垄断对市场价格及社会公平的影响研究

通过分析垄断收入差距的形成及其对不同消费者福利和社会公平分配的影响,以及初次分配中垄断差距导致的异质需求及其经济后果表明:垄断工资及垄断利润分享导致了垄断的收入分配效应;当收入差距扩大形成了异质需求过后,资产的市场价格上升,诱致价格泡沫和投机行为,并进一步损害中低收入消费者的福利,恶化社会公平分配。     

Law and Project Finance

We investigate Project Finance as a private response to inefficiencies created by weak legal protection of outside investors. We offer a new illustration that law matters by demonstrating that for large investment projects, Project Finance provides a contractual and organizational substitute for investor protection laws. Project Finance accomplishes this by making cash flows verifiable through two mechanisms: (i) contractual arrangements made possible by structuring the project within a single, discrete entity legally separate from the sponsor; and (ii) private enforcement of these contracts through a network of project accounts that ensures lender control of project cash flows. Comparing bank loans for Project Finance with regular corporate loans for large investments, we show that Project Finance is more likely in countries with weaker laws against insider stealing and weaker creditor rights in bankruptcy. We identify the predicted effects using difference-in-difference and triple-difference tests that exploit exogenous country-level legal changes and inter-industry differences in free cash flow and tangibility of assets.     

数字普惠金融调节城乡居民福利差异效率及影响因素研究--基于DEA-Malmquist-Tobit模型

基于DEA-Malmquist-Tobit模型,对2011—2018年我国31个省份的数字普惠金融调节城乡居民福利差异效率展开静态和动态分析,并进一步探究影响数字普惠金融调节城乡居民福利差异效率的主要影响因素。结果表明,数字普惠金融调节城乡居民福利差异效率较高,但是全要素生产率呈下降趋势,主要源于技术进步的制约;经济发展水平、产业结构、财政支出水平、互联网普及率与数字普惠金融调节城乡居民福利差异效率呈显著正相关关系,对外贸易开放程度、传统金融发展水平与数字普惠金融调节城乡居民福利效率呈显著负相关关系。在此基础上,提出加强数字普惠金融技术创新、合理配置数字普惠金融资源、政府适当加大扶持力度、优化产业结构、提高互联网普及率等建议。     

财务管理理论研究的回顾与展望──20世纪后20年中国财务理论研究述评

本文以 １９８１年到２０００年２０年时间发表在《会计研究》、《财会月刊》、《财会通讯》、《财务与会计》、《经济研究》、《金融研究》、《财政研究》等７个刊物上的财务理论文章为样本，系统分析了这２０年我国财务理论研究的演变过程，形成了一系列研究结论。     

No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov et al. (Finance Stoch 6(3):371–382, 2002; Finance Stoch 7(3):403–411, 2003) and Schachermayer (Math Finance 14(1):19–48, 2004) to the case where bid-ask spreads are not known with certainty. In the “no-friction” case, we retrieve the result of Kabanov and Stricker (Preprint 2003). Additionally, we propose a new modelization based on simple orders which appears to be powerful whatever the information structure is.     

Financial crises and coordination failure: A comment

The three papers of this session link financial crises (explicitly or implicitly) to coordination failure. In Bryant (Journal of Banking and Finance, 2002), the possibility of coordination failure is due to complementarity in the productive technology. In Chui et al. (Journal of Banking and Finance, 2002), foreign lenders to a small country fail to coordinate on the optimal strategy rolling over short-term loans. Finally, Amable et al. (Journal of Banking and Finance, 2002) implicitly introduce coordination failure through a production function with external increasing returns to scale. This sort of “thick markets” externality can be viewed as a reduced form that stands for coordination problems in a non-Walrasian economy.     

Correction note for ��The large-maturity smile for the Heston model��

The papers (Forde and Jacquier in Finance Stoch. 15:755?C780, 2011; Forde et al. in Finance Stoch. 15:781?C784, 2011) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755?C780, 2011), Forde et al. (Finance Stoch. 15:781?C784, 2011) and clarifies the proof of Forde et al. (Finance Stoch. 15:781?C784, 2011, Proposition 2.3).     

