A股与H股市场的差异与互动

本文选择了28家既在香港发行H股,又在内地发行A股的上市公司作为样本,研究分割市场之间的差异性和互动关系.通过对比相同上市公司在两个市场上的收益性和波动性差异,本文发现:两个市场在年报公告、中报公告、季报公告以及预告事件下获得的超额收益具有显著差异,而在分红通过公告事件下未产生显著差异;同时,除了分红通过公告(旧信息)事件未引起市场产生明显的波动以外,其余事件都对两个市场产生了显著的波动性影响.另外,我们也发现"H股引起A股变化"的可能性要大于"A股引起H股变化"的可能性.     

我国基金选股选时能力实证分析

本文运用西方基金绩效评价中较为常见的选股选时能力模型及其FF3改进模型对我国证券投资基金进行实证研究,在处理过程中考虑了不同取样频率和不同样本区间的影响.研究结果表明:(1)我国基金只存在很小程度的选股能力,而基本不存在选时能力,更没有基金同时具有选时能力和选股能力;(2)多因素改进模型与原模型相比显著提高了解释能力,说明在可能的情况下应尽可能使用多因素模型;(3)加快取样频率后基金表现出更强一些的选股能力,但在各年度内基金的选股能力有所差异.     

Modelling the behaviour of the new issue market

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.     

The relationship between stock returns and volatility in international stock markets

This study examines the relationship between expected stock returns and volatility in the 12 largest international stock markets during January 1980 to December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in 6 out of the 12 markets. The results lend some support to the recent claim [Bekaert, G., Wu, G., 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1–42; Whitelaw, R., 2000. Stock market risk and return: an empirical equilibrium approach. Review of Financial Studies 13, 521–547] that stock market returns are negatively correlated with stock market volatility.     

Timing of earnings restatements: CEO equity compensation and market reaction

This study investigates the impact of chief executive officers’ (CEO) compensation on their choices regarding the timing of earnings restatements. The results indicate a negative relationship between options exercised and lags in disclosing the restated earnings, suggesting that managers who exercise options in a given year tend to release information quickly. This effect is more pronounced if the options are exercised after the dark period. We also find that the market penalises longer lags in the restatement disclosure. It seems that the CEO would try to optimise the timing of information release so as to balance the costs and benefits.     

Over‐investment or risk mitigation? Corporate social responsibility in Asia‐Pacific,Europe, Japan,and the United States

We study the relationship of corporate social responsibility (CSR) and the distribution of stock returns for an international sample. Firms with a high level of CSR generally exhibit superior stock price synchronicity in the markets of Europe, Japan, and the United States. In particular, we identify optimal levels of CSR to minimize idiosyncratic risk for each region. Moreover, CSR has a mitigating effect on crash risk in Europe and the United States. In contrast, firms from the Asia‐Pacific region display CSR over‐investment followed by a higher crash risk. This appears to be a consequence of globalization, which forces firms from Asia‐Pacific to overinvest in CSR to adapt western standards.     

Monetary policy and stock valuation: structural VAR identification and size effects

This paper examines the relationship between the US monetary policy and stock valuation using a structural VAR framework that allows for the simultaneous interaction between the federal funds rate and stock market developments based on the assumption of long-run monetary neutrality. The results confirm a strong, negative and significant monetary policy tightening effect on real stock prices. Furthermore, we provide evidence consistent with a delayed response of small stocks to monetary policy shocks relative to large stocks.     

Investing against the wind: contagion during the recent financial crisis

This article examines the effect of Warren Buffett’s investment in Goldman Sachs on 24 September 2008, during the subprime mortgage crisis. Although this event is arguably perceived to be the biggest expression of confidence in the financial market during the crisis, by conducting event studies, we do not find the major counterparties of Goldman Sachs displayed positive abnormal returns. Moreover, the abnormal return is not significantly related to the counterparty connection. We have similar findings on these financial institutions’ default probabilities using credit default swap.     

传统能源及碳交易价格与新能源股价——基于VAR和CAPM-GARCH模型的分析

文章构建VAR模型和CAPM-GARCH模型,分析检验了2010年7月初至2013年底期间传统能源和碳排放权交易价格对国内新能源上市公司股价波动的影响及新能源股票收益率的波动特点,研究发现:国内煤价对新能源公司股价有显著的正向影响,而国际油价的影响不显著;碳排放权交易价格也是引起新能源投资价值从而上市公司股价变动的重要因素;新能源公司股价指数对高科技股价指数并不敏感,反映出国内新能源上市公司科技含量不足,资本市场关注更多的是新能源的概念而非技术优势;国内新能源股票整体的系统风险在1.125~1.131之间,利好消息比利空消息能引起新能源股票收益率更大的波动。     

Extent of corporate governance disclosure by banks and finance companies listed on Nepal Stock Exchange

Corporate governance disclosure has seen renewed interest by researchers, policy makers, and regulating bodies internationally, but has remained only an emerging construct in Nepal. The primary purpose of this study was to assess the extent of mandatory corporate governance disclosure in Nepal. The secondary purpose was to examine the associations between the extent of disclosures and five firm-specific characteristics. The third purpose was to assess the significant determinants to explain variations of disclosures. The study's sampling frame consisted of 125 banking and finance companies listed on Nepal Stock Exchange. A sample size of 59 companies was randomly selected. On average, companies disclosed 91% of items in the mandatory category, 48% in the voluntary category, and 74% in total. A significant positive correlation existed between governance disclosures and firm characteristics of size, leverage, and foreign ownership. There was no significant relation between governance disclosure and listing age or profitability. With regards to determinants, bank size was a significant predictor of governance disclosure. Three regression models for total disclosures (DScore), mandatory disclosures [DScore (M)], and voluntary disclosures [DScore (V)] with three predictors of size, leverage, and foreign ownership were significant and explained 47%, 24%, and 54% variations respectively in total, mandatory, and voluntary corporate governance disclosures in Nepal. This research provides guidelines to policy makers and standard setters for developing future regulations and accounting policies.