关于我国存款保险制度建设的几点思考

存款保险制度是当今大多数国家金融体系一个重要的组成部分,是世界上公认的金融安全网的三大基本要素之一,它在保护存款人利益和维护金融体系稳定方面发挥着积极作用。我国目前实行的隐性存款保险制度有许多弊端,不利于我国金融业的稳定。因此,建立具有中国特色的存款保险制度已成为我国深化金融改革、完善金融体制的一项战略任务。本文在对我国隐性存款保险制度进行分析的基础上提出了建立适合我国国情的存款保险制度的基本设想。     

The Association between Changes in Interest Rates,Earnings, and Equity Values*

Numerous studies have documented that stock returns are negatively related to changes in interest rates, but there has been little corroborating research on the information in interest‐rate changes about the fundamentals that the stock market prices. The negative correlation is often attributed to changes in the discount rate, a denominator effect in a valuation model. However, there may also be a numerator effect on the expected payoffs that are discounted. This paper shows that changes in interest rates are positively related to subsequent earnings, but the change in earnings is typically not large enough to cover the change in the required return. Hence, the net (numerator and denominator) effect on equity value is negative, consistent with the results of the research on interest rates and stock returns.     

盈余管理与控制性大股东的"隧道行为"——来自配股公司的证据

我国上市公司处于大股东控制状态,在上市公司配股融资过程中,大股东具有通过盈余管理来获得配股资格和提高股票发行价格的强烈动机.本文以实施配股的上市公司为样本,基于行业横截面数据和修正的Jones模型研究了配股融资过程中盈余管理的分布特征,并分析了大股东控制下盈余管理行为带来的隧道效应.研究结果表明:(1)上市公司在配股前3个年度和配股当年存在显著的盈余管理机会主义行为,而配股后长期业绩趋于下降;(2)配股公司的盈余管理程度与第一大股东持股比例具有倒U型关系;(3)大股东的盈余管理行为导致了上市公司价值的下降.因此,大股东通过盈余管理实现了对小股东财富的掠夺效应,误导了外部投资者的决策,造成了上市公司资本配置效率、公司价值、声誉和后续融资能力的下降.     

相对风险规避系数与中国股权溢价之谜

本文通过基于消费的资本资产定价模型利用消费与个人财富弹性、股票收益与消费增长协方差以及股权溢价来计算中国的相对风险规避系数,认为中国证券市场明显存在股权溢价之迷,股票收益与消费增长还呈现出与理论不符的负相关关系,这从侧面证明中国股票市场的财富效用传导机制并不畅通,基于消费的资本资产定价模型在中国缺乏解释力。     

Active investment manager portfolios and preferences for stock characteristics

The present study investigates the stock characteristic preferences of institutional Australian equity managers. In aggregate we find that active managers exhibit preferences for stocks exhibiting high‐price variance, large market capitalization, low transaction costs, value‐oriented characteristics, greater levels of analyst coverage and lower variability in analyst earnings forecasts. We observe stronger preferences for higher volatility, value stocks and wider analyst coverage among smaller stocks. We also find that smaller investment managers prefer securities with higher market capitalization and analyst coverage (including low variation in the forecasts of these analysts). We also document that industry effects play an important role in portfolio construction.     

论后股权分置时代划拨国有股充实社保基金

2006年是中国证券市场制度变革年,伴随股权分置问题的解决,证券市场进入了后股权分置时代。目前我国社保基金缺口很大,本文从后股权分置时代出发,研究划拨国有股充实社保基金的必要性、紧迫性及操作设想。     

Willingness to pay for airlines’ premium economy class: The perspective of passengers

This study investigates how much extra air travellers are willing to pay to upgrade to premium economy class by using a suitable econometric model. Since a large portion of travellers' willingness to pay for premium economy class is zero, the spike model is applied to overcome the issues that may occur when traditional statistical models are used. Three flight distances, short, medium, and long hauls were separately estimated to investigate the effects of flight distance on willingness to pay. Travellers’ willingness to pay to upgrade from economy class to premium economy class round-trip was US$138 ,¹ US$309, and US$545 for short-, medium-, and long-haul, respectively. The research results should be a helpful reference for the civil aviation industry in strategic pricing planning.     

货币政策公告、政策不确定性及股票市场的预公告溢价效应——来自中国市场的证据

中国人民银行周期性发布的货币政策相关公告为市场判断货币政策走向提供重要信息。较于实体经济反馈政策信息具有滞后性,股票市场是否在货币政策公告期内及时对政策消息做出反应,即存在公告效应？股票价格是否体现预期货币政策调整带来的不确定性？本文基于2011-2017年A股市场数据,研究我国股票市场在我国货币政策相关公告发布前后几日这一较短窗口区间内的市场反应。结果表明,股市指数在发布货币供应量指标的公告前几天内会出现显著为正的风险溢价,而在指标发布后溢价并不显著,这一现象我们称之为货币政策相关公告的“预公告溢价效应”。本文发现,预公告溢价的产生并非由于市场提前预期到货币政策的走向,而是来源于投资者预先获得了对政策不确定性的溢价补偿。本文进一步就防范系统性风险、从数量型货币政策工具向价格型转变等问题提出了相关政策建议。     

股权激励对企业非效率投资行为的影响研究——基于高管过度自信中介效应的视角

基于高管过度自信的视角考量我国上市公司股权激励实施对企业非效率投资行为的影响,结果表明,我国上市公司普遍存在过度投资和投资不足的现象,股权激励能有效抑制过度投资行为,但对企业投资不足现象具有显著的促进作用,同时,高管过度自信会导致企业过度投资行为的发生,相应地会降低投资不足行为的产生;高管过度自信是导致股权激励效果弱化的重要原因,股权激励的实施会在高管过度自信的作用下加剧企业过度投资行为,而对投资不足表现出不显著的抑制效果;良好的公司治理环境能有效抑制高管过度自信概率,也是激励效果得以发挥的重要前提。     

“啄序理论”的资本成本视角

西方财务理论认为,由于风险和税收的原因,债权资本成本远远低于股权资本。因此,在其他因素一定的情况下,企业筹资应优先考虑债权资本。但实践中却存在着“悖论”现象:基于实证研究的“啄序理论”,留存收益排在债权筹资顺序之前。而这种“悖论”现象完全可以从资本成本的角度得到合理的阐释,是企业理财实践中的理性选择。