Matching Items (30)

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东亚主要证券市场量价因子研究

Description

本文从证券市场中的信息传导,异质交易者行为以及金融科技三个方面,对于证券市场中异象因子的部分成因进行文献综述;进而,本文的实证工作结合最新文献中主流的股票横截面异象构造方法,借助东亚证券市场内相关量价信息进行摩擦因子和动量因子的构造,对于各个市场进行相关异象验证和横截面套利策略分析,为相关的学术研究和实务操作提供参考。

关键词: 动量因子,东亚证券市场,套利策略

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  • 2020

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基金投资者交易行为与投资回报的实证研究

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中国基金行业经过20多年的发展,基金产品数量和管理资产规模稳步大幅增长。但是在行业快速发展的同时,大多数投资者并没有赚到钱或者盈利体验不好:根据中国证券投资基金业协会2016年公布的数据,自投资基金开始运作以来,盈利的投资者占比为30.9%,而亏损的投资者达到45.3%,特别是权益类基金,普遍存在着基金产品长期业绩不错,但多数个人投资者投资回报不佳,导致权益类基金的规模近十多年持续不断萎缩。

本文根据市场有效性理论与行为金融学、交易反馈策略等理论,结合某大型基金公司过去16年累积的权益类基金投资者的日度交易数据,对投资者投资基金的交易行为特别是持有时间与投资回报的相关关系进行统计分析,验证投资期限与投资回报之间的相关关系。同时,研究投资者在不同交易结构下的申赎行为对投资回报的影响;以及投资者选择不同特征的基金产品对投资回报的影响和投资者持有基金期间的市场波动率对于投资回报的影响。

本文在实证研究的部分将通过数据分析验证理论模型,具体揭示不同因素(持有基金产品时间、申购赎回周期、基金经理换手率、大盘波动率、Jensen指数、基金资产规模、基金经理管理经验、基金经理更换频率等)与投资回报的相关关系。在此基础上,结合相关理论和实践背景,分析在不同情形下,基金投资者可以采取什么样的交易策略、应该重点关注基金产品的哪些指标,来调整自身的投资行为,提升投资回报;或者基金管理人可以通过哪些方式来帮助投资者采取正确的投资行为。

本文研究的意义在于利用大量个人投资者的日度交易数据,去探讨其交易行为与策略对投资回报的影响,剖析基金投资者难以赚钱的实际原因,从不同维度分析出现这种状况的多方面影响因素,从微观层面实现对基金投资者交易行为与基金投资回报研究这一课题在学术研究层次上的有效补充。并以此为依据,对基金管理公司、个人投资者、基金销售机构和监管层提出具有实践意义的建议,期望通过这些建议或措施逐渐改善基金投资者的投资回报。

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  • 2020

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从风险管理角度分析中国租赁公司的经营性租赁业务

Description

摘要

中国融资租赁行业在相关政策的推动下,自2007年起迅速发展,十余年间资产规模增长超过40倍,已突破6万亿元人民币。租赁行业已经成为金融市场中一支重要的力量。

但是,中国融资租赁行业在发展过程中一直伴随着争议和质疑,类信贷的业务模式具备典型的政策套利和影子银行的特征,这在客观上造就了租赁行业过去的繁荣,也导致了今天的困境。2018年起,中国政府强力实行金融强监管、去杠杆的政策,租赁行业加速分化转型,很多公司纷纷寻找差异化的产品和市场定位。以控制租赁物风险为主的真租赁业务,如经营性租赁业务,可以帮助租赁公司摆脱价格战的泥潭,提高收益率,建立竞争优势,实现公司长期发展。

本文从业务实质出发,对类信贷业务模式和经营性租赁业务模式进行分析,以具有不同代表意义的三家租赁公司为案例,从风险管理角度分析了经营性租赁业务在提高公司收益率、保障资产质量、促进制造业升级等方面的作用。希望本文的研究能对中国目前正计划转型的租赁公司提供一定帮助。

