流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究

流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性、规模和价值效应都是资产定价的因素     

Incomplete Information, Trading Costs and Cross‐autocorrelations in Stock Returns

This paper provides an economic rationale for the cross‐autocorrelation patterns in stock returns in the context of a microstructure model in which investors have incomplete information. The paper shows that in a market in which investors are informed about only a sub‐set of stocks, the emergence of lead‐lag, cross‐autocorrelations is a function of the cost of trading in other stocks based on information about the sub‐set of stocks. If cross‐trading costs are high, informed investors will trade only in the sub‐set of stocks they are informed about; if cross‐trading costs are moderate, informed investors will randomize between trading and not trading in other stocks; and if cross‐trading costs are low, they will trade in all stocks. When informed investors trade only in a sub‐set of stocks, prices of stocks with more informed trading will adjust to common factor information faster than the prices of stocks with less informed trading giving rise to asymmetric lead‐lag cross‐autocorrelations. When informed investors trade in all stocks, asymmetric lead‐lag cross‐autocorrelations will disappear as a result of their cross‐market arbitrage trading. These results provide a number of testable implications for lead‐lag cross‐autocorrelation patterns. The data is consistent with the empirical predictions .
(J.E.L.G12, G14).     

WHAT DRIVES THE TIME‐SERIES AND CROSS‐SECTIONAL VARIATIONS IN BANK CAPITAL RATIOS? EVIDENCE FROM JAPAN

This paper documents the time‐series and cross‐sectional variations in bank capital ratios and investigates their underlying driving forces using listed Japanese bank data from 1977 to 2009. We derive an overall framework in the form of a present‐value model to decompose the variation in bank capital ratios into changes in expected future stock returns, profitability and leverage ratios. Moreover, we use the variance decomposition approach to examine the relative importance of these factors. We find that the expected future stock returns dominate the time‐series variation in bank capital ratios, and that the expected future profitability also plays an important role as the expected stock returns in the cross‐sectional variation.     

Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries

Understanding market liquidity resilience, i.e. the capacity of liquidity to absorb shocks, of United States Treasuries is crucial from a financial stability standpoint. The conventional resilience measure has limitations due to the use of the liquidity level. We propose a new complementary approach to analyze resilience based on liquidity volatility. For this purpose, we focus on the link between returns volatility and liquidity volatility, which is a relatively unexplored field. We fit a bivariate conditional correlation (CC-) GARCH model for the 10-year bond returns and five liquidity indicators from January 2003 to June 2016 to analyze persistence and spillovers between these variables in a parsimonious way. We find that after the crisis, spillovers between liquidity volatility and returns volatility are higher, feedback loops are more likely and volatility persistence is lower, which is consistent with a lower resilience. Our results help to explain recent episodes of high volatility in this market.     

International Transmission of the 2007–2009 Financial Crisis: Evidence from Japan

We investigate the international transmission of the 2007–2009 financial crisis to Japanese firms by examining both stock returns and changes in operating performance during the crisis. Our results indicate that Japanese firms were affected by the crisis mainly through the trade channel in both stock returns and changes in operating performance. We also find that the liquidity channel played a role in the fall of stock returns in response to the crisis and in the changes in return on assets during the first year of the crisis. We obtain weak evidence for the credit crunch channel and no evidence to support the trade finance channel.     

Life‐cycle asset accumulation and allocation in Canada

Abstract.  This paper documents the life‐cycle patterns of household portfolios in Canada, and investigates several hypotheses about asset accumulation and allocation. Inferences are drawn from the 1999 Survey of Financial Security, with some comparisons to earlier wealth surveys from 1977 and 1984. I find cross‐sectional evidence for asset decumulation at older ages when annuitized assets like pension wealth are included in the analysis. I also find that the portfolio share of financial assets increases sharply with age, while indicators of risk tolerance appear to decrease. This is consistent with families' desiring more liquid and less risky assets as they age. JEL classification: D31, E21, G11     

Global idiosyncratic risk moments

We investigate a global cross-sectional relation between idiosyncratic risk moments and expected stock returns by suggesting three global idiosyncratic volatility, skewness, and kurtosis risk factors. We also suggest two global small minus big and high minus low risk proxies for estimating return residuals of the test assets from a global asset pricing model. To perform robustness checks, we suggest other four global risk factors of momentum, leverage, bid-ask spread, and liquidity. We find a significant negative relation between stock portfolio returns and the global moments, and the cross section of stock returns reflects a significant negative price of risk for global idiosyncratic skewness (?0.13%) and idiosyncratic volatility (?1.85%) and a positive and significant price of risk for global idiosyncratic kurtosis. We find that our suggested risk factors are key drivers of risk premia in stock market and are robust to various checks. These factors also can forecast the gross domestic product growth over the sample period.     

Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum

Abstract.  In this study, we investigate the short run effect of the 30 October 1995 Quebec referendum on the common stock returns of Quebec firms. Our results show that the uncertainty surrounding the referendum outcome had an impact on stock returns of Quebec firms. We also find that the effect of the referendum varied with the political risk exposure of Quebec firms, that is, the structure of assets and principally the degree of foreign involvement. JEL classification: G14, G15     

Brand capital and firm value

We study the role of brand capital – a primary form of intangible capital – for firm valuation and risk in the cross section of publicly traded firms. Using an empirical measure of brand capital stock constructed from advertising expenditures accounting data, we show that: (i) firms with low brand capital investment rates have higher average stock returns than firms with high brand capital investment rates, a difference of 5.2% per annum; (ii) more brand capital intensive firms have higher average stock returns than less brand capital intensive firms, a difference of 5.1% per annum; and (iii) investment in both brand capital and physical capital is volatile and procyclical. A neoclassical investment-based model in which brand capital is a factor of production subject to adjustment costs matches the data well. The model also provides a novel explanation for the empirical links between advertising expenditures and stock returns around seasoned equity offerings (SEO) documented in previous studies.     

Bank lending and the stock market's response to monetary policy shocks

This paper explores whether a limited participation model modified to include features of the bank lending channel can account for the empirically observed reaction of stock market returns to monetary policy shocks. When calibrated to match characteristics of US data, the model generates responses that broadly match the empirical counterparts. The results also suggest, that the higher exposure of bank-dependent firms to liquidity shocks generates substantial heterogeneity of the responses across firms.     

Do financial distress and liquidity crises affect value and size premiums?

This study investigates the impact of liquidity crises on the relationship between stock (value and size) premiums and default risk in the US market. It first examines whether financial distress can explain value and size premiums, and then, subsequently, aims to determine whether liquidity crises increase the risk of value and size premium investment strategies. The study employs a time-varying approach and a sample of US stock returns for the period between January 1982 and March 2011, a period which includes the current liquidity crisis, so as to examine the relationship between default risk, liquidity crises and value and size premiums. The findings indicate that the default premium has explanatory power for value and size premiums, which affect firms with different characteristics. We also find that liquidity crises may actually increase the risks related to size and value premium strategies.     

The effect of debt capacity on the long-term stock returns of debt-free firms

This article examines the long-term stock market performance of debt-free firms with high and low levels of debt capacity to see whether they are different. We use Fama and French’s (1993) three-factor and Carhart’s (1997) four-factor models to examine the subsequent 1, 2, 3, 4 and 5-year stock returns of firms that stayed debt free for 3- and 5-year periods. We measure debt capacity as the expected asset liquidation value of a firm, which is proxied by the firm-level tangibility measure defined by Berger, Ofek, and Swary (1996). We find that regardless of the level of debt capacity, zero-debt firms generate positive abnormal returns in the long run after controlling for key risk factors. We also find support for the notion that preserving debt capacity in the form of higher tangibility reinforces the positive abnormal returns over and above the effect of a zero-leverage policy.     

Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility

Abstract.  This paper evaluates the international integration hypothesis, that is, that risk‐adjusted anticipated returns are identical, even when financial instruments are traded in different countries. Under time‐varying conditional volatility, this hypothesis is tested by verifying the equality between domestic and foreign risk prices associated with a multi‐factor analytic specification. The maximum‐likelihood and Kalman‐filter estimates are used to assess the national risk prices and interpret the factors. Empirically, the integration of Canadian and U.S. financial markets depends on the risk prices of two factors, which are related to certain non‐monetary events and to the conduct of monetary policies. JEL classification: G15, C32     

中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例

本文以沪市为对象考察了我国股市的“规模效应”和“时间效应”。作者通过实证研究发现 :中国股票市场并不存在西方国家股市普遍出现的“小公司 1月份效应”。但小公司“规模效应”表现显著 ,其中小公司股票在 3月份和 8月份的相对收益率明显强于市场指数 ,而剔除风险因素以后 ,统计数据显示小公司效应几乎在全年大部分月份都有较显著表现。分析上述“异象” ,我们认为 ,中国股市复杂的市场结构和制度背景所导致的小公司股票独特的流动性问题 ,是小公司股价存在持续超额收益率的内在原因     

