THE CHINESE SECURITIES REGULATORY COMMISSION AND THE REGULATION OF CAPITAL MARKETS IN CHINA

The rapid development of China’s capital markets necessitated the establishment of a regulatory agency that would administer market operations and protect investors’ interests. The Chinese Securities Regulatory Commission (CSRC) was established in 1992 for this purpose. In 1999, the Chinese Securities Law recognized the CSRC as the sole regulatory agency responsible for regulating securities instruments and markets in China. Although the CSRC is considered instrumental to Chinese accounting reforms and capital market development, it has remained relatively unexamined in the accounting literature. This paper contributes to the accounting literature by providing insight into an important regulatory agency that has enormous impact on the economic development of China. Specifically, this paper discusses the CSRC’s establishment and development, its regulatory efforts, and its achievements and shortcomings in its efforts to regulate China’s emerging capital markets. The underlying factors that explain some of the CSRC’s regulatory actions are also analyzed by discussing several cases involving fraudulent financial reporting.     

Option Implied Dividends Predict Dividend Cuts: Evidence from the Financial Crisis

We employ the forward‐looking implied dividend information contained in option prices to predict dividend cuts and omissions during the recent financial crisis. The large number of dividend cuts and omissions during the 2008–09 financial crisis period provides the opportunity to study the predictability of dividend cuts in a controlled environment. Implied dividends and implied volatility, based on put–call parity and computed from put and call option prices, prove to be effective in predicting those cuts, especially compared to only using the equity market and accounting variables conventionally used for this purpose. Options‐derived variables (implied dividends and implied volatility) enhance the ability to identify firms more likely to reduce or omit dividend payments.     

中国证券监管机构立法权问题研析

随着中国证券市场的发展,作为中国证券监管机构的中国证监会的职能日益被关注,其行使的职权的合法性也常因其是事业单位而遭受质疑。中国证监会拥有全国人大和全国人大常委会的授权立法权,但其在行使立法权过程中存在超越权限立法、公众参与立法的规定缺乏力度等问题,应借鉴他国做法弥补中国证监会立法程序中的不足并从多角度完善立法监督机制。     

The effects of taxation on put‐call parity

Share and option transactions are taxed differently, which means that the after‐tax cash flows used to establish put‐call parity will differ depending on which option is exercised. This paper derives the after‐tax put‐call parity relationship for European and American options with or without dividends. Using Australian data for the period July 1999 to June 2002, the after‐tax put‐call parity relationship explains 88.3 per cent of no‐tax lower boundary violations and 78.8 per cent of no‐tax upper boundary violations. The violation are larger for more thinly traded securities, providing some evidence that traders are able to profit from the tax discontinuities that affect investors in options.     

Limited arbitrage and short sales restrictions: evidence from the options markets

We investigate empirically the well-known put–call parity no-arbitrage relation in the presence of short sales restrictions. Violations of put–call parity are asymmetric in the direction of short sales constraints, and their magnitudes are strongly related to the cost and difficulty of short selling. These violations are also related to both the maturity of the option and the level of valuations in the stock market, consistent with a behavioral finance theory of over-optimistic stock investors and market segmentation. Moreover, both the size of put–call parity violations and the cost of short selling are significant predictors of future returns for individual stocks.     

The skinny on the 2008 naked short-sale restrictions

On July 15, 2008, the US Securities and Exchange Commission announced temporary restrictions on naked short sales of the stocks of 19 financial firms. The restrictions offer a unique empirical setting to test Miller’s (1977) conjecture that short-sale constraints result in overpriced securities and low subsequent returns. Consistent with Miller’s overpricing hypothesis, we find evidence of a positive (negative) market reaction to the announcement (expiration) of the short-sale restrictions. Announcement returns are higher for firms that appear to be subject to more naked short selling in the days immediately preceding the announcement of the restrictions. The restrictions are successful in eliminating naked short sales for the restricted stocks, but naked short sales increase dramatically for a closely matched sample of financial firms during the restricted period. We also find that the restrictions negatively impact various measures of liquidity, including bid-ask spreads and trading volume. From a public policy perspective, our findings suggest that, at a minimum, policymakers should pause when considering further short sale restrictions.     

