资本流入对国内福利的影响

本文分析了在不完全竞争的产品市场中,在东道国的进口竞争性部门为资本密集型的情况下,外资流入对福利的效应问题。如果市场结构是外生的,那么资本流入会提高东道国的福利;然而,如果市场结构是内生的,由于资本流入导致新企业进入市场,从而提高了企业的平均成本,这样,资本流入反而会有贫困化效应。此外,本文还提出了一些新的观点,即研究了在考虑贸易中的一些限制性条件的情况下,资本流入对福利的效应。     

我国资本市场现状及规范化建议

企业融资结构的变化与资本市场的发展紧密相连 ,作者沿着这条轨迹简单地阐述了中国资本市场的形成和发展过程 ,指出了中国资本市场在发展过程中存在的问题以及由此而导致的我国资本市场现存的诸多缺陷 ,并提出了中国资本市场的规范化发展的几点建议。     

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

We propose a two-sided jump model for credit risk by extending the Leland–Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) Jumps and endogenous default can produce a variety of non-zero credit spreads, including upward, humped, and downward shapes; interesting enough, the model can even produce, consistent with empirical findings, upward credit spreads for speculative grade bonds. (2) The jump risk leads to much lower optimal debt/equity ratio; in fact, with jump risk, highly risky firms tend to have very little debt. (3) The two-sided jumps lead to a variety of shapes for the implied volatility of equity options, even for long maturity options; although in general credit spreads and implied volatility tend to move in the same direction under exogenous default models, this may not be true in presence of endogenous default and jumps. Pricing formulae of credit default swaps and equity default swaps are also given. In terms of mathematical contribution, we give a proof of a version of the "smooth fitting" principle under the jump model, justifying a conjecture first suggested by Leland and Toft under the Brownian model.     

企业负债水平分析与最佳资本结构的确定

企业负债水平与最佳资本结构的确定是市场经济条件下企业生存、发展的基础因素,文章对企业负债水平和资本结构进行了理论分析和公式推导分析,并提出了确定最佳资本结构所应考虑的因素和权衡依据。     

资本结构理论的发展与中外企业融资选择

资本结构理论是基于实现企业价值最大化或股东财富最大化的目标 ,着重研究资本结构的变动对企业总价值的影响 ,通过资本结构理论的研究可以得出企业应遵循的融资规则。分析我国上市公司的融资选择后可以发现 ,当前我国的上市公司普遍存在明显的股权性融资偏好 ,这与资本结构理论的基本准则相悖。纠正这种不良偏好 ,是推进我国上市公司改革与发展的重要环节与内容。     

资本结构与上市公司盈利能力——家电行业的实证分析

本文以我国家电行业 2 6家上市公司 1999- 2 0 0 1年财务数据为样本 ,采用多元统计分析中的主成分分析方法 ,实证研究了上市公司资本结构与盈利能力的关系。结果表明 ,家电行业上市公司的资本结构与盈利能力呈现负相关关系     

走进鼠年的中国资本

猪年的中国资本市场让人感慨万千。“有形之手”和“无形之手”的较量给人留下了深刻印象。两市市值屡创新高,股市规模进一步扩大是中国资本市场配置资源能力的提高,是市场深度和投资环境的日臻完善,显现了中国股市经济“晴雨表”的功能。但同时,新股发行的弊端、中石油独霸熊头以及指数失真、美国次级债风暴等问题也暴露出了监管层的监管空白。[编者按]     

EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET

We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of , the weighted average of the requested rate of return of individual investors, which tends to infinity as approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.     

产业资本是如何走向空心化的

警惕目前金融资本快速膨胀,从而导致产业资本也集中往上游转移的现象。今天,不少企业和机构的盈利方式,已转变为囤积涨价幅度大的“商品”,盈利模式也变成“以价补量”。     

入世后金融服务业开放与资本项目可兑换的关系分析

截至2006年年底,我国加入世贸组织五年过渡期结束,金融服务业开放和资本与金融项目(以下简称"资本项目")可兑换进程在入世后都取得长足进步.作为我国金融发展的重要内容,金融服务业开放和资本项目可兑换在政策制定、实施有效性等方面息息相关.为此,有必要把两者关系弄清楚,弄透彻,以把握、协调好金融服务开放与可兑换进程的步伐,避免相互脱离,顾此失彼.     

RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT

Dynamic capital structure models with roll‐over debt rely on widely accepted arguments that have never been formalized. This paper clarifies the literature and provides a rigorous formulation of the equity holders’ decision problem within a game theory framework. We spell out the linkage between default policies in a rational expectations equilibrium and optimal stopping theory. We prove that there exists a unique equilibrium in constant barrier strategies, which coincides with that derived in the literature. Furthermore, that equilibrium is the unique equilibrium when the firm loses all its value at default time. Whether the result holds when there is a recovery at default remains a conjecture.     

我国上市公司资本结构的税收效应分析

本文以资本结构的税收效应为研究主线,从MM定理出发,对其无税的假设条件不断进行扩展,在前人研究的基础上,结合我国的税收制度与上市公司的财务数据,从理论和实证的角度分别探讨了我国上市公司资本结构的税收效应,并对某些具体行业如何更充分的利用税收效应给出了相应的建议。     

RESWITCHING AND DECREASING DEMAND FOR CAPITAL

We consider a Wicksellian or Neo‐Austrian model of production with a continuum of techniques. For this model we provide an example in which a monotonically decreasing demand for capital schedule is combined with reswitching and a net product per worker that increases (over a certain interval) as the interest rate increases.     

PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

We apply the principle of equivalent utility to calculate the indifference price of the writer of a contingent claim in an incomplete market. To recognize the long-term nature of many such claims, we allow the short rate to be random in such a way that the term structure is affine. We also consider a general diffusion process for the risky stock (index) in our market. In a complete market setting, the resulting indifference price is the same as the one obtained by no-arbitrage arguments. We also show how to compute indifference prices for two types of contingent claims in an incomplete market, in the case for which the utility function is exponential. The first is a catastrophe risk bond that pays a fixed amount at a given time if a catastrophe does not occur before that time. The second is equity-indexed term life insurance which pays a death benefit that is a function of the short rate and stock price at the random time of the death of the insured. Because we assume that the occurrence of the catastrophe or the death of the insured is independent of the financial market, the markets for the catastrophe risk bond and the equity-indexed life insurance are incomplete.