The relation between asset growth and the cross-section of stock returns: Evidence from the Chinese stock market

This study examines the effect of firm investment on stock returns by using data on the Chinese stock market. We find that stocks with higher investment experience lower future returns and there is an obvious investment effect in the Chinese stock market. The investment effect is stronger for firms that have higher cash flows, lower debt or for state-owned firms. We further explore the relation between investment and returns over the 3 years around portfolio formation. The results show that the high investment firms earn higher returns than low investment firms before portfolio formation; however the high investment firms earn lower returns than low investment firms after portfolio formation, such evidence is supportive of investor's overreaction explanation. Additionally, the stock returns don't necessarily decrease after investment, and the stock returns don't significantly positively correlate with firm profitability or book-to-market, so the result don't support risk-based explanation. Overall, both our portfolio sort and two-stage cross-sectional regression analysis show that behavioral finance theories are better than risk-based theories in explaining the investment anomaly. Evidence from the Chinese stock market provides a useful perspective to understand the debate on the investment anomaly.     

Tariffs versus quotas in the presence of imperfect competition and cross‐border externalities

Abstract.  We consider trade policies intended to affect the production of a foreign monopolist that generates negative externalities. We derive the optimal tariff and optimal import quota and examine which policy measure should be used to maximize domestic welfare. We find that if the domestic government does not have full information on the foreign firm's production method and if cross‐border externalities exist, import quotas are in some cases preferable to tariffs. Otherwise, however, tariffs are preferable to quotas. JEL Classification: F13, F18     

Preference shocks from aggregation: time series data evidence

Abstract.  We investigate the impact of preference shocks on the aggregate dynamics of the U.S. economy in the context of a neoclassical growth model derived from aggregation. The aggregation result we use is as follows: if markets are complete and if agents have identical preferences of the addilog type, then the heterogeneous‐agent economy where agents are subject to idiosyncratic productivity shocks behaves as if there was a representative consumer who faces shocks to preferences and technology. We estimate the parameters in the aggregation‐based model from the aggregate time‐series data and compute the numerical solution. We find that the preference shocks play an important role in the aggregate labour‐market fluctuations. JEL classification: C73, D90, E21     

我国证券市场流动性溢出效应的实证研究

2008年金融危机中的一个重要金融现象是流动性溢出效应.本文以我国沪深两市交易的国债和股票为样本,利用VAR技术分析了股票市场与债券市场之间的流动性溢出效应问题.由于我国股票市场的规模远大于交易所交易债券,我们发现存在显著的股市流向债市的流动性溢出效应,而债市流向股市的流动性溢出效应统计上却不显著.同时我们发现各个市场自身的收益率和波动率对其流动性也有着显著的影响.最后我们还发现两市自身的流动性存在着很强的自相关性.证据表明当我国资本市场出现流动性不足时,尤其要加强对股票市场流动性风险的防范和监管.同时也反映出我国要大力发展债券市场的必要,使股市和债市的流动性相互影响相得益彰.     

IS THE COST OF DEBT CAPITAL HIGHER FOR YOUNGER FIRMS?

Not much is known about the returns to aging (maturing) in the market for small business finance. Using a large panel of closely held micro firms, we document that the cost of debt capital is higher for young firms. The main finding of this paper is that this negative qualitative relation is also obtained when cross‐sectional variation in unobservable creditworthiness of small businesses and within‐firm (i.e., inter‐temporal) variation in their observable creditworthiness are held constant. We control for the former by firm‐specific fixed effects and for the latter by a commercial credit score. We also provide an estimate of the quantitative magnitude of the aging effect, on which both economic theory and earlier empirical research are silent. We find that when a small business ages one year, its cost of debt capital decreases by 1–2 basis points. The effect is neither negligible nor alarmingly large.     

Distribution Dynamics and Cross‐Country Convergence: A New Approach

Distribution dynamics is a method for studying the evolution in time of an entire cross‐section distribution and has been initially employed to assess cross‐country convergence of per capita incomes. It has subsequently seen a widespread application in many different economic areas. When describing the law of motion of the distribution as a Markovian stochastic process, working in a discrete state‐space set up has several advantages, but the arbitrary discretisation of a continuous state‐space process has the undesired effect of removing the Markov property. This paper outlines a rigorous method for discretising a continuous state‐space Markov chain. The method is then applied to the distribution of per capita income across countries to reassess the (non‐) convergence phenomenon. It is found that the long run polarisation of per capita incomes across countries emerges even more dramatically than in previous studies.