Market misvaluation and corporate innovation: “Catering” or “risk aversion”?—Empirical evidence from China capital market

This paper tests how market misvaluation affects corporate innovation. Unlike the “catering effect” observed in the US, we find that estimated stock overvaluation in China is strongly negatively associated with corporate innovation, conforming to our “risk-aversion” hypothesis. In China, misvaluation affects innovation via finance and management behavior channels. The effect is more significant in non-state-owned corporations than in state-owned corporations. Stock turnover rate and ownership concentration play moderating roles in the effect. The evidence sheds light on the relationship between market risks and corporate innovation in an emerging market.     

Does Shareholder Composition Matter? Evidence from the Market Reaction to Corporate Earnings Announcements

We examine whether institutional ownership composition is related to parameters of the market reaction to negative earnings announcements. When firms report earnings below analysts' expectations, the stock price response is more negative for firms with higher levels of ownership by momentum or aggressive growth investors. There is no evidence, however, that these institutions cause an “overreaction” to earnings news. Ownership structure is also related to trading volume and to stock price volatility on days around earnings announcements. Our findings are consistent with the idea that the composition of institutional shareholders effects stock price behavior around the release of corporate information.     

股票流动性与中国企业创新策略:流水不腐还是洪水猛兽？

中国情境下股票流动性对企业创新的影响是激励机制还是压力机制占主导地位？本文基于上市公司分类专利的申请、授权、终止数据研究发现:一方面,股票流动性使企业发明专利申请显著增加,但能通过实质审查的授权增长极少,说明申请质量明显下滑;另一方面,股票流动性使创新含量较低的实用新型与外观设计授权显著增加,且这些专利拖累了企业盈利表现,法律效力提前终止的数量也明显更多,揭示企业实际上是以“策略性创新”来应对资本市场压力,加剧了“专利泡沫”问题。分样本检验发现,“重数量轻质量”的创新策略集中体现于民营、传统行业及长期机构投资者持股较少的企业。稳健性检验替换关键指标构造和模型估计方法、构造工具变量克服潜在内生性问题,前述结论仍然成立。本文启示,金融制度设计应防范资本市场压力对企业创新的“意外伤害”,更好地实现“以金融助实体、以改革促发展”的目标。     

基于EGARCH模型的黄金周对中国股市影响研究

现行国内外学者在股票市场发现“周末效应”、“节日效应”及“休市效应”等现象,但并未对这一现象给出合理性解释。本文针对中国独有的黄金周长假,以上证指数为例进行实证研究,发现中国股市存在效应为正的黄金周节前效应。这一结论验证了股票价格的异常波动与休市有关。结合中国股市的实际情况,得到需要“提高市场信息公开的透明程度”和“提升投资者自身的投资素质”两个启示。     

Institutional quality thresholds and the finance – Growth nexus

Using an innovative threshold estimation technique, this study examines whether the growth effect of financial development in countries with distinct levels of institutional development differs. The results demonstrate that there is a threshold effect in the finance-growth relationship. Specifically, we found that the impact of finance on growth is positive and significant only after a certain threshold level of institutional development has been attained. Until then, the effect of finance on growth is nonexistent. This finding suggests that the financial development-growth nexus is contingent on the level of institutional quality, thus supporting the idea that better finance (i.e., financial markets embedded within a sound institutional framework) is potent in delivering long-run economic development.     

