互联网金融改善了社会融资结构吗?——基于企业融资选择模型

互联网金融的快速发展对企业的融资选择带来了新的冲击.本文通过构建企业融资选择模型,将企业融资选择划分为债券融资和银行融资两类,研究互联网金融对社会融资结构的影响.研究结果表明:互联网金融对社会融资结构的最终影响由其综合效应决定.互联网金融的规模替代效应和\"长尾\"效应有助于提高债券融资占比,而技术外溢效应及风险传递效应则会降低债券融资占比.同时,本文利用断点最小二乘法实证检验发现:互联网金融对社会融资结构的改善具有正向作用,且不存在断点效应,说明在当前阶段,互联网风险传递效应并不占据主导地位,应继续推动互联网金融的发展以改善社会融资结构.     

中国股票市场:2005年回顾和2006年展望

本文系统地概括了中国股票市场2005年的重大事件,其中包括股权分置改革、新的<公司法>和<证券法>出台、证券产品创新和证券公司的整合,既分析了这些重大事件的成因,也探讨了它们的后续效应.并对2006年股市的可能走势进行了研讨,提出了一系列政策建议.     

US income taxation of new financial products

This paper discusses the response of the US federal income tax to financial innovation. Income taxation in the US and elsewhere has traditionally relied on distinctions, such as the difference between fixed and contingent returns, that can be undermined by new financial products. The principal tax law responses to innovative products have been: (1) transactional analysis, which aggregates or disaggregates new transactions to conform them to existing legal categories, (2) taxation of changes in market value, rather than realization events, (3) taxation based on an assumed formula, and (4) anti-avoidance administrative approaches.     

Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in [Mizrach, B., 2002. When Did the Smart Money in Enron Lose Its’ Smirk? Rutgers University Working Paper #2002-24]; the second is a new approach developed by [Haas, M., Mittnik, S., Paolella, M.S., 2004a. Mixed normal conditional heteroskedasticity, J. Financial Econ. 2, 211–250] for fat-tailed conditionally heteroskedastic time series. In an application to the 1992–1993 European Exchange Rate Mechanism crises, we find that both the options and the underlying exchange rates provide useful information for policy makers.     

Consistent Variance Curve Models

We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-dependent contracts can be priced and risk-managed in terms of the observed stock and variance swap prices. To this end, we introduce equity forward variance term structure models and derive the respective HJM-type arbitrage conditions. We then discuss finite-dimensional Markovian representations of the fixed time-to-maturity forward variance swap curve and derive consistency results for both the standard case and for variance curves with values in a Hilbert space. For the latter, our representation also ensures non-negativity of the process. We then give a few examples of such variance curve functionals and briefly discuss completeness and hedging in such models. As a further application, we show that the speed of mean reversion in some standard stochastic volatility models should be kept constant when the model is recalibrated.     

Individual stock-option prices and credit spreads

This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain useful information for credit spreads and improve on historical volatilities when explaining the cross-sectional and time-series variation in a panel of corporate bond spreads. Both the level of individual implied volatilities and (to a lesser extent) the implied-volatility skew matter for credit spreads. Detailed principal component analysis shows that a large part of the time-series variation in credit spreads can be explained in this way.     

Evidence on the arbitrage efficiency of SPI index futures and options markets

This paper is concerned with arbitrage opportunities in the futures and futures option contracts traded on the Sydney Futures Exchange (SFE) within a put-call-futures-parity (PCFP) framework. Tick-by-tick transaction price data are employed so that the futures contracts, the call futures options and the put futures options can be matched within a one-minute interval. This paper also takes into account the realistic transaction costs that an arbitrager has to incur, including the implicit bid-ask spread. A thorough ex post analysis is first carried out. The results reveal a significant number of violations of the PCFP in the sample. Ex ante tests are then conducted whereby ex post profitable arbitrage strategies, signified by the matched trios of futures, put and call contracts, are executed with lags up to 3 min. The ex ante results are similar to the ex post results. However, further analysis reveals that the exploitability of the identified arbitrage opportunities is very limited due to the small trading volumes of the futures and options contracts. Thus, we conclude that there is no strong evidence against the arbitrage efficiency between the SPI index futures and options markets in Australia.