限售股流通与股价效应关系的实证研究

本文运用事件研究法对限售股上市流通的股价效应进行了实证研究。研究结果袁明：限售股的上市流通带来负的股价效应;样本公司的特征及股票的交易特性显著影响股价效应;在累积超额收益率为正的样本中,累积超额收益率与净资产收益率负相关,与区间日均股票换手率、股票每股收益正相关;在累积超额收益率为负的样本中,累积超额收益率与IPO到限售流通股上市流通的时间、账面市值比、区间日均成交量负相关。     

On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002

Theoretical considerations appear to support the conjecture that stock returns are positively related to growth in the long run. However, the empirical literature does not give unanimous support to the theory. Based on a stochastic general equilibrium model it is argued that the long-run relationship between stock returns and per capita income growth is ambiguous and depends on output volatility. Using a century of data for 20 Organization for Economic Co-operation and Development (OECD) countries it is shown that the relationship between stock returns and growth is positive over the period 1916–1951, in which output volatility was persistent. Outside this period no relationship between stock returns and growth is found. These findings are consistent with the predictions of the theoretical model.     

Grexit news and stock returns

During the first 8 months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of 1 January 2015–19 August 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an 8-month snapshot of the Greek Government debt crisis.     

上市公司股权激励的短期财富效应研究

2006年1月至2008年1月我国共有60多家上市公司采取了股权激励的方案。采用事件研究法对这些上市公司股权激励案例进行实证研究发现,在选定的时间窗口内,总样本的股权激励活动会引起显著的股东短期财富效应变化。分类研究发现,股票期权的激励形式引起的财富效应大于限制性股票的形式,但是,高比例的股权激励并不一定产生较高的财富效应。另外,成长性也是投资者关注的因素之一。成长性高的公司的股价上升幅度较成长性低的公司大。     

NoteShort-term predictability of German stock returns

The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.Research supported by Deutsche Forschungsgemeinschaft (DFG); I am grateful to Ralf Runde for preparing the data and to Gerd Ronning and an anonymous referee for helpful criticism and comments.     

When Do Opening Stock Returns Tend to be Higher?

Abstract

In this study, I make an effort to formulate a trading rule that would make use of some systematic interday patterns in individual stocks’ opening returns. I analyze intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2012. I document that if the general market direction of the previous day's opening session is controlled for, then a stock's opening return tends to be higher if, on the previous trading day, its opening return was relatively high (either positive, or higher than the same day's opening market return) and its open-to-close return was relatively low (either non-positive, or lower than or equal to the same day's open-to-close market return). Finally, for the sampling period, I construct two different investment portfolios involving a long position in the stocks on the days when, according to the findings, their opening returns are expected to be high and a short position in the stocks on the days when, according to the findings, their opening returns are expected to be low. Both portfolios are found to yield significantly positive returns, providing evidence for the practical applicability of the documented patterns in opening stock prices.     

International co-movements of real and financial economic variables

This study presents a first attempt at investigating whether the international co-movements of real economic activity conform to the same international co-movements of financial activity. This study tests the international co-movements of real economic activity, on the one hand, and financial variables such as stock returns, interest rates, inflation rates and risk premiums, on the other hand. We employ a dynamic correlation model on data from OECD countries for the period 1980–2010. Our findings demonstrate that international stock markets co-react in accordance with the underlying international economic forces. We also document three other results. First, the correlation among countries with respect to real economic activity is statistically positive, but the level of this correlation is lower than that of financial variables. Second, there is a significant increase over time in the international correlation level with respect to the financial variables. Finally, the creation of the Euro Monetary Union and the adoption of an inflation targeting policy in many countries have increased the international correlation of all of the financial variables tested. The article concludes with two implications from these findings: (1) predictions in the context of international portfolio diversification, and (2) policy making at the fiscal and monetary levels.     

