双重上市股票更有投资价值吗？——基于H+A股与A股的对比分析…朱宏泉，应潇潇

通过对比先在H股上市、后回到A股上市的股票（简记为H+A股）与仅在A股上市的股票上市首日收益率、上市后短期和长期收益的差异,探讨两类股票的投资价值。结果显示：相较于A股股票,H+A股上市首日收益更高,但上市后的短期收益和长期收益更低。究其原因,H+A股更高的上市首日收益与其发行定价低相关,短期和长期市场收益低既与公司的业绩不好相关,也与投资者的不认可相关,表明相较于仅在A股上市的股票,H+A股更不具备投资价值。     

中国A股与H股溢价的分析

与其他市场研究结论不同的是,中国公司的A、H股长期以来显示的是A股对H股的溢价,而非折价。研究发现A、H股的价格差异可以由两个市场的预期收益率的差异来解释。分析显示:对于具有相同未来现金流的公司,其价格表现与上市地点相关。还进行了实证研究,得出了滞后变量、流动性差异、风险差异指标、需求(供给)差异指标、总流通市值指标对被解释变量的影响关系。     

中国H股市场IPO抑价现象实证研究

文章通过多元回归模型考察了H股IPO抑价的影响因素。研究发现,H股IPO抑价程度受以下三个因素的显著影响:一级市场超额认购倍数、二级市场的市场收益率以及公司绩效。其中一级市场的超额认购倍数的影响力最大,体现了H股IPO市场化的特征。文章的结论还表明,逆向选择理论与信号传递模型在H股市场上有一定的适用性。     

A股与H股市场对关键审计事项反应的比较研究

以A+H股上市公司2016年度审计报告中首次披露的关键审计事项为研究对象，采用事件研究法比较了A股（内地）和H股（中国香港地区）资本市场投资者对关键审计事项的反应差异，结果表明：A股市场对关键审计事项反应积极，而H股市场对关键审计事项反应不足。进一步研究发现，A股和H股市场均对国际四大与非国际四大披露的关键审计事项反应存在显著差异，且两地投资者对国际四大出具的关键审计事项的市场反应强度高于非国际四大；国际四大中普华永道中天的审计市场份额最大，A股和H股市场投资者对其出具的关键审计事项的市场反应亦显著高于其他国际三大。     

“A+H”股交叉上市对公司代理成本的影响

本文基于捆绑假说理论,以我国A+H股上市公司2007~2009年的经验数据为样本,分析了交叉上市对代理成本的影响。研究结果表明,相对于仅在A股市场上市而言,在香港资本市场更为严格的约束下,A+H股交叉上市行为可以显著抑制大股东侵占中小股东利益的隧道行为。     

A-H股联动性实证研究

一、文献回顾 关于A-H股市场相关性的文献比较丰富,主要可以分为两类:一类是从非对称信息的角度分析市场分割导致H股折价的原因,如李大伟等(2003)认为,市场间信息的不对称性,尤其是公司私有信息的不对称性是造成H股和A股的波动率存在显著差异的主要原因;韩德宗(2006)利用固定效应模型对H股折价率进行实证后发现,A股和H股市场的软分割因素主要包括公司规模、股份流动性等,并提出QDII将成为消除A股和H股市场分割的重要制度创新.     

我国企业会计准则执行状况评价——基于A+H股与A股市场经验数据的对比分析

文章主要采用遵循度量化方法,对我国企业会计准则在A+H股上市公司的执行情况进行了实证检验,并与A股上市公司进行了对比分析,在此基础上得出了A+H股公司与A股公司会计准则执行水平总体逐渐提高,但也存在某些共性问题和部分差异的结论,通过分析差异的成因提出了改进的建议.     

H股公司回归A股市场动因的实证研究

本文以35家采用"先H后A"方式上市的中国企业作为研究样本,建立横截面数据模型,运用广义矩方法对H股公司选择回归A股市场的原因进行实证研究.研究结果表明:国有化程度、上市时机、融资能力以及估值水平是H股公司选择回归A股市场的主要因素.     

A股与H股公司审计意见对股价影响的对比研究

将香港和内地上市公司两者市场审计意见对股价的影响作比较,以2010—2012年的A股、H股上市的公司被出具非标准审计意见的情况为研究对象,以超额收益法、累计平均异常报酬率为方法进行实证分析。研究结果显示：A股上市公司被出具非标准审计意见对股价的负面影响并没有比其被出具标准无保留审计意见更显著;H股市场的非标准审计意见会使股价下跌;H股与A股非标准审计意见对股价影响效果不同。     

A股、H股市场羊群行为实证研究

本文采用分散度指标和偏离度指标对2005-2008年间交叉上市A股和H股市场的羊群行为进行了实证检验．发现A股市场存在羊群效应,但未发现H股市场上的羊群效应。本文认为两地市场在投资者理念、市场结构、信息披露、政府监管方面的差异是造成这种差异的根源,并在此基础上提出了政策建议。本文的研究将对企业在两地市场上投融资,各类投资者规避风险获得稳定收益,两地金融市场的一体化乃至中国资本市场的长远发展具有一定指导意义。     

Long-run stock performance following stock repurchases

Studies examining long-term performance after stock repurchases provide mixed results. I point out two substantive problems in samplings of early studies. First, we should distinguish whether or not firms actually repurchase shares following announcements of repurchase programs. Second, as some firms frequently announce repurchase programs, we should consider overlapping announcements during the performance estimation period to avoid any confounding effects. Using a sample that corrects for these problems and the calendar portfolio regression method, I find strong evidence that firms that announce repurchase programs infrequently and repurchase shares actually experience significant long-term abnormal returns. These findings provide an explanation of why some previous studies failed to find significant positive long-term performance.     

