VMI模式下仓单质信的企业资信评级体系建立探讨

仓单质信能够有效控制VMI运作中的信用风险,但随着实践深入,仓单质信的风险逐渐显露。基于客户资信风险、仓单风险、银行风险都与信用有着密切的联系,提出建立仓单质信的供应链企业资信评级体系。研究表明:通过构造指标要素,分析评级指数设定、信用等级平均累计违约率统计以及评级结果的准确性,可以实现信贷决策的科学化、精细化发展。     

石化权证在GARCH模型下的实证检验

股票价格的波动率特征是股票衍生品价格的决定性因素。Black&Scholes假设股票价格服从几何布朗运动,其重要的假设条件是波动率为一个常数。但是,越来越多的实证研究结果表明,股票收益率存在显著的尖峰厚尾现象,其波动率存在明显的时变性特征。因此,放宽波动率恒定条件,并且研究股票波动率的变动特征,对认购权证的正确定价具有重要意义。     

我国权证上市对标的股票影响的实证分析

本文通过检验在沪市上市的5只股票在以其为标的的权证上市日前后60个交易日的收益率、β值以及波动性的变化情况,分析权证上市事件对标的股票收益和风险水平的影响。结果显示,我国内地权证上市对标的股票收益率无显著影响,而对标的股票系统风险及波动性影响不尽相同,并未形成一致的统计结论。造成这一结果的原因在于,我国内地权证市场刚刚起步,与国外成熟市场相比还有较大的差距。     

The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market

We examine the impact of derivatives hedging on the spot market using accurate hedge ratios of covered warrants traded in the Taiwan Stock Exchange (TWSE). Results present significant positive abnormal returns and trading volumes before the announcement of a warrant’s issuance, and the effect is stronger when the hedging demand is larger. Moreover, a significantly positive relationship exists between stock return volatility and the price elasticity of hedging demand. Finally, we observe a significantly negative price effect upon the underlying stock after a call warrant has expired in-the-money due to the liquidation of hedging portfolios.     

试论我国股票权证市场的发展模式

我国发展股票权证市场已经势在必行,但是在市场发展模式的选择上仍存在争议.文章从全球视野出发,总结衍生权证与股票期权等市场模式的发展情况和优缺点,并在此基础上,提出了我国股票权证市场应当选择股票期权为主的发展模式等相关建议.     

Security Choice and Corporate Governance

The most efficient corporate governance structure will vary by firm depending on the costs and benefits of different governance mechanisms. For IPO firms, warrants might act as a substitute for other governance mechanisms ( Schultz, 1993 ). Alternatively, warrants might serve as a signal of high quality, and thus effectively governed, firms ( Chemmanur and Fulghieri, 1997 ), in which case they would act as a complement to other governance mechanisms. We test these competing hypotheses by examining a sample of unit IPO firms (firms issuing warrants with shares) matched to a comparable sample of shares-only firms and show that warrants act as a substitute for other governance mechanisms. The research is also of interest because it shows an interaction between the financing decisions of firms and their corporate governance that has not been documented previously.     

The Wealth Effects of Reducing Private Placement Resale Restrictions

Recently, the US Securities and Exchange Commission reduced resale restrictions on Rule 144 private placements from 12 months to 6 months with the intention of lowering the cost of equity capital for issuing firms. In Canada, similar regulatory changes were adopted several years ago, providing a unique opportunity to test the wealth effects of reducing private placement resale restrictions. We find that shortening resale restrictions reduces the liquidity portion of offer price discounts, and thus lowers the cost of equity capital for issuing firms, but has no significant effect on announcement‐period abnormal returns after controlling for issuer type. However, there is a fundamental shift in the types of firms making private placements of common stock after the legislation‐induced easing of resale restrictions. Specifically, we find that smaller firms and firms with greater information asymmetry are less likely to issue privately placed common stock after the legislative change, suggesting that the easing of resale restrictions reduces the costly signal that helps to overcome the Myers and Majluf (1984) underinvestment problem.     

我国权证上市对标的股票的波动性影响研究

权证是基于标的股票产生的一种金融衍生产品,其与标的股票之间存在联动关系,因此,权证上市会对标的股票产生一定的影响。本文将通过EGARCH模型研究权证上市前后标的股票波动性的变化,据此探讨权证上市给标的股票波动性带来何种影响。     

权证发行对标的股票价格风险影响的实证研究

研究权证发行对标的证券价格风险的影响,对研究资本市场的有效性及权证定价等方面具有重要的意义。目前我国已经发行的备兑权证,运用资本资产定价模型(CAPM)和GARCH-M模型,探讨权证的发行时正股的无风险报酬、系统性风险(Beta)和总风险(报酬率波动性)是否有显著影响。实证结果表明,无论是认购权证、认沽权证,还是蝶式权证的发行对正股的无风险报酬、系统性风险的影响基本上均不显著,但对半数以上发行权证的股票的总风险有显著影响。抑制权证市场的投机性,发挥其本身应发挥的价格发现功能、促进股票的流动性、降低股价波动性等的功能,就必须从风险相互对冲的角度,循序渐进地大力发展权证等衍生产品的规模,促进衍生品市场健康、有序地发展。     

Pricing and issuance dependencies in structured financial product portfolios

We exploit a unique sample of structured financial products (SFPs) to analyze pricing and issuance dependencies among different types of such market-linked investment vehicles. Our study provides evidence of cross-pricing between products with complementary payoff profiles. Such dependencies may be explained by issuers’ efforts to generate order flow for products that supplement their current SFP risk exposure. Additionally, we observe issuance patterns in line with the argument that issuers exploit the complementarity payout profiles when bringing SFPs to market. Our study emphasizes cross-pricing from a perspective not previously considered in the literature.