噪声交易与股票流动性:兼对“正(负)相关”理论的评析及“流动性黑洞”现象的解释

噪声交易与股票流动性都是行为金融研究的重点，但二者的相关性问题学界一直未能达成一致，"正负之争"不休。文章改进Kyle （1985）的假设，构建符合中国实际的流动性数理模型，模型表明：噪声交易与流动性负相关，且相关关系受信息不对称、风险厌恶度等因素的影响。进一步，文章以中国沪深300指数的成分股数据证实了"噪声交易-流动性"关系，发现其存在显著的月历效应和市场行情效应。文章对"正（负）相关"理论进行了梳理和评析，为争论的清晰化、明朗化做出贡献。     

投资风格、意见分歧与股票流动性——来自股票网络社区数据挖掘的证据

文章挖掘网络平台上投资者发帖的文本数据并使用Python语言编写情感分析程序，在区分价值型投资和技术型投资风格的基础上，建立了投资者的群体内意见分歧、跨群体意见分歧指标，并分析意见分歧程度对股票流动性的影响效应。实证表明：不同投资风格的投资者群体内意见分歧的程度有显著差异，价值型投资者群内意见分歧程度要高于技术型投资者；投资者的群体内意见分歧和跨群体意见分歧都与个股流动性水平呈现显著的负相关关系，也即投资者对个股看法的对立程度越高则个股的流动性水平越低，而且两者对流动性的影响具有较强的独立性；进一步的，意见分歧对流动性的影响效应会受到卖空限制的影响，随着卖空限制的减轻，这种影响效应显著增强。这些结论表明，单纯增加信息量并提高信息传播效率，并不一定能完全改善股票流动性水平，投资者的意见分歧既是现实情境，又可能会导致股票流动性的异动，进而影响股票市场的稳定。     

在华外商企业中国市场进入模式选择的实证研究

首先构建了企业海外市场进入模式选择的理论模型,之后基于对华投资韩国制造企业的数据调查,进行了实证分析,得出如下结论:基于企业资源因素、战略因素、区位因素的研究模型,对于解释发展中国家企业的海外投资模式,具有有效性和适用性;企业的差异化优势、出口生产导向型战略对独资方式的选择产生显著影响;市场导向型战略、东道国对外资企业的规制政策对合资方式的选择产生显著影响。     

中国股市非系统风险被定价的实证研究

以Campbell模型为基础,建立预测回归方程,利用1995至2005年沪、深两市的数据,从宏观角度研究中国股票市场非系统风险对市场超额收益率的预测关系。实证结果表明,非系统风险对市场超额收益率具有显著的正预测能力;在控制流动性效应后,结果具有稳健性;非预期市场流动性对市场超额收益率具有显著的正效应,而系统风险和预期市场流动性对市场超额收益率没有预测能力。这些结果表明非系统风险被定价,同时也可以为中国股票市场机构投资者热衷集中持股现象做出理论解释。     

Liquidity Crises and Corporate Cash Holdings in Chile

This paper addresses the heterogonous effects of adverse liquidity shocks on corporate cash holdings in an emerging market. We use a large panel dataset with quarterly financial information for Chilean firms during the period 1996–2009. We find three main results. First, liquidity crises have had a negative and economically significant effect on cash holdings, but mainly for small firms; medium‐sized and large firms have not been affected by liquidity crises. Second, liquidity crises reduce the ability of firms to adjust to optimal cash holdings. Finally, medium‐sized firms are less able to adjust cash holdings compared to small and large firms.     

The Determinants and Motivations of China's Outward Foreign Direct Investment: A Spatial Gravity Model Approach

Abstract

The study attempts to investigate the features and determinants of China's outward foreign direct investment (OFDI) into 138 countries and Chinese firms' investment strategies over the 2003–2009 period using an augmented gravity model with spatial linkages. The respective evaluations of China's OFDI are indicative of the important role played by non-financial OFDI. At the same time, Chinese firms prefer to invest in high-tech industries in developed countries while also focusing on the extraction of natural resources around the world. The empirical findings show that the host country's economic size has a significantly positive effect in terms of promoting Chinese OFDI. Chinese firms favour a complex-vertical platform in the developed countries while they prefer a market potential foreign direct investment (FDI) surrounding the host developing countries and an export-platform FDI in the petroleum exporting countries based on the surrounding market potential effect and spatial effect. The fuel extraction motive plays a key role in China's OFDI in line with the realities of Chinese FDI strategies in recent years.     