基于文献综述的互联网金融发展研究

作为现代信息技术与金融结合的新型金融业态,互联网金融以其在国内外的迅猛发展和对传统金融业带来的巨大冲击而受到学术界的广泛关注和研究。本文对互联网金融的已有研究成果进行述评。通过探讨互联网金融的内涵,分析其包括信息化与虚拟化、高效性与经济性、金融服务一体化、直接性与普惠性、风险性在内的五个特征,重点评析网络支付结算、网络融资、网络货币、网络投资理财等四个互联网金融模式种类,探究其对传统金融业带来的挑战,归纳其存在的风险特征并总结防范风险的对策建议。最后,预测与展望互联网金融的发展趋势及未来理论研究演进。     

On fairness of systemic risk measures

Finance and Stochastics - In our previous paper “A unified approach to systemic risk measures via acceptance sets” (Mathematical Finance, 2018), we have introduced a general class of...     

BOOK REVIEWS

Book reviewed in this article: Aggregate Theory and Policy: MacroEconomic Theory: A Mathematical Treatment. By R. G. D. Allen . Aggregate Theory and Policy: acroeconomic Theory and Stabilization Policy. By John M. Culbertson . Aggregate Theory and Policy: Economic Planning and Policies in Britain, France and Germany. By Malcolm Mac Lennan , Murray Forsyth and Geoffrey Denton . Aggregate Theory and Policy: The Job Content of the U.S. Economy, 1940–1970. By James G. Scoville . Aggregate Theory and Policy: Readings in the Modern Theory of Economic Growth. Edited by Joseph E. Stiglitz and Hirofumi Uzawa . Aggregate Theory and Policy: 4 Monetary Policy for Latin America. By Pierre Uri , together with Nicholas Kaldor , Richard Ruggles , and Robert Triffin . Aggregate Theory and Policy: lue, Capital, and Growth: Papers in Honour of Sir John Hicks. Edited by J. N. Wolfe . Business Finance and Investments: Risk and Uncertainty: Proceedings of a Conference Held by the International Economic Association. Edited by Karl Borch and Jan Mossin . Business Finance and Investments: Personal Trust Investment Management. C. F. A. Research Foundation (Monograph Series Number 2). Business Finance and Investments: Managerial Finance. By Salomon J. Flink and Donald Grunewald . Business Finance and Investments: Theory of Valuation. By Charles L. Hubbard and Clark A. Hawkins . Business Finance and Investments: Business Combinations: Planning and Action. By Arthur . Wyatt and Donald E. Kiesos . Business Finance and Investments: Capital Budgeting: The Economic Evaluation of Investment Projects. By William H. Jean . Business Finance and Investments: The Cost of Capital. By Wilbur G. Lewellen . Business Finance and Investments: Measuring the Investment Performance of Pension Funds for the Purpose of Inter-Fund Comparison. By James Lorie Business Finance and Investments: Decision Analysis: Introductory Lectures on Choices Under Uncertainty. By Howard Raiffa . Business Finance and Investments: Guide to Convertible Securities. By William Schwartz and Julius Spellman . Business Finance and Investments: Corporation Finance, Policy, Planning, Administration. By Paul M. Van Arsdell . Financial Institutions and Markets: Competition and Controls in Banking. By David A. Alhadeff . Financial Institutions and Markets: Investment Banking and the New Issues Market. By Irwin Friend , James R. Longstreet , Morris Mendelson , Ervin Miller , and Arleigh P. Hess , Jr . Financial Institutions and Markets: The New York Money Market and the Finance of Trade, 1900–1913. By C. A. E. Goodhart . Financial Institutions and Markets: A Study of Wholesale Banking Behavior. By Neil B. Murphy . Financial Institutions and Markets: The Organization of Industry. By George J. Stigler . Financial Institutions and Markets: Mutual Savings Banks: The Evolution of a Financial Intermediary. By Weldon Welfling . International Finance: Financial Capital Flows in the U.S. Balance of Payments. By William H. Branson . International Finance: Readings in the Euro-Dollar. Edited by Eric Chalmers . International Finance: American Business Abroad: Six Lectures on Direct Investment. By Charles P. Kindleberger . International Finance: Toward an Orderly Market: An Intensive Study of Japan's Voluntary Quota in Cotton Textile Imports. By John Lynch . Public Finance: Nigerian Federal Finance. By Adebayo Adede ji . Public Finance: Governmental Problem-Solving: A Computer Simulation of Municipal Budgeting. By John P. Crecine . Public Finance: Budgeting Public Funds: The Decision Process in an Urban School District. By Donald Gerwin . Public Finance: State and Local Tax Problems. Edited by Harry L. Johnson . Public Finance: Public Expenditures in Communist and Capitalist Nations. By Frederic L. Pryor . Public Finance: The Metropolitan Enigma: Inquiries into the Nature and Dimensions of America's “Urban Crisis.” Edited by James Q. Wilson .     

