• 详情 基于P2P平台的创新型公益助农金融模式探究
    】三农问题是实现全面建成小康社会的重大议题,也是我党工作的重中之重。农村经济的发展关键在于农村金融的带动,尽管近几年 我国不断深化金融体制改革,例如农村信用社、村镇银行已经取得显著的效果,但是局部地区的问题还没得到完全的解决,经济发展参差不齐,由 于市场经济存在自发性,盲目性,滞后性,导致落后的农村地区的金融服务仍存在较多问题。而在这种情况下,在市场的驱使下盈利性企业单位不 可能进一步解决三农问题,所以仍强调市场化的调控手段失效,因此我们需要公益慈善行为作为市场化的补充。 本文试图提供一种政府扶持下新型的P2P公益性助农贷款模式,在此模式下,发挥政府的作用,对现有市场下的农村金融体系进行补充和完 善,鼓励公益性金融机构填充农村市场的空白,利用先进的信息网络技术管理,激励资金流入到需要特殊帮扶的农业部门和农村弱势群体,弥补市 场经济的缺陷,构建社会主义和谐社会。
  • 详情 Market Crowd’s Trading Behaviors, Agreement Prices, and the Implications of Trading Volume (市场群体的交易行为、认同价格以及交易量的内涵)
    It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored the behavioral implications of trading volume such as investor’s attitude toward risks, overconfidence, disagreement, and attention etc. However, what is surprising is how little we really know about trading volume. Here we show that trading volume probability represents the frequency of market crowd’s trading action in terms of behavior analysis, and test two adaptive hypotheses relevant to the volume uncertainty associated with price in China stock market. The empirical work reveals that market crowd trade a stock in efficient adaptation except for simple heuristics, gradually tend to achieve agreement on an outcome or an asset price widely on a trading day, and generate such a stationary equilibrium price very often in interaction and competition among themselves no matter whether it is highly overestimated or underestimated. This suggests that asset prices include not only a fundamental value but also private information, speculative, sentiment, attention, gamble, and entertainment values etc. Moreover, market crowd adapt to gain and loss by trading volume increase or decrease significantly in interaction with environment in any two consecutive trading days. Our results demonstrate how interaction between information and news, the trading action, and return outcomes in the three-term feedback loop produces excessive trading volume which includes various internal and external causes. Finally, we reconcile market dynamics and crowd’s trading behaviors in a unified framework by Shi’s price-volume differential equation in stock market where, we assume, investors derive a liquidity utility expressed in terms of trading wealth which is equal to the sum of a probability weighting utility and a reversal utility in reference to an outcome. JEL Classifications: G12, G02, D83 (长期以来,金融学术领域里的文献只注重价格和收益率,却较少研究交易量。在最近的二十年里,金融学术文献已经开始研究价格和交易量两者与经济基本量之间的相互关系,并且探讨交易量的行为内涵,例如投资者对风险的态度、过度自信、不同观点以及关注程度等等。然而,我们还是对交易量的认识知之甚少。本文根据行为分析,用交易量概率来表示市场群体的交易频率,并且通过我国股市来实证检验涉及交易量与价格之间不确定关系的两种适应性假说。实证结果表明:市场群体在每日交易的时间窗口内除了采用简单的经验法则之外,同时还采用有效的适应性方式来从事股票交易,并且逐步倾向于形成一个结果和认同的资产价格;无论该资产价格是否明显地被高估或低估,市场群体在相互作用和竞争的过程中往往能够形成这样一个稳态的均衡价格。这表明了资产价格不仅包含了基本价值同时还包含了非公开信息、投机、情绪、关注、赌博和娱乐等价值。此外,在任意两个连续交易日之间,市场群体在与市场环境的相互作用过程中,通过交易量的增加或减少来有效地适应盈亏。我们的研究结果说明了在由信息、交易与收益结果三项构成的反馈环中,它们之间的相互作用是如何导致了过度交易的,这其中包含了导致过度交易的各种内外因素。最后,我们假设股票市场中的投资者是通过交易财富来产生流动性效用,它等于概率加权效用与相对于结果为参照系的反转效用之和,从而推导出Shi氏价-量微分方程,将市场动力学行为与群体交易行为协调在一个统一的框架体系。)
  • 详情 Monetary policy and bank lending in China-evidnece from loan level data
    We investigate how monetary policy in a mixed financial system such as that of China, which is characterized by a juxtaposition of quantity- and price-based policy instruments and the co-existence of regulated and market-determined interest rates, affects bank lending. Using a newly constructed loan-level dataset, we find that loan rates but not loan size are affected by both the regulated and the market-determined interest rates and that loan size is instead affected by an implicit quota that is imposed on aggregate bank lending through window guidance. We interpret this finding to be evidence of credit rationing.