流动性过剩与资产价格泡沫——基于中国数据的实证分析

流动性过剩已经成为我国宏观经济运行中的热点问题。流动性过剩是什么,流动性产生的根源有来自国际的因素,也有国内的因素。流动性过剩严重影响我国的宏观经济运行,推动CPI指数上扬,造成股票市场、房地产市场泡沫。本文通过建立计量经济模型,对流动性过剩与资产价格泡沫之间的相关性进行实证分析,并进一步分析流动性过剩的影响传导机制。     

Human resource management, corporate governance structure and corporate performance in Korea: a comparative analysis of Japan, US and Korea

This paper investigates the influences of human resource management (HRM) and corporate governance structure on the corporate performance in Korean firms. Prior to the Asian economic crisis, large Korean firms mostly followed the Japanese style HRM paradigm where the practice of lifetime employment is guaranteed. However, in the aftermath of the crisis, they have pursued structural downsizing and changed their paradigm more towards the US HRM paradigm where inter-firm mobility becomes prominent in the flexible labor market. The empirical evidence introduced in this paper affirms the argument that the first step towards a HRM paradigm shift in Korea should be the establishment of an efficient corporate governance structure. This implies that a simple switch from the Japanese HRM paradigm to the US model may not improve corporate performance unless the change is accompanied by a solution to the problems posed by the minority controlling structure of Korean companies. The implications of this study for guiding policy in developing countries having labor market rigidities and underdeveloped corporate governance is clear. Corporate governance systems may provide an appropriate starting point for the development of any policies aimed at building an efficient human resource management system and a flexible labor market.     

Economic policy uncertainty and firms' investment and financing decisions in China

This paper designs a quasi-natural experiment for the identification of causal relationships between economic policy uncertainty and firms' investment-financing decisions using China's supply-side structural reform in 2015. We construct measures of asset reversibility across industries using China's national input–output flow table and match them with nonfinancial firms listed in China's A-share stock market from 2013 to 2017. We then use the difference-in-difference estimation strategy to investigate two-dimensional variations in periods (i.e., before and after 2015) and asset reversibility (i.e., high- and low-reversibility industries). The empirical results show that economic policy uncertainty significantly impedes real investment and reduces net debt issuance for private firms, whereas no such effects exist in state-owned firms. Interestingly, however, economic policy uncertainty has no significant impact on firms' cash-holding decisions.     

Share liquidity, participation, and growth of the Boston market for industrial equities, 1854-1897

Financial economists have long believed that the liquidity of shares affects the level of participation in equity markets and is thus central to their deepening. This study examines the growth in industrial share liquidity that occurred in Boston over the latter half of the 19th century. From primary sources hitherto unused for scholarly investigations, namely the running annual worksheets of securities price fluctuations that underlie broker Joseph Martin’s volumes on the history of the Boston stock market, I construct broad-based indices of annual prices and returns for banking and industrial equities, as well as measures of real market capitalization. A series of vector autoregressive models then relate increases in liquidity, as measured by falling par values of industrial shares due to stock splits, write-downs and re-capitalizations, entries, and exits, to advances in prices and capitalizations among traded firms. The findings support the view that increases in participation were important for sustaining Boston as the nation’s leading industrial market until finally overtaken by New York sometime around 1900.     

