2013年中国货币市场运行报告

2013年,我国继续实施稳健的货币政策,坚持总量稳定、结构优化的要求,适时适度预调微调,保持银行体系流动性平稳,推动经济结构调整。在此背景下,货币市场交易规模稳步扩大,利率水平震荡上行,波动幅度和频率明显加大,非银行金融机构交易日趋活跃,货币市场的流动性管理功能进一步体现。     

Does Sensationalism Affect Executive Compensation? Evidence from Pay Ratio Disclosure Reform

Beginning in 2018, U.S. public firms were required to report the ratio of the chief executive officer's (CEO) compensation to their median employee's compensation in the annual proxy statement. Exploiting the staggered reporting of pay ratios, we find little evidence that total CEO compensation changes in response to pay ratio disclosure reform. However, we do find that boards significantly adjust the mix of compensation awarded by reducing the sensitivity of CEO pay to equity price changes, particularly when the CEO is likely to garner media scrutiny, and by reducing reliance on stock-based and other compensation components that are most susceptible to media coverage surrounding the pay ratio disclosure. Firms ultimately disclosing higher pay ratios garner more media coverage around the filing of their proxy statement, and more negative-toned coverage in the subsequent month. Finally, we find evidence that greater pay disparity is associated with greater selling activity by retail investors and more negative say-on-pay votes following pay ratio reform, consistent with a broad set of investors responding to public scrutiny resulting from pay ratio disclosures.     

Basket trading under co-integration with the logistic mixture autoregressive model

In this paper, we propose a co-integration model with a logistic mixture auto-regressive equilibrium error (co-integrated LMAR), in which the equilibrium relationship among cumulative returns of different financial assets is modelled by a logistic mixture autoregressive time series model. The traditional autoregression (AR) based unit root test (ADF test), used in testing co-integration, cannot give a sound explanation when a time series passes the ADF test. However, its largest root in the AR polynomial is extremely close to, but less than, one, which is most likely the result of a mixture of random-walk and mean-reverting processes in the time series data. With this background, we put an LMAR model into the co-integration framework to identify baskets that have a large spread but are still well co-integrated. A sufficient condition for the stationarity of the LMAR model is given and proved using a Markovian approach. A two-step estimating procedure, combining least-squares estimation and the Expectation-Maximization (EM) algorithm, is given. The Bayesian information criterion (BIC) is used in model selection. The co-integrated LMAR model is applied to basket trading, which is a widely used tool for arbitrage. We use simulation to assess the model in basket trading strategies with the statistical arbitrage feature in equity markets. Data from several sectors of the Hong Kong Hang Seng Index are used in a simulation study on basket trading. Empirical results show that a portfolio using the co-integrated LMAR model has a higher return than portfolios selected by traditional methods. Although the volatility in the return increases, the Sharpe ratio also increases in most cases. This risk–return profile can be explained by the shorter converging period in the co-integrated LMAR model and the larger volatility in the ‘mean-reverting’ regime.     

Very fast money: High-frequency trading on the NASDAQ

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads are wider when HFTs provide liquidity and tighter when HFTs take liquidity, and prices incorporate information from order flow and market-wide returns more efficiently on days when HFT participation is high.     

Earnings Management in IPO Lockup and Insider Trading: Evidence from Taiwan

This paper examines the hypothesis that the timing of lockup expiration is crucial to earnings management (EM) behavior in the period after an initial public offering (IPO). Taiwan's unique two-stage lockup regulations make the Taiwanese sample an excellent candidate for examining this hypothesis. Three main results are reached. First, we find positive discretionary accruals (DAs) from the IPO quarter to the quarter after the expiration of the first-stage lockup. The DA in the quarter of the second-stage lockup expiration is significantly positive. The evidence shows that the lockup provision is key in the findings of significant EM in the IPO year and the following year. We also find a positive association between DAs in first-stage lockups and subsequent insider selling activity, indicating that insiders' selling after lockup expiration accounts for EM in the lockup period. Third, the extent of EM in first-stage lockup is negatively related to that around the IPO, consistent with the reversal nature of DAs.     

