Transparency,Liquidity, and Valuation: International Evidence on When Transparency Matters Most

We examine the relation between firm‐level transparency, stock market liquidity, and valuation across countries, focusing on whether the relation varies with a firm's characteristics and economic environment. We document lower transaction costs and greater liquidity (as measured by lower bid‐ask spreads and fewer zero‐return days) for firms with greater transparency (as measured by less evidence of earnings management, better accounting standards, higher quality auditors, more analyst following, and more accurate analyst forecasts). The relation between transparency and liquidity is more pronounced in periods of high volatility, when investor protection, disclosure requirements, and media penetration are poor, and when ownership is more concentrated, suggesting that firm‐level transparency matters more when overall investor uncertainty is greater. Increased liquidity is associated with lower implied cost of capital and with higher valuation as measured by Tobin's Q. Finally, a mediation analysis suggests that liquidity is a significant channel through which transparency affects firm valuation and equity cost of capital.     

企业债市场：任重而道远

与大多数新兴市场一样，在中国资本市场的发展序列上，股票市场被放在了优先的位置。随着股票市场发展到一定阶段，债券市场的重要性日益突出，在完善资本市场结构、拓宽公司融资渠道和提供资产和风险管理工具等方面，债券市场扮演着不可或缺的角色。亚洲金融危机警示人们，债券市场不发达和过度依赖银行的金融体系是脆弱的，一定规模的债券市场对提高一国金融体系的安全性具有重要的意义。     

公司治理机制对公司透明度的影响——来自中国上市公司的经验数据

越来越多的国家把公司透明度作为衡量公司治理效率的标志 ,并为提高企业透明度做出了种种努力。中国同样面临提高公司透明度的问题 ,然而截至目前 ,国内并没有关于企业透明度与公司治理机制之间关系的实证研究。本文以我国上市公司作为研究对象 ,以自愿性信息披露水平作为公司透明度的替代变量 ,分析了公司治理机制对公司透明度的影响。     

Tax and Liquidity Effects in Pricing Government Bonds

Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bonds with long maturities.     

中国企业债券市场上市公司调查报告

2002年，深圳证券交易所综合研究所和基金债券部成立联合课题组，开展了“中国企业债券市场现状调查研究”。调查的目的是为了更客观和真实地反映我国企业债券市场现状及各市场主体对企业债券市场发展中主要热点和难点问题的看法，从而为企业债券市场参与主体各方特别是政府和市场组织的相关决策提供参考依据。本是对中国企业债券市场调查报告中关于潜在发债主体情况的调查成果。从第四期起，本刊将陆续发表其调查成果。     

Corporate Yield Spreads and Bond Liquidity

We find that liquidity is priced in corporate yield spreads. Using a battery of liquidity measures covering over 4,000 corporate bonds and spanning both investment grade and speculative categories, we find that more illiquid bonds earn higher yield spreads, and an improvement in liquidity causes a significant reduction in yield spreads. These results hold after controlling for common bond‐specific, firm‐specific, and macroeconomic variables, and are robust to issuers' fixed effect and potential endogeneity bias. Our findings justify the concern in the default risk literature that neither the level nor the dynamic of yield spreads can be fully explained by default risk determinants.     

Explaining the Rate Spread on Corporate Bonds

The purpose of this article is to explain the spread between rates on corporate and government bonds. We show that expected default accounts for a surprisingly small fraction of the premium in corporate rates over treasuries. While state taxes explain a substantial portion of the difference, the remaining portion of the spread is closely related to the factors that we commonly accept as explaining risk premiums for common stocks. Both our time series and cross-sectional tests support the existence of a risk premium on corporate bonds.     

Institutional Investor Ownership and Corporate Pension Transparency

We examine the association between institutional ownership and defined benefit (DB) pension decisions. We find that institutional ownership is negatively associated with pension underfunding, opportunistic increases in the expected rate of return assumption in the presence of underfunding, and significant ownership of the firm's own stock in the DB plan portfolio. Furthermore, these relations are stronger when institutional ownership is concentrated, when institutions are nontransient investors, or when institutions are relatively large. These results suggest that institutional investors are monitoring firm pension decisions, particularly those institutions with stronger monitoring incentives or resources.     

Corporate Bond Market Transaction Costs and Transparency

Using a complete record of U.S. over‐the‐counter (OTC) secondary trades in corporate bonds, we estimate average transaction costs as a function of trade size for each bond that traded more than nine times between January 2003 and January 2005. We find that transaction costs decrease significantly with trade size. Highly rated bonds, recently issued bonds, and bonds close to maturity have lower transaction costs than do other bonds. Costs are lower for bonds with transparent trade prices, and they drop when the TRACE system starts to publicly disseminate their prices. The results suggest that public traders benefit significantly from price transparency.     

