双重异质信念下中国上市公司融资决策研究

投资者异质信念与投资者-管理者异质信念是我国资本市场的重要特征。本文在双重异质信念假设下,基于我国上市公司融资环境,建立融资决策模型,分析双重异质信念对我国上市公司股权债权融资选择的影响,得到结论:(1)卖空限制下,投资者异质信念越大,公司越倾向于股权融资;(2)投资者-管理者异质信念越小,公司越倾向于股权融资。以2005-2009年沪深A股再融资公司为样本,采用单变量分析和Probit多元回归方法,对模型结论进行实证检验,实证结果支持模型结论,并从双重异质信念的视角对我国资本市场融资异象进行解释。     

投资者-管理者异质信念、公司融资决策及股价效应

通过考察投资者-管理者异质信念与融资成本及管理者自由度(autonomy)的关系,分析投资者-管理者异质信念对公司股权债权融资选择的影响,以及这种影响下不同融资方式的股价效应;使用Probit回归方法和2005-2010年沪深A股再融资数据,对分析结论进行实证检验。结果表明:投资者-管理者异质信念较小时,公司倾向于发行股权,其股价效应显著为负,且股价效应与投资者-管理者异质信念正相关;投资者-管理者异质信念较大时,公司倾向于发行债权,其股价效应不显著。     

异质信念、卖空限制对证券发行决策的影响

放宽卖空禁止假设,构建模型探讨投资者过度自信引起的异质信念和卖空限制对企业证券发行决策的影响。研究发现:(1)项目收益公共信号利多时,投资者信念异质性与企业股权发行意愿正相关;公共信号弱利空时,两者负相关。(2)仅当公共信号强利多时,卖空限制强度与股权发行意愿正相关;否则两者无关。研究结论表明异质信念、卖空限制与企业证券发行关系受公共信号影响。     

投资者信念异质与证券价格互动关系研究

投资者信念异质更能反映现实证券市场中投资者的真实特征,反映投资者的非完全理性.非完全理性的投资者所具有的异质的人格特征、风险偏好,市场信息认知、态度和情绪等,将通过行为表现出来,反馈于市场并产生互动效应,对证券价格构成影响.从异质信念角度出发,分析投资者异质信念的形成机制及异质信念对证券价格的影响,并以中国证券市场的相关数据进行实证检验.研究发现,投资者信念异质与大盘价格指数之间存在长期均衡互动影响,且显著互为Granger因果关系.中国证券市场投资者非理性情绪和信念所表现出的复杂和混沌特征也在脉冲响应分析中得到间接的证明.     

异质信念与公司融资工具选择——兼析中国市场股权融资偏好

本文选用沪深两市2006.1-2009.9发布融资公告的上市公司为研究对象,对投资者异质信念与公司融资工具选择的关系进行探讨。研究结果发现,当公司融资工具为股权或直接债券时,投资者异质信念越大,公司越倾向于股权融资。同时还发现,中国市场股权和直接债券融资公告发布前的投资者异质信念差异性显著高于美国市场,这可以由我国市场的投资者结构和卖空机制来解释。     

异质信念、卖空限制与风险资产价格

在考察投资者信念形成影响因素的基础上,提出了股票市场中投资者异质信念的假设,并据此推导出了一个基于异质信念的风险资产价格均衡模型.这一模型从理论上证明了对股票价格产生影响的不仅包括那些影响公司经营前景的因素,还包括投资者意见分歧的程度.根据这一模型可以对金融市场上许多异象提出一致的解释性假说.     

有限理性、异质信念与商品期货价格波动

本文构建了一个基于交易者异质信念的商品期货市场仿真模型,在控制外部信息对市场影响的前提下,研究交易者异质信念的演化对市场价格产生的影响.采用Brenner的随机信念学习模型能够刻画个体交易者的学习、模仿行为,改以往所采用的遗传算法等借鉴生物进化论思想的模型无法将宏观价格动态与个体行为相联系的不足.检验结果表明,仿真产生的期货价格时间序列具有高峰厚尾分布、波动聚集、长记忆性,与真实期货价格的统计特征一致的典型特征,验证了模型的有效性.结果表明,外部信息不是形成收益序列典型特征的原因,个体交易者通过学习发生的信念转换和交易者之间的相互影响是造成价格收益序列典型特征的根本原因.     

