ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
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Description本文选取当前在学界和业界关注度较高的“新三板”企业作为研究对象，从融资效率和融资偏好角度实证了新三板企业当前的运行状况，补充了资本结构和融资效率的研究文献。利用二元选择回归以及分位数回归方法，探究了内部融资、债务融资以及权益融资偏好的影响因素。本文发现：1）对于内部融资，企业资产负债率越低、经营能力越强、盈利能力越好、抵押品越少以及公司成长性高的企业更倾向于使用内部融资，资产负债率对内部融资的负面影响边际增大；2）对于债务融资，资产负债率越低、盈利能力越好、经营能力越强、抵押品越多、公司成长性高的企业更倾向于使用债务融资；3）对于权益融资，盈利能力较差、经营能力较弱的企业更倾向于使用权益融资，而资本结构以及公司成长性对权益融资没有影响。分位数回归也发现，盈利能力、现金状况、总资产周转率、资产流动性、非债务税盾、民营企业以及公司成长性等变量对权益融资的影响较为稳定，提示公司的特征变量对权益融资并没有明显的主导作用。在融资效率上，本文也发现：1）于2012年挂牌新三板的企业整体融资效率不高，DEA融资效率为有效的企业占比仅为10%左右；但融资效率在逐年持续改善，表现出一个较好的发展势头。并且，对于做市转让的企业来说，2014年由协议转让改为做市转让以后，融资相对有效的企业数量增长明显快于协议转让企业，表明采用做市转让的企业融资效率优于采用协议转让的企业。2）市场整体融资规模并未达到挂牌企业的需求，导致一半以上企业尚未达到最优的生产经营状态，仍需要资金来增加生产资料的投入，以扩大生产规模获取规模收益。对于做市转让的企业来说，在2014年由协议转让改为做市转让以后，规模报酬递增的企业数量占比下降更快，表明做市转让制度要比协议转让制度从融资效率角度更能满足新三板企业的融资需求。
ContributorsWu, Jintao (Author) / Pei, Ker-Wei (Thesis advisor) / Li, Feng (Thesis advisor) / Wang, Tan (Committee member) / Arizona State University (Publisher)
Created2019
Description
With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis.
The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills.
The dissertation focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be assessed ex-ante; Transaction can be observed and modified during the investment process; and return attribution can be implemented to evaluate portfolio (managers), ex-post. Hence, these three elements make up a comprehensive and logical investment process.
Investment style is probably the most important factor in determining portfolio returns. However, Chinese investment managers are under constant pressure to follow the market trend and shift style accordingly. Therefore, accurately identifying and predicting each manager’s investment style proves critically valuable.
In addition, transaction data probably provides the most reliable source of information in observing and evaluating an investment manager’s style and strategy, in the middle of the investment process.
Despite the efficacy of traditional return attribution methodology, there are clear limitations. The current study proposes a novel return attribution methodology, by synthesizing major portfolio strategy components, such as risk exposure adjustment, sector rotation, stock selection, altogether. Our novel methodology reveals that investment managers do not obtain much abnormal returns through risk exposure adjustment or sector rotation. Instead, Chinese investment managers seem to enjoy most of their excess returns through stock selection.
In addition, we find several interesting patterns in Chinese A-share market: 1). There is a negative relationship between asset under management (AUM) and investment performance, beyond certain AUM threshold; 2). There are limited benefits from style switching in the long run; 3). Many investment managers use CSI 300 component stocks as portfolio ballast and speculate with CSI500 and Medium-and-Small board component stocks for excess returns; 4). There is no systematic negative relationship between portfolio turnover and investment performance; despite negative relationship within certain sub-samples and sectors; 5). It is plausible to construct out-performing portfolios with style index funds and ETFs.
The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills.
The dissertation focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be assessed ex-ante; Transaction can be observed and modified during the investment process; and return attribution can be implemented to evaluate portfolio (managers), ex-post. Hence, these three elements make up a comprehensive and logical investment process.
Investment style is probably the most important factor in determining portfolio returns. However, Chinese investment managers are under constant pressure to follow the market trend and shift style accordingly. Therefore, accurately identifying and predicting each manager’s investment style proves critically valuable.
In addition, transaction data probably provides the most reliable source of information in observing and evaluating an investment manager’s style and strategy, in the middle of the investment process.
Despite the efficacy of traditional return attribution methodology, there are clear limitations. The current study proposes a novel return attribution methodology, by synthesizing major portfolio strategy components, such as risk exposure adjustment, sector rotation, stock selection, altogether. Our novel methodology reveals that investment managers do not obtain much abnormal returns through risk exposure adjustment or sector rotation. Instead, Chinese investment managers seem to enjoy most of their excess returns through stock selection.
In addition, we find several interesting patterns in Chinese A-share market: 1). There is a negative relationship between asset under management (AUM) and investment performance, beyond certain AUM threshold; 2). There are limited benefits from style switching in the long run; 3). Many investment managers use CSI 300 component stocks as portfolio ballast and speculate with CSI500 and Medium-and-Small board component stocks for excess returns; 4). There is no systematic negative relationship between portfolio turnover and investment performance; despite negative relationship within certain sub-samples and sectors; 5). It is plausible to construct out-performing portfolios with style index funds and ETFs.
