我国金融市场组织结构的收益风险效应分析

我国金融市场组织结构的基本特征是寡头垄断和国有垄断。这一特征使微观金融主体的信用行为得到国家信用的支持 ,其结果是微观金融风险向国有金融主体集中。在微观信用与国家信用置换的情况下 ,微观金融风险被制度性预期所固化 ,其结果就短期而言 ,为我国金融市场的稳定运行提供了条件 ,为金融体制改革的逐步深入赢得了时间 ;但就长期而言 ,微观金融风险最终表现为社会金融风险 ,国家将不得不为微观信用主体的风险累积买单。因此 ,在看到这一组织结构所带来巨大的运行成本的同时 ,应抓紧时间进行金融体制其他方面的改革 ,而渐次放开民营金融机构的市场准入自然成为本文引申出的结论。     

RISK, SEASONALITY AND THE ASYMMETRIC BEHAVIOUR OF STOCK RETURNS

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.     

INFLATION MEASUREMENT,INFLATION RISK,AND THE PRICING OF TREASURY BILLS

One explanation for the high real interest rates on Treasury bills during the period from 1980 to 1985 is that the risk premium had risen. A procedure for testing this hypothesis is to apply the Black version of the capital asset pricing model to real Treasury bill returns. This paper examines that procedure in detail. The main conclusion is that nonstationarity and measurement error, which are always impediments to empirical implementation of the CAPM, are particularly difficult to handle when estimating changes in Treasury bill risk premiums. Furthermore, the behavior of the premium depends on the index used to measure inflation.     

EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY

Excess returns of S&P index replacement stocks are attributed to price pressures and imperfect substitutes in previous research. However, parameter estimates are biased by the use of pre-announcement returns; replacements are characterized by rising stock prices. Using a future estimation period to avoid this bias, we find excess returns do not reverse. Further, we find no relation between excess returns and the amount of stock closely held or the size of index funds. The evidence supports efficient market assumptions: the stock market is liquid and stocks are close substitutes.     

THE EFFECT OF MARKET CONDITIONS AND RISK CLASSIFICATIONS ON MARKET MODEL PARAMETERS

This article reports the results of tests used to detect shifts in market model parameters during bull and bear market conditions. The evidence indicates that the parameters exhibit nonstationarity during market advances and market declines for certain predetermined stock groups. Specifically, the parameters of stocks in high-risk and low-risk classifications behave as if they are affected by the alternating forces of bull and bear markets.     

THE ELIMINATION OF DIRECTOR LIABILITY AND STOCKHOLDER RETURNS: AN EMPIRICAL INVESTIGATION

In this paper, the performance of the common stock of Delaware and non-Delaware firms is examined during the Delaware legislature's debate and approval of an amendment to the Delaware General Corporation Law permitting the elimination of director liability. In addition, stockholder returns surrounding the proxy and meeting dates for certain Delaware firms are examined. Results indicate that Delaware firms performed worse than non-Delaware firms during the legislative period; however, strong differences between the two groups are not documented.     

THE RELATIONSHIP BETWEEN THE VARIABILITY OF INFLATION AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION

Several researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.     

THE ANOMALOUS AND ASYMMETRIC NATURE OF EQUITY RETURNS: AN EMPIRICAL SYNTHESIS

On the basis of seemingly anomalous common stock returns, several authors have concluded that the mean and variance testing paradigm is incomplete and that an unspecified missing factor or factors exist. This work advances distributional asymmetry as a reasonable explanation of the empirical results. This position is supported by evidence indicating that “variance,” “size,” and “price per share” effects are more closely associated with the second and third moments than with the first and second.