投资者异质信念、预期演化与股票市场流动性

投资者异质信念不但是股票市场的现实,也会引起股票市场流动性的变化。本文建立从两期到多期的交易模型,利用马尔科夫决策过程模拟投资者的预期演化,旨在分析由于信息不对称和认知偏差导致的多种异质信念共存的情况下,投资者异质信念与股票市场流动性的内在关系。研究发现,投资者异质信念的波动程度、投资者风险厌恶程度和信息不对称程度均与股票市场流动性呈现负相关关系;而投资者规模与股票市场流动性正相关。利用MATLAB软件数值模拟多期交易过程,验证了在投资者预期演化的情况下,上述规律仍然成立。研究结论在一定程度上拓展了行为金融和市场微观结构的研究范畴,也对投资者优化决策行为及监管部门加强流动性管理有一定的参考价值。     

外部风险、异质信念与特质波动率风险溢价

本文将影响资产价格的不确定性划分为基本面不确定性、市场层面以及公司层面外部因素不确定性,(后二者对基本面没有影响,是非基本面因素),认为投资者对基本面和外部因素分别形成异质信念.在此基础上用连续时间的鞅分析方法,在纯交换市场均衡模型的框架下,建立了基于投资者异质信念的消费资本资产定价模型.该模型从理论上证明了除来自总消...     

投资者非理性与中国股票异象——基于异质信念的视角

投资者非理性是影响资产价格形成的一个重要因素,为检验投资者非理性特征对股票异象的影响,本研究利用1997年—2020年的股票交易数据,基于异质信念指标的构建思路构建了一个非理性信念指标,并实证探究了该指标对股票异象的影响.结果发现,非理性信念对未来收益具有负向预测能力;为了检验该指标对异象收益的解释能力,本文构建了一个包含市场因子(MKT)、规模因子(SMB)和信念因子(FMG)的信念因子模型,并复制了市场摩擦类、动量反转类、价值成长类、投资类、盈利类和无形资产类等102个股票异象,使用CAPM模型、FF-5模型、CH-3模型和信念因子模型对比发现,无论是调整的alpha值显著性还是GRS检验结果,信念因子模型都具有相对优势,说明非理性信念可能是导致股票异象形成的主要因子.     

融资约束下或有可转债对企业投资的影响

基于不确定性投融资理论,探析或有可转债对融资约束企业的投资规模、投资时机及资本结构的影响和作用机制,进而从缓解融资摩擦与压力的视角为企业引进或有可转债融资提供新的理论解释.结果表明:或有可转债的转换率对最优投资规模没有影响;相对于普通债券,或有可转债显著降低了企业融资约束压力,减少了非效率投融资决策导致的企业价值损失;当融资约束企业的收益增长率、转换率与转换杠杆较低,而所得税率较高时,或有可转债融资优势更加明显.     

Estimating return on leadership development investment

When making capital investment decisions organizational leaders are trained to consider the financial return on investment. Yet, the same expectation typically does not exist for investments in leadership training. We suggest that decisions regarding leadership training and development ought to use a similar approach as the process leads to organizations incurring cost for an anticipated benefit, like any other investment. In the current paper, we describe how to estimate the return on leadership development investment (RODI) and the implications for measuring organizational effectiveness from such analyses. Using different guiding assumptions, scenarios, length of the intervention, and level of management participating in the leader development program, the expected return on investment from leadership development interventions ranged from a low negative RODI to over 200%.     

