熊市下我国开放式证券投资基金业绩持续性研究

采用基于回归分析的多期基金业绩持续性评价模型,对56只中国的各类开放式证券投资基金在熊市下的业绩持续性进行了实证研究。结果表明:在短期内,各类基金的业绩不存在持续性,基金业绩往往具有反转性。不同的基金超额业绩的计算方法有时会对评价结果影响很大。     

我国开放式基金流动性风险管理研究

从我国开放式基金发展的现状及其存在的问题出发,阐述了它存在的主要风险。重点分析了流动性风险产生原因及我国开放式基金流动性风险管理的特殊性;分别从资产和负债两个角度论述了流动性风险管理的对策。从理论上提出了流动性风险管理模型,并提出了帮助基金公司规避流动性风险的有关政策建议。     

Herding in the bad times: The 2008 and COVID-19 crises

The objective of this paper is to analyze the imitation behavior of investors in especially convulsed periods, such as the 2008 financial crisis and the recent global pandemic, both of which could affect investors' emotions and behavior, although both have different characteristics and might have different implications. The cross-sectional dispersion of returns is used to measure the level of herding in the markets of Spain and Portugal, using a survivorship-bias-free dataset of daily stock returns during the period January 2000–May 2021, in turn divided into several sub-periods classified as pre-2008 crisis, 2008 crisis, post-2008 crisis, Covid-19 and post Covid-19. Additionally, the existence is studied of differences between days of positive and negative returns, or between days of high volatility compared to the rest, and whether the cross-sectional dispersion of returns in one market is affected by the cross-sectional dispersion of returns in the other market. The results indicate that herding appears with greater intensity in periods prior to the crisis, disappearing during the financial crisis and reappearing, although with less intensity, after it, while it is not generally detected in Covid-19 times. However, herding behavior can be observed in the market during the pandemic on high volatility days.     

Cohesion Policy Funds and local government autonomy: Evidence from Italian municipalities

In this article we investigate the effect of the European Union (EU) Cohesion Policy funds dedicated to administrative capacity building on the local government autonomy for the Italian case focusing on municipalities taking part to the programming cycle 2007–13. From an empirical perspective, the causal impact is estimated using a Difference-in-Differences (DiD) design with continuous treatment combined with a Propensity Score Matching approach. We exploit a unique database developed by the open government initiative on cohesion policies in Italy (OpenCoesione), which collects detailed information at municipality level on financed EU projects. Our results show that the specific Cohesion Policy funds have a positive and significant effect on the local government autonomy measured in terms of taxation autonomy.     

Analyst Herding and Stock Price Crash Risk: Evidence from China

We examine the proposition that firms with disproportionately more analysts herding in their coverage, as measured by a larger herding index value, have higher crash risk. Our findings are consistent with the main proposition. The results suggest that information production, rather than monitoring, is the primary mechanism behind the positive relation between herding and crash risk. Our conclusion is robust to different measures of crash risk, crash risk windows, herding measures, subsamples, and instrumental estimation. In addition, using post‐earnings announcement drift, we report that analyst herding slows down bad news transmission in the market. Our findings extend the literature by documenting that analyst herding plays a role in enhancing crash risk. Analyst herding has economic consequences on the covered firms. We offer support for the concern in the literature regarding analyst herding and market fluctuations.     

Anti-corruption,government intervention,and corporate cash holdings: Evidence from China

We use China as an example to examine how anti-corruption and government intervention shape corporate cash holding decisions. The findings show that firms in provinces with less government intervention (weak anti-corruption intensity) hold smaller (larger) cash reserves than those in provinces with more government intervention (strong anti-corruption intensity). Furthermore, we find that the positive relationship between government intervention and corporate cash holdings is alleviated as the anti-corruption intensity increases, and this alleviation effect is more prominent for state-owned enterprises (SOEs), firms in high intervention areas and firms without political connections. These findings support the argument that corruption-free and low intervention governments can benefit firms in making more profitable corporate decisions.     

