碳减排约束下中国工业企业信用评级

在碳达峰、碳中和目标愿景下,工业企业碳减排约束逐步趋强,有必要将碳要素相关风险纳入信用评级,合理区分不同企业信用风险水平。本文基于金融稳定视角提出一套碳减排约束下工业企业信用评级方法,即在评估企业碳减排绩效的同时,兼顾企业资金偿付能力,实现生态和经济效益平衡。研究表明:一是评级过程不仅关注企业自身信用风险水平的纵向比较,同时考虑企业间、企业与银行系统间信用风险传染效应以防控系统性金融风险;二是基于系统重要性工业企业的信用等级将全体工业企业划分至四类等级区间,进而将九分类等级划分问题转化为二分类问题,规避等级划分的“组合爆炸”困扰;三是基于“小范围遍历+序列前向选择算法”搜索不同等级间最优临界样本,既避免评级虚高给商业银行带来信贷损失,也不会因评级过低阻碍企业绿色低碳转型。 本文可为商业银行有效预警低碳转型风险、制定绿色信贷决策提供一定参考。     

交易限制与股票市场定价效率——基于创业板涨跌幅限制放宽的准自然实验研究

本文基于2020年8月24日创业板涨跌幅限制由10%扩大到20%这一政策变化建立准自然实验,从市场层面与公司事件层面探讨交易限制放宽的外生冲击下市场定价效率的变化。研究发现,涨跌幅限制放宽政策实施后,股票价格能更灵敏地反映公开市场信息,更多地包含公司层面特质信息,整体市场定价效率显著提升。进一步研究表明,涨跌幅限制放宽有效缓解了交易干扰问题,避免了过度交易行为延后,缓解了波动性外溢与价格发现延迟。异质性分析表明,无论是市场层面定价效率改善,还是事件层面波动性外溢、价格发现推迟与交易干扰问题的缓解,均在低信息透明度公司中更为显著。本文研究发现为验证涨跌幅限制会抑制股票市场定价效率的理论提供了直接经验证据,同时为推广完善市场化交易制度提供了有益启示。     

高管交易行为、信息不对称与公司治理

基于沪深股市高管交易行为信息披露,在对高管卖出行为短期市场效应研究基础上,进一步研究高管买入、卖出行为的短期和长期市场效应及其产生根源.结果发现,无论从短期还是长期来看,高管买入行为有显著为正的市场效应,而卖出具有显著为负的市场效应,并且交易量越大、日内交易次数越多,市场效应越强烈.进一步结合公司治理理论发现,终极控股股东控制权与现金流权分离导致更强的买入市场效应,而法制环境抑制了买入市场效应.     

A real options study on cook stove CDM project under emission allowance price uncertainty

South Korea is one of the countries that have been actively involved in reducing greenhouse gas emissions and global climate action as a party to the Paris Agreement. As the national emissions reduction target has been getting reinforced, an increasing number of South Korean firms have been participating into the Clean Development Mechanism (CDM) projects to secure CER credits, one of which is the ‘improved energy-efficient cook-stove distribution project’ in developing countries. The purpose of this paper is to develop a real options model to analyze investment decisions on cook-stove distribution CDM project in Myanmar, where we estimate the optimal threshold CER price that makes the investment economically feasible. We also analyze the sensitivity of the threshold price across the investment parameters. The results show that our project was economically feasible at the time the project was launched, as the KOC prices were generally higher than the investment threshold price. The sharp decline of the KOC prices in 2020, however, deteriorated the economic feasibility of the project. The results suggest that various risk factors should be incorporated before making investment decisions.     

Return–volume nexus in financial markets: A survey of research

This paper provides a systematic review of the return–volume literature, broadly defined to include theoretical and empirical research relating to the intramarket and cross-market interlinkages between security return and trading volume characteristics in four financial markets, namely, the stock, bond, foreign exchange, and futures markets. Viewed through this lens, this paper attempts to review previous empirical research within a unified theoretical framework that relates the interlinkages between return and volume characteristics in various financial markets. Overall, this paper marks several interesting areas of debate and controversy based on several controversial theories and empirical findings in the literature, suggesting directions for future research.     

碳达峰目标下国家生态文明试验区碳强度预测及减排潜力研究

基于ARIMA-BP神经网络模型并在碳达峰目标下预测国家生态文明试验区的碳强度；同时，运用非径向方向距离函数、共同前沿理论及共同前沿非径向曼奎斯特二氧化碳排放效率指数(MNMCPI)对减排潜力进行深入探讨。研究发现：(1)由ARIMA-BP神经网络模型所得碳强度预测序列均方误差(MSE)为0.005，平均绝对百分比误差(MAPE)为1.95%，显示了较高的精度；国家生态文明试验区碳强度2028年相较于2005年下降67.5%，提前实现国家2030年碳强度比2005年下降65%以上的目标，其中：贵州碳强度下降幅度最大，2030年相较2005年下降77.5%，福建、江西、海南下降幅度均在65%以上。(2)国家生态文明试验区减排潜力呈波动下滑趋势，2016—2030年均减排空间达26.59%，约21649.33万吨CO₂。到2030减排潜力达21.9%，为2016—2030年最低值，由于减排潜力与碳排放效率负相关，碳排放效率越高则减排潜力越小，这意味着国家生态文明试验区碳排放效率得到优化。(3)通过探究CO₂排放效率变化，间接分析区域内减排潜力变化...