不完全资本市场与国际贸易赤字

本文通过带有风险资产的两期一般均衡模型研究了不完全资本市场和一国国际贸易之间的相关性。研究表明,当市场是完全的或者没有风险资产时,一国的国际贸易是平衡的,但是当资本市场不完全时会出现贸易不平衡。如果是国家间的不完全市场,由于一些国家的收入对风险资产的回报具有更强的相关性,使得国家间的贸易出现不平衡;如果资产在一个国家内是不完全的,则由于完全市场国家具有更强的国内分散收入变化风险的能力,会减少预防性储蓄,导致更大的贸易赤字。一些国际数据基本支持本文的研究结论。     

Fama—French三因子模型与股权分置改革效应研究

本文采用Fama-French三因子模型研究了中国股权分置改革的市场效应及其影响因素。根据在2006年底已经成功实施股权分置改革的1058个有效样本,我们发现:股权分置改革的市场效应显著为正;市场效应与股改对价显著正相关,表明送股越多,越向市场传递有利的信号;股权集中度越高,市场效应越低;股权制衡度越高,市场效应越好,表明未来的控制权市场对流通股股东利益有正面影响;全面实施的公司比试点的公司有着更好的反应。这些发现为提高股票流动性,改善公司治理结构,保护投资者利益提供了实证证据。     

Disentangling Treatment Effects of Active Labor Market Policies: The Role of Labor Force Status Sequences

This paper estimates treatment effects of two active labor market policies – a training program and a wage subsidy scheme – on participants' employment probabilities. The analysis is based on unique data from the 18th wave of the Polish Labor Force Survey containing detailed and extensive individual labor force status histories. We discuss two variants of an exact covariate matching procedure adapted to the specific nature of the data. Our study confirms and reinforces a point raised in recent research [Heckman, J.J., Smith, J.A. The Pre-programme Earnings Dip and the Determinants of Participation in a Social Programme: Implications for Simple Programme Evaluation Strategies. The Economic Journal 1999; 109; 313-348., Heckman, J.J., Smith, J.A. The Determinants of Participation in a Social Program: Evidence from a Prototypical Job Training Program. Journal of Labor Economics 2004; 22; 243-298.], that pre-treatment labor force status dynamics play a decisive role in determining program participation. We implement a conditional difference-in-differences estimator of treatment effects based on these individual trinomial sequences of pre-treatment labor market status. The estimator employs a “moving window” technique that nicely controls for changes in the macroeconomic environment over time. Our findings suggest that training raises individual employment probability, while wage subsidies display negative treatment effects for participants in the Polish case.     

Earnings management, lawsuits, and stock-for-stock acquirers’ market performance

There is a positive association between stock-for-stock acquirers’ pre-merger abnormal accruals and post-merger announcement lawsuits. The market only partially anticipates the effects of post-merger announcement lawsuits at the merger announcement and the post-merger announcement long-term market underperformance is largely limited to litigated acquisitions. Overall, the evidence suggests that it is important that investors not only undo the direct stock price effects of earnings management but also factor the contingent legal costs associated with earnings management.     

我国保本基金保值效果的比较研究

本文简要介绍了保本基金的三种投资策略,并在此基础上对我国目前发行的五只保本基金的投资策略及资产配置原则进行了描述并作出评价.本文从理论上对各基金投资策略的有效性进行论证后,又通过数据对其保本效果进行了检验.利用图形与数据,比较了其价值增长线的有效性,基金净值变化的波动性,股票仓位变动的合理性,并通过各项指标,借助主成分分析法,对各基金在一定风险下的收益进行了比较.     

