External Conditions,the Evolution of Financial Risks,and the Informational Content of Stock Prices: The Case of Chile

ABSTRACT

In this article, we find that the dynamics of local financial risks in the Chilean stock market are associated with the evolution of external economic conditions, with a strong reduction in both idiosyncratic and systematic risks during periods of stable conditions. Despite this, we fail to find any significant change in the traditional measures of stock price synchronicity developed in the R² literature in our sample. We argue that these measures neglect the relationship between stock prices and fundamentals and find that the strength of the association between prices and fundamentals changes during our sample period, being much stronger during times of stable external conditions and diminished stock price volatility.     

The Empirical Relationship Between Earnings Information and Stock Returns

Abstract:

The objective of this study was to examine, using a vector autoregressive model, whether the difference in earnings growth rates caused different reaction speeds in stock prices. Monthly returns of stocks listed in the Taiwan stock market from May 2003 to April 2013 were used as empirical data in this study. The analytical results showed that the returns of portfolios with higher earnings growth rates significantly led those portfolios with lower earnings growth rates when size, trading volume, institutional ownership ratio, and revenue factors were controlled, respectively. This paper finds that the earnings growth rate is a significant determinant of the lead-lag patterns observed in monthly stock returns.     

转轨经济中我国股票市场的制度缺陷与政府行为

我国股票市场是由政府强行催生于计划经济依然占主导地位的20世纪90年代初期,为保障其顺利发展,政府为其制定了一系列基本制度框架。事隔十几年后,我国基本经济制度已由计划经济转型到市场经济,尽管股票市场的基本制度安排也几经调整和转换,但制度缺陷依然明显存在并影响了股票市场的进一步健康发展。本文从深入分析我国股票市场现存的基本制度缺陷入手,指出我国股票市场存在功能定位扭曲、股权分置和股市监管行政化的制度缺陷,认为政府过度干预是造成股市上述制度缺陷的主要原因,并提出解决股票市场的制度缺陷必须从重新界定政府与市场边界入手。     

The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility

We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.     

基本养老保险基金投资、股票收益率与股价波动性

以2017—2022年各季度基本养老保险基金投资数据为样本,考察基本养老保险基金投资对股票收益率与股价波动性的影响。结果显示：基本养老保险基金持股比例变化对股票未来收益率有一定预测效应,持股比例增加会加剧股价波动。异质性检验表明,被持股公司规模越大,持股比例变化对股票收益率的影响越不明显,对股价波动性影响的时滞性越强。对于短期持股而言,持股比例增加会加剧股价波动,而对于长期持股而言,持股比例增加有利于稳定股价。鉴于此,应继续推动基本养老保险基金全国统筹,进一步扩大其市场化投资规模、延长投资考核期限,提升基金可持续发展能力。     

基于Copula函数的国际原油价格与股票市场收益的相关性研究

针对国际原油价格与金砖五国股票市场收益之间的相关性问题,使用 AR(p)-GARCH(1,1)-Copula 模型进行检验。运用广义误差分布(GED)获取收益残差序列,对 WTI 原油价格和金砖五国股市收益之间的相关性进行实证分析。研究结果表明,国际原油价格与中国股市收益呈现微弱的相关关系,而与其他四国股市收益的相关关系较为明显。用时变 SJC Copula 模型刻画国际原油价格与金砖五国股票市场收益的相关性最为合适。     

The Cross-Section of Stock Returns on The Shanghai Stock Exchange

This study explores the cross-sectional stock return behavior on the A-share market of the Shanghai Stock Exchange (SSE), which is segmented from world's other equity markets. We estimate the effects of beta, firm size, book-to-market equity ratio and a variable unique to the Chinese stock markets, the proportion of firm's floating (tradable) equity over total equity on SSE stocks over the period 1993–2002. We find that smaller firms and value stocks perform better. Systematic risk is negatively significant in down markets. The proportion of floating equity has no direct effect on stock returns. JEL Classification: G14, G15     

对我国股票收益率与通货膨胀率关系的解释：1992-2007

股票收益率和通货膨胀率之间既可以正相关,也可以负相关。如果通货膨胀率的上升动力来自于供给冲击,那么两者负相关;如果来自于需求冲击则正相关。同一时期的正负相关关系取决于供给和需求冲击动力的相对重要性。对我国1992年5月至2007年8月实践的检验表明,整个样本期间内股票收益率和通货膨胀率相关性不明显。在1992年5月至1999年12月期间,供给冲击大于需求冲击的影响,导致股票收益率和通货膨胀率负相关,但2000年1月至2007年8月,同样是供给冲击大于需求冲击的影响,却导致两者正相关。其中的原因在于,2000年后国民经济中供需结构失衡,名义上的供给冲击转变成实际上的需求冲击,从而导致股票收益率和通货膨胀率正相关。政策当局在吸收过多流动性的同时,应加快经济结构调整,从根本上解决供需失衡问题。     

Changes in the Information Efficiency of Stock Prices: Additional Evidence

Previous research shows, using data from three quarters after the implementation of regulation fair disclosure (Reg FD), that there is an improvement in the informational efficiency of stock prices after Reg FD. We compare the informational efficiency of stock prices in four pre-Reg FD quarters (1999–2000) and 12 post-Reg FD quarters (2002–2005). The improvement in the informational efficiency of stock prices previously reported in the immediate aftermath of Reg FD persists in later periods.     

