股票投资母国偏好之谜及对中国的启示

股票投资的母国偏好是指这样一种现象,即投资者的资产组合倾向于集中在国内股票,从而放弃与股票国际化相伴随的分散化收益。通常,衡量股票投资母国偏好的理论依据是国际资本资产定价模型(I—CAMP),具体指标是用一国国内股票投资价值与该国股票投资总价值之比减去一国股票市场市值与世界股票市场市值之比;该值越大,股票投资母国偏好则越强烈。最新研究表明:在过去20年里,发达国家的股票投资母国偏好有所下降,但仍保持在较高水平;而发展中国家的股票投资母国偏好没     

What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide

We examine how mutual funds from 26 developed and developing countries allocate their investment between domestic and foreign equity markets and what factors determine their asset allocations worldwide. We find robust evidence that these funds, in aggregate, allocate a disproportionately larger fraction of investment to domestic stocks. Results indicate that the stock market development and familiarity variables have significant, but asymmetric, effects on the domestic bias (domestic investors overweighting the local markets) and foreign bias (foreign investors under or overweighting the overseas markets), and that economic development, capital controls, and withholding tax variables have significant effects only on the foreign bias.     

Domestic Banks As Lightning Rods? Home Bias and Information during the Eurozone Crisis

European banks have been criticized for holding excessive domestic government debt during the recent Eurozone crisis, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level data set covering the entire timeline of the Eurozone crisis, I first reconfirm that the crisis led to the reallocation of sovereign debt from foreign to domestic banks. In contrast to the recent literature focusing only on sovereign debt, I show that the banks' private-sector exposures were (at least) equally affected by the rise in home bias. Consistent with this pattern, I propose a new debt reallocation channel based on informational frictions and show that the informationally closer foreign banks increase their relative exposures when the sovereign risk rises. The effect of informational closeness is economically meaningful and robust to the use of different information measures and controls for alternative channels of sovereign debt reallocation.     

Investor Familiarity and Home Bias: Japanese Evidence

We examine how foreign and domestic portfolio investors, both classified into money managers, invest in Japanese firms over the sample period of 1985–1998. We propose the agency-familiarity hypothesis to explain investment behavior of these institutional investors focusing on the two firm-level variables: market capitalization and export ratios. Both types of institutional investors over-invest in familiar firms measured in firm size while each shows opposite preference patterns with respect to the export ratios. The foreign investors become more export-firm oriented in the second-half sample and the domestic orientation of the domestic institutional investors becomes statistically significant during the same second-half. Because of the location difference of their client investors, the compositions of familiar firms are different between these two types with respect to the firm’s export activities. Home bias at the firm level in terms of the sensitivity to the export ratio is evident for both types of investors, especially, in more recent years, although equity home bias at the country level has been gradually mitigated. Based on these macro- and micro-level results, we conclude that the investment behavior of money managers is more consistent with the agency-familiarity explanation than the information-based explanation regardless of their nationalities.     

Home Bias in Emerging Bond and Stock Markets

In this paper, we empirically examine sizes and sources of home bias in both bond and equity markets for twenty emerging countries and twenty-two developed countries over the 2001-11 sample period. The average size of home bias in both bond and stock markets is found to be much larger in emerging countries than in developed countries. Using the explanatory variables in two categories of economic development and market performance, we employ dynamic panel data regression models to analyze major sources of home bias. The main results are the following: First, market performance factors generally affect home bias more strongly than do economic development factors. Second, market factors including market return, volatility, and liquidity support various hypotheses under informational asymmetries, such as return chasing, risk aversion, and flight to quality. Third, among macroeconomic factors, it is shown that real gross domestic product growth has negative effects and country leverage has positive effects on a specific home bias, backing up the size-bias and the flight-to-quality hypotheses, respectively. Finally, and perhaps most important in this paper, the effect of bond market performance on equity home bias is found to be significantly stronger than the effect of equity market performance on bond home bias from the market interaction model estimation, suggesting that a policy design needs to begin with increasing bond market efficiency to reduce equity market home bias.     

An Investigation into the Substitutability of Equity and Mortgage REITs in Real Estate Portfolios

This paper reconciles the controversy regarding the substitutability between equity REITs (EREITs) and mortgage REITs (MREITs) in existing literature. Using CRSP/Ziman data from 1992 to 2011, we show that the driving economic factors on EREIT returns are different from those driving MREIT returns, which rejects the substitutability hypothesis. Additional tests confirm that causality runs unilaterally from EREITs to MREITs, implying the leading (subordinate) role of EREITs (MREITs). Finally, EREITs and MREITs possess disparate risk and return profiles under the full and sub-periods. In sum, strong evidence reveals that EREITs and MREITs are in fact not substitutable.     

