学界关于指数效应研究一直争论不断，尤其我国沪深 300 指数，文献中结论几乎完全相反，本文表明这些结论差异可能源自传统回归方法的缺陷。针对 Beneish 和 Whaley（1996）称作“标普游戏”（套利）的指数效应，本文利用断点回归实验，验证了沪深 300 指数效应，并通过双重差分（DID）和异常收益率分布检验验证实验结果稳健性。沪深 300 指数成分每年按照市值排名高低调入调出指数，提供难得自然实验环境。排名断点的处置效应显著，调入股票相对其对照组（未调入指数的股票）出现了大约 15%的正异常收益率，调出股票宣告日前相对于其对照组（保留在指数的股票）产生大约 10%的超幅下跌，并在宣告日后第 6 天发生反转回复到宣告前水平，但是显著性不足，说明我国沪深 300 指数效应不具有对称性。

This research explores the effects of adding bitcoin to an optimal portfolio (naïve, long-only, unconstrained and semi-constrained) of by relying on mean-CVaR approach in Chinese market. Then backtesting to compare the performance of portfolios with and without bitcoin for each scenario is performed. Results show significant but weak correlations between various asset classes and bitcoin, implying a more mature financial profile of bitcoin in China compared to that in the west. Backtesting results show that the effect of adding bitcoin to optimal portfolios is not consistent over the entire out-of-sample period. The naïve and the long-only strategy improved the risk reward ratio up until the late 2013 price-crash with no significant advantages thereafter. Shorting strategies on the other hand, with or without leverage, fail to produce more efficient portfolios when bitcoin is added, and this is consistent over the entire out-of-sample period. The results also show that semi-annual rebalancing amplifies the advantages of adding bitcoin to most portfolios except for the semi-constrained portfolio, although the weights analysis show significant shifts in weights which might not represent a feasible strategy in realistic scenarios.

Open banking facilitates data sharing consented by customers who generate the data, with a regulatory goal of promoting competition between traditional banks and challenger fintech entrants. We study lending market competition when sharing banks’ customer data enables better borrower screening or targeting by fintech lenders. Open banking could make the entire financial industry better off yet leave all borrowers worse off, even if borrowers could choose whether to share their data. We highlight the importance of equilibrium credit quality inference from borrowers’ endogenous sign-up decisions. When data sharing triggers privacy concerns by facilitating exploitative targeted loans, the equilibrium sign-up population can grow with the degree of privacy concerns.

Using data on stock trading and accounting information from 2000 to 2018, we construct 426 anomalies and propose the multiple hurdle of 2.85 in the Chinese A-share stock market. With single sort portfolio analysis on value-weighted returns, we find that 98 (27) anomalies have significant raw returns at the 5% level with absolute t-value larger than 1.96 (2.85). After risk adjustment using the Liu, Stambaugh and Yuan (2019) three-factor model, 16 (2) anomalies have significant alphas for single (multiple) tests, about half of which are based on liquidity information, while alphas for accounting anomalies are less significant. After regressing on the four-factor model with turnover, the liquidity anomalies become insignificant. We construct the composite anomalies, and find that the majority can pass the multiple test hurdle.

金融漏损现象在中国经济转轨过程中长期存在，其引致的金融风险逐步累积，一旦引发系统性风险势必阻滞中国经济金融改革与发展的步伐。文章基于2001-2012年间金融漏损的相关指标，利用主成分分析法验证了市场失灵与政府失灵视角下金融漏损的形成机理。研究表明，金融漏损的市场失灵因素主要是信贷资源错配下的低效率运营，政府的持续扩张行为是政府失灵引致金融漏损的主要原因；市场失灵引致的金融漏损不断下降，政府失灵下的金融漏损却不断上升。消除金融漏损应打破金融垄断，增强市场机制作用，并解决政府激励与约束的非均衡性，使政府恪守“守夜人”职能。

