上证50指数的套利定价研究

上证50指数自2004年上市以来，样本股多次调整，本文以2004年来经过调整的上证50指数50只成分股的最新数据，从2009年7月2日到9月30日，对其进行套利定价研究。套利定价理论（APT）与资本资产定价理论（CAPM）中单因素市场风险决定论不同，它认为证券系统风险由K个普遍存在的共同因子一起决定，每一证券对这K个共同因子的反应系数不同，从而导致不同证券之间收益率差别。     

基于套利理论的商业银行资产负债管理模式研究

本文基于套利理论,对商业银行资产负债行为进行分析;得出商业银行资产负债管理的实质是风险套利;其关键在于寻找套利机会并对套利过程中的内在风险进行有效控制;其收益主要取决于交易规模、管理质量、市场力量及其风险控制能力。     

行为金融学理论综述

证券市场上的种种异象使得人们对主流金融学产生了质疑，行为金融学应运而生。投资者心理和套利限制构成了行为金融学的两大支柱。行为金融学所提出的观点更加切合现实，而且对很多异象都做出了合理的解释。另外行为金融学还建立了自己的模型——行为组合模型与行为资产定价模型，从而成为挑战主流金融学的最大力量。     

资本--资产定价模型面临的挑战

本文讨论了资本-资产定价模型及该模型存在的缺陷，分析了多因素模型对资本-资产定价模型的改进，即形成了套利定价理论，在此基础上，提出了两种模型对我国证券市场的启示。     

一个新的远期利率曲线参数模型

本文在Bjork and Christensen（1999）的基础上，进一步研究了远期利率曲线与利率动态模型具有一致性的充分必要条件，论证了广泛采用的Nelson-Siegel模型与Ho—Lee、Hull—White、HJM等无套利模型的不一致性，提出了一个与这类无套利模型相一致的新的远期利率曲线参数模型，实证研究表明，这个一致性远期利率曲线在收益率曲线的横截面拟合方面与Nelson—Siegel模型具有十分相似的良好表现，可应用于无套利模型校准、利率衍生品定价和货币政策分析等方面。     

收入和流动性风险约束下家庭金融资产选择的实证研究

本文采用SCF数据,运用TOBIT模型从实证的角度研究收入风险和流动性约束对投资者资产选择的影响。研究结果表明：控制其他变量的影响之后，收入风险的增加会使得投资者降低对风险资产的需求．预期未来流动性的约束也减少投资者的风险资产投资比例。接着本文采用分类回归及将风险资产投资比例概念由狭义转变为广义，得到的结论都和前面的研究一致。最后．本文采用迭代LAD回归技术所得到的结果也证明了本模型的结论具有稳健性。     

由套利定理确定离散价格标的资产的期权定价模型

本文利用Black-Scholes公式、套利定理和风险中性概率分布,给出了离散价格标的资产的期权定价公式,揭示了这类标的资产期权价格的实际意义,同时也给出了利用结论指导期权实际投资的方法。     

流动性对送转股影响研究——基于套利风险视角北大核心CSSCISSCI

文章以2003年1月至2015年12月沪深A股上市公司为样本,基于套利风险的视角,首先使用事件研究法,运用现有定价模型考察了市场对于送转宣告事件的累计异常报酬率的变化情况。之后纳入流动性变量、套利风险变量及二者的交互作用项,分别构建了送股与转增的影响因素模型,检验套利风险与流动性对送股、转增的影响。结果发现:送转宣告事件对市场产生积极影响;流动性越高,送股比越小,转增比越大;套利风险越高,股票流动性强的公司送股比越高,转增比越小;公司送转股行为符合"价格幻觉"假设。     

关于CAPM的思考

CAPM(资本资产定价模型)在公司理财中占有重要的地位和重大的应用价值,它连接着企业的过去和未来。资本资产定价模型与套利定价模型是概括与具体的关系,CAPM基于所有系统风险对证券收益的综合影响而套利定价模型模型基于具体系统风险对证券收益的影响,如果能够找出影响证券收益的全部系统风险,那么资本资产定价模型和套利定价模型计算出的证券收益便没有差别。证券收益受系统风险影响的程度用β衡量,β受到企业所在行业,企业经营杠杆和财务杠杆的影响。     

