从1998年开始建立封闭式基金已有5年的时间，基金的绩效也已开始引起人们的关注。本文在前人的基础上进一步选择深沪两市共19只封闭式基金，对他们的绩效水平分别进行检验，并选取六只开放式基金的绩效水平进行比较。本文除采用传统的指数进行评估外，同时还引入了E-VaR模型。

A government policy aimed at the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese stock market. The sustained depression and spillover even after the policy adjustments were over constitute a puzzle---the so called "state-share paradox". The empirical study finds evidence in two dimensions. First, a regime switching model with an absorbing state suggests that government policy switches the regime to liquidity black holes. Second, there is no evidence of flight-to-liquidity during the crash, suggesting to model the crash as an aggregate phenomenon of the whole market. To carefully match the evidence, a theoretical model is set up within the framework of market microstructure. The model shows that the Chinese stock market has distinctive features of liquidity production and price discovery. The irregularities generate an inverted-S demand curve, gives rise to potential liquidity black holes, and are key features to explain the state-share paradox. This study contributes a rational panics hypothesis to the literature. The rational panics hypothesis is neither a herding model with or without behavioral assumptions, nor a standard rational expectation model under the asymmetric information framework. It is based on homogeneous agents with incomplete information, and is consistent with the evidence of absorbing regime switching and the recent literature on state-dependent preference. Our findings have larger implications for theoretical modeling and policy design.

摘要：Fama和French（1993，1996）的因素模型比资本资产定价模型更好地描述了横截面股票收益率的变动，我们采用深市最新的股票数据（1996.01－2003.12）对Fama和French（1993，1996）的三因素模型在我国证券市场上进行了检验。在国内我们首次论证检验了三因素模型在我国证券市场是成立的，而且我们对三因素模型回归系数的稳定性和模型的预测能力进行了实证研究。我们检验了我国证券市场上是否有“新年效应”现象，得到我国证券市场的低账面市场比公司（除小规模公司）具有的“一月效应”，但显著性不是很强，m/M组合具有“二月效应”。我们的研究结果为投资组合选择、预测、决策及其业绩评价提供了一定的依据，具有理论和实际应用参考价值。 Research and Test of The three factor-factor Model in Chinese Stock Market Deng Changrong Ma Yongkai (Management College, University of Electronic Science and Technology of China,Chengdu,Sichuan 610054) Abstract: The three factor-factor Model, established by Fama and French, is considered to describe cross-sectional stock returns better than CAPM. Based on the newest 96 month stock data from 01 1996 to 12 2003, we research and test the model. We found the model is suitable for Chinese Stock Market. Then we research the coefficient stability and the forecast ability of the model. At the same time, we test the so-called ‘new-year effect’. We drew the conclusions that the m/L and b/L portfolios have the ‘January effect’ and the m/M portfolio has the ‘February effect’. Our researches have important theoretical and practical valuation, provides some condition for the selection、forecast、and decision of investment portfolios.

This paper hypothesizes that the threat of losing listing status in China’s distressed ST (specialtreatment) firms kick starts a corporate control market that does not exist otherwise. The incumbent controlling shareholder, facing the possibility of losing control right, will have to“tunnel back” the value he has extracted from the firm before to boost the distressed firm’s accounting performance. This part of value is captured by the cumulative abnormal returns (CARs) surrounding ST event. We further argue that ST CARs present themselves as alternative measure of private benefits of control, distinguished from the ones used in Barclay and Holderness (1989) and Nenova (2000). Studying 66 listing companies that had become ST between 1998 and 2000 in China’s stock market, we find that the 22-month cumulative abnormal returns run as high as 29% on average. Based on a game theoretic model, we find that the control value released through the contest for corporate control right is positively related the largest shareholder’s shareholding, concentration of shares held by other largest shareholders, but negatively correlated with the firm’s leverage ratio. Our empirical evidence confirms these hypotheses.