UK Stock Returns and the Impact of Domestic Monetary Policy Shocks

Abstract:  We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors.     

制度环境、股权分置改革与决策有用性

基于中国证券市场股权分置改革的制度背景,结合地区制度环境,从会计规则内外部执行机制耦合的角度,运用盈余信息含量和价值相关性的经验模型,本文首次研究了制度环境与股权分置改革两者共同对会计信息决策有用性的影响。研究发现:地区制度环境越好、股改对价越低的上市公司,其会计信息的决策有用性越高。本文对国内关于股权分置改革的会计信息经济后果研究进行了一定程度的拓展,并结合地区制度环境对会计信息质量的考察提供了一种崭新的研究视角。     

股票价格"虚拟"问题的研究

从现代市场经济的视角看,股票作为一种能够为投资者带来一定收入的资本所有权证书,是最典型的虚拟资本形式。作为虚拟资本的股票价格不外乎是一种与利息率相关的股息收入的资本化。由于利息率是股票价格一个决定性因素,致使股票价格与利息率相关性极强,而与其净资产的高低相关性较弱。因此,在证券市场上,股票价格往往高于其真实价格(每股净资产价值),从而具有了“虚拟”成分。这样,股票价格虚拟运动便成为一种独特的经济范畴。为此,只有注重对股票价格虚拟的合理范围的判断,确定出股票价格可投资的界限,才能以价值投资的理念,引导市场的投资行为,促进中国股市健康发展。     

REIT Stock Splits and Market Efficiency

An analysis of real estate investment trust (REIT) stock splits is presented. Evaluation of the initial reaction to split REITs supports efficient market pricing where REITs generate statistically significant positive announcement date returns, no statistically significant record date returns, and muted ex-date returns. In the long-term, split REITs do not consistently out perform benchmark portfolios over one-year, two-year, and three-year periods. REITs split subsequent to a substantial run up in stock price and to improve the position of their post split stock price relative to the stock price of the typical REIT.     

The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns

This paper estimates volatility changes in daily returns to the Dow Jones Industrial Average over the sample period 1897 through 1988. This allows a direct investigation of the reaction of the level of stock prices and subsequent expected returns to these estimated changes in volatility. We provide empirical evidence consistent with relatively large and systematic revisions in stock prices and subsequent expected returns to volatility changes. However, there appears to be an asymmetry in the market's reaction to volatility increases as opposed to volatility decreases. A majority of our volatility changes cannot be associated with the release of significant economic information.     

人民币汇率波动与中国股票价格报酬之间的相关性——基于2005年至2007年的实证分析

本文以2005年7月21日至2007年9月18日的中国股价与人民币兑美元的名义汇率数据,利用GARCH模型来探讨在这段时间内人民币汇率波动对中国股票价格报酬的影响。实证结果得知,在这段时间内人民币兑美元名义汇率波动是负向影响中国股票价格报酬的,也符合有价证券余额理论的主张;汇率市场对股票市场的影响在宏观决策中应予以高度重视。     

The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market

We investigate the effect of energy commodity price movements on market and electricity index returns in Turkey for the periods before, during, and after the year 2008. Although the Turkish economy is highly reliant on oil, we find that oil price does not lead either electricity or market indexes. This might be attributable to sluggish integration of financial markets in Turkey compared to developed markets. Natural gas price leads electricity index in the pre-2008 period. Its significance is reduced following the decline in natural gas usage in electricity production. This suggests that commodity dependence may be driving the link between commodity and asset prices in related sectors.     

我国B股价值回归趋势研究

一个有效率的制度结构能够提供降低变易费用的特定机制。然而现实的种种迹象表明，B股市场并没有提供一个有效率的降低交易费用的机制，其实际运行的高风险压由此衍生的资产价值长期低估就是这方面较好的明证。本文针对目前B股市场的发展定位提出了以制度创新和配合资本市场的渐进开放为核心的B股市场发展选择。     

Distinguishing Between Rationales for Short‐Horizon Predictability of Stock Returns

In this paper, we shed light on short‐horizon return reversals. We show theoretically that a risk‐based rationale for reversals implies a relation between returns and past order flow, whereas a reversion in beliefs of biased agents does not do so. The empirical results indicate that returns are more strongly related to own‐return lags than to lagged order imbalances. Thus, the evidence suggests that monthly reversals are not completely captured by inventory effects and may be driven, in part, by belief reversion. We do find that returns are cross‐sectionally related to lagged imbalance innovations at horizons longer than a month.     

Further Evidence on the Integration of REIT,Bond, and Stock Returns

This study examines the integration of REIT, bond, and stock returns. Cointegration and vector autoregressive models are employed to explore the causality and long-run economic linkages among these securities. Our results show that REITs behave more like stocks and less like bonds after the structural changes in the early 1990s. Overall, results suggest that the benefits of diversification by including REITs in multiasset portfolios diminish after 1992.