关键词: 融资租赁、类信贷、真租赁、经营性租赁、转型、风险管理

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  • 2020

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从上市公司股权质押行为分析企业的潜在风险和公司治理

Description

我国上市公司股东采取股权质押贷款方式融资非常普遍,股权质押贷款总余额已经高达5.70万亿元,这些贷款背后隐藏着巨大的风险。上市公司大股东采用股权质押贷款的动机可能是对未来乐观行业预期的资金需求,或者是由于股权转让的限制而采取的变相套现转移风险。后者的动机里本身就包含着上市公司大股东对自身股价已经估值过高的判断。本文通过分析上市公司股权质押贷款风险 (即,上市公司当年股价估值程度与上市公司下一年股价崩盘风险之间的关系)会因为股权质押动机的不同而存在差异。只有在套现动机下,当年股价估值程度才会导致下一年显著的股价崩盘风险,而在融资动机下当年股价估值程度与下一年股价崩盘风险之间的关系则呈现负相关。鉴于目前大多数上市公司并不会披露大股东质押所得资金的具体去向,本文通过融资约束程度这个维度对上市公司大股东股权质押的动机进行识别。当上市公司所受融资约束较低时,当年股价高估程度程度越大,下一年股价崩盘风险越大(正相关),上市公司进行股权质押的动机更倾向于高位套现。在融资约束程度高的情况下,上市公司股权质押更倾向于融资,当年股价估值程度越大,下一年上市公司股价崩盘风险越小(负相关)。 在大股东控制权高的情况下,对于所受融资约束程度低的上市公司,独立董事不论是比例高或者低,独立董事制度对大股东的股票质押的行为 (套现动机)无影响。 对于所受融资约束程度高的上市公司,独立董事在占比高时,对通过股票质押来融资的行为有强化作用,可以表现出其治理影响力,在独董占比低的情况下则无法产生作用。

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  • 2020

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A Case Study of Credit Risk Analysis and Modeling for SMEs -In an Internet Finance Setting

Description

In the last two years, China’s booming of Internet Finance Platform made significant impacts on three dimensions. Compared with the conventional market, Internet Finance is asserted to open a revolutionary

In the last two years, China’s booming of Internet Finance Platform made significant impacts on three dimensions. Compared with the conventional market, Internet Finance is asserted to open a revolutionary pathway of lending where by small and mid-sized companies may overcome the financing dilemma on credit accessibility and high cost. In other words, Internet Finance is hyped to be able to reduce information asymmetry, enhance allocation efficiency of resources, and promote product and process innovations for the financial institutions. However, the core essence of Internet Finance rests on risk assessment and control – a fundamental element applies to all forms of financing. Most current practice of internet finance on risk assessment and control remains unchanged from the mindset of traditional banking practices for small and medium sized firms. Hence, the same problems persisted and may only become even worse under the internet finance platform if no innovations take place.

In this thesis, the author proposed and tested a credit risk assessment model using data analytics techniques through an in-depth cases study with actual transaction data. Specifically, based on the 30,000 observations collected from actual transactional data from small and medium size firms of China’s home furnishing industry. The preliminary results are promising in spite of the limitations. The thesis concludes with the findings of relevance to improve the current practices and suggests areas of future research.

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Date Created
  • 2016

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The Probe of Forms of Incentive Mechanisms for Securities Companies

Description

As securities companies occupy an increasingly important position in the national economy, and the most valuable competitive advantage for whom is human resources; therefore, Security Industry practitioners pay close attention

As securities companies occupy an increasingly important position in the national economy, and the most valuable competitive advantage for whom is human resources; therefore, Security Industry practitioners pay close attention to the influences of securities companies' incentive mechanisms regarding to various business types.

This paper finds that asymmetry of information in business models is the motivation of the gaming for all participants, through analyzing the differences of various business models of securities brokerage services. Further, various incentive mechanisms under different circumstances result in diverse strategies of gaming. It varies development paths of securities companies. Therefore, the purpose of the paper is to theoretically deduce the most reasonable and optimal securities companies’ incentive mechanism.

This paper intends to identify the principle component factors influencing securities brokerage services via questionnaire investigations towards 75 branches under the same securities company and 13 different securities companies, respectively. In addition, based on historical data, the paper aim to explain rationales between adjustments of incentive mechanisms and market shares of securities brokerage services.Lastly, combining author’s personal experience of various incentive mechanisms and development tracks in four securities companies that hopefully presents valuable information and clues for deducing the optimal securities company incentive mechanism.

There are two critical agency relationships in securities brokerage services. One is between principals, securities companies, and agents which are directors of branches. The other is between principals, securities companies, and agents which are securities marketers or brokers. Because of such operational setup, information is highly asymmetrical between all parties. It brought prominent problems regarding agency relationship and motivation aspects.

Under the certain circumstances, implementation of Incomplete Contracting Theory with franchising models in securities companies is quite useful. Specifically, for the former relationship between securities companies and marketers, the motivation effects of sub-license franchising are better than bonus compensation structure. Fixed salaries without bonus have the worst stimulating effects in such business model. For the latter relationship between securities companies and directors of branches, the agents focus on long term residual value claim rights, since it coincides with agents’ appraisals, focusing on incremental market shares and profit drawings.

