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2016年发表于国际期刊论文汇萃

作者:     日期:2017-02-28    来源:

 

顾弦:Creditor rights and the corporate bond market

  顾弦,中央财经大学金融学院金融学助理教授。毕业于北京师范大学,美国宾夕法尼亚大学博士后与访问博士生,研究领域为实证公司金融、银行与监管。其研究论文曾发表于Journal of Banking and Finance等期刊与Oxford Handbook of Banking 等论文集,或入选AEA(美国经济学会年会)、FMA(美国金融管理学会年会)等国际学术会议。曾在芬兰中央银行等机构担任访问研究员。2011-2013年曾供职于中信证券研究部。

  论文题目:Creditor rights and the corporate bond market

  作者:Gu Xian,Oskar Kowalewski

  刊物:Journal of International Money and Finance

观点与贡献:

  本论文研究了投资者保护如何影响资本市场,尤其是公司债市场与股权市场的相对发展。通过42个国家1978-2011年的数据验证,我们发现,一方面,当一个国家债权人权利保护更强的时候,其公司债市场相对于股权市场更为发达,而另一方面,股东权利保护对资本市场的结构影响较弱。金融改革对资本市场的影响依赖于投资者保护的强度,以及一个国家的信息披露制度。

  到目前为止,文献对股权市场发展的研究更多,而对债券市场发展决定因素的研究较少。根据Tendulkar和Hancock(2014),公司债市场发展自从2000年以来翻了三倍,而Levine等(2016)“备胎理论”(Spare Tire View)又提出,除了银行融资以外,如果一国的法律结构能够允许资本市场为公司提供替代性的融资机制,那么金融危机的破坏性将被大大降低。我们的研究填补了关于法律对金融体系,尤其是公司债市场发展的空白;文章还采用了带有双差分估计量的自然实验,来检验金融改革对法律与资本市场结构关系的影响。

摘要:

  This study examines whether investor protection affects capital markets, specifically the development of corporate bond markets versus equity markets. Using a dataset of 42 countries, we show that countries with strong creditor rights have more developed corporate bond markets than equity markets. However, we find only weak evidence that countries with stronger shareholder protection have more developed equity markets than corporate bond markets. Additionally, we find that the effect of financial reforms on capital markets is strongly dependent on the strength of investor protection and on the associated information disclosure in a given country.

  Keywords: Corporate bond market; Equity market; Investor protection; Financial reform; Information disclosure; Crisis

 

 黄瑜琴:Local bias in investor attention: Evidence from China's Internet Stock Message Boards

作者简介:

  黄瑜琴,中央财经大学金融学院副教授,中国人民大学经济学院学士,香港大学经济金融学院金融学博士。主要研究方向包括有限关注与资本市场、波动率市场,IPO,,她曾在《Journal of Empirical Finance》,《Journal of futures markets》,《管理世界》,《金融研究》发表学术文章,先后获得自然科学基金青年项目及面上项目资助,工作论文入选2016美国金融年会(AFA),2008、2011、2016年金融管理协会年会(FMA)等一流国际学术会议。

  论文题目:Local bias in investor attention: Evidence from China's Internet Stock Message Boards

  作者:Huang Yuqin, Qiu Huiyan, Wu Zhiguo

  刊登期刊:Journal of Empirical Finance

观点与贡献:

  本论文通过挖掘大数据,通过对东方财富网股吧中从2008年7月到2010年6月期间数十万条留言信息进行大数据分析。发现了投资者关注度的本土偏差现象,投资者倾向关注于本土公司的股票。过去研究常用投资者账户分析本土偏差,这篇文章利用东方财富股吧贴子的IP地址,解锁发贴人的位置信息,构造了三种本土偏差指标,发现了投资者更关注本地公司。并且他们发现大公司,非沪深300公司,换手率低的公司以及名字标识总部所在地的公司本土偏差更为明显。在本省500公里以内的地方,投资者本地偏好的边际效应尤为强烈,500公里以外这种效应就趋近消失了,这一结论和国际上对欧美投资者的研究结果基本一致。

  在现有的文献中,有两种主流观点解释这种现象。一种是基于信息经济学的理论,认为本地投资者和非本地投资者之间存在信息的不对称;另一种是从行为金融学的角度,考虑非信息的原因,投资者更偏爱本地公司的资产,比如对本地公司更为熟悉或更抱有乐观态度。当然,造成投资者的本地偏好的原因也可以是双重的。

摘要:

  In contrast to studies that focus on investment accounts, this study examines local bias in investor attention by analyzing messages posted by investors on China's Internet stock message boards. We find that individual investors pay more attention to stocks of local companies than to those of nonlocal companies. Local bias is particularly strong in underdeveloped regions, toward large, non-CSI 300, and low-turnover stocks and toward stocks with names that indicate their localities. The marginal effect of local bias is also considerably strong for distances within 500km.