BOOK REVIEWS

Book reviewed in this article: Aggregate Theory and Policy: Technology, Economic Growth, and Public Policy. By Richard R. Nelson , M. J. Peck , and E. D. Kalachek . Aggregate Theory and Policy: Economic Behavior of the Affluent. By Robin Barlow , Harvey E. Brazer and James N. Morgan . Business Finance and Investments: The Theory of Business Finance: A Book of Readings. Edited by Stephen H. Archer and Charles A. D' Ambrosio . Business Finance and Investments: C.F.A. Readings in Financial Analysis (First Edition). By The Institute of Chartered Financial Analysis . Business Finance and Investments: Corporate Dividend Policy. By John A. Brittain . Business Finance and Investments: Credit Management. By Robert Bartels . Financial Institutions and Markets: Regulation of Interest Rates on Bank Deposits. By Albert H. Cox , Jr . Financial Institutions and Markets: Politics and the Regulatory Agencies. By William L. Cary . Financial Institutions and Markets: Monetary Theory and Policy. By Richard A. Ward . Financial Institutions and Markets: The Currencies and Financial System of Mainland China. By Tadao Miyashita . International Finance: Economic Policies Toward Less Developed Countries. By Harry G. Johnson . International Finance: International Aid: An Introduction to the Problem of the Flow of Public Resources from Rich to Poor Countries. By I.M.D. Little and J. M. Clifford . International Finance: Public International Lending for Development. By Raymond F. Mikesell . International Finance: International Financial Aid. By Wolfgang G. Feiedmann , George Kalmanoff and Robert Meagher . Public Finance: Public Economics. By Leif Johansen . Public Finance: Studies in the Economics of Income Maintenance. Edited by Otto Eckstein .     

Analytical approximations for the critical stock prices of American options: a performance comparison

Many efficient and accurate analytical methods for pricing American options now exist. However, while they can produce accurate option prices, they often do not give accurate critical stock prices. In this paper, we propose two new analytical approximations for American options based on the quadratic approximation. We compare our methods with existing analytical methods including the quadratic approximations in Barone-Adesi and Whaley (J Finance 42:301–320, 1987) and Barone-Adesi and Elliott (Stoch Anal Appl 9(2):115–131, 1991), the lower bound approximation in Broadie and Detemple (Rev Financial Stud 9:1211–1250, 1996), the tangent approximation in Bunch and Johnson (J Finance 55(5):2333–2356, 2000), the Laplace inversion method in Zhu (Int J Theor Appl Finance 9(7):1141–1177, 2006b), and the interpolation method in Li (Working paper, 2008). Both of our methods give much more accurate critical stock prices than all the existing methods above.     

