上市公司定向增发中存在内幕交易的实证检验

本文采用事件研究法,以我国股票市场2007年1月1日~2010年5月31日的期间已完成且可确定定价基准日的176次定向增发为样本,进行了日平均超常收益率、累积平均超常收益率、公告效应和内幕交易效应的分析,结果表明我国股票市场定向增发过程中存在非常严重的内幕交易。     

我国权证对正股波动性影响的实证研究

选取我国市场的6只权证为研究对象,并以其日收益率和日均方差为指标,考察了我国资本市场中权证对正股波动性的影响。结论是:权证的上市对正股日收益率的影响并不显著,但对正股日收益率的波动性有显著影响,其中认购权证比认沽权证的影响更大。     

权证市场和基础市场关系研究——基于二元GARCH模型的实证分析

本文首先通过建立ARIMA(p,0,q)模型将交易量变动率分成预期的和非预期的两个变量,然后列入到二元GARCH(1,1)模型的条件均值方程中,来研究股票市场和权证市场之间的信息不对称关系。同时通过使用BEEK模型的设定形式作为GARCH模型的条件方差方程,来研究股票市场和权证市场之间的交易量波动溢出关系。通过实证研究,结果表明我国的股票市场和权证市场之间确实存在显著的信息不对称效应和双向的交易量波动溢出效应,且这种波动溢出现象也具有一定的"不对称性"。     

中国股票市场三因素模型的实证分析

本文以1995年7月-2010年6月沪深两市所有A股上市公司为样本,对我国市场是否存在规模效应,账面市值比效应(BE/ME)及Fama和French三因素模型是否能解释股票收益率的变动进行了实证分析。实证研究的结果证实(:1)我国股市存在着显著的规模效应和账面对市值比效应,(2)Fama和French三因素模型能够很好地解释我国股票收益率的横截面变动情况。     

成交量能解释收益率的GARCH效应吗:中国市场的实证

GARCH模型所刻画的收益率波动集聚特性的理论解释归因于交易信息流量的自相关结构。本文把成交量及其滞后项作为交易信息流量的替代指标，将其引入条件方差的动态模型，试图检验成交量对收益率GARCH效应的解释作用，中国市场指数的实证发现务件波动与同期交易量呈显著正相关，表明交易量及其滞后项中附含有额外的关于股票收益率方差的信息，但收益波动持续性依然很强，意味着交易量可能并不能作为交易信息流量的完全替代，亦可能是波动持续背后可能还有其他未知的解释因素。     

基于GARCH类模型的权证时变VaR值估计

由于权证收益率分布具有尖峰厚尾和非对称性的特征，其市场风险的估算运用GARCH类模型比较合适。本文选取包钢JTB1的日收盘价格序列为样本，分别用EGARCH、TGARCH模型估计样本期间内日VaR值，并进行了比较。结果表明，EGARCH模型较好地预测了损失结果，而TGARCH模型则低估了风险。因此，基于EGARCH模型对VaR值的计算能更好地反映权证收益率的波动特征和准确预计损失，可以为权证的风险管理提供较为可靠的风险度量工具。     

沪深股市月份效应和月初效应的实证研究

文章利用上证综合指数和深圳成分指数的数据，采用基本统计分析、参数方法和非参数方法（Kol—mogorov—Smimov检验、Kruskal-Wallis检验、Mann—Whitney检验）对沪深股市的月份效应和月初效应进行了实证分析。结果表明，沪深股票市场均不存在收益率的月份效应，而存在显著的月初效应，在样本期内，两市从前一交易月的最后一个交易日到本交易月的第六个交易日期问的日平均收益率显著为正，并且远远高于剩余交易日的日平均收益率。     

我国创业板上市公司股利公告效应实证研究

本文以截至2011年12月31日的我国创业板上市公司为对象,分析了我国创业板上市公司的股利公告效应。结果表明,就创业板整体而言,在股利公告日前后数日内存在明显的公告效应,且日平均超额收益率在股利公告日之前便出现了上升。在事件窗口期内,混合股利公告产生的超额收益比现金股利显著,且前者在整体研究区间内的波动明显大于后者。市场在股利公告日当天对于是否为高送转题材的关注要远大于股利发放的方式。在股利公告日前后数日的期间内,高分红、高送转的混合股利公告的累计超额收益率最高。而从较长期间看,无论是否为高分红、高送转题材,现金股利带来的平均超额收益要大于混合股利。     

交易量适合作为股价波动信息的代理变量吗?——来自中国沪深股市的证据

本文利用中国沪深股市日交易数据,采用多元GARCH模型从信息传递的角度进行实证研究,结果表明:股价对交易量具有显著的波动溢出效应,但交易量对股价的波动溢出效应不明显。这种波动的单向溢出说明在应对信息的冲击上股价比交易量能更快地做出反应,其后才通过波动溢出在交易量上得到反映,股价波动对成交量波动具有先导作用。因此,从波动冲击传导和信息传递的角度看,单纯地将交易量视为股价变动信息的代理变量还缺乏稳健的统计证据。     

