资产定价与劳动成本占比

根据经典生产函数可知与劳动要素相关的变化应反映到企业价值层面,那么劳动要素对股票市场具有怎样的影响呢?本文以沪深A股为研究对象,基于劳动成本占比探索劳动要素对股票市场定价的影响。通过模型推理和实证分析相结合的方法证明劳动成本占比与企业风险正相关,劳动成本占比具有放大企业风险的杠杆作用。基于风险与收益相补偿的原理,通过回归分析和投资组合分析发现劳动成本占比具有正的股票收益预测能力;采用买多-卖空组合构建劳动成本占比风险因子,通过Fama-MacBeth回归证明劳动成本占比是影响股票收益的风险因子,并且相对Fama-French的五因子不是冗余因子;在三因子模型和五因子模型基础上包含劳动成本占比风险因子的定价模型对股票横截面收益的解释力更好,模型的定价效率更高。本文不仅丰富了股票收益影响因子和劳动成本经济后果领域的文献,而且对投资者投资决策、企业制定薪酬制度、政府颁布劳动保护相关政策和收入分配改革方面具有参考价值。     

The Economic Value of a Sustainable Supply Chain

The economic rationale to operate a global supply chain in a sustainable manner is developed. Arguments are made based on marketing, finance, and production theories that by engaging in socially responsible behavior the firm will increase sales, decrease costs, reduce financial risk, and increase profits, which will ultimately increase returns to the firm's shareholders. A model is developed of the mechanism by which modern production methods such as lean production and quality management result in sustainable corporate behavior that, in the long run, translates into higher stock valuations. The production effects cause marketing and financial risk effects that are complementary, and all three channels of influence synergistically result in higher stock values in the model. These effects also provide important benefits to other stakeholders of the firms including employees, customers, the environment, and the community. An important ethical issue in global supply chains is working conditions in foreign plants often leading to allegations of sweatshop labor conditions. This issue is used to illustrate how lean production practices can affectconsumers, employees, and financial risk. Conclusions from the sweatshop labor issue are shown to apply to other sustainability issues as well.     

Does vertical diversification create superior value? Evidence from the construction industry

The discussion of diversification discounts is one of the most controversial in corporate finance and strategic management. We are eager to reexamine this issue from the standpoint of vertical versus lateral diversification, and horizontal growth through construction industry M&A. We build on previous evidence of positive acquirer abnormal returns for vertical M&A, and we add new insight into stock return risk. Considering the high idiosyncratic risk levels of builders, we expect to find considerable informational content in systematic risk (beta) behavior, which has been neglected to date. In fact, we find that vertical M&A experience a negative asset beta shift, lateral M&A experience an increase in systematic risk, and only horizontal M&A exhibit no risk changes. Hence, our evidence on risk and previous evidence on return-induced wealth creation through vertical M&A shows that related industrial diversification is superior to unrelated—at least in the construction industry.     

基于半鞅过程的中国股市随机波动、跳跃和微观结构噪声统计特征研究

本文基于半鞅过程和非参数统计推断方法,利用已实现幂变差的渐进统计特性,构造检验统计量,在统一的分析框架下,对金融资产价格中随机波动、跳跃和微观结构噪声等问题进行全面系统的研究。并根据上海证券交易所不同行业的股票,上证50 股票指数及其成分股的高频数据进行实证研究。结果表明,我国A 股市场中,噪音交易显著;约43%的风险来源于资产收益过程的随机波动风险,可用股票期权交易对冲;不同来源风险的重要性程度依次为:随机波动的风险、系统性跳跃风险以及异质性跳跃风险;流动性越好的股票越显示出跳跃、尤其是无限小跳的证据。     

长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

本文研究了资产收益可预测性影响长期投资者最优资产组合选择的理论问题,并结合中国证券市场历史数据做了相应的实证研究。研究结论表明:在长期投资期限下中国股票市场收益具有可预测性,长期投资者资产组合可以比短期投资者配置更高权重的风险资产。由此本文提出,可相应提高我国社保基金、企业年金和保险公司等长期投资者战略资产配置中股票类风险资产的投资比例上限。     