BOOK REVIEWS

Book reviewed in this article: Aggregate Theory and Policy: A Century of Pay. By E. H. Phelps Brown with Margaret H. Browne . Aggregate Theory and Policy: Targets and Indicators of Monetary Policy. Edited by Karl Brunner . Aggregate Theory and Policy: Bankers' Diplomacy: Monetary Stabilization in the Twenties. By Richard H. Meyer . Aggregate Theory and Policy: Industrial Market Structure and Economic Performance. By Frederic M. Scherer . Aggregate Theory and Policy: The Political Economy of Prosperity. By Arthur M. Okun . Aggregate Theory and Policy: Setting National Priorities: The 1971 Budget. By Charles L. Schultze with Edward K. Hamilton and Allen Schick . Aggregate Theory and Policy: Economic Forecasting. By Herman O. Stekler . Business Finance and Investments: An Integrated Analysis For Managerial Finance. By M. Chapman Findlay , III, and Edward E. Williams . Business Finance and Investments: Cases in Managerial Finance. By Eugene F. Brigham , Timothy J. Nantell , Robert T. Aubey , and Stephen L. Hawk . Business Finance and Investments: The Predictability of Stock Market Prices. By C. W. J. Granger and O. Morgenstern . Financial Institutions and Markets: Banking in the 1970's. By The Institute of Bankers . Financial Institutions and Markets: Mutual Funds and Other Institutional Investors: A New Perspective. By Irwin Friend , Marshall Blume and Jean Crockett . Financial Institutions and Markets: Economic Factors in the Growth of Corporation Giving. By Ralph L. Nelson . International Finance: National Interests and the Multinational Enterprise. By Jack N. Behrman . International Finance: The Joint Venture Process in International Business: India and Pakistan. By James W. C. Tomlinson . International Finance: The Case Against Floating Exchanges. By Paul Einzig . International Finance: Forward Exchange and Internal-External Equilibrium (Michigan International Business Studies Number 12), by Jay H. Levin . International Finance: The Technology Factor in International Trade. Edited by Raymond Vernon . Public Finance: Education, Income, and Human Capital. Edited by W. Lee Hansen . Public Finance: Psychological Approaches to the Study of Saving. By Folke Olander and Carl -Magnus Seipel . Public Finance: Halfway to Tax Reform. By Joseph A. Ruskay and Richard A. Osserman . Public Finance: Public Investment Planning in Civilian Nuclear Power. By John M. Vernon .     

银行数字普惠金融、银行竞争与企业融资约束

基于中国31个省份的相关数据,使用变异系数法构建银行数字普惠金融指数,以中小企业板上市公司为研究样本,讨论竞争程度变化时银行数字普惠金融对中小企业融资约束的影响及变化.研究发现:银行数字普惠金融发展有利于缓解中小企业融资约束,当银行竞争程度较高时,缓解作用更加明显.同时,相对于民营中小企业,银行数字普惠金融发展对国有中小企业融资约束的缓解作用更加明显,反映了当前银行在发展数字普惠金融时存在选择偏向问题.但随着银行竞争的提高,这种问题有所缓解.     

Improvement in finite sample properties of the Hansen–Jagannathan distance test

Jagannathan and Wang [Jagannthan, R., and Wang, Z., “The conditional CAPM and the cross-section of expected returns.” Journal of Finance, 51 (1996), 3–53] derive the asymptotic distribution of the Hansen–Jagannathan distance (HJ-distance) proposed by Hansen and Jagannathan [Hansen, L.P., and Jagannathan, R., Assessing specific errors in stochastic discount factor models." Journal of Finance, 52 (1997), 557–590], and develop a specification test of asset pricing models based on the HJ-distance. While the HJ-distance has several desirable properties, Ahn and Gadarowski [Ahn, S.C., and Gadarowski, C., “Small sample properties of the GMM specification test based on the Hansen–Jagannathan distance.” Journal of Empirical Finance, 11 (2004), 109–132] find that the specification test based on the HJ-distance overrejects correct models too severely in commonly used sample size to provide a valid test. This paper proposes to improve the finite sample properties of the HJ-distance test by applying the shrinkage method [Ledoit, O., and Wolf, M., “Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.” Journal of Empirical Finance, 10 (2003), 603–621] to compute its weighting matrix. The proposed method improves the finite sample performance of the HJ-distance test significantly.     