我国证券市场行政许可制度之重构

本文阐述了我国证券市场行政许可的设立和实施应遵循的基本原则和价值理念,在分析证券市场行政许可制度现况和存在问题的基础上,对<公司法>、<证券法>修订时行政许可制度的重构提出了相关建议.     

Contrasting Worldviews at Bank and Securities Market Regulators

Bank and securities regulators operate with different attitudes about the appropriate regulation of financial institutions and markets. Bank regulators’ prudential oversight protects depositors from worrying about the repayment of their bank claims. In contrast, securities market regulators tend to presume that security markets (almost) always clear quickly at prices close to the asset's fundamental value. These regulators seek to assure full disclosure of information, which facilitates active securities trading. In the United States, the Securities and Exchange Commission's (SEC) investor protection duties are tailored to the financial sophistication of individual investors.     

Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

Short‐sales practices in the Hong Kong stock market are unique in that only stocks on a list of designated securities can be sold short. By analyzing the price effects following the addition of individual stocks to the list, we find that short‐sales constraints tend to cause stock overvaluation and that the overvaluation effect is more dramatic for individual stocks for which wider dispersion of investor opinions exists. These findings are consistent with Miller's (1977) intuition and other optimism models. We also document higher volatility and less positive skewness of individual stock returns when short sales are allowed.     

Market quality changes in the London Stock Market

This paper examines the impact that the introduction of a closing call auction had on market quality at the London Stock Exchange. Using estimates from the partial adjustment with noise model of Amihud and Mendelson [Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533–553] we show that opening and closing market quality improved for participating stocks. When we stratify our sample securities into five groups based on trading activity we find that the least active securities experience the greatest improvements to market quality. A control sample of stocks are not characterized by discernable changes to market quality.     

股权分置改革与流动性定价问题研究

在中国经济体制改革已取得重大成效的今天,股权分置问题成为众多经济问题的根源和制约改革进一步深化的障碍,如何在维护股东利益和保持市场稳定的基础上审慎地解决股权分置问题成为了中国面临的巨大的智慧考验。我们认为,对流动性的分析与定价是中国资本市场股权分置改革的核心问题,其意义远大于其表面上的非流通股参与流通,同时也体现在促进金融创新和估值体系重建两个方面。本文不揣浅陋,着眼于流动性的理论依据,试图探讨如何利用衍生金融工具给股票流动性定价,以此来解决对价给付问题。     

Government Regulation,Enforcement, and Economic Consequences in a Transition Economy: Empirical Evidence from Chinese Listed Companies Implementing the Split Share Structure Reform

In a changing transition economy, Chinese government regulations that adopt the relatively simple bright line rule formula are enforceable in practice. Taking the early reform-oriented policies of the China Securities Regulatory Commission (CSRC) as an example, we find that the CSRC did not consider local enthusiasm for reform when allocating IPO resources because of the high enforcement costs involved. We also find that CSRC listed company regulations were enforced due to the lower costs involved in verifying regulatory violations, and that listed companies that completed the reform process were given priority in public refinancing. We present empirical evidence supporting the theoretical basis for the hypotheses outlined above. We also conclude that companies that completed the reform process in 2005 were of significantly higher quality and that the SEO regulation did not affect stock market efficiency. These findings enhance our understanding of the efficiency of government regulation in a transition economy.     