Keywords:

  Local bias; Limited attention; Internet stock message boards

 

姜富伟:Chinese stock market volatility and the role of U.S. economic variables

  姜富伟,现任中央财经大学金融学院副教授,硕士生导师,资产管理研究中心研究,FRM。新加坡管理大学金融学博士,厦门大学金融学硕士。主要研究方向包括行为金融,资产定价,收益预测,市场异象,投资管理等。主要讲授课程包括实证金融方法,金融市场与机构,资本市场,金融研究专题,博士论文写作等。曾在Review of Financial Studies,Journal of International Money and Finance, Journal of Banking and Finance, Journal of Portfolio Management,Pacific-Basin Finance Journal,Emerging Market Finance and Trade,《金融研究》,《经济学动态》等重要期刊发表多篇学术论文。曾获得中国金融评论国际研讨会Emerald优秀论文奖、《金融研究》优秀论文三等奖、全美华人金融协会最佳论文奖等学术奖项。曾在中国金融国际年会、财务管理协会年会、亚洲金融协会年会、Q-Group论坛、澳大利亚金融与银行年会、中国金融年会、芬兰中央银行、清华大学、北京大学、人民大学、浙江大学、中山大学、厦门大学等宣讲论文。

  论文题目:Chinese stock market volatility and the role of U.S. economic variables

  作者:Chen Jian,Jiang Fuwei, Li Hongyi, Xu Weidong

  刊登期刊:Pacific-Basin Finance Journal

观点与贡献:

  股市波动率预测与建模对很多重要的金融实务比如风险管理、资产定价和投资组合优化等都有重要的意义。现有文献提出了众多预测波动率的方法或变量。理论上Corradi et al. (2013) 等证明宏观经济周期可以影响和预测本国股市波动,而Christiansen et al. (2012), Paye (2012),和Engle et al. (2013)等提出一些基于美国股市波动的实证证据。

  本文从跨国经济联系出发,研究了美国经济状况对中国股市波动的预测能力。改革开放以来,伴随着逐步放松的资本流动管制和迅速扩大的跨国贸易份额,中国与全球经济尤其是美国经济的联系日益密切。随着中国和全球经济尤其是和美国经济的联系日益加深,我们认为全球经济状况尤其是美国经济状况起伏也开始影响中国股市波动,这种影响在中国加入WTO以后会日益变强。我们特别强调美国在全球的领导作用,是因为美国仍然是全球第一大经济体,我国第一大贸易伙伴,而且研究发现美国经济目前仍然是全球经济的晴雨表。

  具体说,本文研究了美国股市估值指标(股利、盈利和账面市值比等)、利率与货币政策(短期国债利率、长期国债利率、期限溢价、信用溢价、商业票据溢价等)、宏观经济(工业产出、工业产出波动率、通胀、PPI波动率等)等17个美国经济金融因素对中国股市波动的预测建模能力。在控制滞后中国股市波动率、美国市场波动率及一些中国经济变量后,美国经济变量对中国股市波动预测能力显著、且影响程度较大。结果表明,美国经济情况衰退将导致中国股市更高的波动率水平。样本外检验结果显示,相较于历史平均模型、包含中美滞后波动率自回归模型以及中国经济变量扩展自回归模型,加入滞后的美国经济变量的回归模型预测能力更强。这与样本内分析结果一致,证实了美国经济变量对中国股市时序波动的显著预测能力。此外,本文还尝试使用混合预测、主成分因子预测、偏最小二乘法预测等高级计量方法把多个经济变量的预测信息有效加,从而进一步提高对股市波动率的预测能力。

摘要:

  This paper investigates the effects of U.S. economic variables on the time variation of Chinese stock market volatility. We find that U.S. economic variables such as the dividend price ratio, dividend yield and industrial production strongly forecast the future monthly volatilities of the Chinese stock market. The predictability is statistically and economically significant and can be further improved when combining the information in all U.S. economic variables together. Forecast encompassing tests and regression tests show that the forecasting power of U.S. economic variables is incremental when comparing with the Chinese domestic economic variables. Our findings are robust for the out-of-sample analysis and a number of Chinese industry portfolios volatilities.

