货币政策与股票市场流动性风险——来自中国股票市场的经验证据

本文首先应用模型刻划了我国股票市场流动性变化特征,并以非预期流动性度量流动性风险:其次从货币供应量和利率两个方面,应用VAR模型分析了我国货币政策与流动性风险的关系.研究发现M2的变化对流动性风险影响最大,准M2、M1的变化次之,M0、准M1的变化最小;流动性风险对准Ml变化影响最大,对M1、M2变化次之,对准M2和M0变化几乎没有影响.利率与流动性风险相互影响很小.     

Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both fixed and time-varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the period of a global financial crisis. Our results suggest the presence of a low LGD and a relatively high PD during a recent financial crisis.     

会计师事务所合并与审计定价——基于2003—2009年十起合并案面板数据的研究

会计师事务所合并究竟是会提高还是会降低审计收费,取决于合并后事务所声誉及市场势力提升所带来的审计溢价与规模效应所导致的审计成本降低两方面孰者相对占优。文章以我国2003—2009年间十起事务所合并案为对象,利用其上市公司客户在事务所合并前后各2年的面板数据,检验了事务所合并对审计定价的影响。结果发现,事务所合并后,其审计收费显著提高。对所有事务所客户审计费用的横向比较也印证了上述结论。研究还发现,事务所合并后第一年审计收费的提升较第二年更为明显;就稳定客户数据而言,本土事务所之间合并对审计定价的影响不如涉及"四大"的合并显著;此外,新设合并与吸收合并对审计定价的影响没有显著差异。     

Political Risk and Foreigners' Trading: Evidence from an Emerging Stock Market

This paper analyzes the impact of political risk on foreign investors' trading in emerging stock markets, market-wide and for industry portfolios, using quantified political risk ratings reported in the International Country Risk Guide and foreign flows data compiled by the Istanbul Stock Exchange. We also track the differential effect of political risk upgrades and downgrades. Political risk is shown to affect stock returns, net foreign flows, and macroeconomic variables. Foreigners' reaction to upgrades (downgrades) is slow (immediate) and smaller in magnitude. Foreigners' reaction to political risk varies with industry's sensitivity to market risk, except for the tourism sector, where their response is particularly salient. Local investors appear to provide liquidity to foreigners, who respond to information.     

Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market

We study the performance of conditional asset pricing models and multifactor models in explaining the German cross‐section of stock returns. We focus on several variables, which (according to previous research) are associated with market expectations on future market excess returns or business cycle conditions. Our results suggest that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved when allowing for time‐varying parameters of the stochastic discount factor. A conditional CAPM using the term spread explains the returns on our size and book‐to‐market sorted portfolios about as well as the Fama‐French three‐factor model and performs best in terms of the Hansen‐Jagannathan distance. Structural break tests do not necessarily indicate parameter instability of conditional model specifications. Another major finding of the paper is that the Fama‐French model – despite its generally good cross‐sectional performance – is subject to model instability. Unconditional models, however, do a better job than conditional ones at capturing time‐series predictability of the test portfolio returns.     

投资者总是风险厌恶吗？——来自中国股市的证据

金融市场中的很多现象都是由人的流行心态和狂热心理所决定的，人在证券市场中的行为是在“贪婪与恐惧”中摇摆的结果。……     

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive‐net‐supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small.     

The Pricing of Audit Services: Further Evidence from the Canadian Market

Since the seminal work of Simunic (1980), many studies have investigated audit pricing, competition in the audit industry, product differentiation and audit cost functions. This study expands on the work done to date by examining Canadian audit fees across time, audit firm and industry. The observations of audit fee data span the period of time during which the provincial codes of professional ethics with respect to fee tenders and advertising in general were relaxing in Canada. The results reported in this study support the existence of differentiated audit services in the Canadian audit market, and are consistent with DeAngelo's (1981) size interpretation of audit quality. Although no significant differences in the pricing of audit services across time are detected, the data provide evidence of significant pricing differences across (pre-merger) Big Eight audit firms in the small auditee market, suggesting that treating these audit firms as a homogeneous group in future research may not be appropriate. These inter-firm pricing differences do not appear to be due to the potential confounding effects of the auditee's industry. In contrast to previous studies, a significant positive association between internal and external audit costs is observed, suggesting a complementary, rather than a substitute, relationship.     