论注册会计师全国统一考试英语测试的改革

一、考试现状 注册会计师考试如今已成为国内声誉最高的执业资格考试之一.为更好、更快、更广泛地选拔、培养能够在英语环境中从事注册会计师业务的国际化人才,为使中国注册会计师考试制度与国际普遍认可的注册会计师考试制度相趋同,将中国注册会计师考试打造成中国注册会计师走向国际的"通行证",注册会计师全国统一考试英语测试(以下简称"注会英语测试")于2006年开始实施.     

数字普惠金融、商业保险购买与农村居民幸福感

本文首先梳理了数字普惠金融、商业保险购买与农村居民幸福感三者之间的关系,然后基于2017年中国家庭金融调查数据(CHFS)和北京大学数字普惠金融发展指数进行实证检验。结果表明:数字普惠金融发展能够显著提升农村居民幸福感,且该影响对于低年龄段、低收入以及东部地区的家庭更显著。进一步影响机制分析表明:数字普惠金融通过影响家庭商业保险购买进而提升农村居民幸福感。同时,在考虑了内生性和稳健性问题后,结论依然成立。本研究为进一步甄别幸福感的影响因素、理解幸福的深层本质、推动乡村振兴和提升农村居民幸福感提供了新的思路与启示。     

BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing

This systematic literature review summarizes the extant research in the Behavioral Finance (BeFi) and digital asset spaces to understand better the interactions of behavioral effects on the pricing of assets constructed, enabled, and exchanged in Decentralized Finance (DeFi) markets. We find that asset pricing in these rapidly evolving markets is better explained through BeFi than through traditional finance (TradFi) theory. Investor attention, sentiment, heuristics and biases, and network effects interact to form a highly volatile and dynamic market. We offer a deterministic research framework with propositions for future research. We further provide investors with a theoretically and empirically supported structure to better inform their decisions through an understanding of BeFi applications to DeFi.     

Earnings quality and investment efficiency: the role of the institutional settings

Review of Quantitative Finance and Accounting - The current study examines the association between earnings quality (EQ) and investment efficiency (IE) using the conditional effect of legal origin....     

BOOK REVIEWS

Book Reviews in this Article: Aggregate Theory and Policy: Quantitative Planning of Economic Policy. Edited by Bert G. Hickman . Aggregate Theory and Policy: Employment Policy and the Labor Market. Edited by Arthur M. Ross . Business Finance and Investments: Business Finance. By Louis K. Brandt . Business Finance and Investments: Frontiers of Investment Analysis. Edited by E. Bruce Frederickson . Business Finance and Investments: Business Finance: The Management Approach. By Richards C. Osborn . Business Finance and Investments: The Great Boom and Panic. By Robert T. Patterson . Financial Institutions and Markets: The Flow of Capital Funds in the Postwar Economy. By Raymond W. Goldsmith . National Bureau of Economic Research. Financial Institutions and Markets: The Federal Reserve and the American Dollar: Problems and Policies, 1946–1964. By James L. Knipe . Financial Institutions and Markets: Financing Real Estate. By Sherman J. Maisel . Financial Institutions and Markets: Time Deposit Growth and the Employment of Bank Funds. By George R. Morrison and Richard T. Selden . Financial Institutions and Markets: Money and Banking. By John G. Ranlett . International Finance: Foreign Dollar Loans In Europe. By Paul Einzig . Public Finance: Federal Lending and Economic Stability. By George F. Break . Public Finance: Financing State and Local Governments. By James A. Maxwell . Public Finance: The Tax on Value Added. By Clara K. Sullivan .