学术论文

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  • HU YI,汪昌云,肖刚,Zeng Jianyu——PACIFIC-BASIN FINANCE JOURNAL:The agency cost of political connections: Evidence from China's File 18

    We examine the influence of political connections on the agency conflicts between controlling shareholders and minority shareholders using the exogenous setting of File 18, which was enforced by China's central government. File 18 restricts officials from taking up positions in corporations. We find that tunneling by the controlling shareholders of politically connected firms has declined significantly since the enforcement of File 18. The decline in tunneling is more pronounced for firms operating in more corrupt regions, and is more significant for firms that are less creditworthy or that have greater financing needs. Our findings are consistent with the fact that political connections motivate tunneling.

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    We examine the influence of political connections on the agency conflicts between controlling shareholders and minority shareholders using the exogenous setting of File 18, ...[点击详情]

    2020-09-29
  • 石晓军,梁蕴兮——《中国管理科学》:中国中小企业集合债券研究——“聚沙成塔”型融资创新与牵头人“双能力”机制

    中小企业集合债券是中国实践中具有特色的“聚沙成塔”型融资创新。对这一创新,文献还没有系统的理论总结与实证分析。本文首次提出集合债的核心机制,即牵头人“双能力”理论——资源动员能力和监督能力。利用2006—2017年期间发行的集合债样本及手工收集的集合债发行主体样本进行实证研究,结果表明(1)集合债主体评级平均为BBB,而匹配样本中单独发债企业评级平均为A。这检验了牵头人的资源动员能力理论,集合债券能使单独发债困难的中小企业也能获得直接融资,打破了债券市场融资的天花板,实现了“从0到1”的跨越。(2)双重差分估计结果表明,中小企业集合债券的发行能促进发行企业的经营效率的提高。这检验了牵头人的监督能力理论。进一步发现,地方中小企业专门管理部门作为牵头人比地方政府作为牵头人更能促进经营效率提高。建议在更大范围内推行地方专门管理部门作为牵头人的中小企业集合债券的创新融资模式。

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    中小企业集合债券是中国实践中具有特色的“聚沙成塔”型融资创新。对这一创新,文献还没有系统的理论总结与实证分析。本文首次提出集合债的核心机制,即牵头人“双能力”理论——资源动...[点击详情]

    2020-09-22
  • 何青,Liu Junyi,王偲竹,余吉双——《经济与政治研究》:The impact of COVID-19 on stock markets

    This paper attempts to explore the direct effects and spill-overs of COVID-19 on stock markets. Using conventional t-tests and non-parametric Mann–Whitney tests, we empirically analyse daily return data from stock markets in the People’s Republic of China, Italy, South Korea, France, Spain, Germany, Japan and the United States of America. Our empirical results show that (i) COVID-19 has a negative but short-term impact on stock markets of affected countries and that (ii) the impact of COVID-19 on stock markets has bidirectional spill-over effects between Asian countries and European and American countries. However, there is no evidence that COVID-19 negatively affects these countries’stock markets more than it does the global average. The findings contribute to the research on economic impact of the pandemic by providing empirical evidence that COVID-19 has spill-over effects on stock markets of other countries. The results also provide a basis for assessing trends in international stock markets when the situation is alleviated worldwide.

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    This paper attempts to explore the direct effects and spill-overs of COVID-19 on stock markets. Using conventional t-tests and non-parametric Mann–Whitney tests, we empiric...[点击详情]

    2020-09-04
  • 张成思,郑宁——《金融研究》:中国实体企业金融化:货币扩张、资本逐利还是风险规避?

    本文构建了一个刻画实体企业在流动性金融资产和固定资产之间进行权衡的投资组合选择模型,并创新性地将货币扩张的宏观因素引入微观模型,推演中国实业部门金融化的驱动逻辑。理论模型显示:货币扩张、资本逐利和风险规避本质上是宏观和微观两个不同层面的要素变量,但都卷入实业部门金融化的驱动机制中,然而驱动效应的表现形式要比已有文献的理论模型更加复杂。基于上市公司面板数据总体样本的实证结果表明:货币扩张、资本逐利和风险规避均是企业金融化的关键影响因素,但货币扩张表现为直接抑制和间接促进两种效应。进一步引入宏观风险因素和根据企业所有权性质划分样本的稳健性检验则给出了更为细致的信息:货币因素可能通过宏观风险因素间接作用于企业金融化;所有权性质不同的企业的金融化驱动机制也表现出明显的异质性:国有企业金融化主要受货币因素和风险规避因素影响;民营企业金融资产占比层面的金融化驱动因素是风险规避和资本逐利,而金融渠道获利占比层面的金融化则受到货币因素的显著影响;其他类型企业的金融化主要受货币因素的显著影响。

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    本文构建了一个刻画实体企业在流动性金融资产和固定资产之间进行权衡的投资组合选择模型,并创新性地将货币扩张的宏观因素引入微观模型,推演中国实业部门金融化的驱动逻辑。理论模型显示:...[点击详情]

    2020-09-01
  • 张成思,田涵晖——《世界经济》:通货膨胀结构性分化与货币政策反应机制

    本文将2001-2019年中国通货膨胀出现的结构性分化特征划分为核心-非核心和消费-非消费两个层次,研究货币政策对具有分化特征的不同通货膨胀指标的反应机制。价格型和数量型货币政策反应方程估计和模型竞争检验结果表明,对于消费领域内部的核心-非核心通货膨胀率分化,货币政策仅对核心(非食品)消费品通货膨胀率反应,对非核心(食品)类消费品通胀率不反应;对于消费类-非消费类通货膨胀率之间的分化,价格型目标仅对消费类通货膨胀率做出反应,数量型目标同时兼顾消费类和非消费类通货膨胀率。

