货币市场基金实践运行的特点与风险分析

货币市场基金最早出现在美国 ,是专门投资于各种货币市场工具的开放式投资基金 ,我国证券市场出现的准货币市场基金 ,与真正意义上的货币市场基金还存在投资对象和变现能力的差距。货币市场基金在流动性、投资范围、报价方式和基金费率等方面具有自身独特的特点 ,但是同样具有一定的风险 ,如利率风险、资金转移风险和违规风险 ,需要重视。     

Mutual fund flows and window-dressing

We use a sequential game to analyze an agency problem in the mutual fund industry where a representative fund manager considers window-dressing his portfolio holdings for the purpose of attracting fund flows from a representative investor. The manager is motivated to window-dress to improve the investor's perception of managerial skill which may positively affect fund flows in the next period. However, the investor may suspect window-dressing and thus downgrade perceived managerial skill. The model supports a Bayesian Nash equilibrium where the manager window-dresses only when receiving a low return in the first period and the investor withdraws funds only when observing low returns in both periods. Consequently, we show that window-dressing is a rational behavior even when fund outflows may result.     

Index fund rebalancing and market efficiency

Stocks newly added to the S&P 500 Stock Index experience significantly positive abnormal returns on the date of their inclusion. This study looks at the rebalancing required by index funds when RJR/Nabisco was replaced by First Union. On that date, approximately one percent of the market capitalization was removed and had to be reallocated among the remaining 499 stocks in the Index, but there was no change in information or attention for these 499 stocks. We find that while there was abnormal trading volume on the original takeover date, there were no abnormal returns. The only hypotheses consistent with previous results, as well as these results, are the information or the attention hypotheses, that stocks newly added to the index have positive information disclosed or experience increased investor attention.     

A model for risky cash flows and tax shields

We extend the WACC and APV frameworks by incorporating risky cash flows and the potential loss of tax shields. A closed-form solution is derived for the expected effective tax shields. Our model explains the under-leverage puzzle, and provides better estimates for the required equity return through the improved WACC and APV formulae. It offers four empirically testable predictions.     

Security-holder cash flows and the valuation of corporate investment projects

The difference between adjusted present value and cost-of-capital discounting procedures for evaluating corporate real-asset investment projects is re-examined. The two approaches are shown to contain different implicit assumptions about the distribution of project cash flows to security-holders. The consequences thereof for the proper valuation of individual projects in the context of a multiproject investment plan are considered.     

Information flows and stock market volatility

This study examines how news is distributed across stocks. A model is developed that categorizes a stock's latent news into normal and nonnormal news, and allows both types of news to be filtered through to other stocks. This is achieved by formulating a model that jointly incorporates a multivariate lognormal‐Poisson jump process (for nonnormal news) and a multivariate GARCH process (for normal news), in addition to a news (or shock) transmission mechanism that allows the shocks from both processes to impact intertemporally on all stocks in the system. The relationship between news and the expected volatility surface is explored and a unique news impact surface is derived that depends on time, news magnitude, and news type. We find that the effect of nonnormal news on volatility expectations typically builds up before dissipating, with the news transmission mechanism effectively crowding‐out normal news and crowding‐in nonnormal news. Moreover, in contrast to the standard approach for measuring leverage effects using asymmetric generalized autoregressive conditional heteroskedasticity models, we find that leverage effects stem predominantly from nonnormal news. Finally, we find that the capacity to identify positively or negatively correlated stock returns is ambiguous in the short term, and depends heavily on the behavior of the nonnormal news component.     

Openness and the speed of adjustment in the money market

In an effort to fight inflation or recession, central banks manipulate the money supply. The speed with which a change in money supply could affect price level and the level of production differs from one country to another, depending on rigidities. The main purpose of this paper is to show that the adjustment speed among the mentioned macro variables is higher in countries that are more open. Using the bounds-testing approach, a relatively new approach to cointegration and error-correction modeling, we estimate the speed of adjustment in the money market in 28 developing countries. A simple cross-sectional model is utilized in which the measure of adjustment speed is related to three different measures of openness. Regardless of the measure used, a significant and positive relationship exists between adjustment speed and the measure of openness.     

中国投资基金市场的衍迁及现状

金融产品设计和管理的创新,对于改善资本市场结构意义显著,这一趋势化背景催化了我国投资基金市场的探索与发展。投资基金市场经过近30年的发展,已经成为我国资本市场的有益补充,并在整个金融市场的运行中发挥着高效、多样、便捷的作用。理清我国投资基金市场的有序发展及市场规范主线,追溯基金市场衍迁脉络分析其发展过程中的重大事件,可以更加清晰的看到当前投资基金市场中所存在诸如投资环境、内部架构、委托——代理关系等方面问题,并总结提出针对性的建议。     

把地产外资变热为宝

近来,外资投资内地楼市的政策有放松趋势.按照国务院规定:自2009年1月1日起,外商投资企业、外国企业和组织以及外籍个人,将与内资企业在缴纳房产税方面享受无区别待遇.……     

Investor behavior in the mutual fund industry: evidence from gross flows

Using a large sample of monthly gross flows from 1997 to 2003, we uncover several previously undocumented regularities in investor behavior. First, investor purchases and sales produce fund-level gross flows that are highly persistent. Persistence in fund flows dominates performance as a predictor of future fund flows. More importantly, failing to account for flow persistence leads to incorrect inferences with respect to the relation between performance and flows. Second, we document that investors react differently to performance depending on the type of fund, and that investor trading activity produces meaningful differences in the persistence of fund flows across mutual fund types. Third, at least some investors appear to evaluate and respond to mutual fund performance over much shorter time spans than previously assessed. Additionally, we document differences in the speed and magnitude of investors’ purchase and sales responses to performance.     