Trade Size Preference of Informed Traders in Indian Equity Markets

This study utilized high frequency transactions data to analyze the trade size preference of informed traders in Indian equity markets. It is observed that informed traders at an aggregate level adopt stealth trading strategy, wherein they prefer medium sized trades over large sized trades in order to camouflage their private information. However, the stealth trading behavior varies across stocks, wherein informed traders prefer more large sized trades on firms that are part of an index compared to non-index firms. Trading behavior also varies across other market conditions. It has been noted that informed traders prefer large sized trades during periods of high market thickness, negative returns, and low volatility. This study also provides a rationale for such varied behavior of informed traders.     

The Home Bias and the Credit Crunch: A Regional Perspective

Using detailed data on loan applications and decisions for a large sample of manufacturing firms in Italy during the recent financial crisis, we find that the credit crunch has been harsher in provinces with a large share of branches owned by distantly managed banks. Inconsistent with a flight to quality we do not find evidence that economically weaker firms suffered more during the crisis. In contrast, we find that financially healthier firms were affected more in functionally distant credit markets than in markets populated by less distant banks, consistent with a home bias on the part of nationwide banks.     

Domestic and International Equity REIT Joint Ventures: Structuring Corporate Options

We examine a sample of 185 Joint Ventures parented by publicly-traded Equity Real Estate Investment Trusts 1994–2001. These transactions are found to be motivated by a wide variety of corporate strategies. Shareholder returns for REIT parents are significantly positive, which is consistent with wealth effects previously reported for joint ventures formed by non-REIT real estate firms. In a subsample of joint ventures formed to structure partial dispositions of property, however, abnormal returns are significantly negative, which is consistent with the free cash flow theory of Jensen. REIT joint venture experience in Asia has been neutral for value, but may improve in the future if early ventures have created options for more efficient partnerships later.     

On Bayesian Value at Risk: From Linear to Non-Linear Portfolios

This paper proposes the use of Bayesian approach to implement Value at Risk (VaR) model for both linear and non-linear portfolios. The Bayesian approach provides risk traders with the flexibility of adjusting their VaR models according to their subjective views. First, we deal with the case of linear portfolios. By imposing the conjugate-prior assumptions, a closed-form expression for the Bayesian VaR is obtained. The Bayesian VaR model can also be adjusted in order to deal with the ageing effect of the past data. By adopting Gerber-Shiu's option-pricing model, our Bayesian VaR model can also be applied to deal with non-linear portfolios of derivatives. We obtain an exact formula for the Bayesian VaR in the case of a single European call option. We adopt the method of back-testing to compare the non-adjusted and adjusted Bayesian VaR models with their corresponding classical counterparts in both linear and non-linear cases.     

财政分权与地方政府融资平台的发展:国外模式与中国之道

本文从财政分权的角度比较了中国和美日欧等发达经济体财权和事权的匹配度问题,并对各经济体地方政府融资渠道进行了归纳,分析了中国地方政府融资平台发展的历史沿革、特点和现状,介绍了主要商业银行的做法。最后从理论和现实的角度分析得出融资平台的产生具有历史必然性,其背后隐藏着一系列的政治经济体制问题,仅从金融机构防范化解信贷风险的角度入手无法从根本上解决融资平台的问题。     

Optimal Monetary Policy in a Small Open Economy with Home Bias

We analyze optimal monetary policy in a small open economy characterized by home bias in consumption. Peculiar to our framework is the application of a Ramsey-type analysis to a model of the recent open-economy New Keynesian literature. We show that home bias in consumption is a sufficient condition for inducing the monetary policymaker of an open economy to deviate from a strategy of strict markup stabilization and contemplate some (optimal) degree of exchange rate stabilization. We focus on the optimal setting of policy both in the case of firms setting prices one period in advance and in a gradual fashion subject to adjustment costs. While the first setup allows us to analytically highlight home bias as an independent source of equilibrium markup variability, the second setup allows to study the effects of future expectations on the optimal policy problem and the effect of home bias on optimal inflation volatility. The latter, in particular, is shown to be related to the degree of trade openness in a U-shaped fashion, whereas exchange rate volatility is monotonically decreasing in openness.     

