳入讨论发现:对于产业政策支持的行业来说,企业金融资产配置能够降低违约风险,但是宽松的货币政策会刺激管理层的短视投资行为,抑制政府规制的公司治理作用。进一步地,本文提出会计稳健性的提升是企业金融资产配置降低违约风险的重要路径。本文的研究结论丰富了企业金融资产配置动机和违约风险影响因素的讨论,能够为政府部门防范经济运行中的内在风险提供有益借鉴。     

Parking futures: Preparing European cities for the advent of automated vehicles

The introduction of automated vehicles (AVs) is a virtual certainty. Much less certain is the timing of their introduction and how rapid the transition to full automation will be. Various governments are already working to facilitate this shift by, for example, amending and elaborating regulations to support the introduction of AVs, or supporting tests in different urban environments. Meanwhile, urban and regional planners and decision-makers are still grappling with the uncertainties and differing opinions about the possible impacts of AVs on land-use changes and location choices, particularly in relation to the space available for vehicles, both moving (i.e. roadspace) and stationary (i.e. parking space). This paper uses a backcasting approach to identify critical policy decisions and measures to be taken before the implementation of AVs, so as to achieve a more desirable, attractive and high-quality city. These policy measures primarily relate to the reuse and reallocation of parking and roadspace. Two strategic decisions are found to be essential to meet the major goals of sustainable and liveable cities: a clear commitment to a shared mobility and the delimitation of Core Attractive Mixed-use Spaces (CAMS). In order to deliver these desired urbanisation patterns, a set of three policy paths, involving eight policy packages, is proposed for the next 20–30 years. This article provides urban and regional decision-makers with examples of interventions that can be implemented beyond and during the implementation of AVs.     

经济政策不确定性与企业员工配置——来自沪深上市公司的经验证据

企业员工配置是企业内部管理的重要一环,经济政策不确定性是否会影响企业员工配置?本文以员工数量衡量企业员工配置,利用2010-2018年沪深A股上市企业数据和经济政策不确定性指数建立面板数据模型,考察经济政策不确定性对企业员工配置的影响,实证研究发现:经济政策不确定性会显著增加企业员工配置,且该影响经更换变量、调整样本容量以及内生性处理后依旧显著,该反应在还债能力较弱、盈利能力较差、股权制衡度较高、地区经济发展水平较低的企业中更为明显。文章的研究结论对于企业管理和宏观经济管控有一定的参考价值。     

领导干部自然资源资产离任审计与企业绿色并购——来自中国重污染型上市公司的经验证据

基于2011~2017年我国A股重污染型上市公司经验数据，实证检验了领导干部自然资源资产离任审计对企业绿色并购行为的影响，研究发现：领导干部自然资源资产离任审计可显著促进辖区内企业实施绿色并购；而当地区市场竞争程度越高时，越会抑制企业在领导干部自然资源资产离任审计试点实施背景下的绿色并购扩张行为；进一步地，企业绿色并购会显著提高企业价值，且这一影响对并购后当年的企业价值影响最为显著；基于异质性分析方面，领导干部自然资源资产离任审计会约束不同产权性质企业的环境治理行为，促进其采取绿色并购，实施绿色发展；同时领导干部自然资源资产离任审计会更有利于东部地区企业实施绿色并购，而对中西部地区的企业影响不明显。     

非互惠的零关税待遇是否促进了受惠国的出口多样化——基于中美对非洲贸易政策的比较研究

非互惠的优惠贸易待遇是世界贸易组织和国际社会支持发展中国家尤其是最不发达国家发展的重要工具。为了评估该政策的效果,本文以中美对非洲实施的零关税待遇为例,采用2001—2017年HS8位贸易数据从整体、行业和区域层面评估了两种政策对受惠国出口多样化产生的影响。结果显示,美国零关税待遇分为AGOA-GSP和AGOA-服装两个条款,中国零关税待遇(FOCAC)在遵循WTO规则、受惠商品范围、受惠国家标准、原产地标准及政策有效期方面均优于AGOA-GSP,但在原产地标准灵活度和政策优惠力度方面低于AGOA-服装。这些特征导致三类政策对受惠国出口多样化的影响产生显著的差异。整体上,FOCAC和AGOA-服装对受惠国出口多样化均产生了显著的积极影响,而AGOA-GSP的影响不显著;行业层面,FOCAC对受惠国制造业、矿业和农业的出口多样化均产生了显著的促进作用,而AGOA的两个条款对受惠国三个细分行业出口多样化的影响均不显著;区域层面,三类政策对受惠国出口多样化的影响仅在部分区域发挥效果。     

现代资产定价理论的研究和发展——基于有效市场假说和资产定价模型的视角

围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、“贝塔通缉令”“因子动物园”“多因素模型大战”等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议。     

Is it still economic to build a new coal-fired power plant in the U.S.? A real option analysis

In the U.S., virtually no new coal-fired power plants have been built in recent years. Both industry experts and academics seem to believe that no rational firm will build a new coal-fired plant. Will such a trend continue in the future? To provide insights into this question, we investigate the optimal decision of an electricity company with an irreversible and deferrable opportunity to build either a new coal-fired or natural gas-fired power plant as its new base-load resource. According to our real option analysis, the optimal decision depends on the location. In the case of the eastern U.S., it is optimal to choose a natural gas plant if a firm is given a choice among a new natural gas plant, a new coal plant and deferring the investment. However, contrary to the common sentiment in the industry and academia, building a new coal plant in the western U.S. is still more economical than building a new natural gas plant in the absence of emission pricing. Furthermore, introducing carbon pricing to western U.S. states, as California did, can substantially increase the probability that a firm will optimally choose a natural gas plant over a coal plant.     

Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach

This study examines the presence of long-run dependence in a variety of crude and refined energy spot markets during the 1986–2018 period using the time-varying generalised Hurst exponent. Our results indicate that the weak-form efficiency in energy spot markets is clearly time-varying, with USGC(U.S. Gulf Coast Conventional Gasoline) Diesel Fuel the most efficient and Propane the least. An important finding is that after the subprime crisis, the persistence of energy spot market products has increased. Overall, our finding highlights that the time-varying model is preferable to the time-constant one since the former can capture time-varying efficiency, which heavily depends on a country’s predominant economic and political conditions.     

Tax evasion by tax deferment: Sham litigation with an informal credit market

We show theoretically how tax evasion is facilitated by informal credit market through tax deferment. Our model is empirically based. Using sham litigation, tax evaders earn a higher rate of return than the stipulated penalty rate for tax evasion while the government loses tax revenue. We propose an upfront part–payment of the disputed amount of tax as a solution to the form of tax evasion we describe.