【CFRI 第十二卷 第3期】
CFRI期刊2022年第3期共8篇文章，本期文章汇聚了来自美国、中国、爱尔兰、英国、意大利、荷兰、新西兰、越南等国家的多位优秀学者的高质量论文，围绕“公司债券” 、“加密货币”、“人力资本与公司活力”、“共同基金”等话题进行了深入的研究与探讨，扫描文中二维码可快速下载文章PDF全文，点击文末阅读原文，可以在线查看本期所有文章，感谢您对CFRI的关注与支持！
01公司债券市场中的交易价格聚类
Trade price clustering in the corporate bond market
Brittany Cole (University of Tennessee at Martin, USA)
Michael A. Goldstein (Babson College, USA)
Shane M. Moser (University of Nebraska-Lincoln, USA)
Robert A. Van Ness (University of Mississippi, USA)
Abstract
In this paper, the authors document the existence of price clustering in the US corporate bond market. Using a sample of 8,422,593 corporate bond trades in 2014, the authors find that over 18% (1,522,284 trades) of all bond trades end in a clustered price, defined as a price ending in 00, 25, 50, or 75. Overall, the authors find that both bond rating category and risk, as measured by standard deviation of prices, play a role in price clustering; speculative grade bonds account for the majority of clustered prices. Clustered prices are more likely to have higher coupon rates, higher prices, and higher standard deviations of price than bonds with non-clustered prices. Regardless of size, both buy and sell dealer trades with customers (relative to interdealer trading) lead to an increase in price clustering. Dealers appear to use clustered prices when purchasing from and selling to institutions and, therefore, may use a clustered price to insulate themselves from the risk of asymmetric information. Additionally, the prevalence of clustered prices for retail-sized dealer sell trades suggests that dealers exercise dealer power over retail-sized traders. This paper contributes to the literature on price clustering by examining trade price clustering of corporate bonds. It is different from previous papers on price clustering in equities. Given that bonds tend to be priced off of yield, it is unusual that trade prices cluster. It also demonstrates what kind of bonds cluster and with which customers dealers trade at clustered prices. It parallels other research in demonstrating dealer power over retail-sized traders.
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02加密货币环境关注指数
Yizhi Wang (Trinity Business School, Ireland)Brian Lucey (Trinity Business School, Ireland) Samuel Alexandre Vigne (LUISS University, Rome, Italy)Larisa Yarovaya (University of Southampton, UK)
Abstract
A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains regarding how environmental attention and public concerns adversely affect cryptocurrency prices. Therefore, the paper aims to introduce the index of cryptocurrency environmental attention (ICEA), which aims to capture the relative extent of media discussions surrounding the environmental impact of cryptocurrencies. The paper has developed a new measure of attention to sustainability concerns of cryptocurrency markets' growth, ICEA. The paper provides an efficient new proxy for cryptocurrency and robust empirical evidence for future research concerning the impact of environmental issues on cryptocurrency markets. The study successfully links cryptocurrency environmental attention to the financial markets, economic developments and other volatility and uncertainty measures, which has certain novel implications for the cryptocurrency literature.
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03城市活力、人力资本与A股企业估值差异
Urban vibrancy, human capital and firm valuation in China
Danling Jiang (Stony Brook University, USA)
Liu Shuying (Southwest Jiaotong University, China)
Feiyu Li (Southwest Jiaotong University, China)
Hongquan Zhu (Southwest Jiaotong University, China)
Abstract
This paper intends to study how geographic heterogeneity in urban vibrancy, especially in human capital creation, helps explain persist firm valuation dispersion across cities in China. This paper studies geographic differences in firm valuations of 1,023 listed companies headquartered in 35 major cities in China from 2001 to 2018. The authors estimate panel regressions of local firm Tobin's q on city fixed effects or city endowed attributes in human capital creation after controlling industry-year fixed effects as well as a set of firm and city time variant attributes. The results show persistent, significant city-to-city differences in Tobin's q, especially among large, mature or high labor-intensive firms. To explain such geographic differences in firm valuations, the authors identify several factors of the endowed city competitive advantages in creating human capital that play important roles in explaining the persistent geographic firm valuation premia. This paper provides the first systematic analysis of urban vibrancy in human capital supply in explaining persistent geographic firm valuation dispersion in China. The evidence suggests that city endowed comparative advantages in supplying human capital have created long-lasting, and growing, shareholder wealth by attracting and retaining talents and human resources in local firms.
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04社会互动与共同基金投资组合
Quanxi Liang (Guangxi University, China)Jiangshan Liao (Guangxi University, China)Leng Ling (Georgia College and State University, USA)
Abstract
The authors use time series methodology (i.e. unit root, cointegration and error correction models) to examine the interest rate pass-through in Hong Kong (HK) and Macao both in the long term and short term. To the best of the authors’ knowledge, this is the first study to examine the impact of the GFC on the effectiveness of monetary policy transmission in HK and Macao. The results show that in the post-global financial crisis (GFC) period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and are weakened significantly in Hong Kong. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly. Such results indicate that the effectiveness of monetary policy in HK and Macao has been seriously undermined in the post-GFC period. New tools are needed in both regions. The findings imply that monetary policy transmission via bank interest rates in both HK and Macao are no longer effective after the outbreak of the GFC, and that effort to stimulate the economy and/or control inflation will be hampered.
