Permanent trading impacts and bond yields

We analyse four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platforms. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We not only find strong evidence of information asymmetry in sovereign bond markets, but also show the relevance of information asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our results confirm that trades of more recently issued bonds and longer maturity bonds have a greater permanent effect on prices. We compare the price impact of trades for bonds across different maturity categories and find that trades of French and German bonds have the highest long-term price impact in the short maturity class, whereas trades of German bonds have the highest permanent price impact in the long maturity class. More importantly, we study the cross-section of bond yields and find that after controlling for conventional factors, investors demand higher yields for bonds with larger permanent trading impact. Interestingly, when investors face increased market uncertainty, they require even higher compensation for information asymmetry.     

Security Market Effects Associated with SFAS No. 131: Reported Business Segments

In this study we examine the economic impact of the expected shift from the FASB's segment reporting requirements found in SFAS No. 14 to those found in SFAS No. 131. SFAS No. 131 was the joint effort of the United States' FASB and Canada's Accounting Standards Board (AcSB). It requires firms to report segments based on the firm's internal reporting and management arrangements (the management method) rather than on SFAS No. 14's line-of-business method. One alleged deficiency with the line-of-business method is its flexibility that allowed companies to combine segments. Analysts complained that companies abused this flexibility to conceal information. The management method allegedly is less flexible because companies must report segments externally the same way that they manage them internally. We examine the economic impact of the reporting standard shift by first developing company variables related to the alleged concealment of information under SFAS No. 14. These variables help us to explore why companies combine business segments under the line-of-business method and what costs companies are expected to incur when they are forced to implement the management method. Next we identify a series of dates that chronicle when the market received information about the content of SFAS No. 131. Results of the stock return tests suggest that SFAS No. 131 had a significant impact on firms that previously had the greatest incentives to conceal segment information, consistent with the conjecture that the standard imposed unanticipated costs on affected firms.     

论欧盟证券法一体化的发展与困境

欧盟证券法一体化经历了三个发展阶段。目前来看，随着《金融服务行动计划》的实施，四级立法程序获得采用，欧盟证券法已经进入一个崭新的发展时期。在证券市场从业者监管方面，1993年《投资服务指令》确立了欧盟证券服务市场的“单一执照”体制，2003年的《说明书指令》则确立了证券发行与上市及其信息披露制度；在证券市场交易行为监管方面，欧盟已经确立了上市公司要约收购制度、上市公司信息披露制度和禁止内幕交易与市场滥用制度。但是，欧盟证券法一体化仍然面临着许多不确定因素，如公正与效率两种监管目标的冲突、欧盟证券立法的实施、促进证券市场的统一与公平竞争的维护、各国证券立法的协调等等。欧盟内部政治经济的发展对其一体化进程至关重要。     

Experimental Tests of Self-Selection and Screening in Insurance Decisions

A major characteristic of insurance markets is information asymmetry that may lead to phenomena such as adverse selection and moral hazard. Another aspect of markets with asymmetric information is self-selection, which refers to the pattern of choices that individuals with different personal characteristics make when facing a menu of contracts or options. To combat problems of asymmetric information, insurance firms can use screening. That is, they can offer the clients a menu of choices and infer their characteristics from their choices.This article reports the results of several studies that examined the degree to which people behave according to the notions of self-selection and screening. Subjects played the role of either insurance buyers or sellers. The results of these studies provide partial support for the hypothesis that subjects use self-selection and screening in insurance markets. Our study also points at the importance of learning in experimental studies. In one-stage experiments where subjects did not get feedback, screening was not detected. When multistage experiments were conducted, and the subjects learned from experience and were also taught the relevant theories, their decisions were more aligned with screening.     

证券监管体制的缺陷与社会证券监管力量的崛起

本文分别从政府监管与自律监管两方面对当前证券监管体制的缺陷进行了深入分析，认为近来在中美两国出现的几起社会证券监督案例并非巧合，而是对现有体制缺陷的回应。在对这几起案例进行法律与经济上的分析后，本文指出社会证券监督有其必要性与应然性，但也存在着激励不足或利益冲突等问题。倘能由非营利组织介入证券市场，实现多元监管的制度框架，则有利于投资者保护与证券市场完善。     

Is Off–Board Trading Detrimental to Market Liquidity?

