We study the effect of mutual fund allocation on China’s IPO market under the new registration system. The introduction of mutual fund bids significantly increases IPO offer price, resulting in a low initial short-term return and suppressed IPO underpricing. Those newly listed stocks witness lower volatility in the following weeks due to preferential allocation to the mutual fund at the primary market. Further analysis suggests that large investors tend to buy during the first week after IPO and their net purchase strengthens IPO after-market volatility. This new evidence suggests that mutual fund allocation plays a critical role in IPO price discovery and decreases investor lottery trading.

We examine global integration in the market for asset management, as indicated by the correlation of mutual fund flows across domiciles. We observe no leading role for the US relative to flows in other domiciles. We do observe a strong global factor in MF flows, and global integration is linked to a market’s business environment, safety from conflict, and political stability. In regional analysis, Europe represents an integrated market for asset management, led by Luxembourg, where asset managers face common flow risks across domiciles. The Asia-Pacific region displays no coherent patterns of correlations across domiciles.

The adequate evaluation of mutual fund performance and of the fund managers’ ability to add value is an issue to which it has been given special attention in the recent financial literature. One of the traditional evaluation measures most commonly used is Carhart's alpha. However, one of the main problems of the evaluation methods that use the beta of the portfolios as a measure of risk and, therefore, Carhart's alpha is its sensitivity to the definition of the market portfolio. In this work we study the importance of defining the market portfolio using Carhart's alpha for a sample of UK mutual funds, and the influence of this market portfolio in the funds´ excess returns and in the performance ranking classification of the fund sample.

Since September 1, 2014, the renminbi (RMB) offshore market in Taiwan has been started on according a cross-strait MOU. A completed RMB market in the Chinese Economic Area therefore has been established. Due to political and economic disruptions, such as the aftermath of the global tsunami, mainland China’s stock market crash and RMB exchange rate reform in 2015, as well as failure of the Service Trade Agreement between Taiwan and mainland China in 2016, the arbitrage opportunities among the three RMB markets can be explored. This paper evaluates the convergence and divergence of RMB market returns by the sigma-convergence (or log t) test, which provides a more precise indication for market return convergence than does the traditional unit root test. Policy implications for the RMB arbitrage are also provided.

We provide a model of hedge fund securing financing from a prime broker where deterioration in collateral value exacerbates counterparty risk and liquidity risk for the prime broker due to strategic actions of hedge funds. Costs of liquidity insurance and enforcing contracts determine hedge fund leverage. The model provides several new insights. First, it uncovers a new channel for funding liquidity that can explain why illiquid funds fare worse in times of stress and why better governed funds fared better during the financial crisis. Second, the model provides a new testable hypothesis that systematic or idiosyncratic shocks to fundamentals of bank holding companies may spillover to connected hedge funds through internal capital markets. It also offers an identification strategy to distinguish between possible competing hypotheses. Third, strong governance at hedge funds may reduce incentives to invest in profitable opportunities. Fourth, banking reforms such as Supplementary Leverage Ratio, Liquidity Coverage Ratio and Standing Repo Facility intended to improve resilience of banks may also make hedge funds less vulnerable to shocks in the banking sector. Fifth, the model offers a possible reconciliation for the mixed evidence on the impact of leverage on hedge fund survival documented in the literature.

鉴于金融收益率数据存在的分布有偏、高峰厚尾以及不对称等特点导致传统分布难以对其进行描述。本文基于广义自回归得分（ GAS ）理论改进了非对称拉普拉斯分布 (ALD) ，提出了GAS-ALD 模型，该模型具有时变参数，可以描述具有高峰厚尾、有偏以及分布不对称性等特点的数据。并使用该模型对上证指数、深圳指数与中小板指数进行了实证研究。研究发现： 三个指数的分布参数与各阶矩均有明显的时变特征与聚集特征；对比了常用的用于计算 VaR与 ES 的模型， GAS-ALD 模型对于 VaR 与 ES 具有较高的预测效力。

在“降杠杆、减负债、控风险”背景下，企业持股金融机构是否影响到资本结构的动态管理，该问题值得深入探讨。本文以2006-2015年沪深A股上市公司为研究样本，实证发现：混业持股金融机构增强了企业向目标杠杆调整动机，增加持股金融业务类型这一持有数量上的策略选择，以及“银行+非银行”这一业务组合布局上的策略选择，均显著缩小了目标资本结构偏离程度。然而，混业持股金融机构下，资本结构的调整速度与偏离程度呈非对称性，对于过度负债企业，混业持股金融机构反而减慢了资本结构的调整速度。进一步发现，上述策略选择对过度负债国有企业去杠杆具有一定的积极作用。本研究对资本结构调整动机与调整效率进行分离，揭示了企业集团在混业持股金融机构策略下对两者的影响存在非对称性，深化了对企业杠杆优化权衡决策的理解。

非金融企业配置金融资产是否有助于缓解融资约束、提升企业价值，是经济金融化的宏观背景下需要深刻考察的问题。本文以2008—2018年中国沪深两市非金融企业的季度数据为研究样本，构建计量模型分析金融资产配置的驱动因素以及完整机制。研究表明，金融资产配置与融资约束呈“U”型关系，尽管会产生一定的正向收入效应，然而替代效应与收入效应合力为负，直接通过中介效应挤出实体投资，降低企业价值，融资约束与金融资产的交互效应会放大冲击，对我国实体产业的发展带来负面影响。

过桥贷款作为一种短期、临时性的非正规金融工具，对我国经济发展与金融稳定有着多重影响。本文利用特有的银行贷款数据，识别样本区间内超过20%的上市公司有使用过桥贷款。证据表明，市场过桥贷款供给越多，实际不良贷款率与披露不良贷款率的相关性越弱，存在更大的隐性金融风险。为此，本文构建了一个包含银行与企业的两部门三期博弈模型，系统地分析过桥贷款的宏观经济效应。模型发现，银行因过桥贷款会逆向选择提高短期贷款利率、降低长期贷款利率，进而加剧了企业的流动性风险。过桥贷款对投资具有双向效应，一方面增加银行续贷可能、缓解部分企业的流动性短缺而促进它们的投资，另一方面增加短期融资成本、引发更多企业的流动性问题而抑制了投资。进一步的分析表明，过桥贷款增加会加剧信贷资源错配，因而产出最大化目标下的最优监管力度相比投资最大化下的最优监管力度更大。

This paper investigates the consequences of liquidation and reorganization on the allocation and subsequent utilization of assets in bankruptcy. Using the random assignment of judges to bankruptcy cases as a natural experiment that forces some firms into liquidation, we find that the long-run utilization of assets of liquidated firms is lower relative to assets of reorganized firms. These effects are concentrated in thin markets with few potential users, and in areas with low access to finance. The results highlight the importance of local search frictions and financial frictions in affecting the allocation of assets in bankruptcy.