中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2010-06-17 第3卷 第4期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

A brief introduction of term structure of interest rates

Lei Zhang Xi'an Jiaotong-Liverpool University Mathematical Sciences Department
David Liu Xi'an Jiaotong-Liverpool University Mathematical Sciences Department

Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China

Kai Li University of British ColumbiaSauder School of Business
Tan Wang University of British ColumbiaSauder School of Business
Yan-Leung Cheung Hong Kong Baptist UniversityDepartment of Finance and Decision Sciences
Ping Jiang University of International Business and EconomicsSchool of International Trade and Economics

A Study on the Primary Market Pricing Efficiency after the Reform of China's IPO

王栋 中国矿业大学管理学院
王新宇 中国矿业大学管理学院

Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns

Jie Cao Chinese University of Hong KongDepartment of Finance


论文摘要

A brief introduction of term structure of interest rates

Lei Zhang Xi'an Jiaotong-Liverpool University Mathematical Sciences Department
David Liu Xi'an Jiaotong-Liverpool University Mathematical Sciences Department

The purpose of this thesis is to provide an exposition of the theories underpinning the term structure of interest rates in relation to empirical literatures; also it aims to address the implications for the shape of the yield curve to with regard to its predictive ability of economy’s future direction.

Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China

Kai Li University of British ColumbiaSauder School of Business
Tan Wang University of British ColumbiaSauder School of Business
Yan-Leung Cheung Hong Kong Baptist UniversityDepartment of Finance and Decision Sciences
Ping Jiang University of International Business and EconomicsSchool of International Trade and Economics

A fundamental question in finance is whether and how removing market frictions is associated with efficiency gains. We study this question using share issue privatization in China that took place through the split share structure reform. Prior to the reform, domestic A-shares were divided into tradable and non-tradable shares with identical cash flow and voting rights. Under the reform, holders of the non-tradable shares negotiated a compensation plan with holders of the tradable shares in order to make their shares tradable. We hypothesize that efficiency gains in terms of better risk sharing play an important role in the determination of compensation. We show that the size of compensation is positively associated with both the gain in risk sharing and the price impact of more shares coming to the market after the reform, and is negatively associated with the bargaining power of holders of non-tradable shares and firm performance. Our study highlights the role of risk sharing in China’s share issue privatization.

A Study on the Primary Market Pricing Efficiency after the Reform of China's IPO

王栋中国矿业大学管理学院
王新宇 中国矿业大学管理学院

The paper estimates the primary market pricing efficiency of China’s IPO after the IPO reform in June 2009, based on the stochastic frontier analysis. The results show that IPO pricing is not fully effective, and discover the existence of “deliberate underpricing”. The average pricing efficiency of China's IPO has reached 0.85, which is close to the level of the mature capital market; To certain extent, we can say that the reform of China's IPO has achieved the initial success. We also found that earnings per share and price earnings ratio are the greatest influencing factors. And there is no underwriter reputation in China. For different markets, we disclosed that, IPO pricing efficiency values in Growth Enterprise Market and Small and Medium Enterprise Board are substantially higher than the Main Board market. The paper analyzes the causes, and then gives some suggestions for the reform of China's IPO.

Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns

Jie Cao Chinese University of Hong KongDepartment of Finance

This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size effect, value premium, return momentum and short-term reversal to measure relative mispricing. I ?find that stock returns monotonically increase in idiosyncratic risk for relatively undervalued stocks and monotonically decrease in idiosyncratic risk for relatively overvalued stocks. This phenomenon is robust to various subsamples and industries, and cannot be explained by risk factors or ?rm characteristics. Further, transaction costs, short-sale constraints and information uncertainty cannot account for the role of idiosyncratic risk. Overall, these ?findings are consistent with the limits of arbitrage arguments and demonstrate the importance of idiosyncratic risk as an arbitrage cost.


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