Stock Returns and Inflation

In this paper the relationship between inflation and stock returns in Australia is examined. It is found that increases in the price level reduce the real level of the stock price index. However, it is also found that the question of whether persistent increases in inflation affect real returns cannot be addressed using the Australian data.     

通货膨胀与农业股票收益多尺度分析

通货膨胀水平与股票收益率的关系是金融学研究的热点问题之一。文章介绍了小波方法的多尺度分析原理,采用农林指数月度收盘价的对数收益率和消费者价格指数分别代表农业股票收益率和通货膨胀率的水平,得到2007年9月到2012年12月农业股票收益率和通货膨胀率的统计特征。以小波方法分解已知的时间序列,得到不同尺度的数值,利用最小二乘法实证两者之间的关系,得到在中尺度和大尺度的分析周期上,两者具有统计意义上显著地正相关关系,支持了费雪效应假说。而在短尺度分析周期上,两者又具有统计意义上的负相关性,出现了费雪效应悖论。     

Inflation and Stock Market Returns:Some Australian Evidence*

This paper analyzes the relationship between Australian stock returns and inflation over the period 1965-79. The effects of inflation in a ‘rational investor’ valuation framework are discussed. Empirical tests suggest that nominal stock returns and inflation are related in a significantly negative fashion, implying that stocks have been extremely poor inflationary hedges for the investor over the period. In addition, Granger-Sims tests of causality indicate a mainly unidirectional relationship between inflation and stock returns, with price level charges leading the equity index in time.     

股利政策稳定性对股票长期收益影响的实证研究

本文以1997—2007年中国A股市场上分红次数多于5次的股票为样本,以分红波动分组,采用日历时间回归方法研究了股利政策稳定性对股票长期收益的影响。为了更好地比较股利政策的影响,修正了Fama-French三因子模型。通过实证研究发现:分红股票相对于不分红股票存在超额收益,高股利股票较低股利股票有较高的超额收益。据此提出如下建议:监管机构应出台更为有效的政策来引导和管理上市公司进行股利分配,使股利支付趋于稳定,从而引导投资者理性投资。     

资产收益率与通货膨胀率关联性的实证分析

通过研究股票实际收益率与通货膨胀波动性之间的关系,可以判断股票市场波动和宏观经济运行之间的联系.我们检验发现,通货膨胀率的波动能够影响股票实际收益率的变化,这说明价格水平变化不仅影响消费品之间的替代,也影响投资品之间的替代.因此,通过积极货币政策缓解通货紧缩压力,可以增强股票市场的规模活性并形成收益率上升的稳定预期.     

股票市场收益跳跃性风险研究

中国股市是一个“政策市”,政策因素是造成我国股票市场收益（价格）跳跃性行为的最重要的原因。首先,本文深入而系统地阐述了股票收益（价格）发生跳跃性行为的经济机制,并将跳跃风险从总体风险中分离出来;然后描述了跳跃性风险的测度方法、跳跃性风险的定价及其对于风险管理的影响,以便能够为投资者和政府决策者提供一些有益的理论支撑,     

上市公司送、转股行为分析

送、转股是我国上市公司利润分配的重要形式,有其产生的制度背景,集中体现在股权分置与流通股高溢价发行,上市公司管理当局在制定股利政策时有迎合市场的动机。随着股票市场投资日趋理性,送、转股的信号传递与提高股票交易流动性的作用将加强。     

Inflation Targeting and Regional Inflation Persistence: Evidence from Korea

The adoption of a credible monetary policy regime such as inflation targeting is known to reduce the persistence of inflation fluctuations. This conclusion, however, is typically derived from aggregate inflation or sectoral inflation rates, not from regional inflation data. This paper studies the regional dimension of inflation targeting; that is, the consequences of inflation targeting for regional inflation persistence. Based on data for Korean cities and provinces it is shown that the adoption of inflation targeting leads: (i) to a fall in inflation persistence at the regional level; and (ii) to a reduction in the cross‐regional heterogeneity in inflation persistence. A factor model lends further support to the role of the common component, and, hence, monetary policy, for regional inflation persistence.     

公司高管减持同伴效应与股价崩盘风险研究

高管大批量集中减持现象一直倍受市场关注,但现有研究主要关注内部人信息优势和公司治理等内生因素对其减持行为的影响,较少考察外部因素的作用。本文基于同伴效应视角,研究同伴公司高管减持对公司高管减持行为的外生影响及其经济后果。研究发现,公司高管减持过程中存在明显的同伴效应现象。同时,高管减持同伴效应受环境不确定性、行业或市场地位和高管职位层级的显著影响,特别是在高科技行业中表现尤为明显。而且,该同伴效应对公司、行业及地区三个层面的股价崩盘风险均存在显著正向影响。进一步研究发现,高管清仓式减持会引发更严重的同伴效应现象,并加剧了崩盘风险的上升。本研究对内部人交易监管和资本市场风险防范等实践具有重要启示。     

New Evidence on Psychology and Stock Returns

This article provides econometric evidence on the importance of psychological considerations for aggregate stock price fluctuations. To this end, a novel measure of stock market sentiment, dubbed the Net Psychology Index (NPI), based on information contained in Bloomberg News's end-of-the-day stock market reports, is confronted with a battery of multivariate empirical analyses. Results suggest that NPI is statistically different from popular sentiment proxies within the literature. NPI exhibits predictive power, increasing stock returns in the short run with this impact dissipating in the medium term. NPI does not exhibit asymmetric effects on returns for size- and momentum-related portfolios. A trading strategy based on NPI generates a statistically significant positive monthly return. Recursive out-of-sample fit analyses report a lower standard deviation of forecasting errors for NPI-based returns models versus competing accounts.     