The effects of haze pollution on stock performances: evidence from China

Haze pollution has become the most important environmental issue in China in recent years. Using the data of PM_2.5 concentration and stocks of listed companies located in Beijing between 2010 and 2014, this article investigates the effects of haze pollution on stock performances. Empirical results indicate that haze pollution has significant negative effects on stock returns and significant positive effects on stock volatilities, through the channel of investors’ mood. Furthermore, the effects of haze pollution on stock returns emerge gradually and the effects of haze pollution on stock volatilities weaken gradually over time during a trading day.     

Estimating the market value of Steve Jobs using an event study

Using an event study approach, we seek to estimate the value investors placed on Steve Jobs by investigating the stock market reactions to his death. In the three-day window surrounding his death, the estimated cumulative abnormal returns are ?5.76%. Given the market capitalization of Apple at the time, it can be inferred that investors valued Steve Jobs at 20 billion dollars. While tragic, the news about Jobs’ death is greeted favourably by Apple’s competitors. The competitors appear to be convinced that, without Steve Jobs, they can compete with Apple better.     

国家主权信用评级、跨国传染与股票市场回应?--基于全球48个经济体的事件研究

掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明：(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影响市场及传染的主要渠道。文章的结论深化了我们对评级调整如何影响股票市场及其传染渠道的认识,也为中国防范国外主权信用评级变动风险提供了有益启示。     

Does international oil volatility have directional predictability for stock returns? Evidence from BRICS countries based on cross-quantilogram analysis

While numerous studies have investigated the relationship between oil volatility and stock returns, it is surprising that little research has examined the quantile dependence and directional predictability from oil volatility to stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries. We address this issue by using the cross-quantilogram model proposed by Han et al. (2016). The empirical results show that, overall, oil volatility has a directional predictability for the stock returns in BRICS countries. When the oil volatility is in a low quantile (lower than its 0.1 quantiles), it is less likely to show either a large loss or a large gain in the stock market. In contrast, there is an increased likelihood of either large loss or a large gain in the stock market when the oil volatility is in a high quantile (higher than its 0.9 quantiles). The directional predictability from the oil volatility to stock returns depends on the net position of oil imports and exports of these BRICS countries in the oil market. The net oil exporters (Russia and Brazil) are less likely to have large gains and large losses in the stock market than are the net oil importers (India, China, and South Africa) when the oil volatility is in a low quantile. The net oil exporters are more likely to have large gains and large losses than are the net oil importers when the oil volatility is in a high quantile. The results are robust to change in the variable of oil volatility and the sample interval.     

分析师的估值模型会影响评级的信息含量吗?

本文基于2014—2018年发布的沪深两市A股上市公司深度研究报告,考察了分析师报告中关于估值方法的描述,探究分析师估值模型的选择是否会对其投资意见的信息含量产生影响。研究发现,分析师采用绝对估值模型能够提高评级调整的市场反应,具有一定的增量价值。进一步分组检验发现,在公司成长性较高、不确定性较大、券商实力较弱、分析师之间的竞争程度较高的情况下,使用绝对估值模型对于提高分析师评级调整的信息含量作用更大。本文的研究结论对于理解分析师估值过程的价值和有效性以及分析师研究报告信息含量的影响因素具有重要意义,并为投资者如何使用和评价分析师研究报告提供了一定的参考。     

Do stock market returns predict changes to output? Evidence from a nonlinear panel data model

Recent empirical work suggests a predictive relationship between stock returns and output growth. We employ quarterly data from a panel of 27 countries to test whether stock returns as useful in predicting growth. Unlike previous research, our approach allows for the possible non-linear effect of recessions on the growth-return relationship. There is strong evidence to suggest that a linear model would be misspecified and provide potentially misleading inference. Using a switching regression approach, we find evidence that returns are most useful in predicting growth when the economy is in recession.First version received: November 2002/Final version received: April 2003This paper benefited greatly from discussions with Kalvinder Shields, Mark Harris, Pete Summers, and Vance Martin. Two anonymous referees provided useful comments on an earlier version of the paper for which we are grateful. The usual disclaimer applies to any errors and omissions. Funding from The University of Melbourne greatly assisted in the completion of this paper.