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

资本市场--市场有效性
工作论文
2012-05-24 第5卷 第1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

金融市场不完全的理论分解与测度研究——基于封闭式基金折价的动态考察

李庆峰 华南师范大学经济与管理学院

分配机制改革能否提高IPO定价效率 ——基于一个自然实验的研究

李涵 西南财经大学经济管理研究院
张剑 西南财经大学经济学院

The quality of securities firms’ earnings forecasts and stock recommendations: Do affiliation, geography and reputation matter in China?

Jan Bartholdy Aarhus UniversityAarhus School of Business
Tiyi Feng Shanghai University of Finance and EconomicsSchool of Public Economics & Administration
Ye Yang Shanghai University of Finance and EconomicsInstitute of Finance and Economics Research
Ge Zheng Shanghai University of Finance and EconomicsSchool of Public Economics & Administration

The Determinants and Consequences of IPOs in a Regulated Economy: Evidence from China

Junxiong Fang Fudan UniversitySchool of Management
Haina Shi Fudan UniversitySchool of Management
Haoping Xu Fudan UniversitySchool of Management

The Timeliness and Consequences of Disseminating Public Information by Regulators

Michael Firth Lingnan UniversityDepartment of Finance and Insurance
Oliver M. Rui Chinese University of Hong KongSchool of Accountancy
Xi Wu Central University of Finance and EconomicsSchool of Accountancy


论文摘要

金融市场不完全的理论分解与测度研究——基于封闭式基金折价的动态考察

李庆峰 华南师范大学经济与管理学院

基于对金融市场不完全性的分解和基金产品创新链的梳理分析,以金融工程无套利定价 思想为基础,论文巧妙构建了一个涵盖市场交易成本、套利定价机制不完备程度和行为金融学因素 的封闭式基金折价机理模型,基于面板数据的计量分析表明上述三因素模型的解释力高达90%以上, 同时分阶段动态考察发现:(1)普通交易成本因素影响封闭式基金平均折价6.1%;(2)股指期货是 封闭式基金折价的重要影响因素,2006 年之前该因素影响基金平均折价25.6%,2007-2009 年随着 股指期货推出预期加强,该因素的影响下降到12.88%;(3)对市场套利定价机制不完备程度的测度 分别为0.492、0.336、0.858,对应三个阶段影响封闭式基金平均折价分别为8.26%、5.87%和7.91%, 主要和市场对金融衍生产品的预期变化有关;(4)时期固定效应结果表明2006 年4 季度、2007 年 4 季度、2008 年1 季度、2009 年4 季度、2010 年4 季度投资者情绪相对乐观从而降低了封闭式基 金的平均折价率。论文最后就封闭式基金治理及完善金融市场提出了若干政策建议。

分配机制改革能否提高IPO定价效率 ——基于一个自然实验的研究

李涵西南财经大学经济管理研究院
张剑西南财经大学经济学院

本文利用2009年至2011年首次公开发行并在主板、中小板块和创业板上市交易的公司相关数据,通过一个自然实验过程,利用双重差分模型考察了IPO超额申购分配制度变化对IPO发行抑价的影响,并评估了相应改革的政策效应。研究结果表明,取消超额申购平均配售制度的改革有助于提升中小板IPO发行定价效率,而对创业板没有产生显著影响。影响创业板IPO发行抑价的仍然是二级市场上的非理性因素。

The quality of securities firms’ earnings forecasts and stock recommendations: Do affiliation, geography and reputation matter in China?

Jan Bartholdy Aarhus UniversityAarhus School of Business
Tiyi Feng Shanghai University of Finance and EconomicsSchool of Public Economics & Administration
Ye Yang Shanghai University of Finance and EconomicsInstitute of Finance and Economics Research
Ge Zheng Shanghai University of Finance and EconomicsSchool of Public Economics & Administration

Using a unique database over local Chinese securities firm’s earnings forecasts and stock recommendations, it is shown that the average forecast error has decreased over time reflecting the maturing of the Chinese securities firms. Affiliated securities firms, defined as securities firms acting as investment banker/underwriter services, provide better earnings forecasts than un‐affiliated firms which is contrary to findings from other countries. Also, forecast errors produced by local securities firms and star analysts are smaller. Finally single authored reports have larger forecasts errors than reports with several authors. In general financial markets react to stock recommendations from securities firms, but markets du not react differently to stock recommendations from affiliated and un‐affiliated and local and non‐local firms despite their superior earnings forecasts. As for affiliated firms, local securities firms provide better forecasts but these are not recognized by the financial markets in their reactions to stock recommendations. On the other hand financial markets react stronger to recommendations from highly ranked securities firms compared to lower ranked firms even though there is no difference in their ability to forecast earnings. Finally financial markets react stronger to stock recommendations by star analysts.

The Determinants and Consequences of IPOs in a Regulated Economy: Evidence from China

Junxiong Fang Fudan UniversitySchool of Management
Haina Shi Fudan UniversitySchool of Management
Haoping Xu Fudan UniversitySchool of Management

Different from developed markets, Chinese government imposes strict control over the IPO market. Using a sample of 156 monthly returns over the period of 1996 to 2008, we find a positive relationship between the monthly issuing size and prior market return, suggesting that government decides the timing and size of issuance based on prior market condition. Different from previous findings, we find no evidence of decline in subsequent market return after IPO. However, IPO issuance has a significantly negative impact on the return momentum effect, while the degree of impact is indifferent to issuing size. We conjecture that the overall mild impact on subsequent market results from the government control over the IPO market.

The Timeliness and Consequences of Disseminating Public Information by Regulators

Michael Firth Lingnan UniversityDepartment of Finance and Insurance
Oliver M. Rui Chinese University of Hong KongSchool of Accountancy
Xi Wu Central University of Finance and EconomicsSchool of Accountancy

This paper documents different timeliness in disseminating sanction and enforcement information (SEI) by two types of regulatory agencies in China and the different consequences that flow from them. The China Securities Regulatory Commission (CSRC) does not make timely public disclosures of SEI and, instead, leave it up to the firms to make a public announcement under their general obligation to disclose price-sensitive information. The firms therefore have considerable discretion in deciding whether and when to disclose SEI. In contrast, the stock exchanges in Shenzhen and Shanghai make SEI public promptly through the media and the exchanges’ official websites. Using Chinese SEI data during the period 1999 to 2005, we find that the CSRC approach is associated with significantly lagged corporate disclosure (compared with the timely stock exchange approach) and a significantly negative (but delayed) stock price reaction. We also show that the sanctioned firm may take advantage of the less timely CSRC approach to delay its disclosure of SEI for opportunistic reasons such as completing material transactions. We conclude that the CSRC should make immediate public announcements of SEI as these contain price-sensitive information. Furthermore, the immediate dissemination of SEI will bring the CSRC into line with the disclosure practices of China’s stock exchanges and international market regulators.


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