Interest rates and risk premia in the stock market and in the foreign exchange market

This paper documents common empirical regularities in the foreign exchange market and in the US stock market. We find that increases in interest rates are associated with predictable increases in the volatility of returns in both markets, and that expected returns both in the stock market and in the foreign exchange market are negatively correlated with nominal interest rates.We show that not taking into account the time variation of second moments may seriously affect tests of asset pricing models. Using a numerical example based on the static capital asset pricing model, we are able to produce fluctuations in risk premia similar to those observed empirically. Finally we show that the overidentifying restrictions of the latent variable capital asset pricing model are not rejected when beats are assumed to be correlated with nominal interest rates.     

Corporate Risk Management as a Lever for Shareholder Value Creation

Firm value is influenced in many direct and indirect ways by financial risks which consist in unexpected changes of foreign exchange rates, interest rates and commodity prices. The fact that a significant number of corporations are committing resources to risk management activities, however, represents only an indication for the potential of corporate risk management to increase firm value. This paper presents a comprehensive review of positive theories and their empirical evidence regarding the contribution of corporate risk management to shareholder value. It is argued that because of realistic capital market imperfections, such as agency costs, transaction costs, taxes, and increasing costs of external financing, risk management on the firm level (as opposed to risk management by stock owners) represents a means to increase firm value to the benefit of the shareholders.     

资产专用性与公司资本结构——来自中国制造业股份有限公司的经验证据

交易成本经济学视角下的公司融资理论指出,债务与权益应该视为不同类型的“治理结构”,而这种治理结构的具体选择又主要取决于公司资产专用性。我们以2001—2003年我国制造业股份有限公司为研究对象,运用多元线性回归计量模型实证表明,公司资本结构与资产专用性和盈利能力负相关,但公司盈利能力与资产专用性正相关。因此,公司资本结构的决策不仅要考虑公司资产投资具有专用性的特点,而且还要考虑其自身的盈利能力,才可能在激烈的产品市场竞争中获得可持续竞争优势与优良绩效。     

政府补助、融资结构与中小企业研发投入--基于动态面板系统GMM与门槛效应分析

采用2015—2019年中小板上市企业面板数据,实证检验政府补助对中小企业研发投入的影响,并基于融资结构视角,进一步应用动态面板门槛模型研究发现:政府补助能够显著促进企业研发投入,且由于财务冗余以及资金使用偏好等因素的存在,该影响表现出滞后性与门槛异质性特点。当内源融资水平低于或等于0.353、债权融资水平与股权融资水平分别处于20.938—30.728、-0.357—14.489区间时,补助效果最佳。据此提出完善监督机制、优化补助政策、加大资本市场改革力度等提高政府补助使用效率的相关建议。     

美国货币政策溢出效应、中国资产价格波动与资本账户管理

本文以2016年美国加息事件为背景,研究美国货币政策对中国资本流动、资产价格和宏观经济的影响。基于小国开放动态随机一般均衡模型,本文梳理了美国货币政策溢出效应的具体传导渠道,发现国外利率升高后,资本流动具有外部性,导致国内资产价格下跌,其通过金融加速器进一步使国内投资下降、资产价格进一步下跌,从而使得国内资产预期回报进一步下降,加剧资本外流。基于政策和福利分析,本文发现资本账户管理可以有效缓解国外利率冲击对经济波动的影响,同时会提高货币政策的独立性,但也会影响国民财富的最优配置。因此,最优的资本账户管理应同时兼顾宏观审慎和效率两个方面。     

Asset pricing with heterogeneous preferences,beliefs, and portfolio constraints

Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints.     

消费金融资产证券化与系统性风险管理研究

在强大的市场需求和金融科技支持下,消费金融公司自正式试点以来呈现良好的发展态势,其中资产证券化成为消费金融公司的重要融资方式。资产证券化在助力消费金融公司增资扩容、改善流动性和提高运营稳健性的同时,也促使消费金融行业风险高并导致诉讼案件的增加。本文基于捷赢个人消费贷款资产支持证券的经验证据,明确了消费金融创新、消费金融风险与金融市场系统性风险管理之间的内在联系,揭示可以通过大数据精准获客、规范催收行为和智能风险防控等措施为消费金融市场发展保驾护航。因此,针对消费金融资产证券化,政府应制定专门的政策法规以强化风险管理,不断完善消费金融资产的监管机制,借助系统性风险管理来规避套利和资金风险,进而促进消费金融资产证券化的稳健有序发展。     

Asset pricing during pandemic lockdown

This paper examines the implications of lockdown policies during early stages of pandemics for asset prices. We build a simple susceptible-infected-recovered model with microeconomic foundations, which allows us to obtain qualitative results with economic implications. In our model, lockdown policies reduce (i) labour income by decreasing working hours and (ii) precautionary savings by decreasing susceptible agents’ probability of getting infected in the future. We qualitatively show that strengthening lockdown measures negatively impacts asset prices at the time of implementation. Our empirical analysis using data from advanced countries supports this finding. Depending on parameter values, our numerical analysis displays a V-shaped recovery of asset prices and an L-shaped recession of consumption. The rapid recovery of asset prices occurs only if the lockdown policies are insufficiently stringent to reduce the number of new periodic cases. This finding implies the possibility that lenient lockdowns have contributed to rapid stock market recovery at the beginning of the COVID-19 pandemic.     