WACC and free cash flows: A simple adjustment for capitalized interest costs

This paper shows how to value investment projects involving capitalization of interest costs by using the standard WACC method. Whenever capitalized interest costs do not immediately generate proportionate tax shields, one of the assumptions that justify the use of the after-tax weighted average cost-of-capital formula is violated. As an offset to this violation, the project's free cash flows have to be adjusted. We here derive and interpret a simple adjustment formula. A numerical illustration is provided.     

The impact of inflationary news on money market yields and volatilities

This study investigates the impact of surprises in hourly wages, non-farm payroll, unemployment rate, and producer price index on the yields and volatilities of money market securities. The methodology is conducted in a framework that preserves the strong substitutability among the instruments. We find first the short-term interest rate nexus is inherently a steady state long-run phenomenon. Second, yield variability is fundamentally linked to the release of macroeconomic news that conveys important information on inflation. Third, results from the equality of variance tests suggest that volatilities on announcement days are significantly higher than non-announcement day volatilities across all securities.     

Central bank transparency and market efficiency: An econometric analysis

Blinder (1998) argues that more open public disclosure of central bank policies may enhance the efficiency of markets. We examine this claim by studying whether the Federal Reserve System's 1994 policy shift toward more open disclosure improved or worsened the predictability of financial markets. Employing methods analogous to Campbell and Shiller (1991), we find that since 1994, the forecasting error has decreased for interest rates on U.S. bonds of most maturity lengths, and that the expectations hypothesis has performed better at the low end of the yield curve. These findings are inconsistent with the view that increased central bank transparency will decrease the efficiency of financial markets. The authors would like to thank participants of the 2001 Midwest Macroeconomics Conference and 2001 Missouri Economics Conference for their helpful comments and suggestions. All errors are, of course, the author's.     

The role of cash flows and accruals in explaining security returns: evidence for the UK

The assessment of earnings usefulness in returns studies has been at the forefront of accounting research since the seminal work of Ball and Brown (1968). Recently, regulatory bodies worldwide have paid increased attention to cash flow reporting. Empirical research provides evidence that earnings information dominates cash flows in market-based accounting research. This study extends the growing empirical literature on the association of earnings and cash flows with security returns. We hypothesize that the association of cash flows with security returns improves (i) the smaller the absolute magnitude of aggregate accruals, (ii) the longer the measurement interval and (iii) the shorter the firm's operating cycle. The dataset consists of all UK firms included in the Global vantage database for the period 1984–1992. This study provides evidence that cash flows play a more important role in the marketplace when the operating cycle, magnitude of accruals and the measurement interval are taken into consideration. Moreover, results indicate that cash flows have more information content than earnings in explaining security returns.     

Black market exchange rate,currency substitution and the demand for money in LDCs

Mundell's conjecture in 1963 that the demand for money could depend on the exchange rate in addition to income and interest rate has received some attention in the literature by including the official exchange rate and estimating the money demand in a few developed countries. In less developed countries, since there is a black market for foreign exchange, it has been suggested that the black market exchange rate rather than the official rate should be the determinant of the demand for money in LDCs. This proposition is tested by estimating the demand for money for 25 LDCs using the bounds testing approach to cointegration. The main conclusion is that while in some LDCs, the black market rate enters into the formulation of the demand for money, in some others the official rate is the determinant. The black market premium also played a role in some countries.     

我国货币政策的股票市场传导机制实证分析

本文取2000年1月至2008年2月的历史数据,采用ADF单位根检验、Johansen协整检验以及Granger 检验等实证方法探讨我国股票市场的货币政策传导效率如何.     

Credit rationing and threshold effects in the relation between money and output

The possibility that the effect of monetary policy on output may depend on whether credit conditions are tight or loose can be expressed as a non-linearity in the relation between real money supply and output, of which a simple case is a threshold effect. In this case, consistent with the credit-rationing model of Blinder (1987), the monetary variable has a more powerful effect if it is below some threshold than when it is above. Testing for the importance of this threshold is straightforward if the appropriate threshold value is known a priori, but where the value is not known and must be chosen based on the sample, the testing problem becomes more difficult. We apply recently-developed tests applicable in this situation to both US and Canadian data, and find substantial evidence of a threshold effect, particularly in US data. However, the estimated threshold values are high.     

积极解决深层次矛盾 建立金融市场新格局

已经过去的2003年,我国经济发展势头良好,GDP增长率达到9.1%.在经济快速增长中,金融运行情况基本正常.     

Central bank transparency and financial market expectations: The case of emerging markets

In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money market rate and the weighted expected target rate over the contract period) in money market expectations. The effect is larger for countries with no exchange rate peg and countries with low income. Second, an intermediate level of transparency is found to have the most favorable influence on money market expectations: neither complete secrecy nor complete transparency is optimal. Finally, all subcategories of the Eijffinger and Geraats (2006) index lead to a smaller bias in expectations, with political transparency having the largest effect.