股价暴涨的风险:基于中国股市的实证

股价暴涨直观上带来高收益，激发市场正面情绪，那么为什么暴涨被视为风险?本文利用2006年至2016年中国A股上市公司数据，通过计量建模对暴涨股票的特征和日后的市场表现进行刻画。实证发现：（1）股价暴涨频度高的股票，呈现低资产收益率、高市值账面比、多散户持股、少沪深300成份股等特点；（2）易发生暴涨的股票其长期超额收益率更低，未来有更大的暴跌风险和更高的收益率波动率；（3）对于运营基本面较差、市场过于乐观、信息披露质量较低的股票，暴涨后的暴跌风险更加明显。研究结论在不同代理变量选择、多种计量模型设定下均稳健成立。本文揭示了暴涨不仅仅是极端价格波动，而且更容易发生在高风险股票中，未来蕴含着更大的潜在损失。暴涨是实实在在的风险。     

商品金融化背景下商品期货的多样化收益研究

日益丰富的商品期货交易种类为传统投资组合的风险-收益结构提供了可行的改善路径,但同时商品期货的风险对冲功能也受到了商品金融化趋势的现实冲击。本文基于不同分布假设下的均值-方差张成检验方法探究引入商品期货改善传统投资组合的路径和程度,并在此基础上利用投资组合的样本期外滚动数据对商品期货的多样化收益进行多维绩效检验。研究发现：1.无论是否考虑资本市场现实中的交易制度约束,样本期内商品期货的加入都能够显著地改善传统投资组合选择的风险-收益结构;2.商品期货对投资组合有效边界的改善主要体现为风险分散效应,商品期货的加入不能为传统资产配置策略带来超额收益;3.引入商品期货能够有效地降低投资组合样本期外的标准差和尾部风险,高风险厌恶的投资者配置商品期货能够取得更高的等价性收益。本文研究结果表明,尽管大宗商品金融化趋势不可逆转,但将商品期货引入传统投资组合仍是推动中国资产配置策略优化升级的有效途径。     

基于流动性风险的多因素定价模型及其实证研究

本文通过构造基于流动性风险的多因素定价模型,研究了流动性风险对证券均衡价格的影响.研究表明,在假定流动性是证券收益补偿变量的前提下,证券的期望收益除了与证券的协方差风险有关外,还与证券的流动性风险和市场证券组合的流动性风险有关;流动性对期望收益具有一定的预测性,由于证券流动性是持续性的,当前流动性较差的证券在未来的流动性也较差,因而其未来的流动性风险补偿应该较高,即预期收益较高.     

基于DEA的封闭式基金业绩评价

数据包络分析(Data Envelopment Analysis,DEA)是一种广泛运用于相对绩效评估的系统分析方法,本文将一多输入单输出DEA模型引入证券投资基金业绩评价,其中输出为基金收益,而输入则为管理费用、交易成本和标准差。随后,利用该模型对2000年以前上市的20只基金在2000年、2001年及2000～2001年间的业绩进行了评价,主要结论有:在所有评价期,基金安顺、普丰、兴和和金鑫的业绩相对有效,基金裕阳和裕隆相对较无效,它们的相对业绩均表现短期持续性;单位交易成本和基金收益率而非单位管理费用和标准差是影响基金相对业绩(非绝对业绩)的主要因素,尤其是基金收益率。     

Considering the shareholder perspective: value-based management systems and stock market performance

We empirically study the use of value-based management systems in listed German firms and examine implications for firms’ stock market performance. Using a novel, hand-collected data set covering 1,083 firm years from 2002 to 2008, we find that value-based management systems become increasingly common. Specifically, in 2008 42% of our sample firms have implemented such a system. In the empirical analysis, we find that firms implementing value-based management systems earn both statistically significant and economically substantial abnormal stock market returns measured within a 2-year adoption phase. These excess returns are not jeopardized by poor post-adoption returns. In the analysis, we carefully control for risk and account for endogeneity concerns. Overall, our findings support the view that shareholders consider the adoption of a value-based management system as a credible signal that management will focus on shareholder interests and that such systems actually increase shareholder value.     

