On information release and the January effect: Accounting-information hypothesis

Since most firms select December fiscal year-ends, theJanuary effect is a fiscal year-end accounting effect, according to the accounting-information hypothesis. This hypothesis attributes the unusually large stock returns in January to higher risk, caused by uncertainty about the impending announcement of firm performance. The empirical evidence does not support the hypothesis. Small firms with non-December fiscal year-ends fail to display a fiscal year-end effect. Yet all small firms, regardless of their fiscal year-end month, exhibit large January returns.     

Refining the bootstrap method of stochastic dominance analysis: The case of the January effect

This study investigates the effect of sample size and population distribution on the bootstrap estimated sampling distributions for stochastic dominance (SD) test statistics. Bootstrap critical values for Whitmore's (1978) second- and third-degree stochastic dominance test statistics are found to vary with both data sample size and variance of the population distribution. The results indicate the parametric nature of the statistics and suggest that the bootstrap method should be used to estimate a sampling distribution each time a new data sample is drawn. As an application of the bootstrap method, the January small firm effect is examined. The results conflict with the SD results of others, and indicate that not all investors would prefer to hold just a portfolio of small capitalization firms in January.     

Retail investors exonerated: the case of the January effect

We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax‐loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.     

Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market

We analyze the relationship of high inflation and interest rates with stock returns in Brazil from May 1986 to May 2011, during which Brazil experienced subperiods of both high inflation (May 1986-June 1994) and relative monetary stability (July 1994-May 2011). The result in the total period is dominated by high inflation volatility, and the findings suggest a bidirectional relationship between stock returns and inflation. During the high-inflation subperiod, interest rates are relevant to explain future changes in inflation and stock returns. Under low inflation, movements in interest rates are better anticipated by equity investors, suggesting higher market efficiency than in high-inflation circumstances.     

2012年1月国际金融市场运行综述

2012年1月,美元指数先升后降,总体走低;美元、欧元短期利率下降;主要国家中长期国债收益率走低;全球主要股指振荡走高。     

2010年1月国际金融市场运行综述

2010年1月,受投资者避险情绪升温影响,美元对主要货币总体走强,具体来看,美元对欧元、英镑走强,对日元走弱。因各主要经济体中央银行继续保持宽松的货币政策,美元、欧元、日元短期利率微降,而英镑短期利率因意外强劲的通胀数据而出现微升。主要国家中长期国债收益率总体下降;全球主要股指冲高后大幅回落。     

2011年1月国际金融市场运行综述

2011年1月,美元指数总体下跌,美元对欧元、英镑走弱,对日元走强;主要货币短期利率上升;主要国家中长期国债收益率上升;全球主要股指振荡上涨。     

2014年1月国际金融市场运行综述

2014年1月,美元指数宽幅振荡,总体上涨;主要货币短期Libor基本持平;主要国家中长期国债收益率大幅下降;主要股指大幅下跌。     

The pricing of firms with expected losses/profits: The role of January

We examine the role of January in the relation between expected losses/profits and future stock returns. We predict and find that the relation between expected losses/profits and future returns reverses from the usual positive relation in non‐January months to a negative one in January. The reverse January relation is consistent across sample years, is observed in the United States and international markets, and is incremental to other variables associated with January returns. At least part of the reverse January relation is explained by tax‐loss selling. Further analysis shows that the reverse January relation results in a temporary price drift away from fundamental value. In other words, we find that abnormal positive (negative) future returns do not always indicate past under(over)valuation. Overall, our results illustrate the importance of controlling for the effect of January when examining how investors price expected losses/profits.     

利率掉期交易在我国现阶段的作用探讨

何为利率掉期？在目前我国的商业银行中，利率掉期的开展将会起到怎么样的积极作用？又将会面临怎么样的问题呢？本文将试图从这些方面做一定的阐述和探讨。     

Voluntary disclosure of accruals in earnings press releases and the pricing of accruals

This study investigates firms’ decisions to disclose accruals information in earnings press releases versus to provide it only in 10-Q filings and the impact of this disclosure on the pricing of accruals. I find that firms disclose accruals in their press releases when earnings alone are a weak indication of cash flow performance and that following these disclosures the accruals information is fully impounded into stock prices. The evidence suggests that when investor demand for accruals is likely to exist and firms disclose the information in earnings press releases, the mispricing typically associated with accruals is mitigated.

Global Banks and Synthetic Funding: The Benefits of Foreign Relatives

This paper examines the effect of dislocations in foreign currency (FX) swap markets (“CIP deviations”) on bank lending. Using data from UK banks we show that when the cost of obtaining swap-based funds in a particular foreign currency increases, banks reduce the supply of cross-border credit in that currency. This effect is increasing in the degree of banks' reliance on swap-based FX funding. Access to foreign relatives matters as banks employ internal capital markets to shield their cross-border FX lending supply from the described channel. Partial substitution occurs from banks outside the UK not affected by changes in synthetic funding costs.     