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    本文将2001-2019年中国通货膨胀出现的结构性分化特征划分为核心-非核心和消费-非消费两个层次,研究货币政策对具有分化特征的不同通货膨胀指标的反应机制。价格型和数量型货币政策反应方...[点击详情]

    2020-09-01
  • 马长峰,陈志娟,张顺明——《管理科学学报》:基于文本大数据分析的会计和金融研究综述

    作为一种非结构化数据,文本大数据最近十年深刻影响会计学和金融学研究。这种影响体现在两类文献:第一类以信息为中心,将文本分析技术用于信息的品质(可读性)和数量(文本信息含量)、信息披露和市场异象等方面的研究;第二类与信息无关,主要是利用文本大数据分析技术构建全新指标,例如基于文本分析的公司竞争力、创新和经济政策不确定性等新变量。梳理上述文献研究脉络,揭示文本分析技术的优缺点,并且指出在会计和金融领域应用文本大数据技术的研究面临的挑战和机遇。

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    作为一种非结构化数据,文本大数据最近十年深刻影响会计学和金融学研究。这种影响体现在两类文献:第一类以信息为中心,将文本分析技术用于信息的品质(可读性)和数量(文本信息含量)、信...[点击详情]

    2020-09-01
  • 何林,梁宗霞,刘杨,马鸣——SCANDINAVIAN ACTUARIAL JOURNAL:Weighted utility optimization of the participating endowment contract

    In a participating endowment contract, the special loss compensation and profit sharing mechanism leads to heterogeneous benchmarks to distinguish the gain and loss for the policyholder's and the insurance company's S-shaped utilities. Because of the intense competition among the insurance companies and the requirement of the regulators, the benefits of the policyholders should be considered. As such, choosing the weighted utility of the two counterparts as the optimization objective is a rational setting. This setting induces a non-HARA (hyperbolic absolute risk aversion) and non-concave objective utility whose exact concavity and convexity are unknown. The difficulties not only come from this highly non-concave optimization problem, but also exist in the implicit integration of the optimum when solving the expected utilities of the two counterparts. We originally design an identification method to establish two categories of concave envelopes to solve the optimization problem, and propose an innovative numerical integration by substitution technique to deal with the implicit integration problem. The numerical simulation results recognize the existence of Pareto improvement of the two counterparts, which shows that the utilities of the policyholder and the insurance company can be simultaneously improved by switching into the weighted objective and appropriately amending the contract.

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    In a participating endowment contract, the special loss compensation and profit sharing mechanism leads to heterogeneous benchmarks to distinguish the gain and loss for the ...[点击详情]

    2020-09-01
  • 陈泽,Chen Bingzheng,Dhaene, Jan——SCANDINAVIAN ACTUARIAL JOURNAL:Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach

    Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into account the market prices of the hedgeable parts of insurance liabilities. In this study, we investigate the fair dynamic valuation of insurance liabilities, which are model-consistent (mark-to-model), market-consistent (mark-to-market), and time-consistent, as proposed by Barigou et al. (2019) in a multi-period setting. We introduce the loss averse convex hedging technique, which ‘punishes’ loss outcomes more than gain outcomes. We prove that fair dynamic valuations are equivalent to the class of loss averse convex hedge-based valuation. Moreover, we propose and provide a complete characterization of loss averse mean–variance hedging and show how to implement loss averse mean–variance hedge-based dynamic valuations using numerical examples.

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    Hedging techniques have been widely adopted in market-consistent or fair valuation approach required by recent solvency regulations, to take into account the market prices o...[点击详情]

    2020-09-01
  • 何青,Li Xiaoyang,朱文宇——INTERNATIONAL REVIEW OF ECONOMICS & FINANCE:Political connection and the walking dead: Evidence from China's privately owned fi...

    Using a sample of privately owned listed firms in China, we document that firms’political connections have a positive effect on their likelihood of becoming insolvent and inefficient (which we call zombies or zombie firms). The results are more pronounced for firms that are located in regions with extensive government intervention or weak institutional environment. In addition, for firms without political connections, the presence of zombie firms has larger negative spillover effects on the investment and productivity of healthy firms compared with zombie firms in the same industry. Curiously, such differential negative spillover effects are not observed for firms with political connections.

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    Using a sample of privately owned listed firms in China, we document that firms’political connections have a positive effect on their likelihood of becoming insolvent and i...[点击详情]

    2020-09-01
  • Shu Jiaxian,张成思,郑宁——INTERNATIONAL REVIEW OF ECONOMICS & FINANCE:Financialization and sluggish fixed investment in Chinese real sector firms

    China's economy has been slowing down over the past decade since 2007, with real investment posting obviously sluggish growth, in contrast to a rising trend of financialization in non-financial firms. Using firm-level panel data, this paper examines the impacts of firms' financialization on real investment in China with an extended portfolio choice model. Empirical results show that firms' financialization has an economically and statistically significant reducing effect on their real investment. Unlike the existing literature, however, we find that the return gap between real and financial investments plays a limited role in affecting real investment.

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    China's economy has been slowing down over the past decade since 2007, with real investment posting obviously sluggish growth, in contrast to a rising trend of financializat...[点击详情]

    2020-09-01