艺术品的金融属性：投资收益与资产配置*

本文基于2000—2014年中国艺术品拍卖市场近现代国画的微观数据,在资产配置中引入市场交易机制中的佣金变量,加入艺术品市场规模约束,采用重复交易法实证计量嵌入艺术品市场的投资收益特征并量化其资产配置效应,以测度其市场功能。优质的艺术精品具备金融资产风险和收益的基本特征,本文对艺术品资产与资本资产定价模型的适应性进行讨论。研究表明：在样本期内,剔除通胀和佣金成本因素后收益率更加贴近现实,中国艺术品投资的实际收益率水平为1308%,表现出高于欧美市场的投资溢价;艺术品投资与传统的股票、债券等金融资产之间表现出相对独立性,并能有效改善投资者资产组合的风险边界,可以成为资产配置优化和多样化的重要选择。中国艺术品市场的长期稳健发展将为投资者提供更多的资产优化产品和工具。     

Central bank disclosure as a macroprudential tool for financial stability

The Basel Capital Accord (pillar 3) states that disclosure of information (transparency) is essential to financial stability. This study analyzes, through inflation reports, the disclosure of information from the Central Bank of Brazil concerning the credit market. We consider credit risk and capital buffers as measures of financial stability in this analysis. Furthermore, in order to measure the perception of the monetary authority on the credit market, we built two indices based on the central bank’s communication on credit development. We performed a panel data analysis based on a sample of 125 banks for the period from June 1999 to September 2014 (7000 observations). The findings suggest that central bank communication regarding expectations concerning the credit market contributes to financial stability. Therefore, this kind of communication of central banks (about credit development) may constitute an important macroprudential tool to improve financial stability.     

住房抵押贷款支持证券的利率风险度量——基于"建元2005-1 MBS"A证券的实证

住房抵押贷款支持证券中隐含期权的存在导致未来现金流不确定,久期和凸度等利率风险管理工具不再适用。本文基于OAS理念建立了住房抵押贷款支持证券的利率风险度量过程:采用多项式样条函数法构建零息票收益率曲线,采用Vasicek模型描述动态利率期限结构,通过蒙特卡罗方法模拟利率路径并确定未来现金流,采用ARMA模型描述和预测提前偿付率,进而计算出OAS、有效久期和有效凸度的值。最后以建元2005-1MBSA证券为对象进行了实证研究。     

高职数学与文化课程教学设计与实施研究

长期以来,高职数学教学过分注重数学知识的学习及技能的训练,追求数学结果的推理演绎,忽视了与数学结果相关的人文因素,影响了对学生的数学文化教育。数学文化作为现代人文化素质的一部分,不仅是概念、定理、公式、计算,更是一种思维方式、创新品质、文化精神。它在陶冶人的情操、健全自我人格、提高思维能力、传播文化思想、实现人的全面发展等方面具有不可忽视的作用。通过对高职院校开设数学与文化课程的研究与实践,积极探索高职数学课程改革方案,深化了高职数学的课程改革,创新了高职数学的教育理念。     

Water as an investment: liquid yet illiquid!

The water industry is in great need of further large investments to address existing severe water shortages worldwide which requires the participation of private sector investors. This industry is heavily infrastructure based and is therefore saddled with fixed assets-in-place or illiquid assets. This exposes the industry to what is termed as ‘illiquidity risk’, and hence, investors in this industry should be compensated for bearing this risk with an appropriate return premium (i.e. extra return). In this study, we provide evidence as to whether illiquidity risk indeed significantly affects returns in this industry. We examine the case of all 76 firms that compose the five major global water indices. After controlling for other factors that impact on returns, our results suggest that asset illiquidity is positively associated with stock returns. Specifically, water firms with a larger proportion of illiquid assets-in-place are observed to have greater stock returns than those with a smaller proportion of illiquid assets. Our results have important implications for the financing of water-related projects particularly those which involve the participation of investors from the private sector.     