REVISITING MARKET EFFICIENCY: THE STOCK MARKET AS A COMPLEX ADAPTIVE SYSTEM

Well‐functioning financial markets are key to efficient resource allocation in a capitalist economy. While many managers express reservations about the accuracy of stock prices, most academics and practitioners agree that markets are efficient by some reasonable operational criterion. But if standard capital markets theory provides reasonably good predictions under “normal” circumstances, researchers have also discovered a number of “anomalies”—cases where the empirical data appear sharply at odds with the theory. Most notable are the occasional bursts of extreme stock price volatility (including the recent boom‐and‐bust cycle in the NASDAQ) and the limited success of the Capital Asset Pricing Model in accounting for the actual risk‐return behavior of stocks. This article addresses the question of how the market's efficiency arises. The central message is that managers can better understand markets as a complex adaptive system. Such systems start with a “heterogeneous” group of investors, whose interaction leads to “self‐organization” into groups with different investment styles. In contrast to market efficiency, where “marginal” investors are all assumed to be rational and well‐informed, the interaction of investors with different “decision rules” in a complex adaptive system creates a market that has properties and characteristics distinct from the individuals it comprises. For example, simulations of the behavior of complex adaptive systems suggest that, in most cases, the collective market will prove to be smarter than the average investor. But, on occasion, herding behavior by investors leads to “imbalances”—and, hence, to events like the crash of '87 and the recent plunge in the NASDAQ. In addition to its grounding in more realistic assumptions about the behavior of individual investors, the new model of complex adaptive systems offers predictions that are in some respects more consistent with empirical findings. Most important, the new model accommodates larger‐than‐normal stock price volatility (in statistician's terms, “fat‐tailed” distributions of prices) far more readily than standard efficient market theory. And to the extent that it does a better job of explaining volatility, this new model of investor behavior is likely to have implications for two key areas of corporate financial practice: risk management and investor relations. But even so, the new model leaves one of the main premises of modern finance theory largely intact–that the most reliable basis for valuing a company's stock is its discounted cash flow.     

The Stock Market and the Financing of Corporate Growth in Africa: The Case of Ghana

This paper examines corporate financing patterns in Ghana, in particular, whether listed Ghanaian corporations make considerable use of the stock market to finance their growth. The paper also examines econometrically the effect of stock market development on the importance of debt relative to external equity in the balance sheet of Ghanaian firms. The results show that the average listed Ghanaian firm finances its growth mainly from short-term debt. The stock market, however, is the most important source of longterm external finance. Stock market development tends to shift the financial structure of Ghanaian firms toward more equity and less debt. Overall, the evidence suggests that the stock market is a surprisingly important source of finance for funding corporate growth.     

MERTON MILLER'S CONTRIBUTIONS TO MODERN FINANCE

Winner of the 1990 Nobel Prize in Economics, and widely regarded as the “father of modern finance,” the University of Chicago's Merton Miller died last June at age 77. This article attempts to sum up Miller's career in terms of a single governing principle: the role of arbitrage in ensuring the “efficiency” of financial markets and, more generally, the effectiveness of such markets in promoting economic growth and creating social wealth. Starting with the formulation of Proposition I (also known as the capital structure irrelevance proposition) with Franco Modigliani in 1958, Miller's research over the next 40 years is seen as applying—with remarkable clarity and consistency—the principle of arbitrage to the study of many aspects of financial markets. Miller's main accomplishment, according to the author, is to have made arbitrage arguments the cornerstone of modern finance. The arbitrage proof of Proposition I introduced a new standard in finance—namely, that any finding in financial research deserving serious consideration must have the critical property that it cannot represent opportunities for riskless profit by investors. And the article goes on to show that arbitrage is a constant theme in Miller's writings, from his work in corporate finance to his later studies of financial innovation, derivatives markets, and financial crashes and crises. Having started and presided over the transformation of financial studies from a “glorified apprenticeship system” into a scientific discipline, Miller devoted much of the last 15 years of his life to a different, though clearly related undertaking: the defense of financial markets against the attacks of politicians and regulators, as well as businessmen intent on stifling competition (including hostile takeovers). Whether it was the alleged role of the stock index futures markets in the 1987 market crash, the claims of “overleveraging” in the LBOs of the '80s, or the derivatives fiascos in the mid‐'90s, Miller was there to provide careful economic analysis of the problems. In the early '90s, he explained why the “myopia” of the U.S. stock market was likely to cause far fewer problems than the “hyperopia” induced by regulatory distortions of the Japanese market. And in one of his last speeches, Miller showed that the primary cause of the recent Asian crisis was not “too much reliance on financial markets,” as claimed by politicians and the popular press, but “too little”—in particular, the heavy dependence on bank financing (particularly state‐owned banks) and the failure to develop alternative sources of capital that continue to depress the Japanese economy.     