ContributorsZhan, Yuyin (Author) / Gu, Bin (Thesis advisor) / Wang, Jiang (Thesis advisor) / Wang, Tan (Committee member) / Arizona State University (Publisher)
Created2016
Description
Given the "New Nine Measures" for capital market reform, a policy document issued by the State Council of China, the development of markets for interest rate derivatives, such as treasury futures, becomes an increasingly important task. Several shortcomings of the existing treasury futures market have been noted: including low market liquidity, singular investor composition, restrict contract terms, and low hedging demand.
This study contributes to a better understanding of the treasury futures market by analyzing changes in China treasury futures market regulations and their impact on market liquidity of treasury futures. Found that compared with the mature market, China treasury futures market exists liquidity shortage, the trading system, market structure and the division of regulatory are factors which influence the liquidity of China treasury futures market.
This study found that reducing transaction costs for further optimization of the width and depth of China treasury futures market are not obvious by using quantitative analysis method, expanding the smallest change price can optimize the market depth, reducing transaction costs and expanding smallest change price can optimize the immediacy, volume and hosting amount. In addition, the bond market will also influence the treasury futures market, the price fluctuations and the morphology of the yield curve of bond market have significant influence on width, depth and holdings of market.
The system of China treasury futures market needs to be optimized by expanding the smallest change price and reducing transaction costs. The market structure needs to be optimized by establishing unified bond market and enriching investor structure.
These findings have significant theoretical and practical implications. The study also provides policy recommendations for the design and establishment of treasury futures market to the regulatory agencies.
This study contributes to a better understanding of the treasury futures market by analyzing changes in China treasury futures market regulations and their impact on market liquidity of treasury futures. Found that compared with the mature market, China treasury futures market exists liquidity shortage, the trading system, market structure and the division of regulatory are factors which influence the liquidity of China treasury futures market.
This study found that reducing transaction costs for further optimization of the width and depth of China treasury futures market are not obvious by using quantitative analysis method, expanding the smallest change price can optimize the market depth, reducing transaction costs and expanding smallest change price can optimize the immediacy, volume and hosting amount. In addition, the bond market will also influence the treasury futures market, the price fluctuations and the morphology of the yield curve of bond market have significant influence on width, depth and holdings of market.
The system of China treasury futures market needs to be optimized by expanding the smallest change price and reducing transaction costs. The market structure needs to be optimized by establishing unified bond market and enriching investor structure.
These findings have significant theoretical and practical implications. The study also provides policy recommendations for the design and establishment of treasury futures market to the regulatory agencies.
ContributorsMa, Jun (Author) / Gu, Bin (Thesis advisor) / Chen, Hong (Thesis advisor) / Wang, Tan (Committee member) / Arizona State University (Publisher)
Created2016
Description2021年10月24日,中共中央、国务院印发《关于全面准确全面贯彻新发展理念做好碳达峰碳中和工作的意见》,再次对碳达峰碳中和做出战略部署。意见中重点指出,到2030年单位国内生产总值能耗大幅下降；与2005年相比，单位GDP的二氧化碳排放量下降了65%以上；非化石能源消费比例达到25%左右。11月7日,中共中央、国务院发布关于深入打好污染防治攻坚战的意见。其中提到,坚决遏制高耗能、高排放项目盲目发展。2020年第七十五届联合国大会上,我国向世界郑重承诺：力争在2030年前实现碳达峰,努力争取在2060年前实现碳中和。
实现碳达峰、碳中和目标,意味着我国在产业结构、能源结构、投资结构、生活方式等方面都将发生深刻转变。服务好碳达峰、碳中和的战略部署,是未来一段时期金融工作的重点之一。通过对电解铝环节能耗控制和总量控制是实现碳排放下降的重要途径之一。
目前大多研究文献集中在宏观层面的“双碳”目标趋势与热点分析,研究推导缺乏数据支撑。大多数文献以某一个因子为重点进行研究,研究具有片面性。为了有效量化通过对电解铝行业产能布局、产量调整,通过对电解铝上市企业经营数据在"双碳"目标实施前后变化的定量分析,进一步理解和分析碳达峰及碳中和对电解铝行业的影响。
量化和评估碳达峰和碳中和目标实施前后对电解铝行业的影响,本文将电解铝行业政策实施前后的政策变量作为此研究的主要自变量。同时,将电解铝上市企业的产能或产量作为因变量,将总资产、资产负债率等作为控制变量予以研究。本文选取的数据示例来自于WIND数据库和CSMAR经济金融研究数据库。
距离碳达峰及碳中和具体目标首次公布的时间短,碳达峰、碳中和工作的路线图、施工图处于建立与推进阶段,可研究的目标公布后的上市企业样本数据有限,在研究电解铝上市企业样本的基础上,本文也尝试用同样的方法研究控制组上市企业的财务数据及产能、产量数据,通过对比"双碳"目标对电解铝影响的差异,更加完整地论证碳中和及碳达峰战略对电解铝行业的影响。
ContributorsRuan, Xiaowen (Author) / Huang, Xiaochuan (Thesis advisor) / Sun, Jianfei (Thesis advisor) / Wang, Tan (Committee member) / Arizona State University (Publisher)
Created2023