Keywords:

  Volatility forecasting; U.S. economic variables; Out-of-sample forecasting; Combination forecast; Chinese stock market

 

吴偎立:Fat-Finger Trade and Market Quality: The First Evidence From China

  吴偎立,中央财经大学金融学院应用金融系讲师。2015年毕业于北京大学光华管理学院金融系,师从刘力教授,获经济学博士学位。主要研究领域:资产定价、公司金融、资产定价与道德风险的混合模型。曾在Journal of economic theory、Journal of Futures Markets、《经济学(季刊)》、《金融研究》上发表论文多篇。

  论文题目:Fat-Finger Trade and Market Quality: The First Evidence From China

  作者:Ming Gao, Yu-Jane Liu,Weili Wu

  刊物:Journal of Futures Markets

观点与贡献:

  光大乌龙指事件发生于2013年8月16日,是我国资本市场建立以来首次发生的一起因交易软件缺陷引发的极端个别事件。当天11:05:08,光大证券在进行ETF申赎套利交易时,因程序错误,其所使用的策略交易系统以234亿元巨量申购180ETF成份股,实际成交达72.7亿元,引起沪深300、上证综指等大盘指数和多只权重股短时间大幅波动。为对冲现货市场中的多头头寸,光大证券在上午交易时段卖出股指期货IF1309空头合约共253张,下午交易时段总共卖出50ETF、180ETF约18.9亿元,累计用于对冲而卖出的股指期货合约共计6877张,其中IF1309、IF1312空头合约分别为6727张和150张。全天用于对冲而新增的股指期货空头合约总计为7130张。

  特别值得指出的是,乌龙指事件发生之后,相关信息只在在上交所和光大证券内部传播,一直未对市场披露,所以相关信息是通过非正式渠道在资深交易者之间传播。更有趣的是,光大证券董秘在市场午休时段出面公开对乌龙指事件予以否认,而下午开市后光大证券临时停牌,直到14:19,光大证券才正式向市场承认乌龙指事件确实存在。

  可以看到,从乌龙指事件发生,到光大证券正式向市场承认,相隔3个多小时。在此期间,市场处于严重的信息混乱之中,尤其是中小投资者处于明显信息劣势地位,投资者对于市场究竟发生了什么,莫衷一是。因此可以说,由于我国证券市场的监管漏洞,光大乌龙指事件为我们提供了一个独特的样本,让我们可以研究这样的市场的各方面性质。

  我们发现,由于乌龙指事件通过价格向市场释放了错误的信号,导致市场中大量不知内情的交易者继续买进,进一步推高股票价格。而在事件真相逐步向市场披露之后,市场迅速回落,导致投资者遭受了严重损失。由于乌龙指事件后信息传播不畅,导致现货市场的流动性、有效性都大幅下降,波动性明显上升,且收益率明显正偏。随着信息逐步向市场传播之后,现货市场的流动性和有效性逐步恢复,波动性逐步下降。值得强调的是,由于期货市场T+0交易制度和更低的交易成本,期货市场的流动性和有效性恢复得更快。

  本研究说明,对于散户为主的新兴市场,乌龙指事件会导致显著的正向反馈交易,信息不对称会严重伤害投资者的利益,对于市场的效率会产生显著的负面影响。本文说明,信息披露对于市场的健康运行起到至关重要的作用,监管层应加强信息披露规则的制定和执行。

摘要:

  More trading is algorithmic or computer generated, and in markets where it is allowed, high frequency. However, what happens when there is an algorithmic trading error? This study attempts to answer that question by examining the August 16, 2013, fat-finger trade in Chinese equity and equity futures markets. We find that both markets were excessively volatile, illiquid, and positively skewed. Moreover, we document that index returns are predictable for a short time, indicating that the fat-finger event induced an inefficient market. Our results highlight the importance of market surveillance and regulation to lessen the damage of future fat-finger events.

