国际对冲基金的中国资产配置研究

"热钱"进入的状况和影响目前正在受到国内各界的广泛关注。文章借用以指数收益推算要素敞口的方法,研究了"热钱"的典型代表———国际对冲基金在中国金融市场上的投资活动和资产分布。从全球对冲基金行业来看,尚不存在大规模投资于中国大陆市场的迹象。全球对冲基金业绩仅与中国股票市场存在较微弱的正相关关系。就大中华区而言,大陆股票、香港股票和台湾股票市场是这一地区对冲基金的主要活动场所。没有发现对冲基金在行业意义上进入中国债券、期货和房地产市场的证据。文章还分析了国际对冲基金进入中国的主要渠道和目前国内对对冲基金的监管现状,并提出有关政策建议。     

宏观型对冲基金动向及其对中国金融稳定的影响

近年来,宏观型对冲基金加快了策略转型和运作方式调整,表现为进一步分化为中小型化和专业化,其结构性变化是投资者中的机构投资者显著增加,大型金融机构也相继设立了机构内对冲基金;在投资策略方面,为了减少风险暴露,宏观型对冲基金正在寻找与各国政府意愿和金融市场走势更加协调的投资策略;这些新的变化对于各国金融稳定提出了新的挑战。目前,中国的经济金融形势十分有利于对冲基金实施多头策略,因此,如何有序开放金融市场和金融业及有效阻止对冲基金可能给中国金融体系造成的冲击是中国应当考虑和关注的问题。     

The 8th International Conference on Asian Financial Markets and Economic Development

<正>The"8th Inte rnational Conference on Asian Financial Markets and Economic Development"invites you to submit a paper for presentation hosted by the Nagasaki University(Nagasaki,Japan),and Chung-Ang University(Seoul,Korea),and Southwestern University of Economics(Chengdu,China).     

Private Pension Funds in Oligopolistic Financial Markets: Some qualifications to conventional theory of financial development

The paper inquires into the efficiency of financial development policies in economies where the financial sector is based on oligopolistic commercial banking. In this case, interest rates on deposits may be set below the level required to achieve balance of payments equilibrium, so that banks are able to exact a risk free financial margin in their holdings of government bonds. Under such circumstances, banks lack incentives to place indirect debt in domestic security markets, as a means of providing long-term finance; and private capital market deepening is hindered. Pension fund privatisation, in this institutional environment, does not relieve public finances, because the government must act as issuer of last resort in order to stabilise the currency. This point is illustrated with Mexican data, and some policy measures to deal with this situation in developing economies are proposed.     

对冲基金的最新发展与监管框架重构研究

以近年来对冲基金的迅猛发展为背景，总结对冲基金竞争优势的来源，在分析现行国际监管制度缺欠的基础上，探讨以完善基金治理结构、强化信息披露和实施以风险为基础的监管措施三方面构筑有效合理的监管制度，具有重要现实意义。     

The Recent Development of Financial Markets in Vietnam

MOCT-MOST: Economic Policy in Transitional Economies -     

Information Acquisition in Financial Markets

Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain closed-form solutions. We present an example with alternative assumptions, and demonstrate that some of the conclusions from previous literature fail to hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore be a strategic complement, allowing for the possibility of multiple equilibria.     

养老基金在公司治理结构中的作用

养老基金等机构投资者在公司治理结构中的作用，一直是学术界十分关注的问题。在投资者保护法制不健全的国家和地区，机构投资者对企业进行监督，可能有助于改善公司治理结构。本文概述机构投资者与公司治理结构关系的理论基础，分析美国、英国及一些转轨国家养老基金或投资基金对企业的监督和影响，探讨养老基金在改善中国公司治理结构中可能发挥的作用，最后是结论性评述。 一、概述：机构投资者与公司治理结构 广义地说，关于公司治理结构，主要讨论的是企业的投资者通过何种途径保证其投资获得回报。该问题之所以重要，是因为在企业所有权与管理权分离的情况下，容易出现代理(agency)问题，即企业管理者(代理人)为了自己的利益为所欲为，损害投资者(委托人)的利益甚至使之血本无归。控制代理问题有多种办法，其中，在投资者权益保护不充分的国家和地区，所有权集中、让机构投资者加强对企业的监督，是减轻代理问题的有效方式。投资者保护的法律越不完备，所有权集中的程度可能就越大(Shleifer，Vishny 1997)。这是因为，与个人投资者相比，机构投资者可能有足够的能力和动力对企业进行监督和控制，从而保护自身的权益。应该指出，此处所有权的集中是在上市公司股份均可流通的情况下，通过市场力量形成……     