United States-China two-way direct investment: Opportunities and challenges

There is surprisingly little cross investment between the U.S. and China, the two largest economies in the world. Only 1.5% of the stock of U.S. direct investment abroad was in China at end-2015. The stock of Chinese direct investment in the U.S. is also lower than would be expected given that the U.S. is the world’s largest recipient of FDI. In recent years, however, the flow of direct investment from China to the U.S. has accelerated rapidly, and if current trends persist within a short time there will be a larger stock of Chinese investment in the U.S. than of U.S. investment in China. The small amount of U.S. investment in China can be traced to two primary factors: first, poor protection of property rights, including intellectual property rights (IPR), which limits the potential benefits that U.S. firms can receive from their technology and brands; and China’s restrictions on direct investment in many sectors important to U.S. firms. Among G-20 countries, China is the most restrictive in terms of openness to direct investment. The relatively small amount of Chinese investment in the U.S. can also be traced to two factors: first, much of the initial impetus for Chinese firms to go out was to secure natural resources, while the U.S. is not a resource-rich country relative to its GDP or population; and second, the national security reviews of the Committee on Foreign Investment in the U.S. have soured many Chinese investors on the U.S. market. The two countries have agreed to negotiate a Bilateral Investment Treaty (BIT). This could open the doors to large amounts of investment in both directions if it addresses key issues. For U.S. firms, access to more sectors and better protection of IPR are crucial. Chinese firms seek a less politicized environment in which to invest. In its Third Plenum decision of 2013 the Communist Party leadership indicated its intention to open more sectors to foreign investment and competition. A BIT could help lock in these necessary reforms.     

Does stock market listing impact investment in Japan?

We provide the first large sample comparison of investment by Japanese listed and unlisted public firms. We show that listed firms invest more and have greater sensitivity to investment opportunities than comparable unlisted companies. Our findings suggest that the role of listing in alleviating financial constraints and agency costs is more important than potential underinvestment due to myopic behavior. However, the positive relationship between listing and investment is primarily driven by standalone firms. Further analysis confirms that as the number of subsidiaries in a business group increases the positive impact of listing on investment declines. Additionally, we find that the positive impact of listing on investment is greater for financially constrained firms. We also document a positive association between stock liquidity and investment for listed firms. Taken together, our results suggest that stock markets play an important role in easing financial constraints and preventing managerial shirking both of which increase investment. Finally, we show that higher levels of ownership by financial institutions, board members, and foreign investors increases corporate investment.     

中国股票市场流动性价值研究——双重上市A、B股经验证据

本文首先利用流动性综合测度指标,将证券交易数量、证券流动性水平及证券市场流动性水平引入到证券价格函数中,构建了证券价格差异的流动性模型,从流动性角度探讨证券价格溢价问题,在理论上证明了证券流动性价值的存在性。随后,本文利用A、B股股票实证分析证券流动性价值,实证结果表明,股票流动性水平与股票市场流动性水平可以解释A、B股价格差异,中国股票市场存在流动性价值,流动性价值受股票流动性水平、股票市场流动性水平以及股票交易数量影响。     

Time-varying Cost of Equity Capital in Southeast Asian Countries

This paper investigates variation in the cost of equity capital for the Southeast Asian countries using firm-level data over the period of 1990–2004. It is found that decreases in the firm-level cost of equity capital have been associated with stock market liberalization and securities market development. The results of the present study suggest that earlier empirical evidence regarding the decrease in the cost of equity capital using country-level data cannot be generalized to different types of firms. There has been significant time variation in the cost of equity capital within countries and across firms.     

Does Foreign Direct Investment Affect the Growth of Local Firms？ The Case of China＇s Electrical and Electronics Industry

Does foreign direct investment(FDI) into developing countries affect the growth of local firms in host countries? Using a dataset of 38 sectors in China’s electrical and electronics industry,in this paper,we analyze whether FDI has a positive effect on local firms,with technology spillovers,added value and increasing total factor productivity,or a negative, market stealing,effect.Estimating the relationship between growth of local firms and investment of foreign firms,our results show that FDI is likely to have a negative impact on the growth of local firms in sectors with large disparities in technology and less experience in business.Therefore,local firms lacking in technology need to find markets with no competition from foreign firms or determine strategies to compensate technology disparities.     

Accounting Comparability and Economic Outcomes of Mandatory IFRS Adoption

This study examines the associations between four economic outcomes of the 2005 mandatory adoption of International Financial Reporting Standards (IFRS) and concurrent changes in two important accounting constructs, accounting comparability and reporting quality. My primary purpose is to evaluate the relative importance of cross‐country accounting comparability and firm‐specific reporting quality in explaining previously documented increases in Tobin's Q, stock liquidity, analyst forecast accuracy, and analyst forecast agreement following IFRS adoption. Given that improvements in both comparability and reporting quality are primary stated objectives of the International Accounting Standards Board (IASB), it is important to understand their relative roles in shaping the information environment of financial statement users following IFRS adoption. Using 1,861 first‐time adopters in 23 countries, I find that firms with a larger improvement in comparability have larger increases in Q, liquidity, forecast accuracy, and forecast agreement following adoption, relative to other adopters. In contrast, improvements in reporting quality around adoption appear to have only a second‐order effect that is generally limited to Q effects among those adopters with concurrent improvements in comparability. These results are robust to alternative design and variable specifications. Finally, I continue to find these results for samples restricted to countries with weaker pre‐adoption institutional environments and countries that did not initiate proactive financial statement reviews, indicating that strong institutions and regulatory improvements are not driving the results. Overall, my results suggest that improvements in cross‐country accounting comparability played an important role in the previously documented economic benefits that accrued to 2005 mandatory IFRS adopters.     

