以我国的股权分置为原型，本文抽象出流通权分割结构是否影响公司价值的问题。以MM定理I的假设为基础，运用投资组合复制法论证了企业价值与流通权分割结构无关。本文同时研究扩充了MM定理II。同时认为，资产定价的流动性效应和本文的研究结论本质上是一致的，并应用这一最新的理论框架分析了我国的股份分置及改革问题。进一步讲，本文提出的公司价值四维模型很好地回答了股权分置对股市定价问题的影响机理。

本文以沪深全部上市公司1990 -2004的IPO面饭数据，运用多元回归的方法，研究市场时机行为中I资本结构的影响及其持续性。研究发现，我国股市明显存在市场时机选择行为，并且对上市公司的资本主市构影响显著;公司的历史估值和杠杆水平之间具有显著的负相关性，历史估值得上升一个单位，将引起账面杠杆和市值扪柯:分别下降4.87和2.9个单位;进一步研究表明，中国上市公司市场时机对资本结构的影响咱可以持续5-8年。

In recent times, the prices of internationally-traded commodities have reached record highs and are expected to continue growing in the foreseeable future. This phenomenon is partially driven by strong demand from a small number of emerging economies, such as China and India. This paper places the recent commodity price boom in historical context, drawing on an investigation of the long-term time-series properties, and presents unique features for 33 individual commodity prices. Using a new methodology for examining cross-sectional variation of commodity returns and its components, we find strong evidence that the prices of world primary commodities are extremely volatile. In addition, prices are roughly 30 percent more volatile under floating than under fixed exchange rate regimes. Finally, using the capital asset pricing model as a loose framework, we find that global macroeconomic risk components have become relatively more important in explaining commodity price volatility.

This paper explores whether the pricing of the option-type derivative is affected by some of fundamental characteristics, such as size and liquidity of the derivative itself and the underlying asset, which are not involved in the standard pricing theory. Considering the unique status of warrants in China due to the relatively more flexible trading mechanism, I empirically examine the pricing of Chinese covered warrants to develop this study. Empirical results show that market prices of Chinese warrants are significantly higher than theoretical prices predicted by traditional pricing models such as Black-Scholes, Jump-Diffusion, and CEV model. For call warrants, about 25 percent of the market price can not be explained by pricing models, and this figure rises to over 60 percent for put warrants. Further regression tests show that both size and liquidity of warrants and underlying stocks significantly affect warrant pricing errors. The way in which the size and liquidity affect the pricing error depends on the type of warrants. In addition, it is evident that movements of put warrant prices in China do not follow movements of stock prices. To explain the above pricing puzzles,the concept of functional asset pricing is proposed. According to this concept, these pricing puzzles just reflect the existence of functional value of financial instruments that has long been neglected by traditional pricing models. In fact, Due to the high level of liquidity and popularity, the Chinese warrant may well function as a good tool for obtaining short-term profits. The pricing of Chinese warrants by the market may correctly re°ect the value of this function, and thus is rational in essence.

This paper assesses the impact of the recent financial reforms in China. Following the country’s accession to the World Trade Organization, financial liberalisation has picked up considerable momentum. Measures introduced encompass deregulation in the banking sector and refinements in various financial markets, as well as allowing more freedom for Chinese and foreign investors to participate and interact domestically and overseas. Compared to other studies on financial liberalisation, this study focuses on a relatively narrower aspect of financial reforms namely, the impact on stock market liquidity. Using a panel data set drawn from the Shanghai stock market, we find a positive and significant liquidity impact associated with the recent round of measures, which reflects not only an improvement in capital allocation efficiency in China’s equity market but, from a financial stability point of view, also a reduction in its vulnerability. The finding also provides evidence on one of the important channels in which financial liberalisation can be transformed into economic growth over time.

The study aims to analyze the role of institutional investors in mediating the interest conflicts between blockholders and minority shareholders in emerging markets. China’s Non-tradable Share Reform provides us a perfect research environment. Before the reform, the ownership of Chinese public firms was concentrated in one or several blockholders. This part of block shares was non-tradable, and tradable shares were held by minority shareholders and institutional investors like mutual funds. Chinese government launched Non-tradable Share Reform in 2005, giving non-tradable shares liquidity rights. At the same time, non-tradable share owners had to compensate tradable share owners, such as offering a certain percentage of shares to them. The compensation schemes were advanced by non-tradable share owners and must be supported by two-thirds of votes cast by tradable share owners. Our study finds that institutional investors did actively participate in voting, but their number and holdings were reversely related with the compensation level. Our results suggest that institutional investors played shareholder activism in this reform, but their activism served for blockholder’s interests rather than minority shareholders’.

We examine changes in market values and accounting returns for a sample of publicly traded Chinese firms around announcements of block-share transfers among government agencies (“State Bureaucrats”), market-oriented State-owned enterprises (“MOSOEs”) and private investors (“Private Entities”). We provide evidence that transfers from State Bureaucrats to Private Entities result in larger increases in market value and accounting returns than transfers to MOSOEs. We also find that CEO turnover occurs more quickly when shares are transferred to Private Entities. Moreover, we find that the changes in firm value and accounting returns as well as the likelihood of CEO turnover are all functions of the incentives and managerial expertise of the new block holder. We conclude that corporate governance can be improved at State-controlled firms by improving the incentives and managerial expertise of controlling block holders, and that this is better accomplished by transferring ownership to private investors rather than by shuffling ownership among State controlled entities.

We study the relationship between firm value and related party transactions (RPTs) in China. We find that firm value (as measured by Tobin’s Q) is negatively related to RPTs but the relation becomes insignificant after controlling for corporate governance characteristics. Following Cheung, Rau and Stouraitis (2006), we use abnormal returns in response to announcements of RPTs as a direct measure of the impact of RPTs on firm value. We observe significantly negative abnormal returns before the Share Structure Reform. After the reform, the abnormal returns become insignificant. The evidence suggests that RPTs are not as detrimental to firm value after the reform as they were before the reform. This is consistent with our hypothesis that the reform increases the takeover pressure from external market and thus moderates controlling shareholders’ propensity to tunnel wealth via RPTs.

We examine the diversification patterns of almost all publicly listed non-financial companies in China during the 2001 to 2005 period. More than 70 percent of the firms in our sample are diversified. We document that patterns of diversification strongly depend on firms’ political connections. Former local bureaucrats are more likely than other CEOs to enter multiple industries. This effect is particularly pronounced in state-owned enterprises (SOEs) that operate in weak institutional environments. These companies are particularly prone to entering low-growth, low-profitability, and unrelated industries. Consequently, the performance effects of diversification differ sharply across SOEs and private firms. While the latter earn a premium from diversifying their operations, SOEs do not. Our results are consistent with the view that provincial and local governments push Chinese SOEs into unattractive sectors of the economy and that politically connected CEOs use their relationships to build corporate empires.

The 2005 policy decision to change the status of non-tradable state and non-state shares into tradable A shares ushers in a new era in the stock markets of China. Over time all of these shares will be tradable and potentially transferred to foreign and domestic private sector investors. These changes have the potential to significantly alter the monitoring and control of the majority of listed firms that until now have been controlled by tightly held blockholders of non-tradable shares. It is therefore timely to reassess the corporate governance of Chinese listed firms. This paper reviews the theoretical and empirical corporate governance literature in China.