中国券商转制商业银行的必由之路

美国金融危机中，投资银行体制终结。通过比较高盛和花旗的资产负债表，文章剖析了美国投资银行经营模式的特点，并对中国券商的业务特点及风险展开分析。中国应吸取美国教训，推动券商转制商业银行。转型有两种方式，其中商业银行收购券商应是最主要的方式。券商并入商业银行后，中国最终将形成银行、保险、基金三大金融体系。     

INDIFFERENCE VALUATION OF MORTGAGE‐BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK

We present a utility‐based methodology for the valuation and the risk management of mortgage‐backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded prepayment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools.     

Ownership dispersion and the London Stock Exchange's ‘two-thirds rule’: an empirical test

In the UK, in contrast to most other countries, a hallmark of corporate governance is a separation of ownership and control. There is evidence suggesting that this pattern may have been the norm in Britain as far back as the late nineteenth century. This paper investigates the extent to which law, in the form of a London Stock Exchange listing rule that prohibited the quotation of a class of securities unless two-thirds of the securities quoted had been subscribed for by and allotted to the public, contributed to this outcome. This paper tests the impact of the two-thirds rule by analysing for domestically based companies that carried out initial public offerings between 1900 and 1911 data compiled from prospectuses, a UK investors' guide and documents filed in accordance with UK companies legislation. The results indicate that the two-thirds rule did not influence ownership and control to the extent that might have been anticipated.     

创业资本中的融资工具选择与融资策略选择:国外研究综述

国内对创业资本(VentureCapital)的探讨主要是运行机制方面的定性研究,对创业资本运作过程中涉及的融资工具选择及融资策略选择等问题的研究却很少,而近年来,国外这方面的研究已比较成熟,作者在此对国外相关文献进行了综述,希望能对国内这方面的研究有所裨益。     

An Examination of Mandatorily Convertible Preferred Stock

I investigate the determinants of the use of mandatorily convertible preferred stock and assess market reaction to its issue. The security is dividend enhanced and converted into common stock within four years. Issuers have high debt ratios, low interest coverage, and bankruptcy risk. Market response to the issue was neutral suggesting the preferred issue resolved the lemon problem associated with common stock. Firms' Z-scores and abnormal returns are inversely related indicating the issues reduced financial distress. Market response was most positive for low risk firms with high cash flows.     

关于构建我国证券税制体系的设想

社会主义市场经济条件下 ,由于我国现行的证券市场税收制度和税收政策缺乏规范性、系统性及完整性 ,市场整体税负偏重 ,存在重复征税现象 ,从而对证券市场调节的效率性不高。笔者认为 ,适合我国国情的未来我国证券市场税制体系中的税种应由核心层各税种和外延层税种所构成     

试论融资融券业务对我国证券市场的影响

融资融券业务是建立在市场对未来投资预期基础上衍生出来的一种金融工具。2008年10月5日,中国证监会发布了《中国证监会近期正式启动证券公司融资融券业务试点工作》的通知,这既给我国证券市场带来机遇,也使其面临更加严峻的挑战,从远期看将会对促进我国资本市场稳定发展与改革创新具有积极意义。本文首先对融资融券进行理论概述,进而从市场主体和证券市场两个视角分析融资融券的影响效应,并进一步提出了完善我国融资融券制度的政策建议。     

我国证券投资者保护基金制度的创新与不足

证券投资者保护基金制度的建立,是我国金融安全网体系建设中的重大制度创新,但同时该制度的设计中也存在道德风险、证券公司经营失败成本分配不合理、政策缺乏连续性等不足。对现行保护制度的反思与改进,必将进一步推进证券投资者保护事业的发展和完善。     

证券交易税对市场波动性的影响:来自中国股市的证据

本文运用ARCH族模型检验了2001年股票交易印花税税率降低对沪、深股市波动性的影响,为有关证券交易税对市场波动性影响的讨论增添了一个来自新兴市场的证据。计量结果表明,该次税率变动对沪市波动性的影响在统计上是不显著的;深市的波动性在税率降低后虽然有统计上显著的增加,但是这个变化太小,没有实际意义。我们的研究结果表明,对于像中国股市这类市场结构和市场制度处于变化之中的新兴市场,如果试图通过调整证券交易税税率这类显性的交易成本来影响市场波动性,其效果是有限的。     

融资融券业务带给我国证券公司的机遇、风险及应对措施

融资融券业务将在我国证券市场正式启动,期间只允许证券公司利用自有资金和自有证券从事该项业务。本文将阐述这一业务带给我国证券公司的机遇和风险,并浅析证券公司在当下和长期的应对措施。