Narcissistic leaders and corporate cash Holdings: Evidence in China

We use a sample of Chinese firms listed on the Stock Exchange of Hong Kong over the period 2007–2018 to examine the relationship between narcissistic leadership and corporate cash holdings. We find that narcissistic leaders seek to attract public attention and promote self-image by overinvestments that reduce cash holdings. We also show that narcissistic leaders have better access to bank loans and lower loan cost, prompting them to hold less cash. The negative effect of narcissistic leaders on cash holdings is more pronounced at private firms than at SOEs. In addition, narcissistic leaders negatively affect the firm value. We contribute to the literature on leader narcissism, cash holdings, and corporate governance in emerging market contexts.     

Loss from the chasing of MAX stocks: Evidence from China

We evaluate the implications of the MAX effect in the Chinese financial market. First, the MAX effect prevails in China: A zero-cost MAX strategy, which goes long (short) stocks with the highest (lowest) maximum daily return in the prior month, generates significant losses over the full sample period. Second, further analysis on firm characteristics confirms that the MAX stocks exhibit lottery-like features, and the (negative) performance of the MAX strategy varies over time and is related to investor sentiment. Third, the MAX effect gets weaker after the introduction of short-selling in 2010. Finally, we document that there exists a reversed MAX effect among mutual funds, because a similarly implemented MAX strategy generates significant positive risk-adjusted returns among equity funds in China.     

我国保险资金运用存在的问题及解决途径分析

文章在阐述我国保险资金运用的政策及发展的基础上,从保险监管、资本市场、管理手段、投资收益、资金运用结构和渠道、投资人才等方面分析了我国保险资金运用存在的问题,提出解决此类问题,应设立证券投资保险基金和投资基础建设,投资不动产,放开抵押贷款和股票投资,加快资本市场建设,完善保险资金运用组织和监管体系,提高投资水平和员工素质等观点。     

股票价格低于每股净资产的影响因素分析——来自中国A股上市公司的经验证据

破净指股票价格跌破每股净资产,是股票价格与每股净资产关系的一种极端表现。本文以1 059家A股上市公司为样本,采用修正的Ohlson模型,分组对股价破净的影响因素进行研究。结果发现:对于业绩为正的非ST企业而言,公司规模大、上市时间早、机构投资者持股比例低的国有企业容易破净;ST企业的股票价格虽下跌,但其重组捷径和壳资源改变了投资者的预期,使ST企业不破净或较少破净。     

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

This paper examines herding behavior in the cryptocurrency market during the COVID-19 pandemic using daily data and based on static and regime-switching models. Furthermore, we investigate whether herding behavior is affected by the coronavirus media coverage. Based on a sample of the top-43 cryptocurrencies in terms of market capitalization between 2013 and 2020, we find significant evidence of herding for the entire sample period only during high volatility state. Moreover, during the COVID-19 crisis, results suggest that investors in the cryptocurrency market follow the consensus. Finally, the impact of coronavirus media coverage is significant on herding among investors, explaining such behavior in the cryptocurrency market during the COVID-19 crisis. Our findings explain herding determinants that may help investors avoid such comportment, mainly during the crisis.     

治理环境、控制权与现金流权分离及现金持有量——我国民营上市公司的实证研究

利用我国民营上市公司披露的2003年-2006年的终极控股股东数据和樊纲、王小鲁(2007年)编制的中国各地区市场化进程数据及其子数据构建各地区公司治理环境指数,检验治理环境、控制权与现金流权分离及现金持有量的关系.研究发现,治理环境与现金持有量正相关;终极股东控制权与现金流权偏离度与现金持有量显著负相关,治理环境的改善有助于减轻这种负向影响.     