异质信念、卖空限制与股票收益——基于中国证券市场的分析

本文通过构建换手率分离模型计算未预期交易量,并以此作为异质信念的度量指标,探讨其对股票收益的解释能力.依据异质信念程度高低分组发现,异质信念越大的股票组合当期收益越高、未来一期收益越低,这一差异对小规模公司股票最为明显;将异质信念引入CAPM和Fama-French三因子模型,得到异质信念对股票当期收益的影响显著为正、对未来一期收益的影响显著为负;在进一步考虑了流动性、动量效应等因素后,结论依然成立;但针对2010年后允许卖空的股票,异质信念对股票未来一期收益的影响不再显著.本文基于中国证券市场的制度环境,一方面验证了Miller理论的有效性,同时也发现引入卖空机制能在一定程度上减弱异质信念导致的资产定价偏差.     

The impact of managerial political ties on corporate governance and debt financing: Evidence from Ghana

In this study, we draw upon insights from agency theory to examine the impact of managerial political ties on cost of debt and also to explore whether corporate governance mediates this impact. We hypothesize that political ties reduce financial reporting quality, disclosure of non-financial information and board independence, and are therefore associated with higher interest rates. We also hypothesize that the negative effect of political ties on the cost of debt will be stronger if firms borrow from privately-owned banks versus government-owned banks. Using data from Ghana, we find support for our direct and moderation hypotheses; political ties are associated with high interest rates and poor corporate governance. However, we do not find evidence of mediation. Altogether, the findings reveal the dark side of political connections and highlight the cost of political embeddedness in emerging credit markets.     

The use of discrete computer simulation modeling to estimate return on leadership development investment

Organizational leaders seek monetary returns on their investments (ROI). Thus, making decisions to invest in human capital, such as in leadership development interventions, are often difficult due to the lack of research demonstrating monetary returns on leadership development investment (RODI). This study introduces an innovative approach to estimating leadership development investments and expands on previous research conducted by Avolio, Avey, and Quisenberry (2010), which was the first attempt to estimate leadership development RODI using utility analysis. Further, it is a unique study in that it uses computer simulation modeling to generate random distributions of each utility analysis variable to estimate RODI. Computer simulation modeling enables organizations to better estimate RODI for both current and future leadership development programs. Comparisons of RODI methods are conducted. Results demonstrate that potential gains from effective leadership development are greater than previously estimated but potential losses from poorly executed leadership development are also larger than previously estimated.     

Dual-class shares,external financing needs,and firm performance

Whereas the agency theory predicts that dual-class shares decrease firm performance, the stewardship theory predicts that dual-class shares increase firm performance. The cumulative findings on the performance consequences of dual-class shares have been weak and/or inconclusive. Because endogeneity is a constant challenge in empirical corporate governance studies, this study uses a unique law change in Switzerland as a source of exogenous variation in the fraction of firms with dual-class shares. Controlling for firm fixed effects and time-varying confounders, we find that dual-class shares neither harm nor benefit firm performance on average. However, dual-class shares increase firm performance if the firm requires external finance and dual-class shares decrease firm performance if the firm does not require external finance. External financing needs mitigate the agency costs between controlling and minority shareholders and create a context in which dual-class shares facilitate firm-specific investments instead of private perquisites. The study’s results have both managerial and policy implications.     

The impact of corporate social performance on the cost of debt and access to debt financing for listed European non-financial firms

This study addresses the controversial issue of how non-financial performance affects the cost of debt capital and access to it. The relationship between corporate social performance and two measures of debt cost (accounting-based and market-based) and the measure of debt access are analysed by means of a multi-theoretical framework combining economics with social theories. By observing a sample of listed European non-financial firms over an 8-year period from 2005 to 2012, we find a negative relationship between corporate social performance and interest rate. Consistent with this result, we find a positive relationship between corporate social performance and debt rating. Thus, corporate social performance has a positive role in reducing the cost of debt capital. Moreover, firms with better corporate social performance are more attractive to lenders in terms of leverage allowance. Overall, our findings provide deeper insight into the reasons why companies should improve their corporate social performance.