股指期货在中国的"水土不服"

本文从目前股指期货的国际形势入手 ,分析了我国股指期货推出的必要性。经过详细的论证后 ,得出股指期货目前在中国还不具备现实可行性的结论。     

Payment For Risk: Constant Beta Vs. Dual-Beta Models

Fama and French's (1992) assertion that investors receive premium payments for risk associated with the book value to market price (BE/ME) and size and not for holding beta risk has sparked a lively debate concerning risk factors that are priced in the market. Howton and Peterson (1998) use a dual-beta model to test the Fama and French conclusions. They conclude that the significant relationship between beta and returns depends on the use of the dual-beta model. This work, however, ignores the results reported by Pettengill, Sundaram, and Mathur (PSM, 1995). PSM find a significant relation between a constant risk beta and returns when data are segmented between up and down markets, but do not consider the impact of size and BE/ME. In this paper we show that the PSM (1995) market segmentation procedure alone provides a sufficient condition to identify a significant relation between beta and returns in the presence of size and BE/ME. Dual market betas may be relevant in explaining risk and return. However, the market segmentation procedure of PSM (1995) is the critical condition for finding a significant relationship between returns and betas.     

基于长期超额收益率的不同资产重组方式绩效实证研究

选取控制权未发生转移型的资产重组事件的上市公司为研究样本,采用市场模型法从不同资产重组方式的角度对上市公司资产重组绩效的影响进行了研究.研究表明,所有发生了资产重组但控制权没有发生转移的上市公司样本只有采取了其它资产重组方式的上市公司有好的超额收益且较稳定,而采取股权转让方式的上市公司获得的超额收益最小.     

Are Differences in Acquiring Bank Profit Efficiency Priced in Financial Markets?

We analyze 271 bank mergers for 1986–2001 to attempt to determine if differences among acquirers in profit efficiency are priced in financial markets. We find that the acquirer’s pre-merger profit efficiency (as well as its experience in handling other mergers) has positive effects on the wealth of the acquiring bank’s shareholders. We also find that more profit efficient acquiring banks produce lower abnormal returns for the target, suggesting that well managed (i.e., more profit-efficient) banks are less likely to overpay when they enter into a merger agreement. Financial market participants apparently take something akin to the econometric concept of profit efficiency into account when they make decisions about bank stock purchases and sales around merger announcement dates.      

The Conditional Performance of REIT Stock Repurchases

This paper uses a conditional performance measure to test whether real estate investment trust (REIT) managers announcing stock repurchases have private information about their firms' prospects. We use stock price to condition for public information and measure the managers' implied private information by the covariance between repurchase size and subsequent stock payoffs (or operating performance). Results show that managers have private information but mostly with respect to long-term as opposed to near-term payoffs. We also find that repurchase size is positively related to a stock's idiosyncratic return volatility, perhaps because noisy stocks deviate farther from fundamental value, offering informed managers larger profit potential. JEL Classification G12 G14 G35     

Do stock splits signal future profitability?

This study examines whether stock split announcements contain information content about future profitability, measured in terms of future earnings change, future earnings, or future abnormal earnings. We find that the split announcement year has the highest earnings change and the earnings change declines substantially over the subsequent five years. Our empirical results show little evidence that stock splits are positively related to future profitability. In fact, stock splits are in general negatively related to future profitability in subsequent years after the announcement, except for dividend-paying firms with a split factor less than 0.5. This negative relation holds regardless of future profitability measure. Therefore, our empirical finding suggests that stock splits are not useful signals of a firm’s future earnings prospects. JEL Classification G30     

成本加收益管制模式下电网企业输配电业务准许收益率的确定

根据电价改革方案,对成本加收益管制模式下如何计算电网企业准许收益率进行了研究,并结合我国电网发展的不同阶段,提出了相应的建议.     

Stock preferences and derivative activities of Australian fund managers

The present paper examines both the characteristics of stocks that fund managers prefer to hold and their use of derivatives. We find strong evidence that fund managers prefer large, liquid and low volatility stocks. Weak evidence exists that fund managers prefer to hold stocks that are past winners. In relation to derivatives, just over half of the sampled Australian fund managers hold derivatives in the form of exchange traded options. Of those that do trade in derivatives, it is found the level of exposure to stock price movements achieved by options is not significant relative to the total investment portfolio.     

Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange

This paper analyzes stock returns and volatility relations between the Istanbul Stock Exchange (ISE) and the global market as represented by stock markets in the US, the UK, Japan and Germany. Results from monthly data and multivariate cointegration tests suggest that the ISE became significantly integrated in the global market only in the period following market liberalization in late 1989. We also find evidence based on GARCH estimations that capital liberalization actually mitigated, rather than intensified, volatility in the ISE. Our results further suggest that the Asian crisis in mid‐1997 and the consequent Russian economic meltdown in mid‐1998 are partly responsible for the recent excessive volatility in the Turkish market. The results also identify the US and the UK markets as dominate sources of volatility spillovers for the ISE, even in the period following the Asian‐Russian crises. Consequently, it appears that the two matured markets of the US and the UK shoulder significant responsibility for the stability and financial health of smaller emerging markets like the ISE.     

股票市场发展与国有企业改革

理论界对股票市场功能的考察多集中于股市的融资功能、信息传递功能以及资源配置功能,对其另一重要功能——促进和深化国有企业改革鲜有论及。本文认为,股票市场的发展可以大大促进国有企业的制度变迁与制度深化,对国有企业的转制发展有很大的推动作用。