本文从突出金融部门角度，编制了中国地区宏观金融社会核算矩阵，该项研究对于决策者和研究人员全面了解和分析地区经济状况，提供了科学的经济数据库。首先，论文从宏观经济循环角度，在分析了金融部门和地区部门的特点基础上，研究了中国地区宏观金融社会核算矩阵的结构和内容；其次，以《江苏投入产出表》(2000)和《江苏统计年鉴》为基础，结合大量调查，编制了江苏宏观金融社会核算矩阵；最后，利用跨熵(cross entropy，CE)技术，对矩阵进行了平衡处理。

Stationary-leverage-ratio models of modelling credit risk based on constant target leverage ratios cannot generate probabilities of default which replicate empirically observed default rates. This paper presents a structural model to address this problem. The main feature of the model is that a firm’s leverage ratio is mean-reverting to a time-dependent target leverage ratio. The time-dependent target leverage ratio reflects the firm’s intention of moving its initial target ratio toward a long-term target ratio over time. We derive a closed-form solution of the probability of default based on the model as a function of the firm value, liability and short term interest rate. The numerical results calculated from the solution with simple time-dependent functions of the target leverage ratios show that the model is capable of producing term structures of probabilities of default that are consistent with some empirical findings. This model could provide new insight for future research on corporate bond analysis and credit risk measurement.

This paper investigate the distribution of daily return of Shenzhen Stock Sub-index using data analysis techniques and model fitting. Stable laws are fitted to empirical distributions using characteristic transformation estimation method. Empirical evidence supports the stable hypothesis the distribution has tails much heavier and more peak around to the center than Gaussian counterparts. Key Words: Shenzhen Sub-Index, Stable distribution, Characteristic transformation

The seminal works of Jensen and Meckling (1976) and Myers (1977) highlight the conflicts of interest between the owners, managers, and debt holders of the firm and discuss the risk-shifting behavior of the managers assumed for our purpose to be the“firm” in detriment of their debt holders. Although a considerable amount of research has been undertaken on this topic, much less studies are devoted to endogenizing risk choices in the presence of financial guarantees and in the context of corporate project financing. A firm risk’s appetite increases when it has a guarantee contract on its debt, which creates a conflict between the firm and the guarantee provider. Addressing formally this moral hazard issue, we propose an equilibrium model in which the borrowing firm and the guarantee provider pre-commit themselves to conscripted risk levels at the signature of the loan guarantee contract. We show if the borrowing firm and the guarantor precommit, the equilibrium risk level is lower than the one the firm will choose unilaterally. For short (long) maturity debts, both parties gain by agreeing on a high (low) risk project when the firm shareholders have a big equity stake in the new project. We also study the trade-off between the borrowing firm’s capital structure and its risk level. The optimal risk level of the firm is entirely determined by its ex-post capital structure.

摘要: 本文系统考察了1998～2000年中国A股上市亏损公司的扭亏行为，结果发现关联交易活动和重组活动是亏损上市公司扭亏的主要手段，而西方企业盈余管理的主要手段--操控性应计利润--对我国亏损公司的扭亏作用十分有限，主要被未扭亏公司用来做大亏损。另外，我们还发现财政补贴不是亏损公司扭亏为盈的主要手段，2001年12月4日出台的取消PT政策加速了连续亏损公司的扭亏步伐。 An Empirical Analysis on the Profit Turning Behavior of the A-Share Loss Firms Abstract: This paper examines the profit turning behavior of the loss firms in China’s A share market for the period of 1998 to 2000. We find that, to turn profit, loss firms mainly rely on related-party transactions and restructuring rather than on manipulation of accruals, the main methods of earnings management reported in the Western literature. However, the loss firms failed to turn profit do intend to take a big bath by increasing the loss amount. The empirical results also show that the fiscal subsidy plays no significant role in the profit turning of the loss firms and the suspension of PT system put additional pressure on the loss firms.

摘要：本文主要研究了2002－03年1月间深成指调整的价格效应和成交量效应，结果表明加入(剔除)股票在调整日有显著的正(负)异常报酬，成交量上升。加入股票的价格经历了永久的上升，剔除股票的价格则回复到了先前的水平。但在1997、1999年的两次调整中并没有观察到类似的现象，这可能与我国投资基金迅速发展有关，股指调整导致基金增持加入股票和减持剔除股票。另外，加入(剔除)股票在调整日后成交量显著的下降(上升)。上述现象可能的原因是成份股和非成份股有无相近替代品的不对称性。 Changes in the Shenzhen composition index Abstract: This study mainly investigates the price and volume effects of changes in the Shenzhen composition index from 2002 to January 2003.On average,Price increases significantly in the event day for stock added with partial post-event reversal; while price decreases significantly in the event day with full post-event reversal for stock deleted. Trading volume both increases significantly in the event day.but we haven’t see the same phenomena in the index changes of 1997 and 1999 ,it maybe due to the development of investment fund. Furthermore,Long-term trading volume drops(rises) significantly for stocks added(deleted). These evidences maybe due to the asymmetry between ineex stocks and non-index stocks that have substitute.