Individual stock sentiment beta and stock returns

Using the data in Chinese stock market, we measure the individual stock sentiment beta, which is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. We demonstrate that stocks in the highest individual stock sentiment beta portfolio have significantly higher excess returns, CAPM alpha, Fama-French three-factor alpha and Fama-French five-factor alpha. Besides, we find that the high individual stock sentiment beta stocks are smaller, younger, more volatile stocks with higher price and higher market beta. After controlling for firm characteristic, the returns of High-Low individual stock sentiment beta portfolios are still significantly positive. Moreover, we show the effect of the individual stock sentiment beta on stock returns is positive and significant in different stock markets, in different sample periods, and in bull and bear market. Besides, the results of the Bayes-Stein individual stock sentiment beta are still stable.     

关于存货准则的几点认识

1关于存货的确认 根据新会计制度,2001年11月财政部发布的<企业会计准则-存货>增加了存货的确认条件.存货的确认就是解决作为资产的存货的范围问题.确认存货应遵循一条基本原则,即凡是在盘存日期,法定所有权属于企业的一切物品,不论其存放地点如何,都作为企业的存货.     

Extendible stock loan

In this paper, the model of extendible stock loan with forbearance is proposed. The loan is extendible, so as to prevent immediate losses or to prevent subsequent price drop; while the forbearance is granted only when the pledged share’s value is above threshold, so as to mitigate the risk-taking behavior induced by the extension. The non-synchronization of the liquidation of insolvent stock loans also alleviates the downward leverage spiral in a market downturn. Numerical analysis shows that fair extendible stock loan rates increase with the forbearance level as well as extension period, and loan rates are quite sensitive to the change of asset volatility and debt ratio. For lenders waiving the interest rates during extension period, their burden grows with extension rapidly when they grant looser forbearance and when asset volatility or loan-to-value is higher. Some suggestions are made accordingly. First, lenders offering uniform extendible loan rate can let borrowers choose between looser forbearance with shorter extension, or tighter forbearance with longer extension. Second, if the loan rate is priced fairly, lower margin requirement can only be accomplished with tighter forbearance. More looser forbearance worth higher rates.     

emerging stock markets

Are stock markets important in underdeveloped countries? Guy Galletly, an economics master at Eton, argues that stock exchanges in Less Developed Countries have a key role in promoting economic growth.     

Individual stock crowded trades,individual stock investor sentiment and excess returns

Recent behavioral asset pricing models and the popular press suggest that investors may follow similar strategies resulting in crowded equity positions to push prices further away from fundamentals. This paper develops a new approach to measure individual stock crowded trades, and further investigates the joint effects of individual stock crowded trades and individual stock investor sentiment on excess returns. Specifically, our results show that the combined effect of individual stock crowded trades and individual stock investor sentiment on excess returns is positive and significant, which reveals the importance of “anomaly factors” in asset pricing. Furthermore, our results suggest that increasing individual stock buyer-initiated crowded trades will increase excess returns simultaneously; however, increasing individual stock seller-initiated crowded trades will decrease excess returns simultaneously. Collectively, our results highlight the importance of individual stock crowded trades and individual stock investor sentiment on the formation of stock prices.     

Fractional integration in daily stock market indices at Jordan's Amman stock exchange

Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the log-periodogram (LP) and local whittle (LW) based semi-parametric fractional differencing techniques suggest that all sectoral returns at ASE exhibit short memory. However, in the case of volatility measures, we found evidence of long memory. Following the recent literature that argues that structural breaks in a time series could also explain the presence of long memory, we tested the volatility measures for the presence of structural breaks. We found that long memory in some volatility measures could be attributed to the presence of structural breaks. Furthermore, using impulse response functions (IRF) based on ARFIMA, we found that shocks to sectoral returns at ASE exhibit short run persistence, whereas shocks to volatility measures display long run persistence.     

JIT与库存管理

JIT是一种先进的管理方式,它可以大大降低库存,提高企业的经济效益。零库存概念的真正含义,并不是库存为零,而是指没有多余的库存;或者说,一切库存都是在按照计划流动。     

The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns

In this article, we construct mixed-frequency individual stock sentiment using MIDAS model. We first investigate the influence power of mixed-frequency individual stock sentiment on excess returns. The results indicate that the higher the frequency of individual stock sentiment is, the better it explains the variation of excess returns, that mixed-frequency individual stock sentiment, especially mixed high-frequency sentiment, exerts greater influence on excess returns than the same frequency one and that the mixed-frequency sentiment has a stronger explanatory power to the variation of excess returns than size factor, book-to-market factor, profitability factor and investment factor do. Then, we study the predictive content of mixed-frequency individual stock sentiment. The results show that the higher the frequency of individual stock sentiment is, the better the forecast performs. Moreover, by comparing the corresponding statistics in influence and predictive power models, we find that the influence power of mixed-frequency individual stock sentiment is more significant than its predictive power.     

The impact of China's stock market reforms on its international stock market linkages

This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The results show that Chinese stock market is linked to these overseas markets and the reforms permit spillovers to these markets from China. The subsequent regression analyses of the time-varying conditional correlations, in the presence of growing economic integration, exchange rate risk and financial turbulence, further indicate that the interdependences between China and the regional markets increase due to the implementation of liberalisation policies. However, the correlation between China and the global market remains weak even though this correlation responds positively to the institutional reforms on China's stock market additionally.