行为金融学对我国企业资本结构研究的借鉴作用

行为金融学在资本结构研究方面的主要成果包括市场时机理论和非理性经理人的管理模式。行为金融学的理论发展对我国企业资本结构的研究在理论依据、研究方法以及研究视角方面都具有重要的借鉴作用,它引导研究者利用案例、理论模型和实证检验等研究方法,分析我国的融资案例和投资行为,同时也为我国决策管理层合理预期资本市场形势制定有效管理政策提供依据。     

Relation between franking credits and the market risk premium: a comment

Based on the Officer (1994) model, Gray and Hall (2006) derive a relation between franking credits and the market risk premium. On the basis of this relation, the authors show that traditional estimates of the value of franking credits imply dividend yields that are inconsistent with historical equity market data. This inconsistency arises from assumptions about the franking credit payout ratio and the value of franking credits retained. With less than a 100 per cent payout ratio some franking credits are retained within the firm. Assuming that the retained franking credits have no value leads to the inconsistency in dividend yields. Current practice in the application of Officer's model makes this assumption and, therefore, leads to inconsistent results. Gray and Hall suggest resolving the inconsistency by setting the value of all franking credits to zero. An alternative solution is to recognize that retained franking credits might have a positive value.     

盈余管理行为与证券市场指数关系的研究——来自深交所上市公司的经验证据

投资者在投资决策时通常对企业财务状况进行比较,所以,为争取投资者的有限资金,上市公司会采取措施取得或保持相对业绩优势,而进行盈余管理就是措施之一.假定证券市场指数的变化反应了上市公司平均盈利水平的变化,那么,单个上市公司为保持相对业绩优势就会随市场指数的上涨而进行增加利润的盈余管理行为,而市场指数下降时会将以前多计提的利润转回或储存一部分利润.当单个公司的策略成为所有上市公司的策略时,盈余管理行为就会影响市场的整体盈利水平,并进而影响股市指数的走势.这一现象的存在为政府干预股市提供了直接依据.     

金融变革中的中国国债市场功能定位与发展策略

国债市场发展与金融可持续发展具有十分密切的关系,中国金融改革的深化更是离不开国债市场金融功能的完善及有效发挥。但转型背景中确立的中国国债市场,其定位存在着重财政筹资和轻金融调控的功能扭曲。因此金融变革对于中国国债市场的发展提出了更为迫切的要求。一方面完善包括立法在内的国债运行与管理制度;另一方面完善国债市场体系。这对于中国国债市场发展而言,至关重要。     

Öffentlichkeitsorientierung in der Ernährungswirtschaft: Eine empirische Studie zum Umgang mit kritischen Anspruchsgruppen

Summary  Corporate social responsibility has been an area of economic research for a long time. The contribution presented here empirically deals with this issue. The German agribusiness is analysed, given their relative lack of experience with opposing groups. The objective is to analyse the level of corporate sensitivity towards public demands. The study reveals general weaknesses of the agribusiness sector with regard to its responsiveness towards vigilant stakeholders. Taking into consideration the growing relevance of this group, the necessity for a professional management of public issues will further increase. The concept of public orientation offers a starting point for this purpose.

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Zusammenfassung  Die gesellschaftliche Verantwortung von Unternehmen ist in der Managementlehre seit langem Forschungsgegenstand. Der vorliegende Beitrag setzt sich empirisch mit dem Themenfeld auseinander. Exemplarisch wird dafür die deutsche Ern?hrungswirtschaft herangezogen, die bislang über nur begrenzte Erfahrungen mit kritischen Stakeholdern verfügt. Ziel ist es, den Grad der Sensitivit?t von Unternehmen gegenüber Ansprüchen der Gesellschaft zu untersuchen. Die Studienergebnisse zeigen eine eher gering ausgepr?gte ?ffentlichkeitsorientierung des Agribusiness. Aufgrund der zunehmenden Relevanz gesellschaftlicher Stakeholder wird eine Professionalisierung der PR-Arbeit jedoch immer relevanter. Das im Weiteren entwickelte Konzept der ?ffentlichkeitsorientierung bietet hierfür hilfreiche Ansatzpunkte.

Katrin J?ckel