创业板市场IPO定价效率研究——来自香港市场的经验证据

本文对香港创业板市场IPO抑价现象进行了实证检验，研究表明，香港创业板IPO市场定价效率相对较低：风险投资家能够带领风险企业提前上市并得到投资者认同；IPO企业经营年限、价值不确定性及IPO发行时信息处理效率等变量对香港创业板IPO市场定价效率有显著影响：承销商、审计事务所的鉴证功能得不到体现；高效的IPO发行机制有利于创业板IPO市场效率的提高。     

The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.     

The Return of the Size Anomaly: Evidence from the German Stock Market

This paper examines the size effect in the German stock market and intends to address several unanswered issues on this widely known anomaly. Unlike recent evidence of a reversal of the size anomaly this study documents a conditional relation between size and returns. I also detect strong momentum across size portfolios. The results indicate that the marginal effect of firm size on stock returns is conditional on the firm's past performance. I use an instrumental variable estimation to address Berk's critique of a simultaneity bias in prior studies on the small firm effect and to investigate the economic rationale behind firm size as an explanatory variable for the variation in stock returns. The analysis in this paper indicates that firm size captures firm characteristic components in stock returns and that this regularity cannot be explained by differences in systematic risk.     

劳动杠杆的定价效力:来自中国A股市场的证据

本文选取中国沪深A股2002年至2018年的季度数据,从公司层面考察了劳动杠杆(由劳动力成本粘性特征导致的企业利润变化率大于产出变化率的经济现象,可理解为不考虑固定成本时经营杠杆的特殊表现形式)对股票截面收益率的定价效力。结果发现:(1)劳动杠杆对截面收益率具有显著负向影响,具体表现为高劳动杠杆公司的收益率低于低劳动杠杆公司的收益率;(2)该影响在控制了公司特征后依然显著存在;(3)该影响在不同经济周期下表现不同:在经济下行期,负向定价效力更为明显。进一步地,本文通过生产率冲击和工资冲击这两个风险来源探究了劳动杠杆的作用机制。结果表明,劳动杠杆一方面通过生产率冲击产生显著正向影响,另一方面通过工资冲击产生显著负向影响。但后者的影响程度显著强于前者,两者的相对重要性取决于上市公司的技术水平。相关结果能够为公司应对劳动力成本上升、理解劳动杠杆的定价机制及相关投资策略的制定和风险管理等提供经验支持。     

股指期权对股指期货的促进作用:来自韩国的证据

本文结合解析韩国KOSPI200期权对于KOSPI200期货市场的影响,论证股指期权市场对股指期货市场在提高流动性和培育机构投资者方面的显著作用。借鉴韩国股指衍生品市场发展经验,笔者认为在沪深300股指期货平稳运行之后,要选择时机及时推出股指期权,这样可以保证良好的流动性。为此,应当加快制定股指衍生品市场体系的发展战略。     

Worrying about the Stock Market: Evidence from Hospital Admissions

Using individual patient records for every hospital in California from 1983 to 2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, and major depression. The effect is nearly instantaneous (within the same day) for psychological conditions, suggesting that anticipation over future consumption directly influences instantaneous utility.     

Market Segmentation and Stock Prices: Evidence from an Emerging Market

We examine the relationship between stock prices and market segmentation induced by ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate between foreign and domestic traders, and between domestic individuals and institutions. Significant stock price premia are documented for shares not restricted to a particular investor group. We analyze the theoretical and empirical determinants of premia across firms and over time. In addition to economy-wide factors, segmentation reflects the relative scarcity of unrestricted shares. The results provide additional support for Stulz and Wasserfallen's (1995) hypothesis that firms discriminate between investor groups with different demand elasticities.     

Information, Credit Risk, Lender Specialization and Loan Pricing: Evidence from the DIP Financing Market

We provide an empirical support for theories of lender specialization using the recently developed market for Debtor-in-Possession (DIP) financing. The legal environment in which DIP financing operates represents a natural laboratory for testing determinants of lending specialization (e.g. lender choice). We find that the choice of lender is not driven by credit risk, but by information considerations and that this lending specialization has loan pricing effects. In short, banks (non-bank lenders) lend to more (less) transparent firms and at lower (higher) loan spreads. Our results are consistent with the interpretation that banks provide important and useful services.

Liquidity,Skewness and Stock Returns: Evidence from Chinese Stock Market

In this paper, a capital asset pricing model (CAPM) incorporating liquidity and skewness factors is proposed and tested by using the Chinese stock market data. The empirical results indicate that, under various market conditions, the liquidity-adjusted three-moment CAPM provides a better fit to the realized returns of various stock portfolios. Overall, this research reveals that illiquidity cost, liquidity risk and as well as skewness have important impacts on asset pricing in the Chinese stock market.     

Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.