中国股市行业风险与宏观经济之间的风险传导机制

本文采用行业收益率溢出指数度量股市行业风险,并进一步研究中国股市行业风险与宏观经济的相互影响,同时引入股息率和利率两个中介渠道深入挖掘其传导机制。我们运用GARCH-in-Mean模型对股市行业风险和宏观经济变量之间的一阶矩和二阶矩相互关系同时进行分析,结果发现,股市行业风险和宏观经济变量之间水平值和波动率都存在双向影响,对外溢出效应较大的行业起主导作用。此外,股市行业风险对宏观经济变量的影响方面,股息率和利率均起到中介渠道作用;宏观经济变量对股市行业风险的影响方面,只是利率起到中介渠道作用。股市行业风险与宏观经济的传导效应在不同时期差异显著。本文研究结论有助于深刻理解金融与实体经济之间的风险传导机制,对防范系统性风险、防止金融和实体经济“风险共振”以及提升金融服务实体经济能力等具有参考意义。     

中国股市行业风险与宏观经济之间的风险传导机制

本文采用行业收益率溢出指数度量股市行业风险,并进一步研究中国股市行业风险与宏观经济的相互影响,同时引入股息率和利率两个中介渠道深入挖掘其传导机制。我们运用GARCH-in-Mean模型对股市行业风险和宏观经济变量之间的一阶矩和二阶矩相互关系同时进行分析,结果发现,股市行业风险和宏观经济变量之间水平值和波动率都存在双向影响,对外溢出效应较大的行业起主导作用。此外,股市行业风险对宏观经济变量的影响方面,股息率和利率均起到中介渠道作用;宏观经济变量对股市行业风险的影响方面,只是利率起到中介渠道作用。股市行业风险与宏观经济的传导效应在不同时期差异显著。本文研究结论有助于深刻理解金融与实体经济之间的风险传导机制,对防范系统性风险、防止金融和实体经济“风险共振”以及提升金融服务实体经济能力等具有参考意义。     

Financial Management Association Roundtable on Stock Market Pricing and Value‐Based Management

A group of academics and practitioners addresses a number of questions about the workings of the stock market and its implications for corporate decision‐making. The discussion begins by asking what the market wants from companies: Is it mainly just steady increases in earnings per share, which are then “capitalized” by the market at the current industry P/E multiple to produce a higher stock price? Or does the market pay attention to the “quality,” or sustainability, of earnings? And are there more revealing measures of annual corporate performance than GAAP earnings—measures that would provide investors with a better sense of companies' future cash‐generating capacity and returns on capital? The consensus was that although many investors respond uncritically to earnings numbers, the most sophisticated and influential investors consider far more than current earnings when pricing stocks. And although the stock market is far from omniscient, the heightened scrutiny of companies resulting from the growth of hedge funds, private equity, and investor activism of all kinds appears to be making the market “more efficient” in building information into stock prices. The second part of the discussion explored the implications of this view of the market pricing process for corporate strategy and the evaluation of major investment opportunities. For example, do acquisitions have to be “EPS‐accretive” to be value‐adding, or is there a more reliable means of assessing an investment's value added than pro forma EPS effects? Does the DCF valuation method always offer a better guide to value than the method of comparables used by many Wall Street dealmakers? And under what circumstances are the relatively new real options valuation approaches likely to provide a significant advantage over conventional methods? The main message offered to corporate practitioners is to avoid letting cosmetic accounting effects get in the way of value‐adding investment and operating decisions. As the corporate record on acquisitions makes painfully clear, there is no guarantee that an accretive deal will turn out to be value‐increasing (in fact, the odds are that it will not). As for choosing a valuation method, there appears to be a time and place for each of the major methods—comparables, DCF, and real options—and the key to success is understanding which method is best suited to the circumstances.     

