“法和金融学”（Law and Finance）是由金融学和法学交叉而形成的一门新兴学科，她是自20世纪70年代兴起的“法和经济学”（Law and Economics）的延伸。法和金融学应用经济金融理论和计量经济学方法分析和探究法律和法律制度对国家金融体系的形成、金融体系配置资源的效率、各国公司治理构架的形成及经济发展的影响。“法和金融学”有两大研究方向：一是结合法律制度来研究金融学问题，也就是以金融学为中心、同时研究涉及的法律问题，强调法律这一制度性因素对金融主体行为的影响。二是利用金融学的研究方法来研究法学问题，例如金融立法和监管的经济学分析。本文综述了“法和金融学”学派的主要观点，论文从对ＬＬＳＶ的著名论文“法律与金融”论述开始，接着论述了有关学者对金融法对公司治理、经济增长影响的相关研究；并综述了对LLSV的反对意见。最后，对“法和金融学”进行了简单的评论，并就我国开展“法和金融学”研究提出了意见。

A government policy aimed at the reduction of state shares in state-owned enterprises (SOE) triggered a crash in Chinas stock market. The sustained depression and spillover even after the policy adjustments were over constitute a puzzle the so-called state-share paradox. The empirical study finds evidence in two dimensions. First, a regime switching model with an absorbing state suggests that government policy switches the regime to liquidity black holes. Second, there is no evidence of light-to-liquidity during the crash, suggesting to model the crash as an aggregate phenomenon of the whole market. To carefully match the evidence, a theoretical model is set up within the framework of market microstructure. The state-share paradox is not a simply instance of news-driven crash. The model shows that Chinas stock market has distinctive features of liquidity production and price discovery. The irregularities of a representative liquidity supporter generate an inverted-S demand curve and give rise to potential liquidity black holes. Multiple equilibria and the resulting large drop in prices arise from supply dynamics of short-run investors, who buy the stock from the primary market liquidate their long positions in the secondary market. This study contributes a rational panics hypothesis to the literature. The rational panics hypothesis is neither an rational model with noise traders, nor a standard rational expectation model under the asymmetric information framework. It is based on homogeneous agents with incomplete information, and is consistent with the evidence of absorbing regime switching and the recent literature on state-dependent preference. Our findings have larger implications for ine¢ ciency of Chinas stock market.

本文应用一种新的估计利率期限结构的方法，对中国、美国、日本和印度国债市场的利率期限结构和利率风险的市场价格进行了估计和计算，得到中国国债市场的利率风险的市场价格为零，而美国、日本和印度的利率风险的市场价格显著不为零，而且几乎相等。这说明中国国债市场的投机性明显高于美国、日本和印度的国债市场。

中国股票市场在推进规范化、市场化的过程中仍旧存在着种种问题，这需要我们从股市投资者结构、政策市特征、投资者行为及其差异、全流通问题及QFII的影响等多方面入手，来正确寻找中国股市问题的症结所在，从而才能对新时期我国股票市场的运行状况有一个清醒及彻底的认识，并为市场的规范化道路扫清认识上的障碍。

Using daily data from May 2000 to January 2004, this study examines the risk, return, security selection and market timing performance of China’s security investment funds, in comparison with the performance of SIFs in the U.S. Our results indicate that China investment funds show superior marketing timing performance while U.S. fund managers display stronger security selection ability. These results imply that the potential synergy for Sino-U.S. joint venture investment funds could be tremendous. Additional analysis of the trading volume of closed-end funds in China illustrates that investors’ interests in SIFs are strongly and positively related to fund performance. Results also indicate that Chinese investors favor professionally managed funds more than direct investment in stocks during negative market conditions.

本文通过对沪深上市公司的经验研究发现，公司股权结构对公司绩效有显著影响，当国有（法人）股权增加或减少时，公司绩效的变化与法人（国有）股权的水平有关。因此，在国有资产管理当局选择最优国有股权水平时，应该同时考虑法人股权水平大小对公司绩效的影响。

我国上海和深圳股票市场普遍存在重消息、轻业绩的现象，来自各个层面的消息往往会导致股票价格指数大幅度波动。本文对上证综合指数和深证成份指数历年数据做统计检测，以描述指数本身波动所具有的特征。在此基础上，本文构建GARCH系列模型判断并检验市场利好和利空信息对股指波动程度的影响，从实证角度得出股指波动对利好和利空信息冲击具有非对称性的特征。

This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of "value ambiguity", or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that: (1) On average, High IU firms earn lower future resturns (the "mean" effect), and (2) Price and earnings momentum effects are much stronger among high IU firms (the "interaction" effect). These findings are consistent with theoretical models that feature investor overconfidence (Daniel et al. (1998)) and information cascades (Bikhchandani et al. (1992)). Specifically, our evidence indicates that high IU exacerbates investor overconfidence and limits rational arbitrage.

This paper generalizes the Myers and Majluf (1984) model by introducing an agency cost structure based on private benefits of control. This new model predicts that many corporate finance variables each have opposing effects on under- and overinvestment. Private benefits exacerbate overinvestment but, interestingly, a small amount of private benefits can enhance firm value by alleviating underinvestment. Likewise, an increase in insider ownership alleviates overinvestment but aggravates underinvestment. When private benefits are small, the adverse effect of insider ownership on underinvestment tends to dominate. When there are considerable private benefits, the incentive-alignment effect of insider ownership is pronounced. Additionally, this model reconciles existing equity financing theories on announcement effects. It helps resolve the puzzle that small-growth firms do not seem to have an asymmetric information disadvantage when they issue new equity.

本文通过比较价格操纵行为和价格竞争行为的特点，判断非投机价格时间序列应该具有收益率序列相关、时变条件方差不稳定的特点，并通过经验研究证实了这个判断。