深市流动性溢价的实证研究

国内外关于流动性溢价理论的研究结果相互矛盾。至今为止还没有对中国深市进行有关流动性溢价的实证研究,本文以换手率和非流动性指标来衡量流动性,验证流动性溢价理论在深市是否成立。通过面板数据的四个模型的回归结果发现:在深市,流动性与收益率成显著的正相关关系,违背了流动性溢价理论。收益价格比效应和公司规模效应也不显著,在深市有着不同于其他市场的影响收益率的因素。     

我国中小板IPO首日交易行为分析——基于横截面多元回归的实证研究

本文从中小板IPO首日交易行为着手,用横截面多元回归的研究方法,对影响IPO换手率的各因素和新股发行体制改革的成效进行实证分析。结果表明,中小板IPO首日换手率与一级、二级市场收益率呈正相关;筹资规模适中的新股流动性最高;筹资规模较大时,新股的流动性次之;筹资规模较小时,新股的流动性最小;创新型比传统型公司的新股流动性更好;新股发行体制改革后,市场效率提高。     

超额换手率与股价崩盘风险的关系研究

换手率究竟是投资者基于流动性溢价理论提前察觉风险脱身的表现,还是频繁交易下的股价泡沫？为此,本文以2013—2021年上证A股为数据来源,考察超额换手率对股价崩盘风险的影响。结果表明,超额换手率与股价崩盘风险呈现显著的负相关关系。本文结合流动性溢价理论认为,高流动性股票不会出现转手买卖难的局面,进而降低未来出现股价崩盘的风险,从股价崩盘风险角度研究超额换手率对资本市场稳定性的影响有重要的理论和现实意义。     

A股市场股本规模和波动性实证研究

许多国内外实证研究证明股本规模与股票收益率之间具有显著的负相关关系,即存在"小盘股效应"。采用GRACH模型,利用三个针对不同股本规模的指数,对A股上市公司股本规模和收益率的波动性之间的关系进行了实证研究。结果显示上市公司股本规模同样与股票收益率的波动性呈现显著的负相关。     

浅谈我国股票市场交易成本的影响因素

与其他国家的交易成本相比较,我国的股票交易市场的成本较高。我国的股票交易成本受到各个因素的影响,主要包括股票的风险、规模、持股集中度等。文章综述了交易成本,通过假设的方法研究影响我国股票市场交易成本的因素,提出了稳定股票市场交易成本的建议。     

先行宏观指标与我国资本市场指数的关系检验

本文研究发现,生产者物价指数(P P I)与股市收益率存在某种关系。通过对选取数据上一期的PPI指数和当月股市收益率进行回归分析,发现PPI与股票收益率的回归系数非常显著。由此判断PPI作为一个变量可以很好地对股票收益率进行预测。之后又针对沪深300指数进行详细分析,通过控制变量的方法,进一步验证了本文的判断。研究结果表明,上一期的PPI与当期的股票收益率成显著的负相关关系。     

技术贸易中的交易成本研究

交易效率的高低决定着国际贸易的发展深度与发展规模,而交易效率又取决于交易成本,即交易效率越高(交易成本越小),技术贸易的发展水平越高。国际技术贸易的发展与交易成本的高低呈非线性的负相关关系。技术贸易自身的特性和政府对技术的进出口管制是影响影响技术贸易交易成本的特殊性因素,可以通过产权制度、跨国技术战略联盟和国际制度设计来降低国际技术贸易中的交易成本。     

股票收益与通货膨胀关系的探讨

通货膨胀到底对股票收益有何影响？这是国外理论界和我国证券界争论不休的问题。本文提出了一个理论模型采分析股票收益率与通货膨胀的关系，并进行了实证检验。认为股票收益率与通货膨胀有负相关关系，而股票收益与产出增长有正相关关系，产出增长与通货膨胀有负相关关系。     

我国A股市场新股初始回报率的实证研究

本文研究了2006年1月到2007年12月在中国证券市场首次公开发行股票的初始回报率及其影响因素,发现我国首次公开发行股票中存在较高的初始收益率,对其有显著影响的因素包括深市和沪市市场平均收益率、上市日换手率、新股发行总市值、上市地点、网上发行中签率。本文认为股票公开发行的高初始回报率主要是由股票发行市场定价能力不足与股票二级市场的运行及投资者的投机行为共同作用的结果。     

中国上市公司违规处理信息提前泄露了吗——来自股票流动性和融券交易的证据

本文从股票流动性和融券交易的视角出发,实证检验我国上市公司违规处理信息提前泄露的可能性。研究发现:(1)违规处理公告之前,股票超额非流动性水平和超额融券量显著为正,且与违规处理公告日的超额收益率显著负相关;(2)公告日超额收益率最低组股票的公告前超额非流动性更高,而公告日超额收益率最高组股票的公告前超额融券量更少;(3)当违规处理文件的下批日期与公告日期间隔超过10日时,公告日超额收益率较高的公司股票,其公告前的相对超额融券量显著减少,表明知情交易者占据了主导地位,处理公告的提前泄露更可能解释以上发现。本文的结果表明,监管部门应加强内部管理和提升工作效率,及时公布违规公司处理文件以减少信息提前泄露的可能性,从而有利于股票市场的健康发展。     

Transaction Cost Theory and International Business

I discuss the cross-fertilization between transaction cost theory (TCT) and international business (IB), showing how TCT provides a powerful lens to study the institutions that organize international interdependencies, and especially multinational enterprises (MNEs). I then discuss some of the insights that IB can provide for the further development of TCT. I argue that a full explanation of why MNEs exist must rely on information asymmetry as well as asset specificity, and that the study of modes of foreign market entry leads to alternative viewpoints on equity joint ventures and hybrids. I conclude by stressing the need for a simultaneous consideration of market transaction costs and internal organization costs when examining governance choices.     