基于EVT-BM-FIGARCH的动态VaR风险测度

对金融资产回报,用FIGARCH模型捕捉波动的异方差性和长期记忆性的同时,将回报序列转化为标准残差序列、通过用EVT-BM方法拟合标准残差的尾部分布来处理回报序列的厚尾性,建立了金融风险度量模型--基于EVT-BM-FIGARCH的动态VaR模型。并用该模型对上证综合指数进行实证分析,结果表明模型能够更精确、合理地度量上证综合指数回报的VaR风险。     

极端风险下中国股市的反应特征研究

投资者是否理性在金融理论中至关重要。本文利用日度交易价格数据,对中国股票市场在极端风险下的反应特征进行了统计实证研究。基于2002-2013年的数据发现,中国股票市场在极端风险下会表现出一些有趣且显著的反应特征。具体表现为:1.在股市出现极端下跌情形下,市场会由于过度反应而在接下来的一个交易日内表现出显著的反转特征;而在股市出现极端上涨情形下,市场在接下来的交易日内并没有明显的反应模式;2.与熊市相比,在出现极端下跌风险下,市场在牛市中更容易出现过度反应而表现出反转特征。实证研究结果还发现,基于极端风险构建的投资交易策略要显著的优于有效市场假说的买入并持有策略。本文的实证研究结果不仅表明投资者的非理性特征,而且还表明这种非理性特征已经影响到资产的定价。     

CLASS SIZE AND CLASS HETEROGENEITY

We study how class size and class composition affect the academic and labor market performance of college students, two crucial policy questions given the secular increase in college enrollment. Our identification strategy relies on the random assignment of students to teaching classes. We find that a one standard deviation increase in class‐size results in a 0.1 standard deviation deterioration of the average grade. Further, the effect is heterogeneous as it is stronger for males and lower income students. Also, the effects of class composition in terms of gender and ability appear to be inverse U‐shaped. Finally, a reduction of 20 students (one standard deviation) in one’s class size has a positive effect on monthly wages of about €80 ($115) or 6% over the average.     

尾风险度量与定价能力分析

经典资本资产定价模型假设资产收益服从正态分布或者投资者效用函数是二次型,然而实际中资产收益的分布呈现尖峰厚尾特征,因而无法在均值-方差框架下分析风险与收益的关系。与资产收益正常变化相比,极端变化带来的尾风险会对市场风险和投资者的决策行为产生更为显著的影响,因此研究尾风险的度量方法和定价能力具有一定理论和实践意义。 依据极值理论,基于Fama-French的3因子模型无法解释的收益残差构建尾风险度量模型。选取中国股票市场沪深A股作为研究对象,以历史滑动窗估计尾风险,投资组合分析和横截面回归分析的结果都表明尾风险可以稳定地负向预测股票收益,在控制规模、交易量、非流动性、短期反转、中期动量、特质波动率、特质偏度等股票特征后,尾风险的负向预测能力依然显著。引入融资融券交易,发现融资融券标的股票的尾风险显著低于非融资融券标的股票的尾风险,而且可以消除尾风险的负向溢价,因而中国资本市场尚未完全开放融资融券交易机制可能是产生尾风险负向溢价的主要原因。 通过买多-卖空组合构建尾风险定价因子,发现尾风险因子比投资因子和盈利因子有更高的风险价格,而且并不是相对于Fama-French的5因子的冗余因子。与Fama-French的3因子模型和5因子模型相比,Fama-French的3因子或5因子基础上包含尾风险因子的定价模型对股票横截面收益有更好的解释能力,因而有更高的定价效率。 2008年全球金融危机爆发后,对尾风险定价能力的忽略使已有资产定价模型受到广泛批评。因此,探究尾风险的度量方法以及分析尾风险的定价能力,不仅有助于完善和拓展资产定价理论,而且有助于降低投资者对股票价格的认知偏差,提升市场资源配置效率和维护市场稳定性。     

