关于积极财政政策的转型与可持续性问题的思考

近年来,中国连续实施大规模的减税降费政策,宏观税负持续下降,积极财政政策的可持续性问题引起社会各界的高度关注.积极财政政策是否具有可持续性,积极财政政策何去何从?作为宏观经济政策的任何一种财政政策都不可能长期不变地存在下去.如何理解积极财政政策?如何让财政政策具有可持续性?如何让财政政策更有效地发挥作用?文章试图对这些问题作初步的回答,并在讨论财政政策理论发展趋势的同时,展望中国未来的财政政策.     

What's New in Finance?

This paper prepares a list of the 300 most cited articles published in the area of Finance during the period 2000–2006. The articles are ranked based on the ratio of the number of citations and the number of years since publication, as of August 2007. Citation data come from Google Scholar and cover all articles in 29 Finance journals and Finance articles in 21 Economics, six Accounting, and two Operations research journals. The paper also reports the number of highly cited articles by number of authors, journal, research area, and institution.     

A framework for journal assessment: The case of the Journal of Banking & Finance

We propose a citation-based framework for the assessment of journal influence and demonstrate its application with the Journal of Banking and Finance. The framework assesses the current position of the journal, its trends and the reasons behind the trends. The Journal of Banking and Finance is found to be one of the leading journals in the field of finance and its influence is increasing. In fact, it appears to be part of a group of leading journals that is separating itself from the other journals that are generally regarded as peers. Finally, the Journal of Banking and Finance is found to be the only leading finance journal with a high concentration of banking articles, making it a primary outlet for influential articles in this area.     

Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market

Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid–ask spread and a reduction in both market depth and net buying imbalance. Such findings indicate that an increase in funding liquidity can improve equity liquidity, with a stronger effect for the financial ETFs than for the index ETFs. Our study provides a better overall understanding of the effect of the liquidity–supplier funding constraint during the subprime crisis period.     

Access to financing and firm growth

Why do some firms grow faster than others? Although various observed and unobserved aspects of firms have been suggested as potential drivers of firm heterogeneity, economists disagree sharply on the role of financial structure in influencing firm growth. In this paper, I use a sample of quoted and unquoted firms to show that the effect of financial structure on firm growth is statistically significant and quantitatively important. In the presence of external financing constraints, firms rely more on internal funds to finance growth, but the effect of internal financing on firm growth decreases with an increase in the firm’s access to an external bank credit facility. As the external financing constraint is alleviated, the firm relies less on internal funds and switches to external financing as the primary source of financing for its growth. This pattern of transition between internal and external financing is particularly pronounced in small unquoted firms (conditional on their survival). These results suggest a real effect of financial structure on growth via the channel of an external financing constraint.     

Finance journal rankings and tiers: An Active Scholar Assessment methodology

This study uses respondent data from a web-based survey of active finance scholars (45% response rate from 37 countries) to endogenously rank 83 finance journals by quality and importance. Journals are further tiered into four groups (A, B, C and D) and stratified into “upper”, “middle” and “lower” tier categories (e.g. A+, A and A−) by estimating a nested regression with random journal-within-tier effects. The comprehensive and endogenous ranking of finance journals based on the Active Scholar Assessment (ASA) methodology can help authors evaluate the strategic aspects of placing their research, facilitate assessment of research achievement by tenure and promotion committees; and assist university libraries in better managing their journal resources. Study findings from active researchers in the field also provide useful guidance to editorial boards for enhancing their journal standing.     

A case study of short-sale constraints and limits to arbitrage

This paper uses a unique data set of trades in a unique pair of securities that enables the precise identification of individual broker activity and the trade direction of that activity. We find direct evidence that the imposition (removal) of short-sale constraints limits (generates) trading activity consistent with brokers exploiting apparent mispricing.     

Sustainability accounting—a brief history and conceptual framework

Research linking accounting to the emerging concept of sustainability surfaced in the early 1990s and has received continuing attention in academic and professional accounting literature. This paper tracks this brief history through to the release of the Sustainability Reporting Guidelines at the World Summit on Sustainable Development in August 2002, consolidating the various approaches into a sustainability accounting framework. The result is a comprehensive reporting model that presents an enormous challenge to business organisations, requiring a significant commitment of resources to achieve widespread implementation. Failure to meet this challenge enables business organisations to continue to avoid accountability for their continuing unsustainability. The paper concludes with a personal view as to how implementation of the sustainability accounting framework could proceed.     

IPO underwriting and subsequent lending

This study investigates the relation between IPO underwriting and subsequent lending. We find that when a bank underwrites a firm’s IPO, the bank is more likely to provide the issuer with future loans at a lower cost, compared to banks without an IPO underwriting relationship. The evidence also suggests that the underwriting banks share information surplus with the IPO firms in the post-IPO loans, supporting the cost-saving hypothesis. Overall, the evidence for the relation between prior IPO underwriting and subsequent lending supports the notion that firms can derive value from investment bank relationships.     