IPO过程中是否存在向上盈余管理是研究者和政策制定者持久关注的话题，动机和机会是影响IPO过程盈余管理行为的重要因素，本文以股权分置改革为契机检验了制度变迁所导致的决策主体利益函数变化对IPO过程盈余管理行为的影响。研究发现，由于IPO过程严苛的法律监管和高额的法律风险，IPO前向上盈余管理幅度显著低于IPO后的盈余管理幅度，上述现象在股权分置改革之后更为明显，而这种现象主要存在于获得实质性流通权的民营上市公司当中。这意味着，股权分置改革改变了大股东的盈余管理动机和盈余管理行为模型，未来监管的重点应该后置，需要特别关注最终控制人股票限售期期满之时的会计质量。

货币长期中性的论断一直在理论上占主导地位，但现实中,通胀、通缩对经济增长与发展的影响却无法忽视。西方经济学认为货币是中性的，但中央银行的认知水平、制定和实施货币政策的专业技能、以及货币制度在共同影响经济绩效。

To tackle the problems in the measurement of money demand, this paper holds that: money demand could be divided into different parts including basic demands, other demands, reasonable demands and so forth; relatively accurate measurement could be made for basic demand and reasonable demand through the application of big data technology; in-depth studies on the basic functions, mutual relations and quantitative methods of the above demands would be beneficial for more accurate measurement of money demand.

各界都比较关注创投机构的增值功能，但少有人深入研究到底是创投提升了企业业绩还是发现了企业业绩并选择了企业。本文首先分析了创投与被投资企业业绩间互为因果的内生关系，然后用工具变量法和滞后变量法处理内生性问题，并分别检验创投机构对企业业绩的筛选功能和增值作用。以深圳创业板2009-2011年上市的公司为样本得到的实证结果显示，创投机构的投资和持股因素在各种模型检验中都与企业业绩显著负相关；企业业绩对创投投资概率的影响不明显；多种均值比较结果显示有创投支持的企业其综合业绩、长期业绩均值以及创投投资前的业绩都比无创投支持的企业差。

影响决策之变量有个人特征、社会影响及情境因素等等，其中个人特征部分又分为：个人资源、动机涉入、知识、态度、人格、价值观与生活型态(Engel 和 Black wall，1990)。而态度，是指人由经验而组织起来的对人、事、物以及周围世界所做的评价，既反映出个人对某些事情的感觉，也是一种相当持久且一致的行为倾向（荣泰生，1999）。而金钱意义除了表面上的购买能力外，还对不同人所代表的意涵也是有所不同的（Keller, C., & Siegrist, M.，2005）。故投资人对金钱的态度会影响投资者决策行为；而投资者不同的风险承担程度会对投资动机产生影响(陈丽梅，2010)。 　　因此，本研究将以(Farley,2000)之风险承担程量表包括风险规避、风险接受及风险偏好三个构面； Yamauchi and Templer(1982)的金态度量表包括权?/名望、保?/时间、诱惑以及焦虑四个构面；及江佳宇(2006)之投资决策量表包括投资信息、产品熟悉度、商业消息、投资者信心及投资意图五个构面对三个变量作为衡量之基础。以观察风险承担程和金钱态度对投资决策的影响程度；同时以金钱态度作为中介变项解释投资决策，以探讨潜在依变项金钱态度是否能增加风险承担对投资决策的解释力。 　　研究结果显示：在人口统计变量分析发现：性别对各变数皆无显著差异；而年龄、教育程度、月收入、投资经验对各变量皆有显著性差异；婚姻状况则只对风险承担形成显著差异；而投资时间之长短则不会显著影响风险承担程度，但显著影响其他变量。各变量以结构方程模式（structural equation model, SEM）作研究工具分析发现：(1)风险承担会影响投资决策部分成立。(2)金钱态度影响投资决策部分成立。(3)当金钱态度作为完全中介变量以增加风险承担对投资决策的解释力部分成立 ,即投资者金钱态度能作为风险承担对投资决策之中介作用。