国际投资汇率风险的综合套保策略研究

国际组合投资涉及多币种汇率风险,分别使用双边货币期货进行套保要承担较高套保成本。参考美元指数期货的实践,本文提出基于人民币指数期货的综合套保策略。实证结果表明,无论对于单个货币资产还是分散化投资的国际股指、债指组合,引入人民币指数期货能够显著降低收益率波动,提高抵御汇率波动的能力,同时拓展收益空间,是有效的汇率风险综合套保工具;人民币指数期货套保效率显著优于货币期货篮子,在发达国家股指市场表现更加突出。采用基于指数加权移动平均模型（EWMA）的动态套保策略,使得人民币指数期货收益对股指或债指市场波动敏感度降低,在市场极端状况时仍能保持相对中性。     

Dividend yield and stability versus performance on the German stock market: a descriptive study

It is often examined in the literature whether the dividend yields of stocks correlate with their total returns. This paper analyzes the effect of dividend yield on return as well as on risk and on performance of stocks and stock portfolios on the German market. Not only the influence of dividend yield but also of dividend stability is subject to our analysis. Furthermore, tax aspects are considered. However, this study should rather be seen as an empirical analysis of the influence of dividends as a capital market anomaly than a theoretical based validation approach. Our data set comprises daily adjusted stock prices and dividend payment data from the German capital market over the period 3 January 2000–31 July 2008. This period was characterized by a high volatility of the stock market. In addition to the existing literature examining mainly the long-term influence of dividend yields, we also want to find out whether stocks with high and stable dividend payments are able to reduce the risk of a stock investment in short time periods characterized by extreme conditions. We use blue chips (DAX), stocks of medium-sized companies (MDAX), and stocks of technology firms (TecDAX). Our findings suggest that stock performance generally improves with an increasing dividend yield, where this result is actually based on risk reduction instead of a higher return. However, this risk reduction diminishes with an increasing degree of diversification.     

基于最小一乘准则的上证指数突变点研究

很多研究表明,上证指数序列既有结构突变的特征,也有厚尾的特征。但大部分现有的研究都没有考虑其厚尾特征对变点估计的影响。本文基于最小一乘准则提出了一个估计厚尾数据中变点的方法。模拟研究表明,当数据具有厚尾特征时,基于最小一乘准则的变点估计比基于最小二乘准则的估计有效。对上证指数的实证结果表明,基于最小一乘准则估计出的变点能更好地描述中国股票市场的结构突变特征。     

The Performance Implications of Ownership-driven Governance Reform

This paper explores the performance impact of recent changes in foreign shareholdings and boardroom reforms in Japan. Empirical research on the impact of reform on the Japanese corporate governance system could provide useful lessons for their European counterparts who are themselves facing similar pressures to reform. We found that although participation of outside directors in strategic decision-making was associated with positive stock returns, the increase in the ratio of outside directors, the separation of the board members and executive officers, and the reduction of board size were not related to firm performance.     

基于前景理论的跨市场状态转移多阶段资产配置研究

在行为金融前景理论框架下研究跨市场间的状态转移资产配置问题,构建隐Markov——混合正态分布模型描述股票、债券和商品混合市场间的状态特征,用Baum-Welch算法估计模型参数,并利用状态转移思想进行情景生成建立多阶段随机优化模型。进一步,以我国股票、债券和商品混合市场的实际数据为背景,利用滚动窗口方法实证分析基于状态转移的多阶段随机模型的表现,并与忽略状态转移特征的基准模型、等权重组合、沪深300指数的结果进行对比。结果表明,与其他组合相比,基于状态转移的投资组合有助于规避风险,且混合市场间的状态转移信息能够对前景理论投资者的最优投资决策产生影响。     

Value creation through spin-offs: A review of the empirical evidence

This paper reviews the literature on the factors that influence the wealth effects associated with the announcements of corporate spin-offs (also known as demergers). Meta-analysis is used to summarize the findings of 26 event studies on spin-off announcements. A significantly positive average abnormal return of 3.02% is found during the event window. Returns are higher for larger spin-offs, for divestments that are tax or regulatory friendly and for spin-offs that lead to an improvement of industrial focus. It is also found that spin-offs that are later completed are associated with lower abnormal returns than non-completed spin-offs. The second part of the paper overviews studies on the long-run stock price performance of spin-offs. Even though early studies find a long-run superior performance, this effect is no longer found in later studies that use more refined statistical tests.