Dual trading can have opposite effects: although competition between markets should induce dealers to offer cheaper transactions, market fragmentation could reduce market activity, liquidity, and exchange efficiency. This paper shows that for French stocks traded on the London Stock Exchange's SEAQ International (SEAQ–I), market activity decreases significantly in the Paris Bourse during UK bank holidays. Thus, SEAQ–I market makers seem to divert a new clientele to the Paris Bourse, increasing both market activity and the breadth of the Bourse's order book. Also, contrary to the fragmentation hypothesis, dual trading does not seem to increase information asymmetry.     

我国证券纠纷调解机制的完善和金融申诉专员制度合理要素的借鉴

我国新修订的《证券法》于2020年3月1日正式施行。作为资本市场根本法规,《证券法》新增第六章"投资者保护"可谓亮点之一,其中第94条规定"强制调解制度"在诉讼和仲裁之外为投资者提供了新的维权路径,加强对投资者的事后保护。但目前我国证券纠纷调解机制仍有诸多问题,例如法律条文碎片化、调解协议刚性不足、调解衔接机制不完善、调解机构体系混乱、监督机制不力等,这些弊病从根本上严重影响证券纠纷调解机制的制度设计和程序运行。本文拟通过分析英国金融申诉专员制度的成熟经验,为我国证券纠纷调解机制的完善和发展提出优化路径。     

次贷危机中资产证券化对金融市场流动性的影响

次贷危机是一场金融市场流动性紧缩的危机.在流动性紧缩的过程中,连接多个利益主体的资产证券化负有很大责任.本文采用计量经济理论中的VAR模型对次贷危机中资产证券化对金融市场流动性的影响进行实证分析,发现在次贷危机的演进过程中,资产证券化确实对金融市场的流动性产生了持久的负面冲击效应,并导致了流动性紧缩的传导和扩散.因此,...     

Relationship Between Analyst Forecast Properties and Equity Bid‐Ask Spreads and Depths Around Quarterly Earnings Announcements

Abstract:   We study the relationships between three variables which proxy for the ex‐ante level of information asymmetry – forecast dispersion, forecast revision volatility, and the level of analyst coverage, and equity bid‐ask spread and depth changes around quarterly earnings releases. Kim and Verrecchia (1994) suggest that earnings releases increase the level of information asymmetry and lower the level of liquidity in the security market. Using both an OLS regression framework and a simultaneous equations model, we examine whether equity bid‐ask spreads increase and depths decrease as the level of information asymmetry increases. Our results indicate that spreads are higher (relative to a non‐event period) around earnings announcements when information asymmetry is more pronounced; however, depths are lower only on the day following the announcement when there is greater information asymmetry. Relative spreads have a significant positive relation with both forecast dispersion and revision volatility and a significant negative relation with analyst coverage. Relative depths have a significant negative relation with forecast dispersion and a significant positive relation with analyst coverage. Our findings indicate that the equity specialist adjusts both spreads and depths when confronting informed traders around earnings releases and that these adjustments are more pronounced when the level of information asymmetry is greater.     

The syndicate structure of securitized corporate loans

Securitized loans have lower lead bank shares, but larger shares held by non-CLO (collateralized loan obligation) institutional investors than nonsecuritized loans. The result can largely be explained by their degree of information asymmetry and credit risk. We find that lead banks increase their holdings after a nonsecuritized loan becomes securitized, but they do not reduce financial exposure to securitized facilities during the boom of the CLO market. Furthermore, we find that securitized loans do not perform differently from similar nonsecuritized loans. We conclude that differences in syndicate structure are likely shaped by participants’ investment preference rather than a manifestation of adverse selection.     

From Implicit to Explicit: The Impact of Disclosure Requirements on Hidden Transaction Costs

This paper provides evidence that disclosing corporate bond investors' transaction costs (markups) affects the size of the markups. Until recently, markups were embedded in the reported transaction price and not explicitly disclosed. Without explicit disclosure, investors can estimate their markups using executed transaction prices. However, estimating markups imposes information processing costs on investors, potentially creating information asymmetry between unsophisticated investors and bond‐market professionals. We explore changes in markups after bond‐market professionals were required to explicitly disclose the markup on certain retail trade confirmations. We find that markups decline for trades that are subject to the disclosure requirement relative to those that are not. The findings are pronounced when constraints on investors' information processing capacity limit their ability to be informed about their markups without explicit disclosure.     

