会计可靠性原则的盈余相关性及市场定价——来自沪、深股市的经验证据

本文以中国证券市场2001至2004年期间的上市公司为对象,考察了公司会计可靠性原则的盈余相关性及其市场定价。我们首先考察基于收付实现制的现金收益和基于权责发生制的应计总额的相对盈余相关性,并考察市场定价是否对两者的计量可靠性差异做出反映。在此基础上,我们进一步着重考察具有较高可靠性的非融资性流动负债和较低可靠性的非融资性流动资产,考察其盈余相关性及市场定价。 研究发现,基于收付实现制的现金收益具有更高的盈余相关性,但市场表现出存在利润“功能锁定”现象,并未对其做出反映。非融资性流动负债具有正的盈余相关性,非融资性流动资产具有负的盈余相关性。二者相比较,会计可靠性计量原则与盈余相关性具有显著正相关关系。从市场定价角度看,市场给予了非融资性流动负债正的定价、非融资性流动资产负的定价。即市场符合“幼稚投资者”假说,市场给予了会计可靠性原则正的定价,但其显著程度尚比较弱,在加入各种控制变量之后,其显著程度进一步弱化。     

市场效率:股指期权、股指期货与股指的关系——来自香港恒生指数市场的证据

使用2007年7月3日到2009年3月31日期间日度数据,从定价效率和信息效率两个方面讨论并检验了香港恒指衍生品市场的市场效率。研究发现:(1)信息效率检验显示恒指现货、恒指期货市场为弱式有效,恒指期权市场没有呈现出弱式有效的市场特征;(2)定价效率检验显示香港恒指期货、期权市场都是具有定价效率的衍生品市场;(3)恒生指数和其衍生品市场之间的领先——滞后关系符合成本交易假设,恒指期权收益领先恒指期货收益,恒指期货收益领先恒指现货收益,恒指期货和恒指期权市场在价格发现功能中占据主导地位;(4)恒指期权市场的存在,完善了套利机制,增强了现货市场和期货市场的流动性。这个结论为中国持续连贯地发展股指衍生品市场提供了坚实有力的证据,因此笔者建议在沪深300股指期货平稳运行之后,中国应该适时推出同一标的指数的股指期权产品,形成股指期货和股指期权市场并行发展的股指衍生品市场格局。     

沪深300股指期货定价误差及影响因素分析

文章运用持有成本模型、无套利定价原理以及回归分析,分别对日交易数据、日内5分钟数据对我国沪深300股指期货的定价误差及影响定价误差幅度的因素进行了实证研究,研究表明我国沪深300股指期货的价格在大多数时间是偏高的,在考虑套利成本的情况下,股指期货的定价在大多数时间是有效率的,但是在股票市场大幅波动的时段,股指期货的定价在存在较大幅度的定价误差。从影响股指期货定价误差幅度的因素来看,距到期日越远定价误差越大,现货指数波动越剧烈定价误差越大,股指期货持仓量对定价误差没有显著影响,加息对定价误差的影响跟加息日期有关。     

中国成品油价格的非对称波动及其市场势力检验

成品油价格事关民生与经济稳定,其非对称性波动可能意味着消费者福利的非必要损失。基于2000年6月—2022年6月油价数据,用NARDL模型检验中国成品油价格波动是否存在“涨多跌少”的非对称性,用EGARCH模型检验油企的市场势力是否影响定价。结果显示,中国成品油价格非对称波动在短期不显著,而在长期显著存在“涨多跌少”的正向非对称性。进一步检验发现,零售市场竞争性明显,但炼油环节检验出了合谋引起的市场势力变化。两个模型结果相互佐证,中国成品油定价存在市场势力的不合理成分。     

会计稳健性对权益价值评估的影响——基于沪深上市公司的经验研究

本文通过使用2001～2009年上市公司的面板数据,对沪深上市公司会计稳健性定价系数进行测定,发现与美国资本市场类似,我国样本公司会计稳健性定价系数的均值小于0。进一步研究发现,由于我国特殊的制度背景,亏损公司盈余管理是影响会计稳健性定价系数异象的主要因素。具体来说,我们发现亏损样本公司组的会计稳健性定价系数的均值显著小于0,而盈利样本公司组的该系数大于0,市场在一定程度上能对好消息公司和坏消息公司进行区分。但是,在我国弱有效的资本市场上柠檬效应导致盈利公司会计稳健性系数的定价过低。     