GARCH族模型在中国股市中的应用——上证综合指数波动性研究

以1997年1月1日至2009年5月6日的上证综合指数的日度收盘数据为样本,运用带学生-t分布的GARCH族模型对其进行实证分析,检验了在这一段时间内我国股票市场的波动情况以及波动的杠杆效应,分析结果表明了上证指数对数收益率服从非正态分布,具有尖峰厚尾和明显的ARCH效应,并且股票的收益率具有明显的风险溢价和杠杆效应。     

Day trading and stock price volatility

When an investor buys and sells the same stock on the same day, he is said to have made a day trade. Using the trading records of Finnish traders, this paper examines whether day trading is related to volatility of stock prices. I find a strong positive time-series relation between the number of day trades by individual investors and intraday volatility among heavily day traded stocks. This effect is robust after controlling for a previously documented volume–volatility relation. The result suggests that the joint hypothesis of price pressure and volatility induced day trading dominates the liquidity effects of day trading.     

Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data

This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.     

上市公司配股违规行为事后监管的市场反应

本文以1998-2004年进行配股并且在配股后三年内受到证监部门处罚的上市公司为样本,对上市公司配股违规行为事后监管的市场反应进行了研究,结果发现：配股当年以及配股三年内均存在违规行为的上市公司受罚时有显著的负效应,违规后两年以上被发现的上市公司受罚时有显著的负效应,其他的违规行为受罚时并没有表现出明显的市场反应。由此可见,证监部门对违规配股上市公司的事后监管并没有起到实质的作用,即使有作用其效果也甚微。     

Looking Attractive until You Sell: Earnings Management,Lockup Expiration,and Venture Capitalists

Earnings management occurs when managerial discretion allows managers to influence reported earnings and thus mislead some investors about the underlying economic performance and quality of the firm. This study considers how potential investors may guard against earnings management by observing negative stock price reaction at the lockup expiration period of initial public offering (IPO) firms as a negative signal. Findings from a sample of 160 newly public firms show that earnings management behaviour is stronger in IPO firms backed by venture capitalists (VCs). Moreover, VC reputation negatively moderates this relationship such that IPO firms backed by reputable VCs are less likely to manage earnings, suggesting that reputable VCs serve an auditing function following an IPO. Overall, we provide insights into signalling theory by examining negative signals arising from the behaviour of multiple agents in an IPO firm.     

基于分数布朗运动和跳过程的股本权证定价模型

考虑到金融市场中资产价格具有的记忆性和长期相关性,模型假设股本权证标的资产价格服从分数布朗运动过程;并考虑到市场存在不确定因素而引起的价格巨大的波动,在模型中又引入了一个跳过程。首先得出权证定价的一般公式,最后在考虑股本权证行权后产生的稀释效应,得出稀释调整后的股本权证定价公式,并将其延伸到支付红利情况下。     

Comparative empirical study of binomial call-option pricing methods using S&P 500 index data

In this paper, several binomial models are tested empirically on S&P500 Index on the levels of tradability, proximity to market (RMS) prices and profitability, especially close to expiration day. These comparisons will be carried out for many different business environments, including different market trends and moneyness levels traded. Among the models under analysis we assess the quality of the SH model, developed by the authors in previous work, in relation to other models. The option price in the SH model is affected by the players’ assessments about the behavior of the prices of the underlying asset up to the expiration day and by their “eagerness” levels (i.e., players’ readiness to respond to a given bid proposed by their opponent). We found that for all models, the higher the moneyness, the greater the proximity of models prices to actual market prices and that, eagerness parameters have a decisive effect on tradability. We also found that there was no correlation between the degree of proximity of modeled prices to actual prices and the expected profit gained by players that act according to a given model and that the SH model traded relatively small number of options. The expected profit is highest for the SH model in the ITM and ATM for days that are far from the expiration day.     

The effect of patent expiration on the market position of drugs

A sample of 12 major drugs is used to examine the effect of patent expiration on market shares and prices in the US market. The results indicate that patent expiration has, at least for the first few years, only a small effect on the market shares and prices of the original drags. Efforts to increase price competion in drug markets, however, may change this situation in the future. The declining effective patent period for drugs and the declining profitability of drug innovation raise the concern that efforts to foster price competition might result in lower levels of innovation.     

金融发展影响城乡收入差距的三大效应分析及其检验

金融发展影响城乡收入差距主要通过三条途径，即金融发展的门槛效应、金融发展的降低贫困效应、金融发展的非均衡效应。本文利用中国和省级1978-2004年的相关数据进行实证检验，结果显示实证与理论假说相符。最后，提出了相关政策建议。     

Impact of liquidity and information on the mispricing of newly public firms

We test whether the mispricing of newly public firms is affected by liquidity and information during the quiet period, from the end of the quiet period until the lock-up expiration date, and post lock-up. Liquidity is affected by the underwriter’s stabilization efforts during the quiet period and the founder’s ability to sell shares in the post-lockup period. Based on a sample of winner and loser events for more than 2,600 newly public firms during 1992–2001, the degree of under-or overreaction is conditioned on the period within the aftermarket following the IPO. We attribute the results to different liquidity and information effects among the three periods.