This paper investigates what drives the price disparity to vary in the “twin” shares (A shares traded largely by domestic investors while B- and H- shares traded mainly by foreign investors) in China. Extending the variance decomposition framework of Vuolteenaho (2002), we decompose the unexpected price disparity into two terms: difference in expected return news and difference in cash flow news. Our results show that difference in expected return news overwhelmingly dominates difference in cash flow news in driving the variation of the price disparity. This suggests that to a large extent, market or macro news, rather than firms’ specific news, moves the price disparity of the twin shares.

：目前国内外文献中对于涨跌幅限制在涨跌停日的真实绩效尚无有效的估计方法。 本文通过对股票日收益数据的二次处理分清了涨跌幅限制在涨跌停日的两种作用——限价 作用和助涨跌作用，首次将混合正态-GARCH(1,1)模型引入涨跌幅限制的研究中，并用该模 型研究了我国沪市不同公司规模的股票，结果表明：第一，混合正态-GARCH(1,1)比简单混 合正态模型能更好地拟合我国沪市的日个股收益数据；第二，涨跌幅限制在涨跌停日并没有 起到提高股票信息有效性和降低股价波动的作用；第三，涨跌幅限制的真实绩效与公司规模 无关，且不存在涨、跌停日的非对称影响。

This paper studies the optimal scale and asset allocation of Sovereign Wealth Fund (SWF), taking China’s SWF as an example. We use the AR (1) process to simulate the future foreign exchange earnings of China and generate three patterns of the future earnings. With these three scenarios and based on Deaton’s precautionary saving model, we find that the optimal scale and asset allocation of China’s SWF mainly depend on the expected trend and fluctuation of the future foreign exchange earnings and expected yields that SWF can get. When foreign exchange earnings shows an upward trend, the scale of SWF should not be expanded even the expected investment yield is very high, and ratio of risky assets should be kept stable and high. When foreign exchange earnings is stabilized as its growth rate slows down, the scale of SWF has the positive correlation with the degree of earnings fluctuation and expected yield of investment, and also ratio of risky assets is generally lower. When foreign exchange earnings decrease, the scale of SWF should be expanded even the expected investment yield is not so high, and the ratio of risky assets is dependent on the characteristics of expected investment yields. We also conclude that investment policy of China’s SWF should follow Temasek’s investment model, under the current trend of China’s foreign exchange trend, and strive for high yield investment chances.

We empirically examine the role of venture capital in VC-backed listed firms in Mainland China. It is found that the VC-backed firms experience higher underpricing as the investors in the second market are too optimistic about the prospect of the VC-backed firms, but not about the lower pricing in the primary market. In addition, the pre- and post-IPO operating performance of VC-backed firms are found to be significantly better than that of non VC-backed ones. The result supports the monitoring model. Meanwhile, there is no evidence to support the certification model. Furthermore, it is consistent with the grandstanding model proposed by Gompers that high-reputation VC-backed firms have a better post-IPO operating and market performance compared to low-reputation VC-backed ones.

宏观——利率期限结构联合模型的建立有效地解释了宏观经济冲击对期限结构因子及期限结构移动的影响。本文在宏观——国债利率期限结构 VAR 模型中，加入无套利定价条件，探讨无套利约束后对模型的改善性。实证得出，引入宏观因子和无套利约束对短期期限结构模型并没有改善作用， 而对中期即期利率的预测效果明显优于未引入宏观因子和无套利约束，但至于更长期限的即期利率，这种优越性并没有体现出来。

由于过多的资金流入会使基金的规模变大从而难以有效地管理，基金公司暂停旗下某只基金申购的现象越来越多。基金公司暂停申购的公告中大多宣称是为了控制基金规模，使前期表现好的基金可以维持其良好的业绩表现，从而保护投资者的利益。但是，我们对国内暂停申购的开放式基金进行实证研究后发现，暂停申购的基金未能维持其良好表现，暂停申购未能保护投资者利益。做出暂停申购的决定更可能是基金公司为了得到溢出效应（spillover effect）：基金公司通过关闭旗下的一只基金来引起投资者注意并促使其投资于公 司旗下的其他基金。有证据表明这种暂停申购的策略能有效的引起更多的资金流入该基金公司。

We study corporate philanthropy using an original database that includes firm-level data on cash giving, political connection, and institutional environment in corporate contribution after Sichuan Earthquake at 12, May, 2008. Results provide support for the theory that political connection enhances corporate philanthropy, as firms with political connection tend to adopt giving practices to generate insurance-like protection of relational wealth; meanwhile firms that condition high levels of law enforcement environment and low risks of loss political connection give less to charity. However, much of our evidence indicates that mangers adopt corporate philanthropy to maintain personal political connection with governments which mask their personal benefits from philanthropic contribution and philanthropy insurance-like protection theory combined with agency costs play a prominent role in explaining corporate giving. Firms with political connection, larger boards of directors and higher interest conflicts among controlling shareholders and other investors are associated with significantly more cash giving. The empirical work considers the impact of institutional environment as well as risks of loss political connection on corporate giving and the relationship between political connection and corporate social responsibility.

已有文献的研究表明，政府干预和企业所有权性质是影响我国企业贷款数量和贷 款期限的重要因素，但都没有考虑这两个因素对企业贷款方式的影响差异。本文以我国2001 －2005 年所有上市公司的经验数据为研究对象，实证分析债权人保护在不同所有制和政府 干预程度下，企业获得的信用贷款差异。研究结果发现，我国国有上市公司确实获得了较非 国有上市公司更多的信用贷款；债权人权利保护得越好，企业能获得更多的信用贷款；但国 有上市公司与非国有上市公司在获得银行长期信用贷款方面并没有显著差异；而且在政府干 预严重的地区，即使是国有上市公司，伴随债权人权利受到的法律保护改善，企业也较难获 得更多的信用贷款。

本文采用GMM（广义距估计）方法对中国沪深两市2001-2006年所有非金融类上市公司的CEO权力对资本结构的影响进行了考察，进而对此期间233个发生财务危机公司和相应经营正常公司的CEO权力对公司资本结构的影响开展比较研究。结果表明，CEO权力大小与公司资本结构呈负相关关系，即CEO权力是影响公司资本结构选择的因素之一。通过对财务危机公司和经营正常公司CEO权力对资本结构影响差异的考察，发现CEO适当集权有助于财务危机公司负债比率的下降。因此本文认为不能否定CEO适度集权，应当选择约束与激励相结合的策略。

本文从股权结构角度研究第一大股东持股比例、第一大股东性质、股权制衡对 投资的影响，以投资现金流敏感度为切入点，将股权结构变量纳入投资模型进行研究，通过 实证研究得出在第一大股东控股的情况下上市公司投资对现金流敏感的原因是投资过度，在 具有股权制衡结构的公司中，其他股东持股比例能起到监督作用。