  • 详情 融资融券和股指期货催生中国真正的“对冲基金”了吗?——来自“阳光私募”基金的证据
    文章利用手工收集的1704只非结构化阳光私募,对比考察了融资融券和股指期货推出后出现的三种新型阳光私募与传统的股票型阳光私募和公募基金的绩效。研究发现:(1)相对价值型阳光私募表现明显优于传统投资工具,其各项收益指标均很高,无系统风险且特质风险很小。(2)债券型阳光私募表现也优于传统投资工具,但明显差于相对价值型。(3)事件驱动型阳光私募的收益指标优于传统投资工具,但系统和特质风险均很高。(4)CAPM和FF3等传统的因子模型无法很好的解释相对价值型和债券型阳光私募的绩效。因此,相对价值型阳光私募“低风险-高收益”的特性表明真正的“对冲基金”在中国已经崭露头角。
  • 详情 Market Crowd's Trading Behaviors, Agreement Prices, and the Implications of Trading Volume (市场群体的交易行为、认同价格以及交易量的内涵)
    It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored the behavioral implications of trading volume such as investor’s attitude toward risks, overconfidence, disagreement, and attention etc. However, what is surprising is how little we really know about trading volume. Here we show that trading volume probability represents the frequency of market crowd’s trading action in terms of behavior analysis, and test two crowd’s trading behavioral hypotheses relevant to the volume uncertainty associated with price in China stock market. The empirical work reveals that market crowd trade in simple heuristics and efficient adaptation, gradually tend to achieve agreement on an outcome or an asset price widely on a trading day, and generate such a stationary equilibrium price very often in interaction among themselves no matter whether it is highly overestimated or underestimated, suggesting that asset prices include not only a fundamental value but also private information, speculative, sentiment, gamble, and entertainment values etc. In addition, market crowd adapt to gain and loss by trading volume increase or decrease significantly in interaction with environment in any two consecutive trading days. Our results demonstrate how interaction between information and news, the trading action, and return outcomes in the three-term feedback loop produces excessive trading volume which includes various internal and external causes. Finally, we reconcile market dynamics and crowd’s trading behaviors in a unified framework by Shi’s price-volume differential equation in stock market where, we assume, investors derive a liquidity utility expressed in terms of trading wealth which is equal to the sum of a probability weighting utility and a reversal utility in reference to an outcome. JEL Classifications: G12, G02, D83 (长期以来,金融学术领域里的文献只注重价格和收益率,却较少研究交易量。