Credit ETFs in Mutual Funds and Corporate Bond Liquidity

We show that high yield (HY) mutual funds own and trade ETFs to manage liquidity needs driven by fund flows, whereas investment grade (IG) funds do not. The use of ETFs by HY mutual funds to manage liquidity shifts some trading away from bonds and into ETFs, which reduces the liquidity of the underlying bonds. This substitution effect outweighs the better-understood inclusion effect, whereby bond liquidity benefits from increased ETF ownership, such that the net effect of ETFs is to reduce HY liquidity. In IG, the substitution effect is not significant and ETFs result in increased bond liquidity.     

The Sarbanes‐Oxley Act of 2002 and Market Liquidity

Investors rely heavily on the trustworthiness and accuracy of corporate information to provide liquidity to the capital markets. We find that the rash of financial scandals caused a severe deterioration in market liquidity in the form of wider spreads, lower depths, and a higher adverse selection component of spreads vis‐à‐vis their benchmark levels. Regulatory responses including the Sarbanes‐Oxley Act of 2002 (SOX) had inconsequential short‐term liquidity effects but highly significant and positive long‐term liquidity effects. These liquidity improvements are positively associated with the improved quality of financial reports, several firm‐specific variables (e.g., size), and market factors (e.g., price, volatility, volume).     

The Information Content of Multiple Stock Splits

We examine the relationship between the frequency of stock splits and firms' motives for splitting their stock. Compared to their peers, infrequent splitters show higher post‐split operating performance, but not so for frequent splitters. We find that split ratio and liquidity change explain the stock split announcement effect for the frequent splitters. In contrast, the change in operating performance in the split year explains the announcement effect for the infrequent splitters. Our results suggest that frequent splits are more consistent with the trading range‐improved/liquidity hypothesis and infrequent splits are more consistent with the signaling hypothesis.     

Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds

This article examines the intraday returns and liquidity patterns of the Standard & Poor’s Depositary Receipts (SPY) and the iShares Morgan Stanley Capital International Inc. (MSCI) Japan Index Fund (EWJ). These exchange-traded funds seemingly have very different holdings, namely, US stocks and Japanese stocks. Our findings suggest that some commonality exists in the returns and liquidity of these apparently different assets. First, there are intraday, daily and monthly patterns in the measures of liquidity for both funds. Second, the measures of liquidity are correlated across these two assets. Third, there is evidence of intraday spillover in the mean, volatility and depth from the SPY to the EWJ, but daily spillover is not observed. Our study extends two evolving strands of the literature: the integration of world markets in terms of returns behavior, and the other strand suggests that liquidity may have a systematic, or market-wide, component. This paper provides direct evidence of the integration between the US and Japanese markets because contemporaneous trading prices for the US (SPY) and Japanese (EWJ) indices are employed.

外部经济失衡、流动性过剩与房地产投资过热

随着我国经济的高速发展,国际收支顺差不断增加,外部经济失衡加剧;同时,国内经济方面出现了由流动性过剩引起内部经济的结构性失衡,导致了我国经济出现了内外"双失衡"。该文通过国际收支顺差、流动性过剩和国内房地产投资之间关系的实证分析,认为国际收支顺差与流动性过剩是我国房地产投资过热的主要原因,并依此提出了政策建议。     

市场制度、市场竞争与集团化收益——来自中国经验证据

本文首先利用1994-2003年的中国上市公司数据研究企业集团超额价值的长期变化趋势。进而采用市场制度发展假说和市场竞争强度假说解释超额价值下滑的趋势,并运用面板数据模型检验了这两种假说的有效性。市场制度发展通常被认为是集团收益减少的主要原因,然而本文发现市场竞争加剧可以更好地解释中国企业集团超额价值的下滑趋势。最后,本文从中国经济改革特征、企业集团形成和内部集团交易效率等方面探讨了市场竞争作用强于市场制度的原因。本文的研究成果在一定程度上证实了中国渐进式改革的合理性。     

互联网消费金融对城镇居民消费需求的作用效果研究——基于流动性约束视角的分析

数字普惠金融的发展和互联网技术的广泛应用,改变了传统的消费信贷模式,形成了互联网消费金融这一新的业态。它通过创造新兴的消费金融产品来催生居民消费需求,以新供给创造新需求,再以新需求带动新增长,充分发挥消费对经济的基础性作用,从而助力供给侧改革。以流动性约束作为切入点,先系统分析了互联网消费金融对居民消费的影响机制,再基于2011-2018年面板数据,构建动态面板GMM模型,实证分析了互联网消费金融对居民消费需求的影响以及对不同收入群组的作用效果,结论表明：互联网消费金融缓解了流动性约束,促进了城镇居民各类消费支出增加,改善了城镇居民的消费结构,对居民生存型消费支出和发展享受型消费支出均有显著的正向作用,特别是对流动性供给不足、服务缺失的低收入群体的作用更为显著。     

上市公司会计信息与股票超额收益率关系的实证研究

从上市公司年报信息出发,本文首先借助FSCORE方法建立了对上市公司会计信息的综合分析评价方法,随后以上海证券交易所A股上市公司1998年4月至2007年4月的数据进行实证研究,分析上市公司会计信息综合评价所获分数的高低与公司股票前后连续三年的超额收益率的相关关系。研究结果表明：上市公司的T年年报会计信息综合评估得分与T-1年和T＋1年公司股果的超额收益率都没有显著的相关关系,而与当年的公司股票的超额收益率呈现出显著的正相关关系,该结论对大中规模公司仍然显著。     

对提高基层央行调控流动性过剩效果的理性思考

调控流动性过剩问题,是基层人民银行的职责之一。本文系统探讨了基层央行调控流动性过剩政策的传导途径,研究和剖析了影响基层央行调控流动性过剩的成因和诸种障碍,针对性地提出了充分发挥基层央行职能、作用,有效调控流动性过剩问题的政策与建议。     

流动性均衡的成本最小化——商业银行流动性管理的一种新框架

合理的流动性管理要求银行用尽可能低的成本组织流动性供给,以实现流动性均衡.不同的流动性供给方式在满足不同发生概率的流动性需求水平时,有不同的成本结构.备付金、可转换资产和主动负债这三种基本的流动性供给方式的成本构成,都可以表示为备付成本和交易成本之和.通过对各种流动性供给方式的成本进行比较,确定一个成本最低的流动性供给方案,在坐标图中即不同流动性供给方式的成本曲线组成的曲线簇下边界.当影响流动性供给成本的市场因素发生变化时,银行根据成本最小化原则确定的最佳流动性供给方案也将有所变动.