Regulating Exclusion from Financial Markets

We study optimal enforcement in credit markets in which the only threat facing a defaulting borrower is restricted access to financial markets. We solve for the optimal level of exclusion, and link it to observed institutional arrangements. Regulation in this environment must accomplish two objectives. First, it must prevent borrowers from defaulting on one bank and transferring their resources to another bank. Second, and less obviously, it must give banks the incentive to make sizeable loans, and to honour their promises of future credit. We establish that the optimal regulation resembles observed laws governing default on debt. Moreover, if debtors have the right to a "fresh start" after bankruptcy then this must be balanced by enforceable provisions against fraudulent conveyance. Our optimal regulation is robust, in that it can be implemented in a way that does not require the regulator to have information about either the borrower or lender. Our results isolate the way in which specific institutions surrounding bankruptcy–namely rules governing asset garnishment and fraudulent conveyances–support loan markets in which borrowers have no collateral.     

证券市场国际比较

本文以量化分析为手段,研究了28个国家与地区证券市场的收益率、风险和相对开放度。我们研究后发现,中国证券市场收益率最高、风险最大、风险收益率很低,相对开放度也很低。如果从国际比较结果考虑,中国证券市场开放以后会引起投资资本外流,投机资本内流。因此,中国证券市场只能采取渐进开放策略,即边规范边开放。     

Bidding and Overconfidence in Experimental Financial Markets

Overconfidence is a well-documented phenomenon in psychology. Psychologists define an overconfident individual as one who believes he has more accurate information than he actually does. Recently, behavioral economists have become interested in the implications of trader overconfidence for financial decision-making and the functioning of financial markets. To date, most financial market studies have been analytical in nature. These studies assume that traders are overconfident and model decision-making behavior accordingly. Rather than assuming the presence of overconfidence, we use experimental bidding data to determine the extent to which trader overconfidence exists, and what variables suggested by previous finance and psychology research relate to it. We find approximately 40% of subjects exhibited overconfidence. Variables that distinguish overconfident bidding from risk-averse and risk-neutral bidding include the traditional financial variables that explain bidding (expected value and standard deviation), non-traditional financial variables, and variables relating to the self-attribution bias and feedback. Contrary to what some analysts have suggested, experience did not reduce overconfidence.     

Ambiguity Aversion and Incompleteness of Financial Markets

It is widely thought that incomes risks can be shared by trading in financial assets. But financial assets typically carry some risk idiosyncratic to them, hence, disposing incomes risk using financial assets will involve buying into the inherent idiosyncratic risk. However, standard theory argues that diversification would reduce the inconvenience of idiosyncratic risk to arbitrarily low levels. This paper shows that this argument is not robust: ambiguity aversion can exacerbate the tension between the two kinds of risks to the point that classes of agents may not want to trade some financial assets. Thus, theoretically, the effect of ambiguity aversion on financial markets is to make the risk sharing opportunities offered by financial markets less complete than it would be otherwise.     

Knightian Uncertainty in Financial Markets: An Assessment

If information is too vague and imprecise to be summarized by a unique additive probability measure, an agent faces Knightian uncertainty or ambiguity rather than risk. Under Knightian uncertainty, an agent's beliefs may be represented by a capacity or a set of additive probabilities. It is proved that an agent's attitude towards ambiguity has a crucial role in asset price determination and portfolio choice. Knightian uncertainty attitude provides an alternative explanation of financial market failures and enables puzzles to be solved, such as market breakdowns, price indeterminacy and volatility, bid and ask spreads, portfolio inertia, violation of call and put parity.
(J.E.L.: D81, G11, G12).