Taking firms to the stock market: IPOs and the importance of large banks in imperial Germany, 1896–1913

Large universal banks played a major role in Germany's industrialization because they provided loans to industry and thereby helped firms to overcome liquidity constraints. Previous research has also argued that they were equally important for the German stock market. This article provides quantitative and qualitative evidence that although the market for underwriters was dominated by a small oligopoly of six large banks, there was still perceptible competition, which kept fees and short‐run profits low. Another interesting finding presented here is the absence of a signalling effect to investors. Neither underpricing nor the one‐year performance was different for the IPOs issued by one of the Big Six. Thus, although the German IPO business was in the hands of a small oligopoly, investors did not benefit from the lack of competition. One explanation is that the quality of IPOs on the German stock market of the time was very good in general as a result of the competition between underwriters, but also as a result of the tight regulation of underwriting, which ensured the quality of all firms on the German stock market.     

The Impact of US Uncertainty Shocks on Small Open Economies

In this paper, we investigate the impact of US uncertainty shocks on GDP growth in nine small open economies: Australia, Canada, Denmark, Finland, Iceland, New Zealand, Norway, Sweden and the United Kingdom. We compare the impact of two types of shocks: i) stock market volatility shocks and ii) policy uncertainty shocks. Using quarterly data from 1986Q1 to 2016Q1, this issue is analysed using Bayesian VAR models. Our results suggest that policy uncertainty seems to matter more than stock market volatility. Stock market volatility shocks appear to robustly have significant effects on Danish GDP growth. Policy uncertainty shocks, on the other hand, reliably lowers GDP growth in all five Nordic countries in a statistically significant manner. Statistically significant effects of policy uncertainty shocks on the Anglo-Saxon countries in our sample are harder to establish and are, in our preferred specification, only found for the United Kingdom.     

Labor market institutions and firms’ location choices

The paper evaluates the empirical effects of labor market institutions (LMI) on foreign direct investment (FDI) decisions using an individual dataset describing French firms’ expansion strategies in OECD countries over 1992–2002. First, we provide evidence that labor market institutions do matter in location decisions. Precisely, we show that labor market rigidity significantly reduces the country’s attractiveness for foreign investors. Yet, the effect is of limited magnitude compared to FDI determinants related to the country’s market potential or supply access. Second, we go deeper in the precise role of various LMI dimensions. In line with the literature, we find that stringent employment protection laws have a dampening effect on the location probability. Besides, we show that this is not the only dimension that matters. In particular, we find that the generosity of the unemployment benefit system plays a significant negative role on the country’s attractiveness, even once the role of employment protection is controlled for.     

Market liquidity,private information,and the cost of capital: Market microstructure studies on family firms in Japan

We investigate cost of capital, information asymmetry, and market liquidity of listed family firms vs. non-family firms in Japan. First, we find that the cost of debt is lower and the cost of equity is higher for family firms than non-family firms, but the differences are not significant. The WACC of family firms becomes higher than that for non-family firms and the difference is significant probably because family firms in Japan use less leverage. Next, we find that the stocks of family firms are traded with higher information asymmetry than non-family firms. As for information asymmetry and illiquidity measures, we utilize the variables Adjusted PIN and Probability of Symmetric Order Flow Shocks (PSOS). Concomitantly we also estimate alternate conventional measures of market liquidity as a robustness check. Overall, the evidence on liquidity is somewhat mixed, while we find family firms show higher information asymmetry, which may affect cost of equity. As a final policy implication, we recommend family firms in Japan conduct more voluntary and timely disclosure, in particular, for the benefit of general stock investors, and may want to increase leverage to reduce the WACC.