 

尹力博:Predicting the oil prices: Do technical indicators help

  尹力博,中央财经大学金融学院副教授,管理学博士。2013年毕业于北京航空航天大学经济管理学院。主持并参与国家和省部级基金项目9项,在《经济研究》、《管理世界》、《管理科学学报》、Quantitative Finance、Journal of Futures Markets、Energy Economics等国内外重要学术期刊上发表论文30余篇。

  论文题目:Predicting the oil prices: Do technical indicators help

  作者:Yin Libo,Yang Qingyuan

  刊物:Energy Economics

观点与贡献:

  Given that crude oil price is one of the key variables in affecting macroeconomic aggregates, the forecasting of crude oil prices has become the focus of many economists and decision makers. It is therefore of importance to explore whether oil prices can be predicted, and, if so, by which variables. Numerous economic variables have been explored. One stream of academic studies relies extensively on macroeconomic variables. However, some controversies concerning the predictive power of macroeconomic variables remain, suggesting the predicative ability of macroeconomic variables behaves inconsistently.

  Therefore, the lack of consistent out-of-sample evidence indicates the need for improved forecasting variables to better establish the empirical reliability of oil returns predictability. The aim of this paper is to propose a new leading indicator, namely, technical indicators which are useful to forecast oil prices instead. The predicative power of technical indicators has been widely confirmed in traditional financial market. However, relatively little empirical work has been undertaken on the predictability of oil prices by means of technical indicators.

  This paper contributes to the literature in four aspects. Firstly, our study complements existing studies of oil price prediction ability which ignore technical indicators by confirming that technical indicators manage to forecast oil prices. We explore both in-sample and out-of-sample predictability for oil prices over the 30-year period 1984-2013, as well as evidence across recessions and expansions. Except for OLS regressions, we replenish some alternative model specifications, the results of which are also significant, ensuring the robustness of technical indicators’ predictive capacity. Moreover, we perform rigorous analysis of the economic value of technical indicators, filling the gaps of existing studies that ignore the theoretical explanation behind the empirical evidence. Secondly, our analysis allows new insights into the genesis of oil market efficiency. Our paper doubts the existence of at least weak-form market efficiency in oil markets and highlights the need to constantly revisit the statements about the efficiency of the rapidly growing oil markets. Thirdly, this study helps to complement the existing literature by providing evidence for the financialization of oil market. We compare the exposure of macroeconomic fundamentals and financial traders affecting the oil price. If the predictive effects of technical indicators outperform the effects of macroeconomic factors, we therefore fail to find systematic evidence of the relationship between macroeconomic fundamentals and the level of oil prices statistically or economically. Furthermore, we find that the information founding in technical indicators appears useful for predicting oil prices is related in part to changes in investors’ sentiment, particularly during recessions. This result may also shed light on the positive evidence for the financialization of commodity. Finally, we show that technical indicators can fit flexible data frequency and sample period. The oil price forecast based on technical indicators can utilize relatively high-frequency (weekly or daily) data, while existing variables are only useful in detecting relationships in low-frequency data (monthly). Thus, technical indicators can help to make these complement. In addition, for the inconsistent forecasts of macro variables referred previously, technical indicators perform well significantly in different sample periods for out-of-sample forecasts.

摘要:

  This paper aims to investigate the predictability of technical indicators to directly forecast oil prices and compare their performances with macroeconomic variables. We find that technical indicators do exhibit statistically and economically significant in-sample and out-of-sample forecasting power under OLS regressions and forecast combinations, clearly exceeding that of well-known macroeconomic variables and state-of-the-art oil-macro forecasting variables. Moreover, the strength of the predictive evidence is substantial during recessions and expansions and can detect the typical decline in the oil returns near business-cycle peaks effectively. Furthermore, technical indicators reveal substantial economic value for investors, in terms of superior oil risk premium forecasts and sizable utility gains. The technical indicators' ability to predict the oil price stems in part from its ability to predict changes in sentiment, suggesting the financialization of oil markets.