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05持有期货的情感成本：中国投资者情绪与股指期货基差
The emotional cost-of-carry: Chinese investor sentiment and equity index futures basis
Song Cao (Southwestern University of Finance and Economics, China)
Ziran Li (Southwestern University of Finance and Economics, China)
Kees G. Koedijk (Utrecht University, The Netherlands; Centre for Economic Policy Research, UK)
Xiang Gao (Shanghai Business School, China)
Abstract
While the classic futures pricing tool works well for capital markets that are less affected by sentiment, it needs further modification in China's case as retail investors constitute a large portion of the Chinese stock market participants. Their expectations of the rate of return are prone to emotional swings. This paper, therefore, explores the role of investor sentiment in explaining futures basis changes via the channel of implied discount rates. Using Chinese equity market data from 2010 to 2019, the authors augment the cost-of-carry model for pricing stock index futures by incorporating the investor sentiment factor. This design allows us to estimate the basis in a better way that reflects the relationship between the underlying index price and its futures price. The authors find strong evidence that the measure of Chinese investor sentiment drives the abnormal fluctuations in the basis of China's stock index futures. Moreover, this driving force turns out to be much less prominent for large-cap stocks, liquid contracting frequencies, regulatory loosening periods and mature markets, further verifying the sentiment argument for basis mispricing. This study contributes to the literature by relying on investor sentiment measures to explain the persistent discount anomaly of index futures basis in China. This finding is of great importance for Chinese investors with the intention to implement arbitrage, hedging and speculation strategies.
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06微媒体信息披露能否推动上市公司的创新
Can we-media information disclosure drive listed companies' innovation?—From the perspective of financing constraints
Hongbin Huang (Tianjin University of Finance and Economics, China)
Yani Sun (Tianjin University of Finance and Economics, China)
Qingling Chu (Southwestern University of Finance and Economics, China)
Abstract
While the classic futures pricing tool works well for capital markets that are less affected by sentiment, it needs further modification in China's case as retail investors constitute a large portion of the Chinese stock market participants. Their expectations of the rate of return are prone to emotional swings. This paper, therefore, explores the role of investor sentiment in explaining futures basis changes via the channel of implied discount rates. Using Chinese equity market data from 2010 to 2019, the authors augment the cost-of-carry model for pricing stock index futures by incorporating the investor sentiment factor. This design allows us to estimate the basis in a better way that reflects the relationship between the underlying index price and its futures price. The authors find strong evidence that the measure of Chinese investor sentiment drives the abnormal fluctuations in the basis of China's stock index futures. Moreover, this driving force turns out to be much less prominent for large-cap stocks, liquid contracting frequencies, regulatory loosening periods and mature markets, further verifying the sentiment argument for basis mispricing. This study contributes to the literature by relying on investor sentiment measures to explain the persistent discount anomaly of index futures basis in China. This finding is of great importance for Chinese investors with the intention to implement arbitrage, hedging and speculation strategies.
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07中国企业创新的多样性研究
Making of an innovative economy: a study of diversity of Chinese enterprise innovation
Nimesh Salike (Xi'an Jiaotong-Liverpool University, China)
Yanghua Huang (Chinese Academy of Social Sciences, China)
Zhifeng Yin (Central University of Finance and Economics, China)
Douglas Zhihua Zeng (World Bank Group, USA)
Abstract
This research examines the effects of firm ownership and size on innovation capability using data from the World Bank China Enterprise Survey (WBCES), which provides directly measurable innovation-related variables. Key consideration is given to the role and innovation capability of state-owned enterprises (SOEs) compared with domestic and foreign private enterprises in the Chinese economy. In its quest for technological self-reliance and a new developmental path, China is focusing on its enterprise innovation capability.The findings suggest that SOEs and domestic private enterprises are similar in terms of innovation participation but differ in terms of innovation diversification, which implies ownership-specific innovative advantages. In general, the authors find that SOEs are more innovative with respect to processes innovation but less so with respect to product, management and promotion innovations. Foreign-owned enterprises are superior in all types of innovation except product innovation. The authors also find that size is an important determinant of innovation capability, with the effect varying depending on location and industry. Moreover, the joint effect of firm ownership and size on innovation declines with increasing size. These findings provide new insights into the evaluation of China's major policies. This research examines the effects of ownership and size on enterprise innovation capability, using the WBCES (2013) data, which include direct measurable innovation related variables.
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08重新审视规模化动量策略的表现
Revisiting the performance of the scaled momentum strategies
Hilal Anwar Butt (Institute of Business Administration, Pakistan)
Mohsin Sadaqat (Institute of Business Administration, Pakistan)
Muhammad Tahir (University of Otago, New Zealand)
Abstract
The main purpose of this study is to enunciate the underlying factors that enhance the performance of scaled momentum strategies. In previous studies, the negative relationship between the lagged volatility and future return of momentum strategy is exploited to manage the risk. But this negative relationship only holds when volatility is higher, further the volatility is shown to be persistent. The implication of these two characteristics is important and this paper highlights that. The higher performance of the scaled momentum strategies for the US market is linked with the length of the investment horizon. The traditional asset pricing models fail to explain this relationship. However, the authors find that the excess variance loaded on the long side of these strategies is one important explanation of this horizon bound performance of these strategies. This study highlights that the volatility scaled momentum strategy has higher gains as the investment horizon increases. Therefore, it is an advisable investment strategy for the pension fund industry. Momentum strategy is unique as it fulfils two criteria of performance enhancement through volatility scaling, such as, the persistent in volatility and its negative relationship with the returns. However, the impact on the performance of the negative relationship between volatility and return that only exist in highest volatility related states is not discussed. The authors have shown that this aspect of volatility and return relationship of the momentum strategy has an important bearing on the performance of the volatility scaled momentum strategies.
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