论股指期货市场与股票现货市场的风险联动

各国股票市场的运行实践表明，股指期货推出初期经常会发生股市与期市的风险联动：即在一个缺乏做空机制来转移系统性风险的市场中，投资者只有做多才能获利，因此股票价格经常被推高至脱离基本面的支持，而股指期货的推出使做空也有机会获利，所以会导致股市泡沫的破灭。由于股指期货的价格发现功能，无论冲击来自现货市场还是期货市场，率先进行反应的是期货指数，此时，套利者利用可观基差进行指数套利，导致卖压在股市与期市问传递，如果做市商无力平衡卖压，那么这种无弹性的指数套利会使风险积聚和扩散，形成股市与期市的风险联动。本文旨在分析瀑布效应的形成机理，防患于未然。     

Uncertainty and the arbitrage pricing theory

This paper tests the economic importance of income uncertainty in the context of a measured factor arbitrage pricing theory model. This provides a test of the importance of uncertainty using a different methodology and data set than are traditionally used. If income uncertainty affects the investment climate, a statistically significant risk premium will be associated with assets that are affected by uncertainty. The empirical work in this essay finds that a generalized autoregressive conditional heteroskedasticity measure of income uncertainty is a priced factor in a model of the arbitrage pricing theory. The risk premium between a baa-rated 10-year corporate bond and a 10-year government bond, as well as the term structure, also are priced factors.     

Capital adjustment costs,time-to-build effects,and inflation nonneutrality

The paper examines how the presence of capital adjustment costs and time-to-build constraints weaken the Fisher effect and inflation neutrality, and hence attenuate the arbitrage opportunities implicit in intertemporal substitution and the investment decision. It is demonstrated that large and permanent changes in inflation affect nominal interest rates, intertemporal substitution, and investment choices differently than small or temporary changes. Small, transitory inflationary innovations will lower real interest rates, yet create no arbitrage opportunities since the benefits from these low rates will be insufficient relative to the adjustment costs implicit in altering investment. Large, permanent inflationary innovations will possess no real effects. The paper then presents empirical work to support the prediction that the expected inflation effect on nominal interest rates depends on the perceived size and permanence of the innovation.     

中国饲料企业原料价格风险规避策略研究

在贸易摩擦加剧和新冠疫情的多重冲击下,中外主要饲料原料品种价格波动剧烈,然而国内饲料企业普遍抗风险能力差,对于套保、套利策略的选择和使用尚缺乏灵活性.以2015年1月5日至2020年1月23日的豆粕、菜粕、玉米、大豆期现货价格数据为样本区间,应用误差修正模型估计最优套期保值比率及其有效性,并对4个原料进行跨品种套利的可行性进行实证分析.研究结论表明:最优套期保值策略能够有效规避风险且操作性强,跨品种套利策略可行但专业性较强.在此基础上,针对不同类型的饲料企业提出原料价格风险规避的对策和建议.     

Inequality of opportunity and household education expenditures: Evidence from panel data in China

This paper offers one of the first pieces of empirical evidence on the impact of inequality of opportunity on household education investment by using the panel data from China Family Panel Studies (CFPS) in three waves (2010, 2012 and 2014). Our result suggests that inequality of opportunity has a negative effect on household education expenditures. This result is robust to a series of robustness checks. Furthermore, for relatively disadvantaged households (household heads with less education, income, or rural hukou status), inequality of opportunity has a larger negative effect on their education expenditures. Policy suggestions to lower inequality of opportunity may include reducing labor market discrimination based on gender and hukou status, balancing education resources to create more equal educational opportunities, and offering children education subsidies in low-income families.     

数字普惠金融对家庭投资绩效的影响分析

家庭如何利用好数字普惠金融的发展,对于实现家庭投资绩效的增长具有重要意义。但目前,中国家庭投资多样性和投资绩效都还不高,家庭风险-报酬比也远远低于国外。所以,探讨数字普惠金融对中国家庭投资绩效的影响就显得较为重要。通过对中国家庭金融调查（CHFS）4年数据为基础进行实证分析发现,数字普惠金融显著地促进了家庭投资绩效与投资多样性的增长。进一步分析发现,中国家庭投资过于偏好投资性房地产,农村地区数字普惠金融发展还不充分。这为中国深化金融改革、扶贫攻坚战略提供了部分经验证据。     

NO‐ARBITRAGE ONE‐FACTOR MODELS OF THE SOUTH AFRICAN TERM STRUCTURE OF INTEREST RATES

Short‐term interest rate processes determine the term structure of interest rates in an arbitrage‐free market and are central to the valuation of interest rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one‐factor continuous‐time processes for the South African short‐term interest rate (and hence of arbitrage‐free term structure models) using Gaussian estimation methods. We find support only for diffusions where the interest rate volatility is moderately sensitive to the level of the interest rate. Other common models with restrictions that either preclude this effect, or restrict it to be too high, do not fit the data. Differences in the specification of the drift function have no evident effect on model performance.     