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Date Created
  • 2018

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并购背景下教育行业品牌价值研究

Description

企业并购是经济管理领域长盛不衰的研究话题,也是企业高投资与高风险并行的战略举措。并购后对品牌进行有效整合是实现并购价值的重要过程,只有对并购后的品牌进行整合,才能使并购取得应有的并购协同效应。在消费者导向意识不断深化,服务导向逐渐成为服务行业的主流导向的背景下,研究品牌并购中消费者感知及其忠诚显得尤为重要。企业并购过程中面临的风险与挑战之一就是消费者未必对商家的品牌并购行为买账,消费者忠诚受到影响。尽管已有学者提出品牌并购的企业更应关注消费者及其忠诚,但目前从消费者感知角度研究企业或品牌并购行为的研究较少。为了揭示消费者感知品牌并购的过程,探究品牌并购是否及如何影响消费者感知及忠诚,本文基于深度访谈法与情境下问卷调查法分析了消费者对品牌并购的感知及结果,并设计两项研究:研究一在理论分析与前人研究基础上,通过对消费者的深度访谈,确立了消费者感知的品牌并购价值的四个维度,分别为品牌联想、产品联想、组织联想与人员服务品质,并在借鉴前人研究结合本研究的具体背景,得出消费者感知的品牌并购价值的测量条目。研究二通过情境模拟下的问卷调查法,检验了消费者感知品牌并购价值、感知质量、感知价值、品牌忠诚、产品涉入以及品牌知名度之间的关系。在此基础上,本文对L教育集团在实践运营过程中的品牌并购案例进行详细分析,发现了L教育集团发起品牌并购的原因以及并购过程中存在的问题和改进建议。

研究结果显示:(1)消费者感知的品牌并购价值的四个维度分别为品牌联想、产品联想、组织联想与人员服务品质;(2)消费者感知品牌并购价值与感知质量有显著正相关关系,表明消费者感知品牌并购价值能够提高消费者的感知质量;(3)消费者感知质量对其感知价值有显著的正向影响,表明感知质量正向预测消费者的感知价值水平;(4)消费者感知质量对其品牌忠诚有显著的积极作用;(5)消费者感知品牌并购价值与消费者感知价值存在显著的正相关关系;(6)消费者感知品牌并购价值对消费者品牌忠诚的路径系数达到显著性水平;(7)消费者感知质量在感知并购价值与感知价值、品牌忠诚之间起部分中介作用;(8)产品涉入与品牌知名度在消费者感知并购价值与感知质量的关系之间起调节作用。

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Date Created
  • 2019

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科研用地楼宇交易价格影响因素研究

Description

2012年起,南京市委市政府主导实施以土地利用方式转变倒逼促进经济发展方式转型,出台政策条例推进原低效的纯工业用地向科研用地楼宇建设改变,拉开了南京科研用地性质的科研办公楼宇的发展序幕,后续更是直接审批科研用地项目发展总部经济或各类园区,用以促进鼓励相应产业的发展,这使得该类土地性质的楼宇有了进一步加速发展。如今全市的科研用地上已建成超过5000万平方的办公楼宇,客观来看,政策使得某些区域的城市化建设感观有了快速提升,对于政府鼓励的产业载体提供有快速提升,对于政府的城市更新和产业主导能力有极为明显的作用。这同时也形成了很多问题,如对于传统商办市场的影响,整体作为办公为使用功能的楼宇的市场格局的变化,总体供求关系的影响等。同时大体量的科研用地项目本身在交易环节面临交易价格低、销售速度慢、按揭贷款困难、产权证办理困难等诸多困境,在租赁环节面临去化周期长,租赁价格竞争激烈等问题。

通过对市场的观察,能够明显看出在同样办公的使用功能的前提下,科研用地交易价格远低于纯办公土地性质的办公用房,而且不同的科研用地的房产价格也有较为明显差异(即使在地段、硬件相似的前提下)。究其原因,主要存在于科研用地的诸多限制,即和纯粹的商办性质的楼宇相比,政府对于科研用地的楼宇规定了更多的限制条件,从产权的角度而言即产权的不完全因素。本研究通过南京科研用地楼宇产权不完全的现状这一现象,从产权的限制性因素出发,研究整体的产权不完全性对于交易价格的影响,进而拆分各个限制因素(不完全因素)对交易价格产生影响。

为研究调研科研楼宇市场的政策现状交易情况现状、政策中的哪些限制因素会对楼宇的交易价格产生影响、限制因素影响价格背后的传导机制如何等问题,研究者全面收集了政府出台的科研用地相关政策,深度访谈了6个科研项目开发者,并问卷调查了63组科研性质物业的购房客户,并以地段和硬件的可比性作为选择原则精选了五组纯办公土地性质的项目和不同限制条件的科研办公项目进行对比研究,对1023套科研办公、正常办公楼宇的实际成交价格的数据进行分析比较。