  Keywords: Oil price predictability; Technical indicators; Macroeconomic variables; Out-of-sample forecasts; Business cycle;

 

魏旭:SOE preference and credit misallocation: A model and some evidence from China

  魏旭,中央财经大学金融学院副教授,北京大学金融学博士,主要研究方向为公司金融理论、行为金融理论和金融监管理论。他的研究成果曾在Journal of Banking & Finance,Auditing: A Journal of Practice & Theory,Economics Letters,《经济学(季刊)》等国际和国内刊物发表,并主持国家自然科学基金青年项目一项。

  论文题目:SOE preference and credit misallocation: A model and some evidence from China

  作者:Wei Xu, Chen Yongwei,Zhou Mohan,Zhou Yi

  刊物:Economics Letters

观点与贡献:

  信用资源错配是影响企业效率、乃至于地区建贫富差距很重要的因素之一。而典型的资源错配形式,是国有企业相比于私营企业更容易获得正式渠道的融资。资源错配究竟是如何产生的,以及政府在其中扮演了怎样的角色?本文构建了一个理论模型,刻画了政府的决策过程,并由其资源错配的程度。政府关心整个地区的GDP,另一方面,政府也关心效率相对更低的国有企业。从而面临一个权衡:从融资上多补贴国有企业会提高私营企业的融资成本,降低GDP;但太少的补贴会降低国企的效益,从而存在一个最优的补贴程度。在此基础上,模型还发现,国企比例越高的地区,补贴更多,即资源错配更为严重。这一结果得到了实证检验的支持。

摘要:

  We endogenize credit misallocation by introducing the government’s preference. The local government determines the credit subsidy to SOEs after a trade-off between SOEs’ profits and local aggregate outputs. Credit misallocation is more severe in regions where SOE share is high.

  Keywords: State-owned enterprises; Credit misallocation; Local government; China;

 

周德清:Public disclosure, information leakage, and strategic trading

作者简介:

  周德清,中央财经大学金融学院副教授。毕业于中科院数学与系统科学研究院,研究方向为市场微观结构,行为金融学,博弈论,随机过程的统计推断。以独立作者发表SSCI 5篇,其中,3篇 《Economics Letters》,1篇《Economic Modelling》1篇《International Review of Economics and Finance》. 主持编撰专著4本,2本已出版,2本正在出版。

  论文题目:Public disclosure, information leakage, and strategic trading

  作者:Zhou Deqing

  刊登期刊:Economic letters

观点与贡献:

  信息公开法案要求参与股票交易的内部人(CEO等高管或者持有超过5%公司股票份额的股东)公开他们的交易情况。那么这样做这是否可以杜绝内幕交易? 当内部人的私有信息在市场公告前存在泄露的可能性时,内部人的交易策略会发生什么变化?市场流动性,市场价格的有效性如何变化?

  周德清发表于国际经济学期刊《Economics Letters》的论文《信息公开,信息泄露和策略性交易》(Zhou, D. (2016). Public disclosure, information leakage, and strategic trading)回答了以上问题。首先,信息公开法案可抑制但无法杜绝内幕交易,内部人通过在交易中加入合适的噪声交易可以成功掩饰交易目的,从而获取与私有信息重要性成正比的期望收益。另一方面,信息泄露时有发生,比如主动泄露途径有闲聊,报告,文章,被动泄露途径有:被商业间谍侦查或者被上公司提前披露信息。这种可能性会促使内部人抓紧时间使用私有信息从而打乱内部人缓慢使用信息的如意算盘。此外,信息泄露的可能性会增加市场流动性,增强市场价格的有效性。哪怕信息泄露不会发生,只要这种可能性是存在的,这些效果就会存在。

  这篇文章的创新之处在于使用动态博弈模型揭示了信息泄露可能性的重要作用。在交易策略方面,给广大散户的启示是,内幕交易是可以带噪声的,所以不应盲目追逐大股东的交易方向,更不要天真地认为信息公开法案可以杜绝内幕交易。给上市公司的启示是,如果股票交易中有可能存在内幕交易,那么应尽快提前公布相关的信息,而不要按照计划时间公布信息。这样做的关键在于形成信息会提前公布的一种预期。这种预期可以起到打乱内部人交易策略从而提升市场流动性和有效性的正面效果。

摘要:

  Abstract Based on Huddart et al. (2001)’s model, this work shows that the insider injects less noise into the mixed strategy and exploits the information advantage faster when there’s a risk of information leakage.