在最近的二十年里,金融学术文献已经开始研究价格和交易量两者与经济基本量之间的相互关系,并且探讨交易量的行为内涵,例如投资者对风险的态度、过度自信、不同观点以及关注程度等等。然而,我们还是对交易量的认识知之甚少。本文根据行为分析,用交易量概率来表示市场群体的交易频率,并且通过我国股市来实证检验交易量与价格之间不确定关系中关于群体交易行为的两个基本假说。实证结果表明:市场群体在每日交易的时间窗口内采用简单的经验法则和有效的适应方式来从事交易,并且总是逐步地倾向于形成一个结果和认同的资产价格;无论该资产价格是否明显地被高估或低估,市场群体在相互作用的过程中往往能够形成这样一个稳态的均衡价格,这表明了资产价格不仅包含基本价值同时还包含非公开信息、投机、情绪、赌博和娱乐等价值。此外,在任意两个连续交易日之间,市场群体在与市场环境的相互作用过程中,通过交易量的增加或减少来有效地适应盈亏。我们的研究结果说明了在由信息、交易与收益结果三项构成的反馈环中,它们之间的相互作用是如何导致了过度交易的,这其中包含了导致过度交易的各种内外因素。最后,我们假设股票市场中的投资者是通过交易财富来产生流动性效用,它等于概率加权效用与相对于结果为参照系的反转效用之和,从而推导出Shi氏价-量微分方程,将市场动力学行为与群体交易行为协调在一个统一的框架体系。)
  • 详情 金融杠杆在投资市场的应用
    “解读金融杠杆与投资风险之间的关系”是对国际金融市场杠杆原理的基本阐述,但未做具体的杠杆投资风险分析。“解读金融杠杆”以iPhone举例分析了金融杠杆的基本操作原理,投资者基本了解到影响到投资成败的主要因素是“风险因子”与“保证金比例”。首先,“风险因子”由“资本金”和“合约数量”确定;其次,在“资本金”已定的条件下,“保证金比例”决定了投资交易的“风险因子”,从而影响着投资交易的风险程度。在使用杠杆进行国际金融投资过程中,关键由合约数量、资本金、保证金比例(杠杆),三个因素直接影响着“风险因子”,这也是投资者在杠杆投资过程中值得谨慎注意的三要素。
  • 详情 谁拥有企业年金?——基于家庭金融微观数据的实证研究
    截至2012年底,中国企业年金的基本养老保险职工参保率仅为8.04%,很难起到真正有效的补充作用。基于中国家庭金融调查(2011)数据,从人力资源效应、节税效应和所有制效应等企业提供企业年金的激励因素着手,考察中国企业年金参保影响因素。首先进行单变量列联表分析,然后进行多变量Logit回归,结果显示:①人力资源效应得到验证,文化程度、工作年限、职称和职务与职工企业年金参保概率正相关;②节税效应没有得到验证,地方政府如果出台过比中央更优惠的企业年金税收政策,该地职工参保概率反而更低。产业与参保概率无关,上市企业职工参保概率更高;③所有制效应得到验证,国有企业的参保概率更高;④控制变量中,地域与参保概率相关,西部最高,东部次之,中部最低。年龄与参保概率负相关。性别、婚姻、政治面貌、户口、民族等与参保概率无关。这表明:①激励中国企业建立企业年金的主要市场因素是企业年金的人力资源效应,企业借企业年金吸引、激励、保留员工;②主要非市场因素是所有制效应,国有企业借企业年金打破薪酬管制;③税收优惠政策的作用不显著。政府应考虑对企业年金覆盖率、缴费水平等进行更详尽的数量规制,并审慎考察税收优惠政策。
  • 详情 简析消费与投资对GDP的具体影响
    通过分析商品产业链及相关的投入产出,本文认为:任一商品在其产业链中实现的GDP之和,与该商品的最终售价相等,故消费对GDP的具体影响较为简捷;投资对GDP的影响则较为复杂,因其受制于相关投入产出率、资本有机构成、最终消费状况等因素;运用现代计算技术,对众多商品产业链进行分析,可准确测算其中的消费、投资对GDP的具体影响、相关实体经济的货币需求量等,使相关宏观数据的基础更为坚实……
  • 详情 阳光私募:消亡现象与幸存者偏误
    本文首次利用包括消亡基金在内的大样本阳光私募分析了尚未在公募基金中发生的消亡现象。我们发现该行业的年消亡率达13.55%,相应的幸存者偏误为0.99%/年。Probit消亡模型表明,不同于美国对冲基金,我国阳光私募的消亡与其原始收益率无关,但与风格调整后收益率(原始收益率与同期行业平均收益率的差额)显著负相关。另外,业绩波动大、规模小和年轻的基金容易消亡,而固定管理费和业绩提成费高的基金则容易存活。
  • 详情 阳光私募基金经理具有卓越的投资能力吗?
    本文首次利用手工收集的493只非结构化阳光私募基金样本,并综合使用基于CAPM和FF3的8种因子模型从基金个体、基金组合、基金经理以往职业经历(分为公募系、券商系和民间系)等角度考察阳光私募基金绩效。实证研究发现:阳光私募总体上跑赢市场;其中,公募系和券商系虽无择时能力,却具备优秀的选股能力;民间系具有一定的选股能力,但存在糟糕的择时行为。我们还发现基于FF3的因子模型解释能力更强,其中GII-FF3模型能更有效的识别基金的择时能力。