Access policy and money market segmentation

Deviations between interest rates paid in the Swiss franc unsecured money market and the respective Libor rate are analysed for a period spanning the financial crisis. First, banks that have access to sources of secured central bank and interbank funding pay less than other banks. Second, foreign banks (not chartered in Switzerland) pay more than domestic banks. Third, both lines of segmentation are economically relevant but limited due to open access to sources of secured funding. Thus, access policy matters for monetary policy implementation and financial stability.     

The pricing of exchange rate risk and stock market segmentation: The Canadian case

Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not priced in the U.S. stock market. This study reexamines such counterintuitive results using data from the Toronto Stock Exchange. The evidence here weakly supports the pricing of the exchange rate risk. Further, the sample period in this study coincides with Jorion's to ensure that both studies examine the pricing of the exchange rate risk in the same global economic environment. The significant pricing of exchange rate risk in Canada and the insignificant pricing in the U.S. imply the possibility of market segmentation.     

International mutual fund selectivity and market timing during up and down market conditions

This study examines the selectivity and market-timing ability of international mutual fund managers. Ninety-seven international mutual funds with a minimum of five-year return history selected from the Morningstar OnDisc database are analyzed. Our findings suggest that managers of international mutual funds possess good selectivity and overall performance. We also find weak evidence of poor market-timing ability. Consistent with prior findings from domestic mutual funds, there is a negative correlation between the international fund managers' selection ability and market-timing ability. Finally, managers for Europea funds show poorer performance than those managing the other three international fund groups.     

Market segmentation and the valuation of closed-end country funds: An empirical analysis

This article examines the role of market segmentation on the valuation of the U.S. stock exchange-listed closed-end country funds and analyzes the determinants of net fund premia in a multivariate context. It is shown that fund returns are generally sensitive to both national and U.S. market factors, but only national factors are priced. Cross-section and time series estimation of net fund premia indicates the importance of market segmentation as a determinant of net fund premia. There is some evidence that exchange rate changes may exert an additional influence. However, market expectation variables such as economic growth of the country or relative capitalization rates are insignificant.     

Diversification and Capital Structure: Some International Evidence

This study examines the effects of international and product diversification on capital structure with 232 firms from 30 countries. Results for the full sample show that international diversification is negatively related to financial leverage, but further analyses indicate that this is mainly attributable to US firms. For non-US firms, we fail to find a significant relationship. Results also show that product diversification is positively related to financial leverage, indicating that such diversification allows firms to reduce their risks, thereby enabling firms to carry higher debt levels.     

Equity issues and aggregate market returns under information asymmetry

We propose a simple time-series model based on information asymmetry that allows us to test the predictive power of equity and debt issues with respect to future market returns. Using this method, we find that managers’ new equity and debt issue decisions have predictive power for future market returns, when we take into account potential feedback from past market returns and structural breaks. We also take into account a cointegration relation among stock prices, equity issues and debt issues. This finding is robust with respect to various measures of market returns and consistent with the managerial timing hypothesis.     

The effect of market segmentation on stock prices: The China syndrome

China has an A-share market that is open only to local investors and a B-share market that is open only to foreign investors. Contrary to what has been observed in other markets with a similar segmented structure, the China B shares trade at a discount relative to the A shares. We show that the phenomenon can still be explained by basic economic principles. Specifically, the existence of the H-share and the “red-chip” markets in Hong Kong provide good substitutes for the B-share market. We find that when more H shares and red chips are listed in Hong Kong, the B-share discount becomes larger. This is consistent with the model of differential demand elasticity proposed by Stulz and Wasserfallen (Stulz, R., Wasserfallen, W., 1995. Review of Financial Studies 8, 1019–1057).     

2004年国际经济金融走势及其对我国经济金融的影响分析

本文对2004年国际经济金融走势进行了较为全面和深入的分析。从全球经济走势来看,世界经济形势持续好转,美日欧以及其他亚洲国家和地区的经济整体表现良好;国际金融市场在全球经济基本面的带动下,总体表现也较为平稳。另外,本文还对2005年的国际经济金融走势进行了预测和分析。同时随着我国改革开放的日益深入,国际经济金融市场的运行对我国经济金融的影响也日益加大。基于此,本文从国际经济金融的大背景出发,分析和预测了其对我国进出口贸易、吸引外资、外汇储备、外债、人民币汇率及在华外资银行和境内外汇存贷款变化等方面的影响。     

国际资本流动的原因、路径和趋势

20世纪90年代以来,国际资本流动速度进一步加快,通过促进国际贸易发展和提高国际市场效率两个方面,推动了世界经济的快速增长。文章介绍了近年来国际资本的流动规模,各类国际资本（如国际直接投资、证券投资）的流动形式及国际资本流向格局,指出国际资本流动既使世界经济失衡表现为一种动态均衡,也推动了世界产业结构的调整。     

Debt and market incompleteness

This paper provides a capital structure equilibrium analysis in an environment characterized by market incompleteness and risky debt. Market incompleteness, together with a comparative advantage for corporate borrowing, leads to a Miller (1977)-type capital structure equilibrium wherein each firm within an industry faces an indeterminate debt level. However, at the aggregate-industry level, corporations act as financial intermediaries to generate cross-sectional capital structure patterns across industries, despite the fact that rents associated with financial intermediation services dissipate in equilibrium for any particular firm. Additional implications are drawn for observed cross-sectional and time-series regularities in capital structure.     

