The long-run underperformance of the initial public offerings is one of the three hot issues in IPO research area,until 2000,the scholars in China began to research it,hence,the related theory is far from absent,therefore,many theories need to be completed. The article studied the long-run performance of 174 shares issued in Small and Medium-sized Board from the day after the first trading day to three years.It found that the shares show underperformance since the first month after its going to public,which will continue to the second year.But the shares showed strong performance compared with the Shenzhen A-share Composite Index.

China began allowing short selling and margin trading in 90 stocks in March 2010. This event provides an opportunity to test the relative effect of margin trading and short selling. We find the prices of these 90 stocks decrease, on average, relative to peer stocks in China and cross-listed H-shares, suggesting that short selling dominates margin trading effects. Contrary to the regulators? intention, and recent empirical evidence, liquidity declines in the shortable stocks. This may imply avoidance of these stocks by uninformed investors. There is also evidence of higher bid-ask spreads following the regulation change.

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated long-run stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China’s equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments.

This paper examines the impact of renminbi revaluation on foreign firm valuation and, by implication, firm prospects. To deal with the potential endogeneity of exchange rate movements, we consider not just official announcements of exchange rate policy but also 27 instances of market-perceived changes in China’s currency policy driven by domestic or foreign political pressure. Using information on 12,300 firms in 44 countries, we find that stock returns increased with renminbi revaluation expectations. This reaction was related as much to improved market sentiment as to specific trade channels, however. In terms of trade channels, we find that expectations of renminbi appreciation reduce the relative stock returns of firms providing components and raw materials to China as inputs for the country’s exports. There is also some evidence that expectations of renminbi appreciation reduce the stock prices of financiallyconstrained firms.

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

投资组合保险策略因其规避下方风险同时不失去从上升市场中获利而受到欢迎。正是由于对下方风险的规避其收益率不再服从对数正态分布的假设，因此，传统的绩效评价准则如方差、SHARPE比率不再适用，而基于分布的随机占优准则是一个良好的替代。由于投资组合保险策略之间具有较强的相关性，本文在随机占优准则实证中采用subsample方法考察不同投资组合保险策略绩效之间的关系，表明投资组合保险策略随机占优于其他策略，OBPI策略优于CPP策略，CPPI策略优于TIPP策略；同时本文考察了以沪深300、上证50、上证180等不同指数作为风险资产的投资组合保险策略绩效的差异，实证表明沪深300作为风险资产的投资组合保险策略要优于其他指数作为风险资产的投资组合保险策略。

世界各国政府积极地推行的通胀目标政策，导致了当前的流动性泛滥，价格的发散以及全球性通胀，利率的长期偏离又引致投机的盛行，低效的投资和资产泡沫的膨胀，当这种短期性增长不可持续时，经济将以危机收场，最终恢复至本来位置。本文在财政和货币政策协作机制下，建立了具有非零通胀稳态的粘性价格和粘性工资的新凯恩斯模型，研究了财政支配机制中的最优通货膨胀，分析表明：财政和货币政策共同决定通胀，财政支配机制中的最优通货膨胀正向偏离稳态，而这种偏离是以财政对因通胀产生的资源配置扭曲性影响的效用补偿为前提的，即当财政对社会存在效用的补偿时，才具有正向偏离稳态的最优通胀，这是“适度的通胀有益于经济增长”的唯一理由。同时，最优的实际利率大于零，且最优的名义利率为通胀与实际资本回报的比例之和，财政的补偿性效应的存在并不对利率和通胀政策产生实质性影响，即财政补偿效用和实际利率是对通胀所产生的资源配置的扭曲性影响的对价补偿。分析同时还表明财政和货币协作是治理通胀和平抑波动有效政策方式，通胀和利率相当于一个硬币的两面，两者长期的偏离不导致社会福利恶化的唯一可能性条件是财政对社会的效用补偿。

本文研究的是利用支出比重法和动态因子法建立纳入资产价格的通货膨胀指数。通过比较分析1998-2010年纳入房地产、股票和大宗商品等资产价格的通货膨胀指数与当前通货膨胀指数之间的异同，可以得到以下结论：目前通胀水平被低估，尤其是在通胀高企的时期；加入房地产、大宗商品价格的通胀指数与目前通胀指数具有高度的一致性，应将房地产价格波动纳入当前通胀指数，并部分考虑大宗商品价格指数的影响；动态因子法是构建纳入资产价格的通货膨胀测度的较好方法。

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium that is robust even for non-January months but is heightened in January. We also find that the reversal of the size effect in January reported by Chui and Wei (1998) is unique to their study period, while the general reversal of the size effect reported by Lam (2002) may be due to a sample dominated by firms with low to medium book equity-to-market ratios. The book to market effect or value premium is weaker than the size effect and less consistent than in Fama and French (1993) and Drew and Veeraraghavan (2003). Our results also support the explanation that the size and value premia are rewards for risk bearing consistent with the efficient market hypothesis. We further find a large improvement in explanatory power provided by the French and Fama model relative to the CAPM but that the FF model is mis-specified for the Hong Kong market.

盈余和股东权益的账面价值是投资者最常用的估值基础。然而盈余的可靠性（用盈余管理程度表示）可能会影响其价值相关性，继而可能影响账面价值的价值相关性。本文通过分析盈余管理对这两个估值基础价值相关性的影响，将盈余管理、价值相关性和公司估值这三者联系起来。笔者在Ohlson模型中加入盈余管理虚拟变量观察盈余管理对盈余和账面价值的价值相关性的影响。实证结果表明盈余管理虽然不会降低盈余的价值相关性，但是会在一定程度上提高账面价值在估值中作用。在此基础上，笔者研究了基于盈余信息的市盈率模型（P/E）和基于账面价值信息的市净率模型（P/B）在我国资本市场上的估值实务，结果表明盈余管理不会影响P/E和P/B相对估值模型的准确度，但在我国P/B模型的表现要优于P/E模型。