We examine the information content of changes in shareholdings after private issuance of public equity (PIPE) by mutual funds that participate in PIPEs in China. The results show that the changes in shareholdings is positively related to alpha and cumulative abnormal return (CAR) for PIPE issuers with high information asymmetry, suggesting that the participating mutual funds have superior information. These results are robust after controlling for investment skill, geographic location, and alumni relation. The positive relation between shareholding change and information content is driven by PIPE issuers with weaker corporate governance. In addition, the positive relation is stronger when the placement discount is lower. These results are consistent with a hypothesis that controlling shareholders/management in Chinese PIPE firms may collude with mutual funds to do tunneling.

随着“互联网+”成为国家战略，公募基金行业迎来了爆发性增长，截止到2016年9月底，我国境内共有公募基金管理公司107家，基金总数达到3415支，资产达到8.83万亿元。“互联网+”基金作为新兴事物，既很大程度上推动了基金行业的发展，又为基金行业提供了基于行为金融学理论的新的投资思路。对互联网+基金的绩效评价重要性日益凸显。 运用绝对收益指标和多种风险调整后的收益指标、CAPM单因素模型、Fama-French三因素模型、Carhart四因素模型进行业绩归因分析，重点考察了由大数据因子产生的超额Aalpha情况，并针对实证结果从行为金融学的角度开展分析，在一定程度上填补了目前“互联网+”基金绩效评价的空白。 研究结果表明，2014年6月16日至2016年9月30日，“互联网+”股票型基金的绝对收益率要优于比较组，风险收益和波动率弱于比较组；通过CAPM、Fama-French三因子模型、Carhart四因素模型，超额收益显著优于比较组。同时，基金所依托的不同互联网数据平台，对投资风格也有所影响。

Although implicit guarantees are widely used in the shadow banking system, we know very little about its qualitative and quantitative properties. In this paper, we use a micro-level data set on China's shadow bank products to quantify the risk of implicit guarantees. We find a robust empirical fact that banks extend more implicit guarantees to their shadow bank debt (i.e., wealth management products) when their own default risks increase. Our result shows that this effect is particularly stronger when riskier banks plan to issue certificates of deposits in the interbank market. A simple model that is based on a signaling game is proposed to rationalize this fact. The key mechanism of the model is that as a bank's reputation becomes worse, it has stronger incentives to send positive signals to the market, i.e., to boost the realized returns of its shadow bank obligations, although it has no obligation to do so. Our findings show that implicit guarantees have nonlinear negative effects on bank fundamentals and the risk-weight of off-balance-sheet exposure should be increasing in banks' default risks.

Shadow banking in China constitutes a dual-track interest rate reform that adds a new market track beside the controlled formal banking track. Shadow banking leads to Kaldor-Hicks improvement if the gains from financing the underfunded private enterprise (PE) and reducing bank capital idleness caused by ultrahigh reserve requirements outweigh the losses from shadow banking risk. Pareto improvement is feasible as the state-owned enterprise (SOE), a potential reform loser, participates in shadow banking to transfer credit to the more productive PE. Full interest rate liberalization, which removes formal banking controls after the dual-track reform, does not warrant additional profit gain if bank credit misallocation favoring the SOE and SOE's low productivity persist.

本文基于贷款市场空间竞争模型，结合多元所有制的银行业市场结构，探讨政府强化竞争政策对不同所有制银行的差异化影响，以及对社会福利的作用。研究表明：国有银行的均衡贷款利率和经营风险较低，市场份额较大，但是较低贷款利率会降低国有银行的期望经营利润。强化市场竞争通过削弱两类银行的垄断定价权而降低均衡贷款利率，并且私有银行的贷款利率和经营风险下降更明显。国有银行的参与通过降低社会融资成本、提升银行经营稳健性来增进社会福利，特别在市场竞争不足时，社会福利水平会得到大幅提升。

Basket options have long been an important structured product. Although basket options have been extensively studied in the literature, there are few published papers that deal with the pricing of basket options with stochastic interest rates. This study presents two novel basket option pricing models that permit the interest rates to be random. The paper presents a powerful calculation technique for the problem when underlying stock returns are continuous. Finally, we use a regular grid method to the calculation of the formula of two-asset basket option when underlying stock returns are continuous and a mixture of both the regular grid method and a Monte Carlo method to the one when underlying stock returns are discontinuous, and sensitivity analyses are presented.

This paper uses high frequency option data to investigate the information content of option trading of AH cross listed stocks (A-shares traded in mainland China and H-shares traded in Hong Kong) and the role of the Shanghai-Hong Kong Connect in this issue. Measuring the informed trading with order imbalance, we find that the order imbalance of stock options traded in Hong Kong contains incremental information that predicts the return of corresponding A-shares traded in Shanghai after controlling for the cross-market return and volume factors proposed by Gagnon and Karolyi (2009). More important, this predictive power strengthens after the Shanghai-Hong Kong Connect, which is also supported by the evidence of comparison between the two stock crashes exactly before and after the connection. During the 2015 stock crash, the spillover effect of the two markets is significantly stronger than that during the 2008 financial crisis.

本文对一类挂钩任意标的指数含敲入敲出期权结构的非保本浮动收益凭证进行分析。具体求解了当标的指数价格服从几何布朗运动时敲入和敲出期权的解析价格。实证采用三种跳扩散模型和核密度估计方法，利用标的指数历史价格数据，蒙特卡罗模拟收益凭证的风险与收益。研究结果表明：(1) 收益凭证嵌套的敲入和敲出期权的解析定价和蒙特卡罗模拟价格吻合，其中向上敲出看涨期权价格接近于零，向下敲入看跌期权价格较高，后者是收益凭证主要风险和高票息率的来源；(2) 对数正态、均匀分布跳扩散模型对样本数据的拟合效果不错，能较好地模拟收益凭证的风险和收益；(3) 该收益凭证过去运行的两年间为溢价发行，发生敲入和亏损的概率非常高，建议投资者谨慎参与。

We investigate banks' issuance choices of wealth management products (WMPs), which are both interest rate deregulation vehicles and shadow deposits without explicit government insurance. Support for an inverted-U shape between market share and WMP issuance is found in national market. State-owned banks are reluctant to issue WMPs due to their monopoly power, very small banks do not have the capacity to issue while small and medium banks issue WMPs intensively as a regulatory arbitrage. Moreover, the geographic deregulation in 2009 stimulates the bank competition in the local market, incumbent banks take advantage of WMPs to fight off the new entering banks.

In this paper, I build a continuous-time macro-finance model in which firms can access both bond credit and bank credit. The model captures the simple idea that the presence of bond financing increases the price elasticity of demand for bank loans. I find that the optimal capital adequacy ratio is quantitatively sensitive to the presence of bond financing and that models would overstate the banking sector's recovery rate if they omit bond financing. Furthermore, the model highlights that an economy's optimal capital requirement highly depends on the efficiency of its bankruptcy procedure and the risk profile of its real sector.