国际碳税实践及对中国的启示

气候变化问题已成为当今世界各国面临的最重大挑战之一,面对内外压力,尽早采取有效应对措施应为中国政府的明智之举,开征碳税是一种有效应对措施。本研究对比分析了国际主要碳税征收国的碳税实践,以期为中国未来的减碳路径提供借鉴。     

Tobin tax and trading volume tightening: a reassessment

This article extends the previous literature on the Tobin tax. We find that very roughly, a doubling in transaction costs would reduce trading volume by 25% to 40% in the Forex. Most importantly, this article is the first contribution to specify the trading volume of the Forex through different (low and high volatility) regimes. Our results show evidence of nonlinear patterns for trading volumes and transaction costs on the Forex. Thus, the Tobin tax would not have a monotonic impact on trading activity across market conditions. The change in elasticity between low and high volatility regimes would be slight but significantly different. We may suggest that the high-variance regime might be the fundamentalist regime and the low-variance regime might be the chartist regime. It is a first step towards understanding which categories of agents would react to the introduction of a tax. Our results seem consistent with Tobin’s underlying thinking; since a tax would penalize chartists more than fundamentalists, it could reduce exchange rate volatility.     

Trading strategies based on term structure model residuals

The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore, the estimated interest rates should accurately explain the market prices of these bonds. However, nearly all empirical papers on interest rate estimation, e.g. Svensson, L.E.O. 1994. Estimating and interpreting forward interest rates: Sweden 1992–1994, IMF Working Paper, International Monetary Fund, report significant pricing errors in their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be different tax treatment or different liquidity, but most papers on this research topic, e.g. Elton, E., and T.C. Green. 1998. Tax and liquidity effects in pricing government bonds. Journal of Finance 53: 1533–62, cannot fully explain the observed pricing errors. Therefore, these errors must be at least partially caused by either model misspecification or by the deviation of particular bond prices from general market conditions, i.e. mispricing revealing insufficient market efficiency. We provide empirical evidence for the German government bond market that risk-adjusted trading strategies based on bond pricing errors can yield about 15 basis points p.a. abnormal return compared to benchmark portfolios. Furthermore, the abnormal returns are continuously achieved over the whole time period and not randomly on a few days and show a relation to changes in the level and the curvature of the term structure of interest rates. Therefore, pricing errors contain economic information about deviations of bond prices from general market conditions and are not exclusively caused by model misspecification and/or differences in liquidity and tax treatment of individual bonds.     

Predictability of stock markets with disequilibrium trading. A commentary paper

The paper focuses on the problem of predictability of stock market returns with disequilibrium trading. It is shown that the predictability of returns may be the consequence of quantity constraints appearing in the markets due to the imposition of administrative restrictions on trade. A relevant test of predictability for the Warsaw Stock Exchange (WSE) based on information referring to disequilibrium states occurrence is proposed. The empirical results of its application to the WSE on a sample containing session-to-session observations from the period January 1995 to December 1999 strongly support the hypothesis of predictability.     

Institutional Investor Participation and Stock Market Anomalies

This paper investigates the impact of institutional trading volume on stock market anomalies. The paper proposes a measure that evaluates the percentage of total trading volume of a stock accounted for by institutional trades. The empirical analyses using a large sample of firms from 1980–2005 provide strong evidence that the strength of stock market anomalies such as price momentum, post‐earnings announcement drift, the value premium, and the investment anomaly is decreasing in institutional trading volume. Additionally, the effects of institutional trading volume are stronger than those of institutional ownership, the major measure of institutional investor participation in the finance literature. These findings suggest that institutional trading significantly improves stock price efficiency.     

Expansion of Japanese Retailers Overseas

Abstract

There have been a number of studies of foreign retail entry into Japan but few that consider the moves of Japanese retailers to other Asian countries. Nonetheless expansion into Asia of Japanese retailers, notably since the early 1990s, has been considerable. Many have been attracted by the large size of several national markets. Large Japanese trading houses have played a significant direct and indirect role in the international moves of Japanese retailers. China has become the major place of investment for Japanese retailers with 21 retail companies established by Japanese firms. The history of the internationalisation of Japanese retailing shows three phases of development. A first phase is characterised by department stores, a second phase is a slowing of activity in the late 1990s and a third phase of rapid expansion is presently evident. The key to the current phase is the establishment and strength of non-retail supply firms in the same East Asian region into which retailers wish to expand.     

Price Discovery in the Treasury‐Bill When‐Issued Market

When‐issued (i.e., forward) trading in T‐bills yet to be auctioned provides a unique environment for examining price discovery. Because T‐bills are auctioned in a sealed‐bid process, when‐issued traders cannot observe the spot market price. Yet the forward price must ultimately converge on the auction outcome price. Our results indicate that traders in the when‐issued market “discover” the ultimate auction price. Little evidence is found that standard order flow variables contribute to price discovery. Instead, the ability to observe a few trades with relatively small volume in the when‐issued market is sufficient to discover the auction price resulting from the sealed‐bid process.     

不同连接装配式剪力墙抗震性能及碳排放综合效益分析

在我国加快建筑产业转型和“碳中和”的背景下，面对我国多高层装配建筑产业现代化发展的需求，量化研究不同形式装配式剪力墙之间碳排放量及性能的关系规律,建立物化阶段构件的碳排放计算模型，比较不同连接形式装配式剪力墙的碳排放计算差异。结果表明：碳排放计算差异主要体现在不同形式装配式剪力墙的工艺流程方面，单位体积不同连接方式装配剪力墙的碳排放量差距较小；装配式剪 力墙连接方式较大程度影响其碳排放量和性能提升。     

黄河流域农林碳汇时空演变特征及驱动因素

利用2000—2020年的相关数据计算农业和森林碳汇量，研究黄河流域农林碳汇的时空变化特征，并运用地理探测器模型对其影响因素进行分析。结果表明：黄河流域各省份农林碳汇量均有不同幅度的提升，但空间分布不均衡现象仍存在；降水、气温、坡度、坡向及人口数量是黄河流域农林碳汇的主导因子；交互作用的解释力度增强，且以双因子增强型为主；各因素均与农林碳汇有显著差别，可以得到农林碳汇量达到最大的因子范围。