通过政策规定、土地出让合同、开发者访谈确定限制性因素,即不完全产权的因素;通过消费者购买认知,确定个因素在购买决策中的影响程度;运用相关性分析和回归分析对所获取的数据进行1023组数据进行分析研究,来探究不同因素对交易价格的影响。

研究发现:是否是科研用地、面积是否可以切分销售对交易价格有显著性的影响。可切分销售面积越小,交易价格越高。金融性和确权的不确定性也能够对价格产生强影响,购买主体限制对价格有弱影响,而交易比例限制和现售限制对价格无显著影响。对于限制因素影响价格背后的理论机制,研究发现科研用地政策中的限制因素首先影响市场流通中的有效需求,供需关系决定价格。

研究应用:1、科研用地政策激励作用是否兑现?从城市更新的角度来讲的的确起到非常大的作用;从产业引导来讲为企业提供了低成本的持有型研发办公的载体,或有补贴的低租金的办公空间;但对于部分科技型企业在没有考虑清楚的前提下,被动的投入了地产项目开发,消耗了资金和精力,未实现激励的初衷反而是适得其反。2、政府调控策略:可以通过间接控制自变量中的因素来实现,如面积可切分的大小、金融性和确权不确定性的改变可以有效调节项目的有效需求。3、开发者需对自己选定的项目的产权的不完全程度即限制条件有明确的结论对应关系的认知;购买者对于项目的不完全性进行适当的研究,以防出现和自身需求的错配关系。4、使用功能为办公的前提下,与纯办公相似的租金价格而更低的交易价格所带来的高回报率。回报率高为使用REITs金融工具解决问题提供了基础,而REITs的定价逻辑也一定会以使用价值实现拉动交易价值提升。这对于有大宗资产经营的持有者来说也许蕴含着巨大的机会。

关键词: 科研用地 不完全产权 市场流通 交易价格

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Date Created
  • 2020

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Ownership Structure And Executive Compensation Design – An Empirical Study

Description

In accordance with the Principal Agent Theory, Property Right Theory, Incentive Theory, and Human Capital Theory, firms face agency problems due to “separation of ownership and management”, which call for

In accordance with the Principal Agent Theory, Property Right Theory, Incentive Theory, and Human Capital Theory, firms face agency problems due to “separation of ownership and management”, which call for effective corporate governance. Ownership structure is a core element of the corporate governance. The differences in ownership structures thus may result in differential incentives in governance through the selection of senior management and in the design of senior management compensation system. This thesis investigates four firms with four different types of ownership structures: a public listed firm with the controlling interest by the state, a public listed firm with a non-state-owned controlling interest, a public listed firm a family-owned controlling interest, and a Sino-foreign joint venture firm. By using a case study approach, I focus on two dimensions of ownership structure characteristics – ownership diversification and differences in property rights so as to document whether there are systematic differences in governance participation and executive compensation design. Specifically, I focused on whether such differences are reflected in management selection (which is linked to adverse selection and moral hazard problems) and in compensation design (the choices of performance measurements, performance pay, and in stock option or restricted stock). The results are consistent with my expectation – the nature of ownership structure does affect senior management compensation design. Policy implications are discussed accordingly.

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Date Created
  • 2015

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Factors influencing automobile financial leasing and risk control: an empirical study on China automobile leasing market

Description

Financing lease has bloomed as a new financing tool in China for the last several years. In this thesis I investigate the factors that influence China’s automobile financial leasing decisions

Financing lease has bloomed as a new financing tool in China for the last several years. In this thesis I investigate the factors that influence China’s automobile financial leasing decisions by both lessors and lessees through market surveys. Based on Probit regression analysis of the data collected from 250 companies and 300 individuals, I find that a firm is more likely to use automobile financial leasing when its corporate tax rate is lower, growth potential is more stabilized, and profit is higher. It is also more likely to happen when a firm's long-term debt ratio and its degree of internationalization are higher. At the individual level, I find that the likelihood of individuals’ leasing decision is influenced by their risk preference, income level, and car price. Individuals’ gender, age and education level show no effect.

Using the analytic hierarchy process (AHP) analysis, I further find that financing costs, service value-added, and products diversity are the three most important competitive factors for the auto financial leasing service providers. This is the case for both the corporate and individual customers in the sample. By contrast, the factors of sales channel and government relationship are found to be much less important. Finally, through an in-depth case study of the leasing company Shanghai Auto Financial Leasing, I find that the key factors determining the customers’ credit default risk are interest rate and automobile type. I also investigate factors that influence business risk during the automobile procurement stage, at the selling stage, and toward the disposition stage. The managerial implications of the above results are discussed throughout the thesis.

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  • 2015