Media Corruption: A Chinese Characteristic

The core goal of this study is to empirically investigate whether there is a “world price” of corporate sustainability. This is assessed in the context of standard asset pricing models—in particular, by asking whether a risk premium attaches to a sustainability factor after controlling for the Fama–French factors. Both time-series and cross-sectional tests are formulated and applied. The results show that (1) global Fama–French factors have strong power to explain global equity returns and (2) sustainability investments have no significant impact on global equity returns. The absence of a significant relationship between sustainability and returns implies that large institutional investors are free to implement sustainability mandates without fear of breaching their fiduciary duties from realising negative returns due to incorporating a sustainability investment process.     

Asset pricing with heterogeneous beliefs and illiquidity

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The unique equilibrium price is characterized by a weakly coupled system of linear parabolic equations which shows that holding and liquidity costs play dual roles. We derive the leading‐order asymptotics for small transaction and holding costs which give further insight into the equilibrium and the consequences of illiquidity.     

农户交易中介化——概念界定与经济合理性论证

目前我国绝大多数农户采用直接化的交易方式,近年来,出现了一种新的交易方式,即"交易中介化",到底是哪种交易方式更有效?哪种方式更能节省交易成本?所以必须对其内涵进行界定,以"交易成本"为分析工具,借助一个关于基础交易成本与交易方式选择的模型。由于农户的有限理性、不确定性、交易频率、资产的专用性等因素影响,农户的基础交易成本是相当高的。从微观经济学的角度来看,直接化的交易还会使农户的福利受到损失。换言之,中介化交易是一项有效的制度安排。     

Optimal Investment and Consumption With Two Bonds and Transaction Costs1

An agent can invest in a high-yield bond and a low-yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. the low-yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high-yield bond can be consumed only by first moving it into the low-yield bond. the problem of optimal consumption and investment on an infinite planning horizon is solved for a class of utility functions larger than the class of power functions.     

Customs-related Transaction Costs,Firm Size and International Trade Intensity

customs are generally perceived as a time-consuming impediment to international trade. However, few studies have empirically examined the determinants and the impact of this type of government-imposed transaction costs. This paper analyses the role of firm size as a determinant of customs-related transaction costs, as well as the effect of firm size on the relationship between these costs and the international trade intensity of firms. The results of this study indicate that customs-related transaction costs repress international trade activities of firms, even at low levels of these costs. The paper identifies transaction-related economies of scale, simplified customs procedures and advanced information and communication technology as main determinants of customs-related transaction costs. It is shown that when these factors are taken into account, firm size has no effect on customs-related transaction costs. Policy implications are considered for firm strategy and public policy.     

Monetary Policy at the Zero Lower Bound and After: A Reassessment of Quantitative Easing and Critique of the Federal Reserve's Proposed Exit Strategy

This paper analyses quantitative easing, focusing on its implicit fiscal dimension. It distinguishes between ‘weak’ and ‘strong’ zero lower bound traps. A strong trap corresponds to the liquidity trap. In a weak trap QE is expansionary but subject to diminishing returns. QE implicitly transfers income streams to the fiscal authority, generating fiscal drag that can eventually render QE contractionary. Proposals to exit QE by paying interest on reserves to check inflationary pressures is contradicted because paying interest constitutes an implicit tax cut. Instead, the paper suggests implementing asset based reserve requirements that deactivate liquidity by requiring banks hold increased reserves.     

Price and Earnings Momentum,Transaction Costs,and an Innovative Practitioner Technique

We use an innovative practitioner technique to investigate the interplay between the ex post performance of momentum strategies and transaction costs, rebalancing frequency, turnover constraints, and fund size. We have three interrelated main results: first, the level of and correlation between active returns to price momentum and earnings momentum strategies vary dramatically with these factors; second, strategies that are fearful of ex ante transaction costs generate returns net of transaction costs that are far superior to the net returns of naive strategies; and third, obtaining better traction with the unique elements of each strategy yields a more profitable combined strategy.     

Liquidity shocks,commodity financialization,and market comovements

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively associated with comovements between commodity and stock markets after 2000, although the relationship is insignificant before 2000. The structural change indicates that financialization creates a role for adverse liquidity shocks to increase cross-market correlations. Further evidence shows that the effect of liquidity on cross-market correlations is state-dependent and intensifies when liquidity conditions deteriorate and asset returns sustain substantial declines. Our findings are not explained by business cycles.     

“交易成本”概念:层次、分类

交易成本概念存在歧义。为消除歧义,对交易成本概念进行了分层和分类。指出存在范围宽窄不一的几类交易成本,从科斯等人意义上的最狭义的市场交易、企业管理的成本,扩张到阿罗意义上的使用制度的成本,再扩张到张五常意义上的最广义的交往成本,它们之间存在类似于俄罗斯套娃的关系。由此提出交易成本的一组概念来代替单一概念。意义在于厘清交易成本这一(其实是一组)经济学基本概念。