金融冲击与经济波动的相关性:三个视角的分析

金融系统对经济周期波动性的影响是现代经济周期理论研究的重要领域。随着金融市场的发展和完善,经济的周期波动性是否减缓等问题还没有统一的定论。本文就我国金融发展与经济增长的周期波动性问题展开分析,分别从中国金融中介发展、利率走势和股票市场三个角度对金融发展与经济周期的相关性进行了检验,结果显示我国金融中介市场发展对经济增长波动性的影响不是平滑了经济增长的波动性,而是扩大了经济增长的波动性;利率变化与经济增长波动存在相互因果关系,说明我国的经济波动对利率是敏感的;股市对经济增长波动的影响还相当有限。     

Does too much finance harm economic growth?

This study provides new evidence on the relationship between finance and economic growth using an innovative dynamic panel threshold technique. The sample consists of 87 developed and developing countries. The empirical results indicate that there is a threshold effect in the finance–growth relationship. In particular, we find that the level of financial development is beneficial to growth only up to a certain threshold; beyond the threshold level further development of finance tends to adversely affect growth. These findings reveal that more finance is not necessarily good for economic growth and highlight that an “optimal” level of financial development is more crucial in facilitating growth.     

正规金融与非正规金融:机制、效率与实证挑战

正规金融与非正规金融的定位和关系,不仅是重要的学术问题,也是影响间接金融体系改革方向的关键。本文从机制视角建立学理框架,从信息和履约两个基础维度,讨论正规金融与非正规金融的相对效率及决定因素,并通过系统梳理相关文献,指出现有实证研究的成果与挑战;进而结合中国特征,讨论如何提高正规金融与非正规金融的效率,最后提出未来研究方向。本文认为,正规金融与非正规金融因信息和履约机制不同而各有其独立存在价值,其相对效率取决于不同经济发展阶段的社会网络基础和征信、法律体系,现有实证文献对两者作用的分歧主要源于分类、样本局限和内生性处理。本文从机制视角进行分析,体现了正规金融和非正规金融的金融属性,为探索相关领域学术研究和政策制定提供启示。     

Institutional herding in international markets

This paper studies herding behavior of institutional investors in international markets. First, we document the existence of wide-spread herding in 41 countries (referred to as “target countries” hereafter) in the sample. We then examine the relation between contemporaneous institutional demand and future returns and find that institutional herding stabilizes prices. Next, we examine the relation between institutional investors’ herding behavior and the level of information asymmetry in the target countries. We measure the degree of information asymmetry in each target country along five dimensions: (1) stock market development, (2) ease of access to information, (3) corporate transparency, (4) investor rights, and (5) macroeconomic factors that relate to the information environment. We find evidence that institutional investors herd more in markets characterized by low levels of information asymmetry (high level of information transparency). This result suggests that institutional investors’ herding behavior is likely driven by correlated signals from fundamental information. Lastly, we show that price adjustment is faster in informationally transparent markets.     

投资者关注与股价崩盘风险:抑制还是加剧?

本文以2010—2017年中国A股上市公司为样本,考察了投资者关注影响股价崩盘风险的客观表现和传导路径。研究发现,投资者关注度的提高会显著加剧下一期的股价崩盘风险,存在“关注度的崩盘效应”;分组检验发现,关注度的崩盘效应仅在机构持股比例低的公司和市场处于牛市状态下存在;路径检验发现,投资者关注不存在信息路径,没有改善公司信息透明度,但存在部分的情绪路径,提高了股价同步性和投资者情绪,从而加剧了股价崩盘风险。建议监管部门重视投资者关注对股价带来的冲击,通过进一步提高机构者持股比例,缓解情绪过热导致的定价错误程度,降低股价崩盘风险。     