我国保险企业资金运用现状研究

我国保险企业资金运用起步较晚,总体发展比较落后。如何进一步拓宽保险企业资金运用的渠道,促进我国保险企业资金的正确高效的运用,是关系到我国保险业未来存亡与发展的关键。本文对我国保险企业资金运用的现状及其原因进行分析,提出了当前金融危机下保险企业资金的诸多机遇与挑战,并针对我国保险企业资金运用状况提出对策与建议以指导国内保险企业资金的正确运用。     

The China effect: Evidence from data at firm level in Thailand

This study investigates how competition with Chinese imports affects firms in Thailand. Using World Bank data on Thailand and United Nations trade data from 2003 to 2006, the empirical results show that there is no significant impact of Chinese import competition on employment, wages, or labor income share. However, further checks show that for firms with lower productivity, the impact on employment and labor income share is more likely to be negative. The impact of Chinese import competition on profit margins is significantly positive. Considering the impact on labor income share and profit margins, we conclude that because of Chinese import competition, income distribution possibly goes in disfavor of labor. Our study shows that the impact of Chinese import competition on the skilled labor ratio is positive and significant. This result suggests that Thai firms are on the path to skill upgrading as a result of Chinese import competition, which is helpful for Thailand’s long-run economic growth. As firms with low productivity are more likely to be negatively affected by Chinese import competition, improving productivity is still an efficient way to counter such competition.     

Animal Behavior in Capital markets: Herding formation dynamics,trading volume,and the role of COVID-19 pandemic

This paper provides new evidence on herding behavior. Using daily frequency data for 336 US listed firms over a five-year period, we investigate three important elements of financial herding behavior. First, trading volume, representing market interest, as a significant variable in capital markets apart from stock prices. Second, herding dynamics since herding formation is a dynamic process. Third, the reaction of possible financial herding to exogenous events-threats, as we use the pandemic event in order to investigate a market under stress. Even though the benchmark herding model used does not provide evidence of herding behavior, our results verify the significance of the above herding elements. We also find that trading volume and positive changes in trading volume result in increased cross-sectional absolute deviation (CSAD). Most importantly, we find that herding behavior is evident during the COVID-19 pandemic confirming that investors tend to herd during major crisis periods.     

古代教育经费保障机制的创新——宋代学田制

学田制度是我国乃至世界教育财政史上的一大创举。学田的设置,在一定程度上缓解了我国封建时代办学经费的困难,扩大了社会教育面。同时更有利于封建国家运用经济手段,在文化教育方面不断强化专制主义中央集权,奠定多层次衔接的教育体制的物质基础。本文以宋代学田为典型个案,就其产生的背景、发展及完善、影响和意义等问题进行了初步探讨。     

Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data

We present an analytical framework to investigate surprises in financial markets. The framework enables us to simultaneously identify and quantify surprises in security price data. By applying the framework to the tick-by-tick data on Japanese government bond futures prices, we find that the Bank of Japan’s introduction of quantitative and qualitative monetary easing in 2013 was one of the most surprising episodes during the period from 2005 to 2016. We also show that traders’ sensitivity to the Bank’s announcements has strengthened since the introduction of the negative interest rate policy in 2016, whereas their sensitivity to economic indicators and surveys has weakened substantially.     

国有大中型企业资金集中管理体系构建初探

实行资金集中管理能够有效地整合国有大中型企业金融资源,优化资源配置,同时可以加强国有大中型企业资金管理的控制和协调能力。本文主要对国有大中型企业资金集中管理体系构建进行了初步探究。     

Site visit information content and return predictability: Evidence from China

In this paper, we use frequency of related phrases in site visit summary reports to denote the site visit content, and study whether site visit content reflecting institutional investors’ market concerns can predict Chinese stock market return. We find that site visit content has greater forecasting power in Chinese stock market returns than other economic predictors after comparing out-of-sample R². The predictability is both statistically and economically significant. Additionally, our results also suggest that the particular information content has better forecasting power than general content in site visit summary reports.