让资本市场更好服务国民经济——访全国人大代表、吉林证监局局长江连海

江连海指出,期权交易是一种比期货交易更加灵活、安全、有效的交易方式,它可以使交易者特别是买者的成本很低、风险有限、利润可观,如果利用期权交易进行套期保值,可以实现双重保险之功效,它是期货套期保值的再套保,能够有效降低风险度,增大保险系数。因此,应积极适时推出期权交易。     

THE INFLUENCE OF PREDICTABILITY ON DIFFERENCES IN THE MARKET REACTION TO DEBT AND EQUITY ISSUE ANNOUNCEMENTS

Existing empirical evidence suggests that the announcement-day reaction to equity issuance is about 2.88 percent more negative than the reaction to debt. However, announcement-day returns do not accurately reflect investor reaction if issue announcements are anticipated. I re-examine the announcement-day reaction to equity and debt issues after controlling for the predictability of security type and for firms' previous issue experience. Results indicate that the reaction to a first-time seasoned equity issue is more than 4.15 percent more negative than the reaction to debt. This increase over the conventional estimate suggests that the reaction to equity may be more negative, relative to debt, than previously believed. The evidence supports the assertion that giving preference to debt over equity could reduce issue costs when asymmetric information is a problem. Timing and certification strategies for lowering issue costs appear to be relatively unimportant for debt issues.     

AN EXAMINATION OF MARKET REACTION TO SUBSTANTIAL SHIFTS IN DIVIDEND POLICY

This study provides further empirical evidence on the informational content of dividends hypothesis. To reduce the misclassification of unfavorable and favorable dividend announcements, which can result when small dividend changes are included, the analysis is restricted to cases where a substantial shift in dividend policy has occurred. Specifically, the authors examine the aggregate market response to announcements of (1) omitted dividends, (2) dividend decreases of at least 25 percent, (3) dividend increases of at least 25 percent, and (4) initial dividend payments. The results indicate that announcements of dividend omissions and large decreases have a pronounced downward impact on stock prices even though the market has anticipated the forthcoming news to a large degree. Similarly, the market reaction to initial dividend declarations is found to be substantial and much greater than previously found for favorable dividend classifications in general.     

MARKET REACTION TO NYSE LISTINGS: TESTS OF THE MARKETABILITY GAINS HYPOTHESIS

This study examines the market reaction to listing on the New York Stock Exchange (NYSE). The marketability gains hypothesis states that investors expect liquidity gains for the less liquid over-the-counter (OTC) stocks but not for their liquid counterparts after their listing on the NYSE. The hypothesis is supported even after accounting for other firm-specific news releases. Stocks with low liquidity on the OTC exhibit a positive reaction, whereas stocks with high liquidity show a non-positive market reaction around the announcement of the listing application. The findings imply that the two different marketplaces, NYSE and OTC, are suitable for stocks with different liquidity characteristics.     

THE MARKET REACTION TO STRAIGHT DEBT ISSUES: THE EFFECTS OF FREE CASH FLOW

In this paper we measure the market reaction to 937 straight debt issues between 1983 and 1993. We find a negative and significant market reaction to a straight debt announcement. In addition, we find that the market reaction to a straight debt issue is directly related to the issuing firm's level of existing cash and inversely related to the issuing firm's investment opportunities.     

THE MARKET REACTION TO THE 1986 TAX OVERHAUL: A STUDY OF THE CAPITAL GAIN TAX CHANGE

The Tax Reform Act of 1986 (TRA) eliminated the favorable tax treatment on long-term capital gains in the US. Using a standard event study… CONTENTS AND ABSTRACTS 111 methodology, this paper examines daily stock return reactions to the tax overhaul. The results show that high dividend yield stocks earned a significant positive abnormal return and low yield stocks a significant negative return during the legislation period. This finding is consistent with the notion that the TRA made the market valuation of stocks shift in favor of high yield stocks.     

STOCK MARKET REACTION TO ANTICIPATED VERSUS SURPRISE RATING CHANGES

I examine whether bond rating changes can be anticipated by investors and test whether the stock price reaction to the eventual change varies as a result. All else equal, the market reaction to changes that could have been easily predicted should be significantly smaller than the reaction to changes that are largely a surprise. Although rating upgrades prove difficult to predict, approximately 20% of downgrades can be correctly predicted using a relatively small number of publicly available variables. There is no significant difference between the stock price reaction to anticipated versus unanticipated rating changes.     

STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWS

This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states.     

FOREIGN EXCHANGE MARKET REACTION TO THE U.S.-CANADA FREE TRADE AGREEMENT

In this paper we investigate the effect of news about the advent of the U.S.-Canada Free Trade Agreement (FTA) on the exchange rate between the Canadian dollar and the U.S. dollar. We find evidence that information flows related to the likelihood of the FTA influenced the volatility of the daily spot rate. In particular, information that increased the likelihood of the FTA subsequently diminished exchange rate volatility. In contrast, information that decreased the likelihood of the FTA subsequently increased exchange rate volatility.     

THE TRANSITION TO A SINGLE INSURANCE MARKET IN THE EUROPEAN UNION

Abstract: The European single insurance market incorporates the member stales of the European Union (EU). The legal framework for the market was enacted on June 30, 1994. The framework provides, above all, for a closely integrated supervisory (regulatory) system, a single license for the whole market and single home country control. Currently, some significant obstacles are slowing the realization of the European single insurance market, while several important economic policy and public interest questions remain to be answered.     

EVIDENCE ON ADJUSTMENTS IN MAJOR NATIONAL STOCK MARKET LINKAGES OVER THE 1980S

This paper measures the alterations that have occurred in equity market correlations for six major internationally active stock exchanges between 1980 and 1987. The markets are chosen so as to allow for geographical diversity while still accounting for almost ninety percent of total worldwide equity market capitalization. The VAR variance decomposition technique is used to measure intermarket linkage patterns. We find substantial alterations in intermarket linkage patterns occurring over the 1980s. While the US market (the New York Stock Exchange) is still the dominant financial force in world equities trading, other markets (particularly those in the Pacific Basin region) now account for an increasing impact on observed index correlations in the system. This paper suggests that world financial integration is, in part, responsible for the altered linkage patterns observed over the 1980s.     

进出口行支持企业“走出去”

中国进出口银行与太平洋造船集团和法国波邦集团签署的8亿美元融资框架协议,旨在为两集团签署的62艘海洋工程船商务框架合同提供一揽子融资支持。该项目的商务合同金额达10亿美元,是近年来全球市场上较大一笔新船订单,也是我国船企承接的自金融危机以来鲜见的大额订单。     

谱写产权市场大发展的新篇章——2021年第9期封面回眸

上海联交所要紧紧抓住新一轮国资国企深化改革和推进落实要素市场化配置体制机制改革、构建全要素、全资源一体化大市场的重大历史机遇,发扬与时俱进、努力拼搏的精神,以全面深化改革为动力,以创新发展为主线,谱写产权市场新一轮大发展的新篇章。在《中国金融家》2021年9月刊上,上海联合产权交易所党委书记'董事长周小全作为封面人物,发表署名文章,为读者讲述中国产权市场在“十四五”规划下的新发展机遇。