证券市场参与者之间关系及其变化的比较研究

本文主要探讨了证券市场主要参与者间关系及其变化。研究发现,与国外证券交易所之间的竞争不同,我国沪深两个交易所之间的竞争主要表现为监管竞争与对板块上市机会的主动争取上;证监会与交易所之间的关系是一种领导关系而非监管、合作关系;就证监会与被监管者而言,除监管关系以外,证监会与被监管者之间还存在着容忍、合谋等关系;上市公司与投资者之间的关系主要是一种合作与监督关系。     

Treasury Safety,Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses

Treasury securities enjoy a “money premium” because they are ultra-safe and liquid. However, during debt limit impasses, the safety and liquidity of Treasury securities temporarily deteriorate, eroding the money premium. Using past impasses, we find the money premium eroded by roughly six basis points across all Treasury securities and up to 50 basis points for the shortest maturities at the greatest risk of a delayed principal payment. Safety and liquidity each accounted for about half of the erosion. The deterioration of safety and liquidity also appears to interact, consistent with theories of default-driven liquidity risk and the information sensitivity of debt.     

终极控制人两权分离、所有权性质与股票流动性

以2003～2009年沪深两市仅发行了A股的上市公司为样本,使用高频交易数据构造相对有效价差和相对报价价差以衡量股票流动性,同时采用价差分解的方法构造逆向选择指标以衡量信息不对称程度,对这一问题进行了考察。研究结果表明:两权分离度越高,则股票流动性越低,信息不对称程度越高;和国有企业相比,这一关系在民营企业中表现得更加的明显。     

试论上市公司信息披露差异化

差异化的信息披露是证券市场公平与效率的体现,有助于全面保护投资者利益,降低上市公司信息披露成本,增加监管的针对性。上市公司质量是信息披露差异化的衡量标准,上市公司信息披露的差异化体现为证券信息是否披露、披露方式和披露重点的判断和认定。为了构建我国的差异化信息披露制度,要明确信息披露的法律依据,规范和强化信息披露差异化的认定,建立信息披露差异化的等级制度。     

证券监管与执法ADR模式探参

选择性或替代性纠纷解决方法（ADR），是一种新兴的诉讼外和解机制，它具有程序简捷、解决纠纷快、降低成本、提高效率及减少诉讼风险等优势。目前，ADR在美、欧等发达国家司法实践以及资本市场监管与执法中被广泛采用。本文在总结ADR特点、类别的基础上，对ADR在证券监管与执法中的表现形式进行了分析，结合我国资本市场新兴加转轨的发展现状，论述了引入ADR制度的必要性，并诠释TADR的适用范围及模式选择。     

流动性过剩、主要表现和宏观调控

在对流动性和流动性过剩的内涵进行分析的基础上,文章从货币超额供给、外汇占款持续快速增加、银行业金融机构货币沉淀快速扩大、价格泡沫日益显现和各因素的综合表现等五个方面分析了流动性过剩的主要表现。提出了流动性过剩宏观调控的对策建议：明确流动性过剩宏观调控应关注的方向、充分发挥市场在资源配置中的决定性作用、完善中央银行的宏观货币调控体系和进一步推进人民币国际化。     

证券监管的有效性研究

本文对中国证券业的价格规制和进入规制的实施效果进行分析 ,指出现行监管措施并没有达到监管的目标 ,并据此提出了提高证券监管有效性的对策思路     

重启资产证券化与我国的发展路径

传统金融监管不能有效应对资产证券化风险,是导致2008年次贷危机的主因。资产证券化在一国金融市场中占据重要地位,其发起-分流业务模式引发的风险需要金融监管者通过强化金融中介的激励机制和信息披露制度予以解决。美国已通过金融监管改革,在更安全、稳固的基础上重启资产证券化市场。我国有必要立足国情,完善试点法制和发挥自律组织的作用,重启并推广风险可控的资产证券化模式,以受益其功用和加快多层次资本市场的建设。