Many prior studies conclude that Chinese independent directors engage in window dressing. The results of research into the relationship between the proportion of independent directors on the board and firm performance are mixed. We use the number of negative opinions issued by a firm’s independent directors as a proxy for their effectiveness in the monitoring role they play. We hypothesize that both board structure and the personal characteristics of independent directors influence the effectiveness of monitoring. Using a matched control sample of firms in which there were no disputes in the board room over the sample period, we find that independent directors who have more political capital, such as former government officials, Communist Party members, and those who also have a senior management position in another firm are more likely to issue negative opinions. We also find that the independent directors of firms with more balanced power structure in board and those that operate in a better institutional environment have a greater tendency to issue negative opinions.

The controlling shareholder of a firm may suffer as a result of its right to control the firm due to unfavorable market reactions associated with concerns on private benefit extraction by the controlling shareholder. Thus, the controlling shareholder has an incentive to build a good governance mechanism as a commitment device in order to discipline itself, which allows it to sell shares at a higher price in the initial public offering (IPO). An improvement in pricing efficiency will give the controlling shareholder more incentive to limit its private benefits from controlling the firm. Therefore, we propose that, besides improving the efficiency of capital allocation, the development of the financial market can shape the corporate governance of firms in an economy, thus improving firm operation efficiency. A model of IPO is constructed to demonstrate this mechanism of market discipline. Using data from China stock market on the regulatory changes in IPO pricing and firm ownership structure, we find evidence consistent with the model’s implications.

Previous studies have typically found a negative relation between pyramidal ownership and firm value, and have interpreted it as supporting evidence of the incentive problems created by pyramiding. Those studies, however, do not adequately control for the endogeneity of ownership to factors that also affect firm performance, leaving the agency problem indistinguishable from the unfavorable fundamental shock. Using a unique sample of privately owned listed enterprises in China, this paper examines the effect of pyramidal ownership on returns in response to the announcement of the Share Split Reform in China. This reform triggered zero fundamental shocks but resurrected entrepreneurial incentives in proportion to the separation of ownership and control. Estimates of agency cost of pyramidal ownership are significant and material, and are robust against a range of alternative hypotheses. Moreover, institutional investors appear to appreciate the reform more when a firm’s pyramidal ownership is less separated. The findings suggest that, despite the endogenous determinant of ownership choice, agency theory alone successfully explains the pyramidal discount.

We investigate the role played by institutional development in the prevalence and value of family firms, while controlling for the potential effect of cultural norms. China provides a good research lab since it combines great heterogeneity in institutional development across the Chinese provinces with homogeneity in cultural norms, law, and regulation. Using hand-collected data from publicly listed Chinese firms, we find that, when institutional efficiency is low, family ownership and management increase value, while family control in excess of ownership reduces value. When institutional efficiency is high, none of these effects are significant.

This paper investigates the impact of ownership and ownership concentration on the performance of China’s listed firms. By recognizing the differences between ownership and ownership concentration and between total ownership concentration and tradable ownership concentration, we conduct simplex, interactive and joint analyses. We find that ownership concentration is approximately associated with higher firm performance. Ownership concentration is more powerful than any category of ownership in determining firm performance. Firm performance is better when the state is the largest of the top shareholders and/or institutions dominate ownership among the top tradable shareholders. Our results support the theory that high ownership concentration mitigates the agency problem.

This study investigates how ultimate controlling shareholders influence dividends payout policy in industrial firms in the natural experimental setting of Hong Kong, which features no tax on dividends and the prevalence of concentrated ownership. We find that the ultimate control held by the controlling shareholders is negatively associated with the level of dividends payout, consistent with the agency costs explanation of dividends; and that the dividend payout behavior in firms with controlling shareholders exhibits similar patterns as in US, UK and EU firms. We also conduct separate analysis on family controlled and state controlled firms and find that the heterogeneity across these large shareholders has a confounding effect on corporate dividend payout behavior.

This paper evidences a lead-lag relationship between securities which experience high levels of short-selling and those that do not. This is based on evidence that short-selling increases the speed with which information, especially negative information, is absorbed into prices. Previous literature mainly focus on the presence of short-selling and its effect on prices. This paper focuses on the magnitude of short-selling and finds a strong lead-lag relationship between returns of stocks that experience heavy short-selling compared to those that experience slight amounts. The relationship conforms to that of Chordia & Swaminthan’s (2000) speed adjustment hypothesis, in that it facilitates the imputation of common information. The relationship is strongest in small illiquid stocks where short-selling aids in the imputation of common information symmetrically and asymmetrically, and reduces as stocks become larger and more liquid. However in extremely volatile markets this relationship suffers. The relationship is robust to various factors including out of sample tests, accounting for size, and accounting for volume. Of note is the finding that short-selling aids in information imputation over-and-above the efficiency attributed to sophisticated investors. This indicates that market maker and uninformed short-sales add to the lead-lag effect.

本文在全面回顾跨境贸易计价货币选择理论的基础上，通过引入贸易国利差变量拓展了Goldberg and Tille (2005)模型，并实证分析了1984-2009年日元计价货币选择的影响因素。我们的研究发现，出口商倾向于选择利率高、预期将升值的货币作为计价货币。日元持续升值、日本出口企业竞争力的提高有利于日元计价货币的选择，日美利差的扩大不利于日元计价货币的选择，日本出口商以日元作为计价货币具有较强的惯性。

本文借鉴Jegadeesh 和Titman（1993）的动量检验方法，检验了2000 年1 月至2009 年6 月之 间所有存续时间超过24 个月的中国股票型基金业绩是否存在持续性，结果发现170 支样本基金的业绩在 12 个月内存在显著的持续性，并且这种持续性不能为资本资产定价模型（CAPM）以及Fama-French 三因 素模型所解释。在此基础上，本文借鉴Carhart（1997）的方法，检验了基金的各项特征是否对基金业绩持 续性具有影响，结果发现除基金已往业绩外，并未发现基金的其他特征对基金业绩持续性具有显著的影响。 本文的研究对于投资者选择基金具有一定的指导意义，同时对于帮助我们加深对中国资本市场运行规律的 认识具有一定的意义。

作为一种特殊的大宗商品，黄金具有商品、货币和避险的多重属性，在此次金融危机中，黄金表 现出了较强的货币和避险属性。就当前货币体系下的黄金定价问题：本文提出了一个基于各大类资产时间 序列定价（大类资产定价）的新思路，模型综合考虑了黄金的商品、货币和避险属性，将黄金价值分解为： 商品基准价值、基于汇率（货币篮子）的“隐性货币价值”和主权国家信用违约的风险溢价，并分别以大宗 商品CRB指数、美元指数USDX和美国国债CDS利差等资产价格作为代理变量对其进行定价研究。向量自 回归（VAR）模型研究表明：美元指数USDX负向驱动黄金价格，大宗商品指数CRB、美国国债指数CDS 正向驱动黄金价格；其中大宗商品指数CRB滞后一阶、美元指数USDX滞后一阶、美国国债CDS利差滞后 二阶价格信息对黄金价格的影响最显著。研究还表明：黄金价格波动率存在聚类性、长记忆性，但不存在 非对称性。