Individuals and Their Local Utility Stocks: Preference for the Familiar

We find individuals are four times more likely to purchase stocks of their local direct utility company as opposed to utility companies operating outside their state of residence. Our tests reveal that individuals do not possess superior or private information about their local utilities. Indeed, individual preference for their local utility stocks seems to be driven by preference for familiar assets, even in the presence of a desire for high dividend yields. In addition, affluence and sophistication do not reduce local bias.     

Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions

Equity release products are sorely needed in an aging population with high levels of home ownership. There has been a growing literature analyzing risk components and capital adequacy of reverse mortgages in recent years. However, little research has been done on the risk analysis of other equity release products, such as home reversion contracts. This is partly due to the dominance of reverse mortgage products in equity release markets worldwide. In this article we compare cash flows and risk profiles from the provider's perspective for reverse mortgage and home reversion contracts. An at-home/in long-term care split termination model is employed to calculate termination rates, and a vector autoregressive (VAR) model is used to depict the joint dynamics of economic variables including interest rates, house prices, and rental yields. We derive stochastic discount factors from the no arbitrage condition and price the no negative equity guarantee in reverse mortgages and the lease for life agreement in the home reversion plan accordingly. We compare expected payoffs and assess riskiness of these two equity release products via commonly used risk measures: Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR).     

Forum Selection in International Business Contracts: Home Bias Portfolio Puzzle and Managerial Moral Hazard

We provide an economic analysis of forum selection in international business contracts. International business contracts or multi-state transactions within federally structured countries might be subject to more than one sovereign adjudication system. In case of conflict between the transacting parties, the appropriate tribunal must be identified. We examine the question of business firms' optimal choice of the forums to adjudicate future business disputes. We extend the investment model approach to litigation by applying a portfolio theory type analysis. We show that firms that prefer higher expected income and lower income volatility are better off diversifying the forums under which they litigate business disputes. This stands in contrast to real-world business practice that consistently shows a clear preference to selecting the home court and legal system to settle international business disputes. In a fraction of the cases, both parties gain by selecting a certain forum, because of specialization for example, and it becomes optimal to ignore diversification. In most cases, however, the relevant factors that affect forum selection are zero sum and priced ex ante, court bias, for example. Once priced, there is no incentive to disregard diversification. We hypothesize that, in addition to specialization, factors such as managerial moral hazard explain the real-world behavior of firms: managers are less likely to be blamed, ex post, for choosing the home court. We suggest that, as international barriers decline and international trade grows, firms will diversify the forums in which they adjudicate international business disputes.     

Intergenerational Equity: Treatment of Infrastructure in New Zealand Local Government Financial Planning

This paper examines how local government authorities plan and financially provide for infrastructure while considering the needs of current and future communities. In New Zealand the Local Government Act 2002 provides a mandate for local authority planning through the requirement to publish Long Term Council Community Plans (LTCCPs). Our content analysis of the LTCCPs, annual plans and annual reports of five New Zealand local authorities reveals that these local authorities make conscious decisions about infrastructure that reflect concern for matters of intergenerational equity. They do so despite problems in relation to valuation, depreciation, deferred maintenance and financing of infrastructure assets.     

国际投资者对中国股票资产的价值偏好：来自A-H股和A-B股折扣率的证据

国际投资者因中国经济快速成长而投资A股、H股、B股等中国股票资产。已有研究从硬分割和软分割角度研究了A-H和A-B股折扣率形成原因。本文进一步从国际与国内投资者的价值偏好差异来研究折扣率差异。对1999-2007年的面板数据采用固定效应估计方法,发现在控制其他因素后,折扣率和上市公司的价值变量显著负相关,表明国际投资者偏好价值型的中国股票资产,导致其折扣率偏低。相对信息不对称,价值偏好差异是更重要的资本市场软分割因素。     

The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market

Credit underwriting is a dynamic process involving multiple interactions between borrower and lender. During this process, lenders have the opportunity to obtain hard and soft information from the borrower. We analyze more than 108,000 home equity loans and lines‐of‐credit applications to study the role of soft and hard information during underwriting. Our data set allows us to distinguish lender actions that are based strictly on hard information from decisions that involve the collection of soft information. Our analysis confirms the importance of soft information and suggests that its use can be effective in reducing overall portfolio credit losses ex post.