《同业拆借管理办法》保障市场健康发展——专访中国人民银行金融市场司司长兼上海总部金融市场管理部主任穆怀朋

作为十年来最重要的同业拆借政策调整,《同业拆借管理办法》（中国人民银行令[2007]第3号）颁布以来,市场参与者反响积极,同业拆借市场发展步入了一个新阶段。在《同业拆借管理办法》颁布一周年之际,本刊记者带着一系列受到业界广泛关注的问题,对中国人民银行金融市场司司长兼上海总部金融市场管理部主任穆怀朋先生进行了专访。     

Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE

It is demonstrated that adaptive learning in the least squares sense may be incapable of satisfactorily reducing the number of attainable equilibria in a rational expectations model when focusing on the forward‐solutions to the model. The model examined, as an illustration, is a basic asset pricing model for exchange rate determination that is augmented with technical trading in the currency market in the form of moving averages since it is the most commonly used technique according to questionnaire surveys. The forward‐solutions to such a model are preferable to the backward‐solutions that are normally utilized since announcement effects is an important feature in currency trade. Because of technical trading in foreign exchange, the current exchange rate depends on j _max lags of the exchange rate, meaning that the model has j _max+1 rational expectations equilibria, where several of them are adaptively learnable in the least squares sense. However, since past exchange rates should not affect the current exchange rate when technical trading is absent, it is possible to single out a unique equilibrium among the adaptively learnable equilibria that is economically meaningful. It is worth noting that the model examined can also be viewed as a model for stock price determination in which the forward‐solutions to the model are preferable to the backward‐solutions since the importance of announcement effects is a common characteristic for currency and stock markets.     

股权分置改革中的机构合谋与内幕交易

本文考察了股权分置改革过程中机构投资者与非流通股股东之间的合谋问题以及合谋的可能途径——内幕交易。文章的基本发现有两个:第一,在控制了影响股改对价水平的主要因素之后,机构投资者对方案的赞成比例与股改对价水平之间存在显著的负相关关系,而全体流通股股东以及大个体流通股股东对方案的赞成比例与对价水平之间呈现显著的正相关关系;第二,机构投资者对方案的赞成比例越高,公司的内幕交易程度也越高,而其他流通股股东的表决意见与内幕交易程度之间没有显著关系。这意味着机构投资者与非流通股股东利用内幕交易进行了合谋,合谋的结果使得非流通股股东得以支付一个较低的对价水平,而机构投资者则通过内幕交易获得额外收益。     

Venture capital trusts and the expiration of IPO lock-up provisions

Venture capital trusts (VCTs) were introduced to provide private equity capital for small expanding companies and to promote innovation. Investors in initial public offerings are rewarded with tax relief on the cost of lock-up provisions to stabilize the market. This paper examines the market reaction and trading activity around the expiration of lock-up provisions of 148 VCTs listed on the London Stock Exchange from 1995 to 2006. Downward-sloping demand curve theory suggests that an increased supply of VCT shares at the expiry date could shift their value to a new equilibrium at a lower price. Supporting this prediction, we document evidence of negative abnormal returns as well as permanent increases in the price discount relative to net asset value and trading volumes at and around the expiries of the required holding periods of VCTs. In addition, less negative abnormal returns, lower abnormal discounts and lower abnormal trading volumes are associated with VCTs that invest in AIM-listed companies due to lower information asymmetry, that experience lower prior performance due to a less pronounced disposition effect, and that are subject to a shorter lock-up horizon or are offering more generous tax benefits.     

Insolvent trading and voluntary administration in Australia: economic winners and losers?

Australian directors who incur debts while their companies are insolvent can be pursued by the corporate regulator for compensation when their companies fail. Under the Australian insolvent trading laws, directors no longer experience ‘true’ limited liability, and as expected, they adjust their behaviour as a result. Identifying director's rational behaviour in an insolvent trading world is difficult as there are no formal economic models of director decision-making under Australian current corporate law. In this paper, we develop such a model primarily for private companies. We incorporate the threat of insolvent trading as well as director's tactical use of voluntary administration to avoid insolvent trading litigation. We show that neither a combination of insolvent trading or voluntary administration can simultaneously ensure creditors-best outcomes, eliminate insolvent trading and reduce director underinvestment.