Fiscal incentives and political budget cycles in China

Political budget cycles in democracies have been extensively analyzed, but few studies of non-democracies exist. This paper explores political budget cycles in China’s provinces. Using data from Chinese provinces from 1980 to 2006, the analysis finds that the effects of a provincial leader’s tenure on political budget cycles are minimal, implying a weak causal relationship between spending composition and a politician’s time in office at the provincial level. However, there exists a national coordinated cycle associated with the timing of the National Congress of the Communist Party (NCCP). Two years prior to the NCCP, politicians are likely to shift public spending toward capital expenditures, such as innovation funds and capital construction, and away from current expenditures, such as agricultural subsidies. The opposite pattern occurs during the year of the NCCP, when politicians increase current expenditures, such as social expenditures and government administration, and decrease capital expenditures. The increased capital expenditures 2 years prior to the NCCP are accompanied by an increase in taxation and total aggregate spending. The empirical results indicate that provincial budget cycles are mainly driven by national policies rather than by provincial leaders’ personal career incentives. Chinese leaders’ fiscal behaviors are constrained by the dynamics of the national leadership transition, resulting in similar distortions to those found in the democratic countries.     

Time to wealth goals in capital accumulation

This paper considers the problem of investment of capital in risky assets in a dynamic capital market in continuous time. The model controls risk, and in particular the risk associated with errors in the estimation of asset returns. The framework for investment risk is a geometric Brownian motion model for asset prices, with random rates of return. The information filtration process and the capital allocation decisions are considered separately. The filtration is based on a Bayesian model for asset prices, and an (empirical) Bayes estimator for current price dynamics is developed from the price history. Given the conditional price dynamics, investors allocate wealth to achieve their financial goals efficiently over time. The price updating and wealth reallocations occur when control limits on the wealth process are attained. A Bayesian fractional Kelly strategy is optimal at each rebalancing, assuming that the risky assets are jointly lognormal distributed. The strategy minimizes the expected time to the upper wealth limit while maintaining a high probability of reaching that goal before falling to a lower wealth limit. The fractional Kelly strategy is a blend of the log-optimal portfolio and cash and is equivalently represented by a negative power utility function, under the multivariate lognormal distribution assumption. By rebalancing when control limits are reached, the wealth goals approach provides greater control over downside risk and upside growth. The wealth goals approach with random rebalancing times is compared to the expected utility approach with fixed rebalancing times in an asset allocation problem involving stocks, bonds, and cash.     

关于我国资产价格与货币供应量关系的实证研究

随着金融市场深化与资本市场发展,资产价格波动对货币政策提出新的挑战。该文在回顾相关理论研究的基础上,从完善资产价格统计范围的角度,对我国资产价格与货币供应量的实证关系进行了研究。结果发现,资产价格变动确会对货币政策中介目标产生影响,且不同资产价格对不同层次货币供应量影响不一。建议密切关注资产价格,提升货币政策的前瞻性。     

Analyst forecast characteristics and the cost of debt

We examine the relation between analyst forecast characteristics and the cost of debt financing. Consistent with the view that the information contained in analysts’ forecasts is economically significant across asset classes, we find that analyst activity reduces bond yield spreads. We also find that the economic impact of analysts is most pronounced when uncertainty about firm value is highest (that is, when firms have high idiosyncratic risk). Our findings are robust to controls for private information in equity prices and level of corporate disclosures. Overall, the results indicate that the information contained in analyst forecasts is valued outside the equity market and provide an additional channel in which better information is associated with a lower cost of capital.     

Corporate capital expenditure decisions and the market value of the firm

This paper is an ‘event-time’ study of the common stock prices of a sample of 658 corporations around the dates on which they publicly announced their future capital expenditure plans. For industrial firms, announcements of increases (decreases) in planned capital expenditures are associated with significant positive (negative) excess stock returns. For public utility firm, neither increases nor decreases in planned capital expenditures are associated with significant excess stock returns. We interpret the evidence as being consistent with the hypothesis that managers seek to maximize the market value of the firm in making their corporate capital expenditure decisions.     

美联储货币政策对我国资产价格的影响

本文利用事件研究法考察了美联储货币政策对我国资产价格的影响。研究发现美联储货币政策会显著影响我国资产价格,美联储加息会降低我国债券和股票回报,降息则会提高债券和股票回报。将美联储货币政策进行细分后发现,预期到的货币政策调整对债券市场和股票市场的回报都有显著影响,而未预期到的货币政策调整和前瞻性指引只影响债券市场。进一步的研究表明,未预期到的美联储货币政策调整和前瞻性指引还会加剧我国金融市场的波动率。本文的研究结论为美联储货币政策对我国经济金融的影响提供了新的证据,对于投资者提高投资收益、降低投资风险以及货币当局完善我国货币政策调控和维护我国金融市场稳定具有重要意义。     

A perfect storm in the financial market

This study provides a model explaining how small changes in asset prices may disrupt an entire financial market. Based on the capital asset pricing model (CAPM), our model implies that during a market crash, asset price changes affect the relative distribution of the CAPM betas of individual assets and force all tradable assets to co-move. Using US stock market data, our empirical results are consistent with the model’s predictions. Overall, the study aids understanding of the price patterns of assets during substantial market downturns, such as financial crises.     