Can Prior Offers and Arbitration Outcomes Be Used to Predict the Winners of Subsequent Final-Offer Arbitration Cases?

The purpose of interest arbitration is to encourage bargainers to negotiate their own mutually agreeable settlement. In final-offer arbitration (FOA), the bargainers exchange final offers. If a settlement is not reached, an independent arbitrator selects one of the final offers as the award. At the beginning of each arbitration period, the only information available to bargainers relating to arbitrator preferences is past outcomes. Given its goal of driving negotiated settlements, an effective FOA process requires bargainers to infer useful information about arbitrator preferences from past outcomes. Using data from major league baseball, this article provides evidence that past FOA decisions are positively correlated with the outcomes of future FOA cases.     

Motivation of Chinese commercial banks to issue green bonds: Financing costs or regulatory arbitrage?

This paper analyzes the reasons for the rapid increase in the scale of green bonds issued by Chinese commercial banks in recent years from the perspective of financing costs and regulatory arbitrage. Our empirical results show that the financing cost mechanism cannot explain this increase since the financing costs of green bonds are not lower than those of non-green financial bonds. Furthermore, commercial banks with low asset liquidity engage in regulatory arbitrage to take advantage of the convenience of green bond financing permission to supplement their liquidity. Our results imply that the regulatory arbitrage mechanism is a very important motivation for commercial banks to issue green bonds. To reduce this motivation and ensure the healthy and sustainable development of the green bond market, green ratings of projects should be linked with financing costs as a way to form a positive feedback incentivizing mechanism for green project financers.     

GOVERNANCE INSTITUTIONS AND PRIVATE INVESTMENT: AN APPLICATION TO THE MIDDLE EAST AND NORTH AFRICA

This paper addresses the issue of the low level of private investment in the Middle East and North Africa (MENA) region, with special emphasis on the role of governance. Based on the existing published reports, we categorize what types of governance institutions are more detrimental to entrepreneurial investments. We then estimate a simultaneous model of private investment and governance quality where economic policies concurrently explain both variables. Our empirical results show that governance plays a significant role in private investment decisions. This result is particularly true in the case of “administrative quality” in the form of control of corruption, bureaucratic quality, investment‐friendly profile of administration, law and order, as well as for “political stability.” Evidence in favor of “public accountability” is also found. Our estimations also stress that structural reforms like financial development, trade openness, and human development affect private‐investment decisions directly, and/or through their positive effect on governance.     

A fisherian analysis of individual retirement accounts

Conclusions This paper has employed a Fisherian analysis of intertemporal choice to evaluate the use of IRA's. The analysis shows that with perfect capital markets assumptions, the presence of IRA's will generate no other effect on savings than would a simple tax rabate. Further, it shows that if the tax revenue loss due to IRA's is not accompanied by an expenditure reduction, but is financed with taxes or borrowing, rational households will still employ IRA's, but their effect on intertemporal choice will be nil. The analysis also shows that IRA's do act as a savings incentive to the extent that there are market imperfections, specifically to the degree that transactions costs are important. However, empirical evidence from the literature does not lend firm support to this possibility. The conclusion is that a market imperfection is not a firm basis on which to construct savings incentives. Finally, one can note that the same analysis applies to any tax-based savings incentive that is designed to operate by lowering the tax on interest income. The reason for this finding is that the provision of tax sheltered interest income, along with the deductibility of interest on borrowing, creates general tax arbitrage opportunities for households and that tax arbitrage opportunities do not, in general, generate greater savings in an intertemporal choice model. It follows that significant restriction or elimination of the deductibility of interest on borrowing is a prerequisite for IRA's and other tax based savings incentives to produce their intended effect.