透明度对银行间债券市场流动性变化趋势的影响

为检验透明度制度变化对我国银行间债券市场流动性变化趋势是否有影响,本文将突变理论引入债券市场研究,并对我国银行间债券市场的综合流动性、国债流动性、政策性金融债券和短期融资券流动性进行突变检验。结果表明,我国银行间债券市场流动性数据的生成过程没有出现结构突变,整体上观察,我国银行间债券市场流动性呈平稳上升趋势。我们又使用非参数检验方法检验了透明度变化对流动性的影响,结果表明,透明度对流动性的影响因债券而各异,对整个银行间债券市场的流动性也因各种债券受到透明度的影响强度不同而不同。     

Information Transparency and Coordination Failure: Theory and Experiment

We examine the effect of higher order beliefs on the ability of decentralized decision makers to coordinate and take advantage of improvements in information transparency that can increase welfare. Theories that address this question have not been empirically explored. We study coordination in a laboratory experiment with privately informed decision makers. Economic outcomes in the setting depend both on agents' rational beliefs regarding economic fundamentals and on their rational beliefs regarding the beliefs of other agents. Increasing information transparency mitigates uncertainty about economic fundamentals but may increase strategic uncertainty, precipitating multiple equilibria and less efficient group outcomes. We provide evidence that sometimes the equilibrium attained by creditors is inferior from a welfare perspective to other available equilibria. Risk dominance appears to determine equilibrium selection in our setting.     

Short Selling and Earnings Management: A Controlled Experiment

During 2005 to 2007, the SEC ordered a pilot program in which one‐third of the Russell 3000 index were arbitrarily chosen as pilot stocks and exempted from short‐sale price tests. Pilot firms’ discretionary accruals and likelihood of marginally beating earnings targets decrease during this period, and revert to pre‐experiment levels when the program ends. After the program starts, pilot firms are more likely to be caught for fraud initiated before the program, and their stock returns better incorporate earnings information. These results indicate that short selling, or its prospect, curbs earnings management, helps detect fraud, and improves price efficiency.     

Capital Commitment and Illiquidity in Corporate Bonds

We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank‐affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indicates that liquidity provision in the corporate bond markets is evolving away from the commitment of bank‐affiliated dealer capital to absorb customer imbalances, and that postcrisis banking regulations likely contribute.     

我国企业债券品种创新研究

金融危机的爆发显示了滥用金融创新所带来的恶果,但这并不意味着应该对金融创新望而却步.目前我国资本市场发展初级阶段的特征表现为创新不足,多层次资本市场的建立需要以企业债券市场为首的更多金融创新支持.本文针对我国企业债券市场的发展现状和特点,提出了针对金融危机各类风险的企业债券品种创新意见.     

The Effect of Market Transparency: Volatility and Liquidity in the Korean Stock Market

Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the market transparency makes the price discovery process more efficient than before from the viewpoint of stock market volatility, and increases the stock market liquidity compared with before.     

Exit Options in Corporate Finance: Liquidity versus Incentives

This paper provides a first study of the optimal design of active monitors'exit options in a problem involving a demand for liquidity and costly monitoring of the issuer. Optimal incentives to monitor the issuer may involve restricting the monitor's right to sell her claims on the firm's cash-flow early. But the monitor will then require a liquidity premium for holding such an illiquid claim. In general, therefore, there will be a trade off between incentives and liquidity. The paper highlights a fundamental complementarity between speculative monitoring in financial markets (which increases the informativeness of prices) and active monitoring inside the firm: in financial markets where price discovery is better and securities prices reflect the fundamentals of the issuer better, the incentive cost of greater liquidity may be smaller and active monitoring incentives may be preserved. The paper spells out the conditions under which more or less liquidity is warranted and applies the analysis to shed light on common exit provisions in venture capital financing.     

Inflation Uncertainty, Real-Interest-Rate Uncertainty, and the Liquidity Premium on Government Bonds

This paper shows that the components of uncertainty about nominal interest rates, real-rate uncertainty and inflation uncertainty, have different effects on the liquidity premium. An increase in inflation uncertainty should increase the equilibrium liquidity premium because investors reduce the effect of inflation uncertainty on the riskiness of their portfolios by holding more short-term bonds. In contrast, an investor can reduce the effects of uncertainty about future ex-ante real rates on portfolio return by matching more closely the maturity dates of the bonds held with the date on which the portfolio is to be liquidated for consumption purposes. Thus, the effect of an increase in real-rate uncertainty on the equilibrium liquidity premium is ambiguous, depending on the relative magnitudes of long-term and short-term saving and the proportions of short-term and long-term bonds issued by the government.     

企业关联、信息透明度与股价特征

由于声誉和私下沟通机制的存在,关系型交易降低了交易双方对高质量公开信息的需求,并且关系型资产的专用性,也提高了外界通过市场信息对交易行为进行类比解读的成本。因此,依赖关系进行交易的上市公司的股价中包含的公司特有信息将减少,体现为更高的股价同步性和较高的大涨或大跌风险。通过对我国2004年至2007年间首发上市的151家民营企业上市后三年股价特征的考察,本文提供了支持上述推测的经验证据。本文的研究结果为企业间关系如何影响股价特征这一研究领域提供了新的视角和经验证据。     

产业政策、管理者过度自信与企业流动性风险

本文对产业政策影响高管自信及企业流动性风险的机理进行分析,提出赶超产业政策激励的管理者过度自信影响企业流动性风险的理论框架,并选取典型案例企业"熔盛重工"进行理论检验。研究表明,产业政策及其传导机制一旦传递出过度激进甚至错误的政策信号,会使管理者的过度自信持续膨胀,进而加剧其对资源配置的认知偏差,导致企业流动性风险失控。这一结论扩展了管理者过度自信和企业流动性风险成因的研究视角,丰富了产业政策经济后果的研究内容,进一步说明应减少产业政策等政府资源配置手段的运用,发挥市场资源配置的决定作用。