VIX期权定价与校正

VIX期权作为波动率衍生品能为金融机构提供有效的市场风险对冲工具。文献中对VIX期权定价的实证分析误差都很大,原因在于模型的选取误差以及校正方法和样本选取不妥。通过在VIX模型中加入均值回复因素和跳因素,可以使VIX过程更加合理,也可以使VIX期权定价精度更高。通过对VIX期权市场中间报价进行校正,得到了4个文献模型的参数估计,并比较4个模型的定价精度和正向隐含波动率偏斜拟合效果。     

IPO定价管制与新股短期市场表现

本文选取沪深两市IPO作为研究样本考察IPO定价管制对新股上市后5、20、60、120和150个交易日短期市场表现的影响.实证研究结果表明,IPO定价管制显著影响新股短期市场表现,两者成正相关关系,即IPO定价管制程度越严重,新股短期市场表现越强势;而基于各个市场板块的实证研究结果发现,IPO定价管制对中小板新股短期市场表现的影响最大,其次是创业板,最后是主板.研究结果可以为我国沪深主板IPO定价机制的进一步完善以及沪深主板注册制的推进提供参考.     

基于French-Fama三因素模型的A股H股IPO定价效率的实证研究

本文以52家在A股与H股两个市场挂牌交易的上市公司为研究对象,通过衡量样本公司在两个市场的IPO抑价程度以及上市后的中长期股价表现来比较两个市场的IPO定价效率,并通过多元回归的方法找出两个市场中影响IPO定价效率的因素,研究表明,A股市场的IPO定价效率显著低于H股市场,针对此现状,本文提出了改革A股市场折股发行定价制度的相关政策建议.     

基于French-Fama三因素模型的A股H股IPO定价效率的实证研究

本文以52家在A股与H股两个市场挂牌交易的上市公司为研究对象,通过衡量样本公司在两个市场的IPO抑价程度以及上市后的中长期股价表现来比较两个市场的IPO定价效率,并通过多元回归的方法找出两个市场中影响IPO定价效率的因素.研究表明,A股市场的IPO定价效率显著低于H股市场,针对此现状,本文提出了改革A股市场新股发行定价制度的相关政策建议.     

基于中国人口死亡率的寿险保单贴现定价研究

在寿险保单贴现的过程中,保单持有者将保单出售给第三方机构。本文中,我们首先对寿险保单贴现市场进行一般性的介绍,同时论述这一市场在中国存在的必要性。在Lee-Carter模型的基础上,通过双指数跳跃扩散模型整合了长寿风险和死亡率跳跃,很好地拟合了中国的死亡率数据。讨论了在拥有新的医疗信息(比如对投保人剩余预期寿命的估计)的情况下对寿险保单产品的定价。为了整合这些医疗信息,我们使用了统计学中的信息理论,对事先选定的死亡率表格进行调整,在整合了所有的医疗信息的前提下,尽可能地接近原始表格。利用调整后的死亡率表格,对寿险保单进行了现金流折现定价。我们选用了几种不同的死亡率数据,最终发现,传统的确定性定价方法会低估保单的价值,因而概率性定价的方法更具优越性。     

Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.     

European capital market integration: An empirical study based on a European asset pricing model

This paper investigates the integration between the capital markets of 15 European countries, all of which are members of the European Union. Integration is tested under the joint hypothesis of a European multifactor asset pricing model. A European portfolio is constructed from which common factors are extracted using maximum likelihood factor analysis. Empirical tests are undertaken to determine whether these European factors are not only priced, but also equally priced across the European capital markets. The results show that a number of common factors are extracted from the European portfolio and a degree of capital market integration is shown to exist across the European capital markets.     