Tax Competition and International Public Goods

A well known result in the tax competition literature is that tax rates are set too low in the Nash equilibrium to finance an efficient level of public consumption goods. In this model we introduce international spillovers in public goods provision and show that such spillovers reduce, and in the limiting case of perfect spillovers, eliminate tax competition. There is, however, always underprovision of the public good in equilibrium, since larger spillovers increase the problem of free riding. In an extension to the model, we demonstrate that congestion costs may result in overprovision of the public good.     

股票市场投资者结构国际比较研究

本文梳理了A股市场与相关国家(地区)股市投资者结构的现状,探讨这些市场投资者结构的演变路径、以及促成这种演变的主要因素。基于境外主要市场投资者结构演变及政策措施的经验教训,本文提出改进A股市场相关制度的六点政策建议:第一,从更宏观的政策层面入手,改进上市公司结构,增厚上市公司利润,以增进A股市场的长期投资价值;第二,着力培育和鼓励大体量资金机构进入股市;第三,有必要继续扩大海外合格机构投资者资金规模;第四,完善金融产品供应,适当放宽交易规则约束,使机构投资者有更多工具和交易方式参与市场交易;第五,在个人投资者方面,监管部门需要适度转变监管理念,进而改进相关交易规则,鼓励个人投资者以合理方式理性参与股市;第六,创新税收激励机制,合理引导个人投资者。     

新兴市场国家的国际资本流动与双危机模型扩展

本文基于新兴市场国家经济背景下,从国内中央银行和国内投资者、国际投资者三类主体进行不完全信息博弈的角度对双危机理论模型进行了有效扩展,探讨了对国际资本流动进行和不进行数量和税费控制条件下银行危机与货币危机发生所满足的必要条件,从而更深入全面地探讨了国际资本流动与双危机之间的传导机制。以马来西亚的实际数据对扩展模型的合理性和有效性进行了验证,并对模型中的主要参数对均衡结果的不同影响进行了分析,为类似中国的新兴市场国家制定安全有效的货币政策以及防范金融危机提供了思路和政策建议。     

我国证券市场开设国际板存在的障碍及解决对策

我国在世界经济地位日益提升,且证券市场国际化逐渐加快,因此,我国现在急需建成一个国际金融中心。国际金融中心的标志之一就是交易市场向国际开放,而国际板的开设是国际金融中心建设的重要一步。本文阐述了我国证券市场开设国际板所引发的主要争论,包括:发行之争;利弊之争;时机之辩。分析了我国开设国际板急需解决的三个主要障碍,即各方利益均衡问题、避免拉低我国股票市场的估值、国际板在我国良好运行等,并给出问题解决的对策:分步推行国际板;完善我国证券市场制度建设;提高监管和服务水平。     

2011年中国货币市场运行报告

2011年,货币市场继续保持稳步发展势头,其主要运行特点包括：市场规模稳步扩大;市场利率高位波动;市场对货币政策变化敏感度提高;市场融资结构发生变化;非银行类市场主体交易更加活跃,市场结构不断优化,市场功能进一步发挥。     

Exploiting International Stock Market Correlations with Open-end International Mutual Funds

Investors can exploit the correlations between international stock markets by trading no-load, open-end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the US trading day. The strategy we examine yields an annual rate of return 800 basis points above the S&P500, over a period of almost eight years.     

Divergence of US and Local Returns in the After‐market for Equity Issuing ADRs

We study one‐year post‐listing prices and returns to equity issuing ADRs that listed in the US between January 1991 and October 2000. ADRs from countries that impose restrictions on capital flows are priced at a premium to their home market ordinaries. While the mean premium for the full sample is statistically indistinguishable from zero, after an adjustment for asynchronous trading, the magnitude of the premium to ADRs from restricted markets is 11.33% at the 300‐day post listing interval, which is statistically significant. In the short run (30 days) following listing, the magnitude of the premium is larger for ADRs with larger excess demand from US investors. At the longer 300‐day horizon, Nasdaq listed ADRs earn a larger premium than their NYSE/AMEX listed counterparts. Time‐series regressions and two‐stage cross‐sectional regressions establish that the premium to foreign equity issuers is greater if the US listing attracts liquidity and if US returns have a lower correlation with the local country index.     

Long-run stock performance of German initial public offerings and seasoned equity issues

We estimate the long-run stock performance after initial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolios and matching stocks). In addition we present the first results on the long-run performance after seasoned equity issues (SEOs) in Germany. We conclude that size portfolios and matching stocks are better benchmarks than market portfolios. Using buy‐and-hold abnormal returns, we estimate that German stocks involved in an IPO or in a SEO, on average, underperform a portfolio consisting of stocks with a similar market capitalization by 6% in three years. This is considerably less than the underperformance after IPOs and SEOs in the US market reported by Loughran and Ritter (1995) and the underperformance after IPOs in Germany reported by Ljungqvist (1997). We also show that the apparent underperformance of the 1988–1990 IPO cohort discussed by Ljungqvist (1997) disappears when the abnormal performance estimate is based on size instead of market portfolios.