本文使用我国 P2P 平台人人贷网站的数据，研究注意力对 P2P 投资者投资决策的影响。研究发现， 当可选借款标的数量增加，使得投资者的注意力下降时，名义利率对投资决策影响增加，名义利率以外的信息对投资决策的影响降低。这是因为当注意力下降时，投资者更关注名义利率，同时忽略更多名义利率以外的信息。这使得投资者忽略更多关于借款人风险的信息，出现在预期收益率相同时，偏好高风险借款标的行为偏差，增加投资者和借款人之间的信息不对称。本文立足 P2P 市场这一适合研究投资者注意力对投资决策影响的场景，强调了注意力在 P2P 投资决策中的重要地位，进一步探讨了注意力在投资决策中的作用。

In this paper we use the data from “paipaidai”, an online peer-to-peer lending platform in China, to testify whether mood affects the efficiency of credit approval by individual. Refering to the studies in Psychology and Financial Economics, we employ season, temperature and weather as mood proxies, and crotrol the variables related to the quality of loan to study the credit approval behavior under different mood condition. The results suggest that the efficiency of credit approval is significantly correlated with mood—positive mood would improve the efficiency, while negative mood would reduce it. Specifically, loan examined under better mood condition (e.g. spring, comfortable temperature, and sunny days) has significantly higher probability of approval, but lower probability to default if approved; and that examined under lower mood condition shows lower probability of approval and higher probability to default if approved. This effect of mood is even stronger when a loan application to judge is more complex, atypical, or unusual. Moreover, investor sentiment, denoted by closed-end fund premiums, has the same effect on credit approval as well.

基于供应链应收账款融资角度对中国上市公司商业信用情况进行调查。 采取定量调查方法分析国内应收账款整体规模、应收账款行业和企业分布、 金融危机前后应收账款变化等，为供应链应收账款融资模式创新提供数据支持。 研究发现占用商业信用的主要是上市公司中的大型企业。上市公司中的中小微企业实际是提供商业信用，其应收账款周转期不断增加，应收账款占总资产的比重不断提高。 金融危机后工业由净占用商业信用转变为净提供商业信用。工业应收账款规模大，应收账款占总资产比重高，应收账款周转期长，大量营运资金被占用。供应链应收账款融资模式创新对中小制造业营运资金回笼有重要意义。

长期以来，货币政策与通货膨胀的相互关系一直是主流经济学关注的核心问题。 但因不同收入群体的消费结构迥异，不同商品的价格粘性也存在显著差异，传统单一 的居民消费价格指数(Consumer Price Index)无法客观反映各收入群体所感知的真实 物价水平。本文结合中国家庭微观调查数据与宏观加总数据，创新性地构建了分布式 居民消费价格指数(Distributional CPI)。基于该指数，本文提出了货币政策通过消费 价格端影响不平等的新机制，并对其进行了量化研究。同时，本文还采用了新近发展 的我国货币政策工具变量序列来解决可能存在的内生性问题。实证结果表明，不同收 入群体的消费者价格指数存在显著差异，且低收入群体的价格指数具有更大的波动性。 进一步分析表明，与传统研究所揭示出的加总效应不同，由于消费结构的差异，货币 政策对不同收入群体的生活成本造成了异质性影响。特别地，宽松的货币政策会显著 增加低收入群体的生活成本，而高收入群体受到的影响较弱。本文的政策启示是货币 政策在稳增长、保就业之外，还在消费价格端表现出明显的社会福利分配效应。此外， 本文构建的分布式消费者价格指数也是 Piketty et al.(2018)强调的政府构建并发布分 布式国家账户(Distributional National Account)在消费价格端的一个重要延伸。

This paper studies the trading behavior of investors facing a large number of firm-initiated stock trading suspension events during the Chinese stock market crisis in July of 2015. Using account-level trading data from the Shanghai Stock Exchange, we find that investors with a higher fraction of holding value in suspension sell less (or purchase more) of non-suspended stocks. Consequently, non-suspended stocks whose shareholders having high average account- level suspension fraction experience a relative price appreciation, which subsequently reverses. These evidences indicate that trading suspension can calm down investors and therefore helps to stabilize the volatile market in crisis time.

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.