New Zealand finance companies and risk premiums

This article uses the recent implosion of the finance company sector in New Zealand to examine a number of questions. In the period between the upsurge in the default rate in 2006 and the implementation of a Government Guarantee Scheme in October 2008, we find that the debt risk premiums within the deposit rates of these institutions were grossly inadequate to compensate for default risk, that depositors continued to make significant new deposits even into firms that failed shortly afterwards and that the failure of the companies to increase the risk premiums was likely out of concern that this would aggravate perceptions of default risk.     

The diversification effects of volatility-related assets

We examine whether investors can improve their investment opportunity sets through the addition of volatility-related assets into various groupings of benchmark portfolios. By first analyzing the weekly returns of three VIX-related assets over the period 1996-2008 and then applying mean-variance spanning tests, we find that adding VIX-related assets does lead to a statistically significant enlargement of the investment opportunity set for investors. Our empirical findings are robust and have two implications. First, there is scope for the further development of financial products relating to volatility indexes. Second, hedge fund managers can utilize VIX futures contracts or VIX-squared portfolios to enhance their equity portfolio performance, as measured by the Sharpe ratio.     

Fifty years of finance research in the Asia Pacific Basin

In this paper, we review the history of scholarly finance research in the Asia Pacific Basin. We do this by analysing the four leading regional finance journals – Accounting and Finance, Australian Journal of Management, International Review of Finance and the Pacific‐Basin Finance Journal – along five dimensions. The five dimensions are the most cited papers, noted authors, impact in terms of practice, research areas and a breakdown in terms of the development of the field according to Kuhnian concepts of normal science, anomalies and extraordinary science. We show that the Asia Pacific journals make a crucial contribution to research and practice both in the region and internationally.     

财政可持续性研究述评

本文分析了财政可持续性的含义和本质,并阐释财政可持续的条件。在此基础上,作者指出非蓬齐博弈条件只是动态有效经济下的偿债增长标准,它是隐含于该条件下的。而马约的债务负担率指标也以该条件为理论基础。作者进而介绍了近年来跳出单纯债务研究的财政可持续性研究的新思路。     

Red and blue investing: Values and finance

Using data on the political contributions and stock holdings of U.S. investment managers, we find that mutual fund managers who make campaign donations to Democrats hold less of their portfolios (relative to non-donors or Republican donors) in companies that are deemed socially irresponsible (e.g., tobacco, guns, or defense firms or companies with bad employee relations or diversity records). Although explicit socially responsible investing (SRI) funds are more likely to be managed by Democratic managers, this result holds for non-SRI funds and after controlling for other fund and manager characteristics. The effect is more than one-half of the underweighting observed for SRI funds.     

Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS) spreads into default, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to present a better decomposition and a more accurate measure of spread components. Our analysis reveals that sovereign CDS spreads are highly driven by liquidity (55.6% of default risk and 44.32% of liquidity) and that sovereign bond spreads are less subject to liquidity frictions and therefore could represent a better proxy for sovereign default risk (73% of default risk and 26.86% of liquidity). Furthermore, our model enables us to directly study the effect of systematic liquidity and flight-to-liquidity risks on bond and CDS spreads through the factor sensitivity matrix. We find that these risks do have an influence on the default intensity and they contribute significantly to spread movements. Finally, our empirical results advance the idea that the increase in the CDS spreads observed during the crisis period was mainly due to a surge in liquidity rather than to an increase in the default intensity.     

Does information drive trading in option strategies?

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility–sensitive option strategies contains information about future realized volatility. We do not find evidence that order flow in directionally–sensitive option strategies contains information about future returns. Overall, our evidence suggests that option strategies are used both by traders who possess non-public information about future volatility and by uninformed speculators who appear to follow unprofitable trend chasing strategies.     

The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.     

Entrepreneurial finance: Banks versus venture capital

We analyze how entrepreneurial firms choose between two funding institution: banks, which monitor less intensively and face liquidity demands from their own investors, and venture capitalists, who can monitor more intensively but face a higher cost of capital because of the liquidity constraints that they impose on their own investors. Because the firm's manager prefers continuing the firm over liquidating it and aggressive (risky) continuation strategies over conservative (safe) continuation strategies, the institution must monitor the firm and exercise some control over its decisions. Bank finance takes the form of debt, whereas venture capital finance often resembles convertible debt. Venture capital finance is optimal only when the aggressive continuation strategy is not too profitable, ex ante; the uncertainty associated with the risky continuation strategy (strategic uncertainty) is high; and the firm's cash flow distribution is highly risky and positively skewed, with low probability of success, low liquidation value, and high returns if successful. A decrease in venture capitalists’ cost of capital encourages firms to switch from safe strategies and bank finance to riskier strategies and venture capital finance, increasing the average risk of firms in the economy.