Diversification of Macroeconomic Risk and International Integration of Capital Markets: The Case of Mexico

This article tests the arbitrage pricing theory in the contextof the unstable macroeconomic years in Mexico, 1977–87.Using information on returns on assets available to domesticinvestors—primarily stocks traded at the local stock exchange—anattempt is made to ascertain the extent to which these assetshave offered premia for a set of proposed sources of risk. Thepervasive factors that play an important role in asset pricingin Mexico are unexpected inflation, unexpected money growth,innovations in the Standard & Poor's 500 price series, andinnovations in the dollar oil price. A residual market factoris obtained, using the McElroy and Burmeister model. Given thatthese risks get premia over and above the riskless rate, expectedrates of return in Mexico have been higher during the yearsof erratic macroeconomic conditions. Mexico is not consideredto be well integrated with the international capital marketsbecause local sources of risk—such as inflation—arenot priced in the United States, whereas international sourcesof uncertainty—such as oil price shocks—are pricedlocally but not in the United States.     

资本市场与资产评估

一、资产评估对我国资本市场持续健康发展的作用 资产评估作为一种专业化中介服务行业,服务于诸多重要经济领域和经济活动．在规范交易行为、降低交易成本、维护经济秩序、保障金融安全、促进经济发展等方面发挥着十分重要的作用。     

有效市场检验、行为金融学与资本市场异象

有效市场假说理论及其检验同行为金融文献对有效市场这一命题给出了不同的答案,并提供了认知市场与股价行为不同的思维逻辑.面对两种理论(观点)由过去的分歧到当前的潜在融合,本文试图从历史的视角梳理传统金融难以解释的资本市场异常现象,审视人们对有效市场的证明和检验,并站在融合两者理论观点的基础上提出未来针对有效市场的研究方向.     

把货币放到资本市场去

留易顺差导致外汇储备增加，使货币投放无法抑制。过去的货币投放是央行根据经济增长需要主动安排的，但是现在是根据外汇流入的数量．包括外国直接投资、贸易顺差和大量的热钱。货币政策从主动性变成了被动性，其中的重要原因就是贸易顺差。如果贸易顺差是可控的．在未来相当一段时间内不会持续增长．那我们现在面临的矛盾就是短期问题．用对冲操作就可以应付。但我认为这个观点有很大问题。     

Accounting Measurement and Capital Markets Research

Numerous controversies — from goodwill amortisation to the appropriateness of fair value accounting — illustrate both the importance of measurement questions, and the difficulty often encountered in devising accounting measurement solutions that are widely accepted. This paper discusses what might be learned about accounting measurement questions from the perspective of capital markets-based research. While this field of inquiry is not well developed, there are indications that further research from the capital markets perspective could provide useful conclusions about accounting measurement.     

摩根大通看好中国资本市场

2003年,摩根大通在股本资本市场仅排名第十一,去年才刚刚挤进前十名的位置,当时有部分评论家认为摩根大通并未采取行之有效的中国策略.     

内部资本市场:治理结构、机制与有效性

本文根据控制权的配置方式、终极股东的性质和实际控制人类型的不同,将内部资本市场的治理结构模式分为业务纽带型ICM、股权纽带型ICM和混合纽带型ICM三个大类和六个子类,并对结构演进的内在机制特征进行了探析,最后在治理结构模式的基础上分析了内部资本市场有效性。     

内部资本市场：组织载体、交易与租金

本文首先对内部资本市场存在于多元化企业集团的观点提出了质疑,认为多元化可以扩大内部资本市场的运作空间,但不是判断企业集团是否存在内部资本市场的必要条件；其次对内部资本市场交易按其特征进行分类,并对其与关联交易的区别进行了辨析；最后从组织租金视角研究内部资本市场的本质,界定了内部资本市场租金的内涵,提出内部资本市场的本质是租金的创造与分配。     

The Bright Side of Internal Capital Markets

We examine capital expenditure decisions of discount firms in response to Wal-Mart's entry into their markets. Before Wal-Mart's entry, focused incumbents and discount divisions of diversified incumbents are similar in size, geographic dispersion, and firm debt levels. However, discount divisions of diversified firms are significantly more productive. After Wal-Mart's entry, diversified firms are quicker to either "exit" the discount business or "stay and fight." Also, their capital expenditures are more sensitive to the productivity of their discount business. Internal capital markets function well, as transfers are away from the worsening discount divisions. It appears diversified firms make better investment decisions.     