城市群政策能否促进区域金融协调发展?——基于方言视角下的实证检验

基于中国区域金融高质量发展的现实要求,本文试图解释城市群政策对金融协调发展的影响,并深入探究其中的机制路径。研究发现,城市群政策有效提升了地区的金融发展质量,一方面提升了金融发展总量,另一方面弥合了地区间的金融发展差距,由此实现了总量和均衡的双重拟合。进一步地,本文确证了方言一致性在整体上有助于城市群政策发挥积极作用,不仅在城市群内部促进了金融协调发展,还在城市群分割处弱化了由城市群政策带来的市场分割效应,体现了非正式制度在"正式制度-金融要素"之间扮演的重要角色。从机制上看,与城市群密切相关的地方文化--方言,更多的是通过经济个体间的身份认同(信任)来促成地区间的金融协调发展。鉴于此,本文认为对城市群的划分和发展,不仅要考虑地理距离,还应考虑以方言为代表的文化距离,并提出了相应的政策建议。     

Measuring the Contributions of Brand to Shareholder Value (and How to Maintain or Increase Them)

Since 1993 Young & Rubicam has invested over $130 million in collecting and interpreting data on consumers' perceptions of some 44,000 product and service brands in over 50 countries. At the core of Y&R's research effort is the Brand‐Asset® Valuator (or “BAV”), a model that converts the firm's hoard of data on global consumer perceptions and behavior patterns into assessments of brand strength and value. When combined with the findings of independent research by academics in marketing and finance (using Compustat data on corporate operating and stock‐price performance), the BAV's assessments of brand values can be used to quantify the contributions of brands to both corporate earnings and market values. One of the main findings of this research is that brands contribute to the market value of companies by increasing not only current earnings, but the price‐to‐earnings (P/E) multiples that investors assign to current earnings. Such increases in P/E multiples in turn reflect investors' expectations for lower risk, higher growth or both. At the same time, more recent consumer surveys (conducted in 2005‐2007) provided indications of brand “erosion” even as the markets were pushing up share prices, presumably with the expectation that intangibles like brand would continue to drive operating earnings in the future. For the leaders of consumer‐related corporations, the resulting “disconnect” between stock prices and brand values points to a continuing challenge for brand management. Building brand value is important for both finance professionals trying to increase shareholder value and marketers trying to build brand strength and increase sales and margin. The aim of the authors' research is to bring these two groups—finance and marketing— closer together by demonstrating the role of marketing strategy and brand equity in driving shareholder value.     

When do high stock returns trigger equity issues?

One of the most prominent stylized facts in corporate finance is that equity issues tend to follow periods of high stock returns. We document that firms exhibit such timing behavior only in response to high returns that coincide with strong institutional investor demand. When not accompanied by institutional purchases, stock price increases have little impact on the likelihood of equity issuance. The results highlight the importance of market reception for the timing of equity issues.     

The growth in equity market size and trading activity: An international study

This paper presents new evidence on the role of macroeconomic and institutional factors in equity market development and on the sources of equity market growth. Using panel data on 33 countries, I find that development of financial intermediaries and trade openness are positively associated with equity market size, and that development of financial intermediaries is also positively associated with the level of activity in equity markets. Government consumption is negatively associated with equity market activity. I construct a direct estimate of the effect of institutional factors on equity market development that compares a country's actual level of development to a hypothetical “best-practice” country having the same macroeconomic fundamentals as the original country. I show that the level of equity market development of an average country is around 30% below its maximum potential. There are wide differences in institutional characteristics across countries and over time, and Canada, the United States, and Singapore possess the most shareholder-friendly institutional frameworks that foster larger and more active equity markets. It appears that institutional improvements and changes in financial technology have provided the major impetus for the phenomenal expansion of global equity markets.