In this paper we compare counterfactual corporate bond issuing dates to actual issuing dates in order to test the ability of firms to time the credit market. The 50 most active bond issuing financial firms and the 50 most active industrial firms are studied using one week, one month, and one quarter windows. The ability to time firm-specific CDS prices is studied from January 2002 - October 2009. The ability to time the risk-free rate (10 year US government bond) is studied from January 1988 - October 2009. We find that: firms do not successfully time the risk-free rate or the credit spreads. There is no evidence of CDS timing ability over one week or one month, but there is some borderline evidence at one quarter. For a typical bond issue, the firm loses about 1% of the face value of the bond relative to a 1 month window, due to their inability to time the market. If the firms could improve their market timing, they could save many hundreds of millions of dollars. Since there is a degree of statistical predictability in the data, we find it surprising that these firms are not able to do a better job of timing the credit market.

技术分析方法是否有效一直是富有争议的话题。本文收集整理了1997-2010年我们股票上出现的346 次股价长期横盘形态，用logit模型检验了技术交易规则在中国市场的有效性，并在实证中引入持股集中度等影响技术交易规则有效性的重要因素，同时发现存在其他约束条件如横盘请价格波动方向、平均股价等对横盘后的方向选择有密切关系。

Modern financial development theories suggest that, financial development can promote technological progress and long-term economic growth. Based on the Chinese mainland provincial panel data, the paper tests empirically the relation between financial intermediation development and total factor productivity growth. In terms of the degree-of-freedom of bank loan decision-making, the ratio of loans of private enterprises and individuals to total loans is used to measure the development of Chinese financial intermediation. This paper finds that financial intermediation development significantly promotes total factor productivity growth when controlling for other variables, such as capital formation rate, foreign direct investment, government intervention and the urbanization level

当资产回报率服从椭圆分布和投资者具有二次效用函数的假设都不满足时，方差（标准差）不再是风险的一个恰当度量方法，而这会导致传统的最小方差套期保值存在缺陷。本文提出了一个新的基于核密度估计的计算最小VaR 和最小CVaR 套期保值比率的非参数方法。基于沪深300 现指日收盘价格数据和沪深300 股指期货合约仿真交易日结算价格数据的实证结果表明，本文提出的改进的非参数方法表现最优，最大程度上降低了套期保值投资组合的标准差、VaR 和CVaR。

独立董事治理是公司治理研究关注的重点之一，但现有经验证据并不稳定甚至相互矛盾。本文引入新的独立董事特征——董事网络位置，利用社会网络分析方法考察独立董事在上市公司董事网络中位置的差别对独立董事治理行为的影响。具体而言，本文检验了独立董事的网络位置特征与公司投资效率的关系，结果显示：网络中心度越高，独立董事治理作用越好，表现为其所在公司的投资效率越高；在区分投资不足与投资过度之后可以发现，网络中心度高的独立董事既有助于缓解公司的投资不足，也有助于抑制投资过度；进一步地，在政府干预程度高的地区，与非国有上市公司相比，国有上市公司中独立董事网络中心度对投资效率的治理作用会减弱，但在政府干预程度低的地区没有显著差异。这些发现意味着，独立董事的网络位置是独立董事的重要特征，能够对独立董事参与公司决策产生重要影响，但其作用的发挥同时也会依赖于公司最终控制人产权性质和地区政府干预水平。

This study investigates the influence of equity characters characteristic on firm performance using panel data for 373 listed companies for the period from 2001 to 2009.We find that there is non-linear correlation between ownership characters and firm performance.(ii)the high state ownership has significant positive influence on performance but we have not found evidence that the small and medium state ownership have any influence on performance.(iii) the legal person ownership has negative influence on performance but the individual ownership is positive relation with performance.

传统的蒙代尔—弗莱明模型是以利率作为影响资本在国与国之间流动的主要因素甚至唯一因素为假定前提的，但这一假定具有越来越明显的局限性。在现代经济社会，金融资产的价格波动很多情况下成为影响资本国际流动的最主要因素。证券市场和房地产市场的价格走势又往往是与利率反方向变动的。本文据此论证了负斜率的BP曲线，从而拓展和丰富了蒙代尔—弗莱明模型的形态。然后以二组共计28个国家或地区的经济数据对其进行了实证检验。

将投资专家的成功经验引入模糊时间序列模型，实现股票市场走势的多步预测。首先根据专家经验构造多个反映市场结构特征的变量并将其模糊化为模糊时间序列；其次建立具有多前件、高阶模糊关系的模糊时间序列预测模型；最后将该模型用于股票指数预测。结果表明，与经典模糊时间序列模型相比，其预测精度有了较大提高。

We examine the process of stock prices adjusting to information conveyed by the trading process. Using the price impact of a trade to measure its information content, our analysis shows that the weekly price impact of market transactions has significant cross-sectional predictive power for returns in the subsequent week. The effect is sensitive to the level of informational asymmetry and is not due to excess liquidity demands or variations in rational risk premia. This finding suggests that prices may slowly incorporate trading information. We then characterize the key channel through which price underreaction occurs. We find that the price impact contains information that is not fully captured by public order flows and that a lead-lag effect exists regarding the arrival of information to different groups of investors. Hong and Stein’s (1999) gradual-information-diffusion theory seems the most likely explanation for price underreaction.

机构投资者一直以具有较好的选股能力立足于资本市场。本文利用2004-2007 年深交 所的上市公司为样本，从信息透明度角度检验机构投资者的选股能力。实证研究发现：与预 期一样，在信息透明度评级较高的公司，机构持股比例会较高和持股机构数目会较多，短线 机构持股比例会较高；在信息透明度评级上升的公司，机构会调高持股比例和增加机构数目， 短线机构会调高持股比例，长线机构投资者并不会基于信息透明度评级的变化调节其持股比 例；与预期相反，在信息透明度评级较高的公司长线机构持股比例会较高。因此，提高公司 持股机构化的同时拓宽机构投资者信息获取通道是当务之急。