Predicting FDI inflows: Exploring a nonlinear relationship between peace years,oil wealth,and the rule of law

Despite previous studies investigating the impacts of various factors such as peace years, natural resources, and the rule of law on foreign direct investment (FDI), empirical findings remain inconclusive. Therefore, this study investigates the interplay between these factors in shaping host country conditions that facilitate FDI inflows. Using generalized additive models, we examine the simultaneous effects of peace years, oil wealth, and the rule of law on FDI inflows in a sample of non-OECD countries from 1970 to 2009. Our results reveal that established peace is a critical factor in attracting FDI inflows for both oil-exporting and non-oil-exporting countries. However, the effects of the rule of law vary depending on oil wealth. Oil-exporting countries receive more FDI inflows when they have a weak rather than a strong rule of law, while non-oil-exporting countries tend to receive more foreign investments when they have a moderately strong rule of law. We argue that countries with oil wealth combined with a moderately weak rule of law provide an environment that is conducive to multinational corporations (MNCs) in extractive industries seeking monopoly rents. Conversely, countries without oil wealth should create stable yet efficient environments that protect property rights and promote labor market flexibility to appeal to non-resource-seeking MNCs.     

房地产信托投资非预期风险评价方法及应用研究

房地产信托投资所具有的投资大、周期长、项目质量要求高、同业竞争激烈、流动性较弱等特征,决定了其面临的风险更多地表现为非预期性。本文从行业、项目、开发商、信托公司等方面分析了房地产信托投资非预期风险的成因,并归纳了非预期风险因素的构成因子,根据多级模糊综合评价原理,以某房地产信托投资业务为研究对象,在充分调研和对数据资料实施规范化处理的基础上,构建了非预期风险评价模型,对各类非预期风险因素进行了三级模糊综合评价,识别了各非预期风险因素的重要性程度,为房地产信托投资机构评价、监测、控制房地产信托投资业务的非预期风险提供了重要的信息支持。     

企业套期保值研究及实证分析--基于基差复制技术的方法

文章针对企业套期保值过程中由于套保比率的设定以及入市点的错误选择使得企业面临亏损风险的问题而提出对策。笔者在套期保值比率问题上首次引入了寻找合理判断入市点的模型并给出了具体方法。利用金融工程中无套利的复制原理,复制出了一个远期的权益,从而得出了文章所认为的最优套保比率,为实务界经常运用的选择入市点问题给予理论支持。文章构建的模型得出,在套保比率的设定问题上不但要选择入市点,还要选择套保的时间因素。在买期保值上,当判断出市场行情有利时我们选择相对较大的保值比率,这样可以使我们能尽量获取基差上扬所带来的收益,另外又不至于把套保比率无限扩大使得套保变成投机,以防在万一出现行情错误的时候出现大幅亏损。在卖期保值上,当判断行情有利时,选择相对较低的保值比率,这样可以使我们能尽量获取基差下跌所带来的收益,另外又不至于把套保比率无限缩小甚至不保使得套保变成投机,以防在万一出现行情错误的时候亏损。     

Experimental evidence on the ‘insidious’ illiquidity risk

This paper introduces an experiment aiming to investigate the contribution of illiquidity risk to the total risk of a collective investment project. If implemented, the project succeeds with a known probability. Yet the project fails if the quota of investors is not reached in the first place. Hence strategic uncertainty compounds its effect with the “intrinsic risk” of the project. Results confirm the insidious nature of illiquidity: as long as a first collective default does not occur, investors accept high intrinsic risk projects. After a first default, they become extremely prudent and come back to market only gradually. After several defaults, private agents manage to coordinate on a relatively low intrinsic risk above which they refuse to participate in the project. Macroeconomic policy implications follow.     

资本市场的创新与风险防范

资本市场存在外生性与内生性两种不同的风险。资本市场的创新可以分散和转移外部性风险,但加大了内生性风险,起到累积和放大资本市场风险的作用。美国次级贷款危机演变为金融危机,过度的金融创新起了传导链和放大器的作用。推进我国资本市场的创新,必须寻求创新与监管及风险防范的平衡;服务于实体经济发展的要求;健全资本市场的监督与宏观调控体系及机制;防范外部金融冲击和国际金融危机传染。