International portfolio diversification: an ICAPM approach with currency risk

This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June 1994 to June 2009. To model stock market integration we estimate a dynamic version of the international capital asset pricing model (CAPM) in the absence of purchasing power parity. Conditional variance is modelled via a multivariate GARCH specification. To investigate the evolution of integration overtime we estimate the CAPM in sub-periods. In addition, we connect our results to the timing of world financial crises. Our findings show that the stock markets tend to move in parallel after June of 2002, although from 2002 to 2006 there have not been crises events. These results support the increasing globalization and interdependence of both emerging and developed markets in the recent decade, reducing the benefits of portfolio diversification.     

SEGMENTATION OF THE A‐ AND B‐SHARE CHINESE EQUITY MARKETS

In this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the Chinese stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A‐ and B‐share markets. However, the latent risk premiums for the A and B shares are only weakly correlated, indicating the two‐tier markets are loosely related. The weak correlation implies the two markets reflect different fundamental forces. Additional analysis demonstrates that the Shanghai market responds to the Shenzhen market rather than the other way around.     

Has financial market integration increased during the nineties?

This paper analyses whether there has been an increase in the degree of financial market integration during the nineties. To do this, we focus on stock markets and compute two alternative measures of market integration based on a refinement of the approach suggested by Chen, Z., Knez, P.J., 1995. [Measurement of market integration and arbitrage, Review of Financial Studies 8(2), 287–325]. The main advantage of this approach is that it relies on the condition of absence of arbitrage opportunities, which is directly related to the idea that more integration means less barriers to trade across markets — and does not depend on any particular asset pricing model. The evidence found suggests that during the nineties there has been an increase of the degree of market integration between stock markets.     

THE MAGNITUDE OF PRICING ERRORS IN THE ARBITRAGE PRICING THEORY

In this paper the arbitrage pricing theory (APT) pricing errors for individual securities are estimated employing maximum likelihood factor analysis and Fama-MacBeth style aggregation. Results show that the pricing errors are large and statistically significant and that there is a high degree of variability in pricing errors across securities. This evidence contradicts the prevailing APT intuition that the pricing errors can be ignored as negligible. Pricing errors are also found to be related to residual variance and firm size.     

Pricing errors and estimates of risk premia in factor models

In this paper, we consider the effect of the theoretical pricing error in the arbitrage pricing model on estimates of risk premia implied by the model. Under arbitrage pricing, the pricing error satisfies a strong bounding condition where for an infinite set of assets, the sum of squared pricing errors is bounded. We characterize the pricing error in terms of orders of probability and estimate an expected returns model which allows for pricing errors less than order one in probability. The principal finding of the paper is that misspecification of the pricing error and misspecification of the factor structure has no effect on the bias or mean squared error of the dominant risk premium. This implies that an exact form of arbitrage pricing can be used to estimate risk premia.     

Limited arbitrage between equity and credit markets

We document that short-horizon pricing discrepancies across firms' equity and credit markets are common and that an economically significant proportion of these are anomalous, indicating a lack of integration between the two markets. Proposing a statistical measure of market integration, we investigate whether equity–credit market integration is related to impediments to arbitrage. We find that time variation in integration across a firm's equity and credit markets is related to firm-specific impediments to arbitrage such as liquidity in equity and credit markets and idiosyncratic risk. Our evidence provides a potential resolution to the puzzle of why Merton model hedge ratios match empirically observed stock-bond elasticities (Schaefer and Strebulaev, 2008) and yet the model is limited in its ability to explain the integration between equity and credit markets (Collin-Dufresne, Goldstein, and Martin, 2001).     

Measurement of market integration and arbitrage

We develop a measurement theory of market integration, basedon two notions of 'integrated markets'. First, two markets cannotbe perfectly integrated in any sense if one can construct twoportfolios, one from each market, that have identical payoffsbut different prices. In that case, the law of one price isviolated across the markets. Second, they cannot be integratedin a stronger sense if there are cross-market arbitrage opportunities.Two measures of market integration are developed, respectivelyreflecting these notions. The smaller the measures, the moreclosely integrated (in the respective senses) the markets. Amongother things, they are interpreted as measuring pricing discrepancybetween markets.     

Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on the contingent claims of the test assets because their stochastic discount factors are often negative and admit arbitrage opportunities.