中国家庭股市资产价值变动对居民消费的影响——来自CHFS的微观证据

近年来针对股市资产价值变动与消费关系的研究多采用宏观数据，难以揭示股市资产价值变动对居民消费影响的细节。为克服以上缺陷，文章利用中国家庭金融调查（CHFS）数据分析股市资产价值变动对中国居民消费的影响。实证结果表明：（1）股市资产价值变动对居民消费的影响总体较弱，其中市值变动的财富效应主要体现在改善性消费上，而对饮食等日常必须消费和奢侈品消费影响较小，这可能与我国居民的收入结构和投资方式有关；（2）随着年龄增长，居民的收入分布和资产配置倾向发生改变，股市资产价值变动对不同年龄居民消费的影响呈现先减小后增大的U型分布。研究结论揭示了股市资产价值变动对居民消费影响的分布特征，为今后股市改革方向提供了建议。     

Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach

In order to challenge the existing literature that points to the detachment of Bitcoin from the global financial system, we use daily data from August 17, 2011–February 14, 2020 and apply a risk spillover approach based on expectiles. Results show reasonable evidence to imply the existence of downside risk spillover between Bitcoin and four assets (equities, bonds, currencies, and commodities), which seems to be time dependent. Our main findings have implications for participants in both the Bitcoin and traditional financial markets for the sake of asset allocation, and risk management. For policy makers, the findings suggest that Bitcoin should be monitored carefully for the sake of financial stability.     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

Unbiased estimation of expected return using CAPM

Estimation of expected return is required for many financial decisions. For example, an estimate for cost of capital is required for capital budgeting and cost of equity estimates are needed for performance evaluation based on measures such as EVA. Estimates for expected return are often based on the Capital Asset Pricing Model (CAPM), which states that expected excess return (expected return minus the risk-free rate) is equal to the asset's sensitivity to the world market portfolio (β) times the risk premium on the “world market portfolio” (the market risk premium). Since the world market portfolio, by definition, contains all assets in the world, it is not observable. As a result, an estimate for expected return is commonly obtained by taking an estimate for β based on some index (as a proxy for the world market portfolio) and an estimate for the market risk premium based on a potentially different index and multiplying them together. In this paper, it is shown that this results in a biased estimate for expected return. This is undesirable since biased estimates lead to misallocation of funds and biased performance measures. It is also shown in this paper that the straightforward procedure suggested by Fama and MacBeth [J. Financ. Econ. 1 (1974) 43] results in an unbiased estimate for expected return. Further from the analysis done, it follows that, for an unbiased estimate, it does not matter what proxy is used, as long as it is used correctly an unbiased estimate for expected return results.     

Catching up with the Americans

This paper develops an international version of the consumption-based capital asset pricing (CCAPM), which we refer to as “catching up with the Americans.” Previous CCAPM research develops the concept of “catching up with the Joneses,” where a representative economic agent exhibits higher marginal utility of consumption as a result of higher past per capita consumption in his own country. Catching up with the Americans, on the other hand, is an international habit-preference hypothesis. It extends the idea of catching up with the Joneses by stating that consumers of non-U.S. countries gain higher marginal utility of consumption as a result of higher past American consumption growth. Contrary to much of the CCAPM literature, we test this version of the model using long bond rates rather than equity returns. However, like most of the previous research on the CCAPM, the catching up with the Americans model fails to explain the relationship between consumption and asset returns.     

Past Returns and Investment Trust Discounts

Abstract:   The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing 'skill' from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.     

Stock price reactions to earnings announcements: evidence from Chinese markets

We examine the stock price reactions to changes in earnings per share (EPS) in the Chinese stock markets. We find that domestic A-share investors do not correctly anticipate the changes in earnings and fail to adjust new earnngs information quickly, but international B-share investors can predict earnings changes better than A-share investors. As a result, abnormal returns (ARs) can be obtained by trading on the earnings information, but for A shares only. An explanation is that most A-share holders are individuals with short-term investment horizon while most B-share holders are large institutions that trade on more detailed and accurate financial information not immediately available to A-share holders.     

调配产权收益完善资产负债结构

国资监督机构在深化国资国企过程中应集中调配产权权益,完善资产负债结构,优化资源配置,通过资本运营和良好的市场环境,充分发挥中央和地方政府的职能,在互为尊重的前提下,杜绝侵权行为的发生。     

Are Fundamentals Priced in the Bond Market?*

To date, the discussion of the Lev and Thiagarajan 1993 fundamentals in the prior literature has been exclusively in the context of the stock market. Our study is the first to examine the value‐relevance of these fundamentals for default risk. By focusing on the market for new bond issues, we examine the value‐relevance of the fundamental score using expected rather than realized returns. Also, by focusing on the bond market we provide a different perspective than that brought by prior studies relying solely on stock prices. We find the fundamentals to be priced in the market for new bond issues as indicators of expected future earnings and to be value‐relevant in enabling the market to discern differences in bond credit quality over and above the published bond ratings.