基于可持续发展的股利决策:现金股利与股票回购

股利政策是影响企业可持续发展的重要因素。作为股利支付的两种重要方式,企业在可持续发展过程中如何实现现金股利与股票回购呢?在现实经济中,资本市场是不完善的,由于受到税收、信息不对称等因素的影响,现金股利与股票回购对公司及股东的影响是不同的,公司在决策时既要考虑法律制度的限制,又要考虑公司财务状况,还应充分考虑股东的需求、税收、信号、财务战略等问题。     

通货膨胀影响股票市场的实证分析

本文主要考察通货膨胀对中国股票市场股票收益的影响.计量分析发现,通货膨胀与中国股票市场的股票收益呈负相关关系,但在统计上并不显著,且通货膨胀对沪深股市的影响存在较为明显的差异特征.这表明,尽管深沪两市基本制度架构相似,但市场运行模式存在一定的差异性.     

Employee Stock Ownership and Participation in South Korea: Incidence, Productivity Effects, and Prospects

The paper examines employee stock ownership plans in South Korea. The incidence and characteristics of ESOPs in publicly traded manufacturing firms is reported. Korean employees do not participate in ESOPs either financially or in decision-making to the extent they could under the law. Evidence that tax incentives have very large effects on ESOP purchases is presented. Econometric estimates suggest that an increase in an average ESOP from 2% to 3% of total shares would lead to an increase in output of 2.6%. These results are broadly consistent with OECD countries, despite the smaller ownership shared and weaker employee decision-making participation in Korea. The policy analysis concludes that ESOPs in Korea are not suitable for pensions; that it is not in employee interests to purchase all shares through initial public offerings (IPOs) and seasoned equity offerings (SEOs); that incentives for longer stock-holding periods may be appropriate; that improvement in decision-making participation is desirable; and that changes in repayment methods could make it more attractive for employees to purchase shares.     

Market Moods and Network Dynamics of Stock Returns: The Bipolar Behavior

The authors show that a simple mood-separable preference in a network study of stock returns captures a variety of stylized facts regarding stocks’ provisional (ab)normal behavior. These behaviors are articulated in a multistate complete Euclidean network model that specifies the existence, direction, and magnitude of a self-organized dynamics for each individual stock during abnormal market moods. In the empirical setting, the authors apply suggested model along with 2 established visual approaches (multidimensional scaling and agglomerative hierarchical clustering) for benchmark purposes. Results reveal different levels of erratic return dynamics for each stock and the entire market in different abnormal market moods. The authors model and interpret these self-organized dynamics as evidence of stocks’ and market’s bipolar behavior.     

Inflation Risk, Hedging, and Exports

This paper analyzes optimal production and hedging decisions of a risk-averse exporting firm in a developing country. The firm cares about real profits, since the spot exchange rate and the domestic price level are uncertain. It is demonstrated that a separation property holds although there are two sources of risk and only one hedging instrument exists. The authors examine the optimal risk management of the firm. In contrast to most hedging models, the real risk premium is important for the optimal hedging strategy.     

Capital Trading,Stock Trading,and the Inflation Tax on Equity

A market for used capital goods, or financial instruments that represent the ownership of the used capital goods, induces inflation taxes on wealth and on the nominal income flows that they provide. This paper explicitly introduces trading in either used capital goods or financial instruments into the standard stochastic growth model with money and production. These two monetary economies are equivalent. The value of the firm is equal to the firm's capital stock divided by inflation. The resulting asset-pricing conditions indicate that the effect of inflation on asset returns differs from the effects found in the literature by the addition of a significant wealth tax. Journal of Economic Literature Classification Numbers: E0, E4, E5.     

我国通胀对股票市场条件波动影响研究

将通胀引入标准GARCH模型,分别研究我国通胀率、通胀率变化和移动平均通胀率对股市条件波动的影响。实证结果表明通胀对我国股票市场条件波动几乎不存在影响,从而否定了通胀会使投资者预期经济变坏,更加厌恶风险,以致引起资产价格剧烈波动的假说。     

The Role of Industry Effects in Simultaneous Reversal and Momentum Patterns in One-Month Stock Returns

When stocks are ranked by returns in one month, the portfolio of loser stocks tends to outperform the portfolio of winner stocks in the subsequent month. Yet industry portfolios tend to display momentum. We develop a model of information diffusion among agents with constrained information processing ability that reconciles these well-documented phenomena. We test whether this model or the overreaction hypothesis is consistent with the data. Additionally, a trading strategy based on the model outperforms strategies based on overreaction and on industry momentum. The strategy produces abnormal returns while controlling for market–risk and the size, book value, January, momentum, and liquidity effects.     

我国公司红利政策与股市波动

本文从实证的角度分析了中国上市公司的年度红利公告对股价及交易量的影响。我们发现 ,不论是首次分红还是一般的年度分红 ,现金股利所引起的股价异常收益显著小于股票股利和混合股利 (即现金和红股 )。此外 ,现金股利作为首次分红支付方式不受市场欢迎 ,其异常收益显著为负值。为了保证实证结果的纯净性 ,本文还进行了干扰排斥性检验 ,排除了除息除权日的溢出效应、大宗交易所引起的股价偏差及红利公告期间风险要素增加的影响。此研究回答了我国证券市场建立以来公司红利政策与市场价格及交易额的相关关系问题。