我国证券登记结算法律的进展与疑惑

修订后的《证券法》及证监会制定的《证券登记结算管理办法》通过确立共同对手方、分级结算、货银对付等原则，完善了我国证券登记结算法律，然而对于诸如存管概念、《管理办法》效力权限的不同认识，仍将在实践应用中构成疑问。登记结算机构试图在自己和证券买卖者之间设立防火墙的愿望得到一定程度的实现，但在分离的明晰度上结算环节要好于登记托管环节，证券公司的交易通道功能整体上没有改变。立法应在维护系统稳定与保护投资者间寻求平衡。     

外资悄然渗透中国证券市场

<正> 我国A股市场从建立之初就作为国有大中型企业改制筹资和资本运作的根据地,一直被视为外资企业的禁地。长期以来,国内证券市场的对外开放程度十分有限,对外资企业更是大门紧闭,因此外资不能控股A股上市公司已成为一个不成文的规定。但是,外资企业自始至终从未放弃过介入国内证券市场的尝试和努力,国内市场的铁幕不时地被外资撕开。在目前沪深两市的上市公司中,我们隐稳约约地看到外资大股东的身影,有些上市公司本身是由中外合资企业发展而来,还有的是外资股东通过受让股权或以战略投资者的     

Regulatory Uncertainty and Financial Contagion: Evidence from the Hybrid Capital Securities Market

This paper examines the negative market impact that resulted from the insurance regulators’ potential reclassification of 140 hybrid capital securities in spring and summer 2006. It illustrates how financial contagion can spring from a regulatory policy change that lacks transparency. We investigate the impact of the uncertainty surrounding the regulators’ true classification criteria by measuring the effect of the reclassification announcements on hybrid new issue volume, cumulative average abnormal returns, bid‐ask spreads, and yield spreads. The financial contagion adversely affected the entire hybrid capital securities market for six months. The effect was most pronounced among those hybrids that were eventually reclassified as common equity equivalents. It was greater for Yankee Tier 1 hybrids, which had been more popular with insurance firm investors prior to the reclassifications, than among non‐Tier 1 hybrids.     

Efficiency in index options markets and trading in stock baskets

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor’s Depository Receipts (SPDRs), on the link between index and options markets is also examined. We find that pricing efficiency within option markets improves but there is little evidence to support the hypothesis that a stock basket enhances arbitrage across markets. When transactions costs and short sales constraints are included, very few violations of inter-market pricing relationships such as put–call parity are reported. However, violations of within market pricing relationships such as the box spread remain frequent. Extensive analysis suggests that the results are robust.     

Trade Imbalances and Inventory Effects in Long-term S&P 500 Index Options

This article investigates how trade imbalances affect prices in the S&P 500 Long‐term Equity Anticipation Securities (LEAPS) market. From 1994 to 1996, put volume was 30 times higher than call volume, and public purchases of puts vastly outnumbered sales. We find that LEAPS put quotes are revised following trade imbalances by more than can be explained by information effects, suggesting that put prices are subject to price pressure or inventory effects. The results suggest market frictions are important in the pricing of options, at least in settings in which arbitrage is particularly costly and public demand leans toward one type of order.     

Market risk exposure of merger arbitrage in Australia

We investigate the risk‐return characteristics of merger arbitrage in the Australian market for corporate control, whereby hedge fund managers acquire companies subject to a takeover offer. On average, a strategy of buying target companies and short‐selling bidders making scrip offers would have generated an annual return of 30 per cent from 1985 to 2008, excluding transaction costs, compared to the return on the broader market of 12 per cent. However, performance is not market neutral, being positively associated with market returns during downturns and inversely related to market movements during rising markets. The payoffs to this strategy are analogous to a short straddle, whereby the investor is short a call and put option at the same exercise price. These results are consistent with large‐sample evidence from the United States and the United Kingdom and have not previously been documented in Australia, in which prior evidence is based only on cash deals during the 1990s.     

上海证券市场质量评析

本文基于严谨的市场质量内涵,以上海证券市场整体为研究对象,在对上海证券市场质量进行系统分析的基础上,得出结论认为该市场具有较好的透明度和小额交易流动性,并已达到弱式有效,针对在市场波动性和大额交易流动性上存在的缺陷,建议引入基于竞争性做市商的混合驱动交易机制、做空交易机制,并完善现有大额交易制度来系统地提升市场整体质量水平。