社会资本发展对企业财务的影响分析

社会资本理论于80年代晚期才引起理论界的广泛关注,此后又引入企业社会资本概念。社会资本的积累直接关系到企业的生存与发展,本文将社会资本理论应用于财务领域,从收益和风险两方面探讨了企业投资于社会资本应考虑的问题,为企业有目的地构建社会资本做初步分析。     

Stochastic productivity measurement

Stochastic productivity indicators are defined, and superlative measures of these indicators are derived. It is shown that, in the presence of complete markets or a common-expectations equilibrium, differences in the market values of firms are superlative indicators of cross-sectional productivity differences. Exactness results are used to decompose nonstochastic productivity indicators into a measure of true productivity change and a measure of ‘luck’. The decomposition is illustrated empirically.

Monetary policy and risk taking

We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel – monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and is particularly significant on the bank funding side. Then, to rationalize this evidence we build a macroeconomic model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk. In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.     

Heterogeneous beliefs with herding behaviors and asset pricing in two goods world

We construct a incomplete information equilibrium model with heterogeneous beliefs and herding behaviors to identify their joint effects on the dynamics of asset prices. Herding behaviors make investors revise some of their estimations about expected growth rates of goods streams toward to the other one’s by a manner of weighted average of their own forecast and the other’s. As we expected, herding behaviors generate influences on the Radon Nikodym derivative, that is so-called “sentiment” as in Dumas et al. (2009), and in turn not only impact the dynamics of asset prices but also generate influences on investors’ survivals. We also show that introducing heterogeneous beliefs with herding behaviors permits to explain both the Backus–Smith puzzle and the mixed results about the influences of herding behaviors on asset prices. Moreover, we uncover that herding behaviors have positive influences on stocks’ risk premiums.     

Diversified behavioral portfolio as an alternative to Modern Portfolio Theory

The traditional mean–variance approach has been complemented by alternative theories that use risk measures different from standard deviation of returns or involve additional distributional features of returns like skewness and kurtosis. We propose a portfolio choice model that combines different distributional characteristics of the returns in the decision-making making process, considering preferences of investors which are modeled as non-statistical uncertainties of investors using fuzzy theory. We use 20 stocks of the S&P500 from January 2013 to December 2017. We assess the obtained portfolios’ performance, and the diversified behavioral portfolios outperform than the mean–variance portfolio. This methodological proposal can be seen as a strong managerial tool to make investment portfolio decisions.     

国际资金循环测度的统计方法及应用

研究目标：本文研究如何测量国际资金循环（Global Flow of Funds,GFF）,试图整合国际金融相关数据源,创建GFF统计矩阵。研究方法：讨论了GFF的基本概念,确定了国际资金循环的统计范围。按照2008SNA所提倡的From Whom to Whom 的统计基准,建立了GFF的统计框架,据此框架整合了国际金融组织之间的数据系统关系和现有的国际金融统计数据源。研究发现：利用相关统计创建了GFF矩阵模型表,试编了一个包含中国在内的由11个国家所构成的“国家×国家”的GFF统计矩阵表。研究创新：创建了GFF矩阵表,展开了以中国为主要观测对象的国际跨境资本比较分析。研究价值：建立了观测GFF统计,开辟了新的分析视野,客观揭示了中国在GFF中的状况及现存的主要问题。     

风险承担、风险缓冲与管理理念——关于信托公司风险管理的思考

由于信托制度的独特设计,信托公司或直接或间接均要承担信托财产损失风险,从近期来看,信托公司应构建以资本金为核心的风险缓冲机制。从长期来看,引入业绩评价基准,进行相对业绩评价是信托公司风险缓冲的必然选择。信托公司在风险管理时应树立两个理念,一是要将风险管理列为企业管理活动的核心,二是要认识到风险管理是一项长期性的工作,不能寄希望“毕其功于一役”。     

城镇居民金融资产与不动产财富效应的比较分析

城镇居民两种资产的财富效应呈现三个特点:一是住房资产的财富效应大于金融资产的财富效应;二是两种资产的财富效应差别不大;三是两种资产的财富效应较微弱。这表明:第一,住房对消费具有一定的支撑作用;第二,金融资产增值性不强和股市的波动限制财富效应的发挥;第三,较强的流动性约束制约住房资产的财富效应;第四,消费的过度敏感性使资产财富效应微弱。为了通过财富效应来促进消费,必须维持股市和房地产市场稳定的预期,大力发展金融市场,抑制住房价格的过快增长并促进住房市场平稳发展。     

新兴加转轨条件下中国证券公司的风险成因及监控

证券业是一个高风险行业 ,防范和化解风险是证券公司和监管机构的永恒主题。随着我国证券市场的蓬勃发展和逐渐规范 ,证券公司风险监控已经成为一项长期的重大任务。中国目前正处于新兴加转轨过程中 ,证券公司主要面临哪些风险 ?是如何形成的 ?在特定约束条件下怎样提高监控效率 ?围绕这些问题 ,本文首先对中国证券公司的风险及其成因进行分析 ,接着从实践的角度指出风险监控的现实约束 ,最后提出内外部风险监控协调与平衡的基本架构。     

社交指数、风险倾向与创业

创业不仅是经济持续增长的动力,也是新常态下我国经济增长方式转变的重要源泉。从个人社交指数和风险倾向着手,分析其对个人创业的影响,同时考虑政府干预、市场成熟度和产权保护水平对社交指数和风险倾向与创业之间的调节作用,并将个人特质和区域因素作为控制变量纳入分析框架,运用CGSS 3年的数据进行实证分析。结果表明,个人社交指数对创业具有正向影响,个人风险倾向对创业的影响存在区域异质性。在农村地区,个人风险倾向对创业活动具有正向影响,即风险倾向越高,创业概率越大;而在城镇,个人风险倾向对创业的影响为负。在制度环境层面,政府干预和市场成熟度对创业具有负向影响,产权保护水平与创业之间存在“倒U型”关系,制度环境对社交指数与创业之间的关系具有调节作用,较高政府干预力度和较低市场成熟度使社交指数与创业负相关,而产权保护水平的调节作用则较弱;制度环境对风险倾向的调节作用较弱。