国际资本市场监管的最新理论

近十余年来，全球资本市场发展迅速，庞大的投机资金在全球资本市场的流动加剧了世界金融市场的动荡，尤其是给金融体系脆弱的广大发展中国家带来了具有严重破坏性的后果或者威胁。全球资本市场监管体系的建立已经提上了各国政府的议事日程。……     

Equity Markets, Transactions Costs, and Capital Accumulation: An Illustration

Poorly developed equity markets inhibit the transfer of capitalownership. Moreover, the costs of transacting in equity marketsaffect not just the level of investment, but the kinds of investmentsthat are undertaken. Once equity markets allow the ownershipof capital to be transferred economically, reductions in coststend to favor the use of longer-maturity investments. When thereis a relationship between the maturity of an investment andits productivity, transactions cost reductions are conduciveto observing certain kinds of increases in productive efficiency.This article analyzes savings, investment, and consumption decisionsby using an overlapping generations model with two-period-livedagents. The analysis allows for several technologies for convertingcurrent output into future capital that vary by productivityand maturity, and it makes ownership of capital costly to transfer.A reduction in transactions costs will typically alter the compositionof savings and investment, and have potentially complicatedconsequences for capital accumulation and steady-state output.     

欧盟证券市场的一体化与竞争

欧盟各主要证券交易所之间竞争加剧的同时，合作与联合的趋势正在加强。在今后一段时期内，很可能会形成以巴黎为中心和以伦敦——法兰克福为中心的两大欧盟交易所阵营之间竞争，同时在各阵营内部又是紧密合作或高度一体化的格局。     

中国资本市场:2008回顾与2009展望

2008年,全球经济在美国次贷危机的冲击下经历了一个历史上少见的大波动;中国经济因为迅速提高的外向程度,也受到这个危机的显著冲击。作为宏观经济的晴雨表,中国资本市场的波动也是中国资本市场发展至今所少见的。对于市场     

Capital Markets Research And The Goodwill Debate

This paper provides a review of capital markets research relevant to the goodwill accounting debate. Results indicate that the reported goodwill asset under United States GAAP is associated with share values, but there is no clear evidence of a similar association for goodwill amortisation. Similarly, there is no clear evidence of a competitive disadvantage associated with the requirement to amortise goodwill.     

A Multinational Perspective on Capital Structure Choice and Internal Capital Markets

This paper analyzes the capital structures of foreign affiliates and internal capital markets of multinational corporations. Ten percent higher local tax rates are associated with 2.8% higher debt/asset ratios, with internal borrowing being particularly sensitive to taxes. Multinational affiliates are financed with less external debt in countries with underdeveloped capital markets or weak creditor rights, reflecting significantly higher local borrowing costs. Instrumental variable analysis indicates that greater borrowing from parent companies substitutes for three‐quarters of reduced external borrowing induced by capital market conditions. Multinational firms appear to employ internal capital markets opportunistically to overcome imperfections in external capital markets.     

International Capital Markets and Foreign Exchange Risk

Relations between foreign exchange risk premia, exchange ratevolatility, and the volatilities of the pricing kernels forthe underlying currencies, are derived under the assumptionof integrated capital markets. As predicted, the volatilityof exchange rates is significantly associated with the estimatedvolatility of the relevant pricing kernels, and foreign exchangerisk premia are significantly related to both the estimatedvolatility of the pricing kernels and the volatility of exchangerates. The estimated foreign exchange risk premia mostly satisfyFama’s (1984) necessary conditions for explaining theforward premium puzzle, but the puzzle remains in several caseseven after taking account of the pricing kernel volatilities.     

中国资本市场的发展现在才刚刚开始

我讲三个问题。第一讲流动性过剩问题。在金融市场膨胀的时代，流动性充裕是很正常的，只不过在中国由于结构和制度的约束，存在一些障碍。基于这种判断．显而易见．我们现在无法使流动性回到过去．那个时代已一去不复返。当前的政策应该是结构性疏导．利用流动性充裕的环境．推动中国金融市场的发展。因为没有流动性充裕的环境，金融市场特别是资本市场是难以发展的。中国的资本市场之所以在最近两年能够快速地发展．可以总结出很多原因．但一个重要原因就是越来越充裕的流动性。