中国货币政策与股票横截面收益研究

本文基于沪深股市1993～2008年剔除了金融类股的所有A股数据,研究了中国证券市场上货币政策与股票横截面收益之间的关系。本文发现,在货币紧缩情况下,股票的Beta值与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度减小,股票的Beta越大,其收益反而减小;在货币紧缩情况下,股票的市值规模与股票收益是成反比例关系的,而在货币扩张情况下,这种反比关系的程度变大,股票的市值规模越小,其收益增加的程度更大;在货币紧缩情况下,股票的账面市值比与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度变大,股票的账面市值比越大,其收益增加的程度也越大。     

Law,Stock Markets,and Innovation

We study a broad sample of firms across 32 countries and find that strong shareholder protections and better access to stock market financing lead to substantially higher long‐run rates of R&D investment, particularly in small firms, but are unimportant for fixed capital investment. Credit market development has a modest impact on fixed investment but no impact on R&D. These findings connect law and stock markets with innovative activities key to economic growth, and show that legal rules and financial developments affecting the availability of external equity financing are particularly important for risky, intangible investments not easily financed with debt.     

Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty

Asia-Pacific Financial Markets - In recent years, researchers have increasingly studied the association between the stock market and economic policy uncertainty (EPU). To have more profound...     

Forward Markets,Stock Markets,and the Theory of the Firm

This paper models a competitive financial market economy in which there are forward markets as well as stock and bond markets. Although there are separation theorems in the stock and forward markets literatures, this analysis shows that neither separation theorem survives in this integrated financial market economy. Next, the analysis shows that the separation results hold and are equivalent if the manager has an appropriate compensation package. Then the model is modified to allow for depreciation charges and tax credits. A positive theory of hedging is developed that shows that the corporation can preserve deductions and credits by hedging and so increase corporate value.     

金融市场税收政策：国际经验与改进思路

国际金融中心除了具备人才、语言及商业环境等有利因素外,优惠的税收政策也是其中非常关键的因素。对于任何金融中心来说,税收政策都是其核心竞争力的一个重要方面。本文通过分析税收政策对国际金融中心建设的作用以及我国目前金融市场存在的的税收问题,指出我国无论场内还是场外交易,实行的是营业税和所得税双主体课税结构且税率较高,这将不利于增强上海的吸引力和凝聚力及国际金融中心建设,并对存在的问题提出了相关的政策建议。     

我国股票期权税收政策存在的问题及对策

股票期权制度是目前盛行于西方的一种比较有效的公司分配激励机制。但目前在我国还处于起步阶段。为促进股票期权这一新生事物在我国的发展,推动国有企业改革的深入,我们应借鉴发达国家的成功经验,尽快规范和完善我国的股票期权政策。     

公司税收规避、税率持续性与股票收益波动率

从税率平稳性角度看,避税活动是否会增加税率波动性进而给企业带来高风险是一个值得探讨的重要问题。从动态视角研究发现,避税是一种策略性行为,低实际税率的企业相比高实际税率的企业,其税率在长时期内能够保持平稳。此外,避税活动并不一定会带来未来税率和股票收益的波动性。这说明公司通常采用持续、稳定的税收策略,不会带来公司风险的激增。进一步研究发现：节税率的波动性与公司未来股票收益波动存在着显著正相关,即当避税引起税率波动较大时,会带来公司股票收益风险的增加。     

Income Tax, Commodity Tax and Environmental Policy

Using the self-selection approach to tax analysis, thepaper analyses the impact of environmental externalities on Pareto-efficientnon-linear income tax, proportional commodity taxes and publicexpenditure. Consideration of externalities within this frameworkreveals intuitive insights into environmental tax policy, suggestingthat some earlier conclusions drawn in the relevant literaturemight be misleading. The results indicate that, while the externalitysdirect harmful impact raises marginal tax rates, the influencethrough the self-selection constraint tends to decrease the rise.We also derive conditions under which the Pigovian tax can bedetermined purely on the basis of internalizing the externality.     

Comment on Forward Markets,Stock Markets,and the Theory of the Firm

In a recent article, MacMinn [5] argues that the presence of forward markets eliminates the incentives of the firm's manager to choose production levels that maximize firm value. In this comment, we show that his results do not depend on the presence of forward markets. The critical assumptions are that the manager is endowed with money rather than stock in the firm and that there is no competitive labor market for managers. In addition, his results require time-inconsistent behavior on the part of the firm's manager.     

我国证券市场税收政策浅析

我国现行以证券交易印花税为主体的证券税制,在组织财政收入、调节证券市场、抑制过度投机等方面发挥了一定作用,但还存在一些不足之处。建议:进一步调整证券交易印花税的征收办法;建立一套系统、健全的证券税制;消除对公司和股东个人股、红利的重复征税;统一上市公司的企业所得税政策。     

Oil and the Stock Markets

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns.     

欧美股市延续强势 紧缩预期拖累A股

4月份,欧美股市延续上涨格局,主要市场指数持续攀升,截至月底,道琼斯工业指数上涨3．98％．标准普尔指数上涨2.85％,英国富时指数上涨2.73％．德国DAX指数上涨6.72％．法国CAC指数上涨2．95％,本月香港市场窄幅盘整．恒生指数上涨0．82％,由于受到紧缩预期的持续影响,A段市场呈现震荡回调的走势,上证综指月内下跌0.57％．深成指月内跌1．99％,工商银行A股和H股段价均小幅上涨．A股股价报收于4.56元．H股报收于6．57港币。     

欧美股市涨跌互现A股市场震荡整理

2011年3月,美国股市主要指数均温和上涨,欧洲主要股市普遍下跌。至月底,道琼斯工业指数上涨0.76%,     

Financial Intermediaries, Markets, and Growth

We build a model in which financial intermediaries provide insurance to households against idiosyncratic liquidity shocks. Households can invest in financial markets directly if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. From a growth perspective, this can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies can grow more slowly than more market-oriented economies, which is consistent with some recent empirical evidence.     

欧美股市持续走强A股市场强劲反弹

2011年2月,欧美主要股市普通延续前期的上涨态势.至月底,道琼斯工业指数上涨2.51%,标准首尔指数上涨3.2%,英国富时指数上涨2.24%,德国DXA指数上涨2.75%,法国CAC指数上涨2.62%.A股市场一扫1月份的低迷之势,出现强劲反弹,上证综指和深成指月内分别上涨4.1%和7.57%,涨幅明显高于欧美市场,但对后市走势判断,市场仍在分岐.恒生指数月内表现较弱,当月下跌0.47%.工商银行的A股股价略有上涨,收于4.26元;H股股价涨幅较大,收于5.98港币.     

欧美股市延续升势A股反弹动力偏弱

2011年1月.欧美主要股市普遍延续升势,月未因受埃及局势动荡影响略有下挫,全月基本呈先扬后抑走势,至月底,道指涨2.72%,德国DAX指数涨2.36%,法国CAC指数涨5.28%;而英国因消费者信心指数下跌,导致英国富时100月内微跌0.63%,A段虽也实现开门红,但反弹动力偏弱,最后仍以下跌收报,上证综指和深成指月内分别下跌0.62%和3.72%.受欧美与A股两方力量影响,恒生指数月内上涨1.79%,工商银行的A段和H股股价月内略有上涨,分韵收于4.25元和5.8港币.