Decomposing the VIX: Implications for the predictability of stock returns

The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market return distribution under the risk-neutral measure. This paper formulates the VIX as a linear decomposition of four fundamentally different elements: the realized variance (RV), the variance risk premium (VRP), the realized tail (RT), and the tail risk premium (TRP), respectively. Using an innovative and nonparametric tail risk measure, we find that approximately one-third of the VIX's formation is attributed to the TRP. In addition to VRP, RT and TRP are crucial components for predicting future returns on equity portfolios.     

中国利率市场化改革前景分析:理论依据与经验借鉴

利率市场化是建设社会主义市场经济体制、发挥市场配置资源作用的重要内容,是加强我国金融间接调控的关键,是完善金融机构自主经营机制、提高竞争力的必要条件。因此,稳步推进利率市场化已成为我国下一步深化金融改革的重要任务之一。通过积极寻求有关利率市场化的理论依据并科学借鉴已实施利率市场化国家和地区的经验,对于提出我国利率市场化的具体实施思路以及客观分析当前所需外部条件具有十分重要的意义。在当前利率市场化的思路和方案已经基本明晰的前提下,当务之急是积极创造条件以推进利率市场化改革的进程,防范和化解利率市场化进程中蕴藏的各种风险。     

Soft commodities and the global financial crisis: Implications for the economy,resources and institutions

Over the past decade, soft commodities have been subjected to increasing speculative price fluctuations. Following the 2008 financial crisis, most studies have highlighted causal relationships between price volatility, derivative and future markets for underlying financial assets as well as agricultural and mineral commodities. This article investigates the multifaceted effects of unrestrained financialization of the resources and goods markets and its implications for agricultural markets and soft commodities for purposes other than direct human consumption. We place a particular emphasis on the process of commodification of food and non-food crops and their use as green source of liquid fuels (i.e. soy, sugar cane, palm oil, jatropha, and canola). It is argued that speculation in financial markets has led to spillover effects across commodity and resource markets. More importantly, speculation and price volatility in the commodity markets has had a direct bearing on the resource markets and organization and appropriation of common-pool resources. The article sheds further light on the causal relationship between derivative markets, hedging techniques, financial yields and price volatility and spillover effects in the market for food and soft commodities.     

操作目标利率的选择与传导 ——基于MLF利率与隔夜利率的实证检验

依据2014-2018年月度数据,运用VAR模型考量MLF利率与隔夜利率对贷款加权利率、商业银行行为以及金融市场利率与金融市场波动的影响.结果表明:MLF利率对贷款加权利率和商业银行行为的影响较大,隔夜利率对金融市场利率和金融市场波动的影响较大.鉴此,应利用MLF利率调节贷款加权利率与商业银行行为,利用隔夜利率调节金融市场利率与金融市场波动,当两种利率的调节效果收敛接近时,再最终确定唯一的操作目标利率.     

Interest Rate Pass-Through in China: An Analysis of Chinese Commercial Banks

This study investigates the interest rate transmission in China. We analyze the extent to which the benchmark and wholesale interest rates are transmitted to the retail interest rates and focus particularly on the change in the interest rate pass-through after the interest rate liberalization. Using data of 16 listed banks from 2007Q1 to 2017Q3, we find that the pass-through is not yet complete. Even though interest rates have been liberalized on the policy level, the sensitivity of the retail interest rates to the wholesale rates has not increased enough as expected and may be explained by the market power of Chinese commercial banks.     

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

This paper analyses the robustness of the standardised framework proposed by the Basel Committee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalise this framework and study the change in the estimated level of interest rate risk if the strict assumptions of the standardised framework are violated. Using data on the German universal banking system, we find that estimates of the interest rate risk are very sensitive to the framework's assumptions. We conclude that the results obtained using the standardised framework in its current specification should be treated with caution when used for supervisory and risk management purposes.     

进一步确立Shibor的基准性地位

该文为中国人民银行副行长易纲在2008年Shibor工作会议上的讲话。Shibor自运行一年多来取得了有目共睹的成绩和进展。文章从利率定价、产品创新、商业银行内部转移定价、人民币国际化等多个层面阐述了确立Shibor在利率体系的基准地位对我国金融市场改革带来的巨大意义和重要作用,号召各方市场参与主体共同努力,进一步推进Shibor的基准性地位。     

Variance ratio tests of the random walk hypothesis for European emerging stock markets

The hypothesis that stock market price indices follow a random walk is tested for five European emerging markets, Greece, Hungary, Poland, Portugal and Turkey, using the multiple variance ratio test. In four of the markets, the random walk hypothesis is rejected because of autocorrelation in returns. For the Istanbul market, which had markedly higher turnover than the other markets in the 1990s, the stock price index follows a random walk. This contrasts with the results of earlier research, carried out for periods of lower turnover, which rejected the random walk hypothesis.