Fiscal Requirements for Dynamic and Real Determinacies in Economies with Private Provision of Liquidity: A Monetarist Assessment

We study the impact of fiscal policies on the inherent links between inflation, unemployment, and asset prices in an environment where firms provide liquidity and the central bank follows a constant money growth rate rule. Firms, other than hiring workers, also supply private assets that are not only useful as a store of value but also as collateral. When firms are not taxed and public debt is scarce, the economy is non-Ricardian so that real indeterminacies can be observed. Moreover, labor market characteristics do not affect the demand for government liabilities. However, when agents face public and private asset scarcity, labor market conditions then impact asset prices and inflation. We further show that irrespective of the type of asset scarcity agents face, when firms are taxed non-ad valorem, not only the level of tax revenues but also its composition matter for real allocations. Moreover, we show that labor market conditions directly affect the dynamics of all government liabilities and inflation.     

Institutional quality,economic freedom and stock market volatility in the MENA region

How can a government help secure low-cost equity financing? This study offers an answer that a government can secure sustainable economic progress when policies of economic freedom are well institutionalized in a way that results in low equity volatility, thus low-cost equity financing. This study examines the quantitative and empirical associations between elements of Economic Freedom Index (being treated in this study as a proxy for institutional quality) and stock market volatility. The authors classify the institutional quality into three levels: high, medium and low. The data cover the years 1996–2014 for the MENA countries. The statistical tests include fixed and random effects, linearity versus non-linearity. The results show that stock market volatility can be mitigated and reduced when economic freedom is associated with an effective enforcement of law and efficient regulations. Nevertheless, the high freedom from corruption results in active equity trading which is associated with high volatility that leads in turn to high cost of equity financing. The study contributes to the literature in terms of offering practical insights on the pillars of economic freedom that policymakers must improve in order to mitigate or reduce equity volatility, therefore cost of equity financing.     

Trading strategies based on term structure model residuals

The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore, the estimated interest rates should accurately explain the market prices of these bonds. However, nearly all empirical papers on interest rate estimation, e.g. Svensson, L.E.O. 1994. Estimating and interpreting forward interest rates: Sweden 1992–1994, IMF Working Paper, International Monetary Fund, report significant pricing errors in their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be different tax treatment or different liquidity, but most papers on this research topic, e.g. Elton, E., and T.C. Green. 1998. Tax and liquidity effects in pricing government bonds. Journal of Finance 53: 1533–62, cannot fully explain the observed pricing errors. Therefore, these errors must be at least partially caused by either model misspecification or by the deviation of particular bond prices from general market conditions, i.e. mispricing revealing insufficient market efficiency. We provide empirical evidence for the German government bond market that risk-adjusted trading strategies based on bond pricing errors can yield about 15 basis points p.a. abnormal return compared to benchmark portfolios. Furthermore, the abnormal returns are continuously achieved over the whole time period and not randomly on a few days and show a relation to changes in the level and the curvature of the term structure of interest rates. Therefore, pricing errors contain economic information about deviations of bond prices from general market conditions and are not exclusively caused by model misspecification and/or differences in liquidity and tax treatment of individual bonds.     

The interaction of bank regulation and taxation

The tax benefit of interest deductibility encourages debt financing, but regulatory constraints create dependency between bank leverage and asset risk. Using a large international sample of banks this paper shows that banks located in high-tax countries have higher leverage and lower average asset risk-weights. This trade-off is stronger when regulation is more stringent and for banks with less capital. Non-financial firms' leverage and asset risk are positively related to tax rates, as further evidence of the regulatorily induced adjustment of portfolio risk. A difference-in-difference analysis provides support for a causal interpretation of these results. Overall, higher tax rates are positively correlated with systemic risk, suggesting that the lower asset risk does not offset the risk-inducing effect of tax rates on bank leverage.     

The evolution of risk premium as a measure for intra-regional equity market integration

We estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process and the multivariate nonlinear least squares method. Since our approaches are fully parametric, we can recover any quantity that is a function of the first two conditional moments. Our findings strongly support using a model that includes both regional market and foreign exchange risk. However, both sources of risk are detected only when their prices are allowed to change over time. Our empirical results show clear evidence of market integration to varying degrees, explained by the US term premium and the level of market openness. Though it reaches high values during turmoil periods and exhibits an upward trend toward the end of the estimation period, the Indonesian stock market remains partially integrated into the ASEAN-5 regional market. These results suggest that diversification into Indonesian market assets continues to produce substantial profits and that asset pricing rules should reflect a state of partial integration.