Liquidating large security positions strategically: a pragmatic and empirical approach

This article investigates static liquidation strategies for large security positions in illiquid markets. Under the assumption that the liquidation horizon is given exogenously, a discretionary liquidity trader solves for the optimal sales trajectory so as to maximize an objective function that considers the expected liquidation revenues and their standard deviation. Although existing literature tends to focus on theoretical aspects with the intention of deriving closed-form solutions for special types of market impact functions, this article considers a framework that is able to capture important empirical phenomena in the stock market, such as the intraday U-shaped pattern of price impact and the resiliency of the order book. The new model is very flexible since it allows for liquidation intervals of varying length and foregoes the assumption of constant speed of trading. Examples with real-world order book data demonstrate how the setup can be implemented numerically and provide deeper insight into relevant properties of the model.     

Optimal investment with fixed financing costs

Models with a premium on external finance produce counterfactual predictions about liquidity management. We address this shortcoming by introducing a fixed cost of increasing external finance into an otherwise standard investment/financing problem. This additional financial friction is well-motivated by case studies and our analysis shows that it generates more realistic predictions about liquidity management: firms hold external finance and idle cash simultaneously, and may invest an additional dollar of cash flow in liquidity rather than repaying external funds or investing in productive capital. In addition to better fitting the stylized facts about the time-series and cross-sectional pattern of liquidity holding, these results may help shed light on the fragility of estimates of investment–cash flow sensitivities.     

The liquidity effects of foreign exchange intervention

This paper examines the effectiveness of foreign exchange intervention in a two-country, two-currency, general equilibrium model that allows for liquidity effects. Both sterilized and non-sterilized intervention operations have significant impacts on the allocation of liquidity in international financial markets. Whether intervention is successful in moving the exchange rate in the desirable direction depends upon the degree of sterilization of intervention and the intratemporal elasticity of substitution of the consumption goods. The model shows that there exist circumstances in which the response of exchange rate to intervention is ‘perverse’ as documented in the empirical literature.     

On efficiency of the ratio estimator

Summary The exact mean square error for the ratio estimator of a finite population total based on simple random sampling without replacement is shown to have an expected value less than that of the variance of the ratio estimator based on Midzuno’s scheme, under a usual super-population model.     

各种指数基金模型的实证比较分析

在指数基金管理方面，存在着多种优化的指数投资组合的构建方法和绩效评估方法，本文以实证研究的形式，比较分析了由5种“选股”方法和5种“资金配置”方法所构成的25种投资组合在各种绩效评估方法下的表现。最终得出结论认为，在遗传算法下利用DMinMax模型配置资产权重将具有较好的投资绩效。     

移动支付对中国家庭储蓄率的影响

中国的高储蓄问题由来已久,降低家庭储蓄率、提高消费有助于形成以国内大循环为主体、国内国际双循环相互促进的新发展格局。本文基于2017年和2019年中国家庭金融调查(CHFS)数据,实证研究了移动支付对中国家庭储蓄率的影响。结果表明,移动支付显著降低了家庭储蓄率。进一步研究发现,缓解流动性约束、信贷约束和扩大社会网络是移动支付降低家庭储蓄率的主要途径。此外,移动支付显著降低家庭为应对健康风险、医疗风险、失业风险、收入风险等不确定性而进行的预防性储蓄。地区异质性分析显示,移动支付对家庭储蓄率的影响在西部地区、四五线城市、农村地区更大。家庭特征异质性分析显示,移动支付对家庭储蓄率的影响在农业户口家庭、中低收入家庭、低受教育水平家庭中效果更加突出。本文研究为理解中国高储蓄问题提供了新的视角,可为制定相关政策提供参考依据。     

我国证券投资基金业绩的持续性研究

以上海证券交易所上市的10只同质的基金为样本,分三个阶段对基金业绩的持续性进行了实证分析,结果表明我国证券投资基金的业绩并不具有持续性.     

序列相关的微观结构噪声估计

基于股票有效价格计算的已实现波动率(Realized Variance)可作为股票收益波动率的估计,且在一定条件下,这一估计是无偏的和一致的。然而实际观测到的价格由于受到市场微观结构导致的噪声的干扰,与有效价格并不一致。因此,在高频数据环境下必须考虑如何降低噪声干扰。本文基于Hansen和Lunde给出的在噪声序列存在相关性假设下的一种关于RV的无偏估计,进一步推导出在此情形下估计噪声方差的方法。我们的估计挖掘了不同频率下的股票交易高频数据所反映出的信息,利用传统的在噪声影响下的有偏RV估计与Hansen和Lunde的无偏RV估计之间的差估计噪声。同时,本文也给出了在实践中如何确定这些频率的方法。     

关于解决流动性过剩问题的初步思考

本文从流动性的内涵和外延入手,分析了我国流动性过剩的全球背景和我国流动性过剩的表现及结构性特点,提出了解决流动性过剩,要坚持"市场为主、各方联动、化多为少、化少为多、标本兼治、综合解决"的思路,指出当前重点是解决经常账户顺差过大,流动性过剩的来源问题,以及农村地区资金匮乏,导致资金配置结构性失衡的问题。     

城镇居民金融资产与不动产财富效应的比较分析

城镇居民两种资产的财富效应呈现三个特点:一是住房资产的财富效应大于金融资产的财富效应;二是两种资产的财富效应差别不大;三是两种资产的财富效应较微弱。这表明:第一,住房对消费具有一定的支撑作用;第二,金融资产增值性不强和股市的波动限制财富效应的发挥;第三,较强的流动性约束制约住房资产的财富效应;第四,消费的过度敏感性使资产财富效应微弱。为了通过财富效应来促进消费,必须维持股市和房地产市场稳定的预期,大力发展金融市场,抑制住房价格的过快增长并促进住房市场平稳发展。