2 | Journal of Economics and Finance 经济与财政杂志

院校资讯君

Journal of Economics and Finance
Volume 47 Issue 3
经济与财政杂志 第47卷第3期
本期目录
1.
Social bonds and the “social premium”
社会债券的“社会溢价”
2.
The long-run effects of government expenditure on private investments: A panel CS-ARDL approach
政府支出对私人投资的长期影响：基于面板增强的自回归分布滞后方法
3.
Unconventional monetary policy and the stock market
非常规货币政策与股票市场
4.
Political culture and corporate cash holdings
政治文化与企业现金持有量的关系
5.
Does the market reward firms for being more green or less brown?
市场是否会奖励更环保的公司？
6.
Granular banks and corporate investment
银行与企业投资的粒度分析
7.
Expected vs. real growth of companies listed on the London Stock Exchange
伦敦证券交易所上市公司的预期增长与实际增长
8.
The impact of regulation on credit card market competition: Evidence from Australia
监管对信用卡市场竞争的影响：基于澳大利亚经验的实证研究
9.
Effects of financial flexibility value and accounting conservatism on investment: Evidence from mispricing
财务灵活性价值和会计保守主义对投资的影响：基于错误定价的实证研究
10.
Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets
人工神经网络能否改进波动率预测？基于亚洲市场的实证研究
11.
Law of one price and return on arbitrage trading: Bitcoin vs. Ethereum
一价定律下的套利回报：基于比特币和以太坊的实证研究
12.
Higher moment connectedness of cryptocurrencies: A time-frequency approach
加密货币的瞬时互联性：基于高频间隔采样方法的实证研究
部分文章摘要
01
Social bonds and the “social premium”
Abstract: Social bonds (SB) have witnessed an unprecedented increase especially since the outburst of the Covid-19 pandemic, but their performance vs. conventional bonds (CB) has not yet attracted attention in the academic literature. As far as we know, this is the first paper to test the existence, the sign and the determinants of a “social premium”, which we propose here to define as the yield differential between a SB and an otherwise identical CB. To this end we set up a sample of 64 SB aligned with the International Capital Market Association principles and 64 (exactly) matched CB, from October 2020 to October 2021 so as to focus on the peak of SB issuances. Regressions are based on the hypothesis that daily yield differentials between SB and CB may be determined by differences in non-perfectly matched characteristics. Based on the FE specification, which turns out to be preferred vs. OLS and RE both theoretically and empirically, two main results emerge. First, the social premium is significantly explained by differences in liquidity and in volatility, which are, respectively, negatively and positively correlated with the yield differential. Second, on the whole sample, the analysis of the fixed effects proves the existence of a significant and positive social premium that amounts to 1.242 bps. This result is robust to outliers, but differences emerge on subsamples especially in relation to issuer sector, thus pointing to the relevance of the use of proceeds, an issue that deserves further investigation as the SB market becomes more mature.

摘要：社会债券（Social bonds）在新冠肺炎疫情爆发后出现了前所未有的增长，但与传统债券（Conventional bonds）相比，学术界对于社会债券相关问题的关注还不够充分。本文是第一篇检视社会债券中是否存在“社会溢价”，即社会债券和其他类似传统债券间的收益率差异，并分析此种溢价的可识别性与决定因素的论文。为此，作者选取了在2020年10月至2021年10月间64家符合国际资本市场协会原则的社会债券和64家完全匹配的传统债券为分析样本，以关注社会债券发行的峰值。本文的回归分析基于以下假设，即社会债券和传统债券之间的每日收益率差异可能由不完全匹配的差异特征所决定。在研究方法上，与普通最小二乘法（OLS）和随机效应（RE）相比，固定效应（FE）在理论和实证方面都更有优势。基于固定效应模型的回归分析，本文得出了两个主要结果：其一，流动性和波动性差异能够解释社会溢价的大部分成因，而流动性、波动性与收益率差异之间分别呈负相关和正相关。其二，在整个样本中，固定效应分析证明了存在显著的正社会溢价，达到1.242个基点。这一结果对异常值是稳健的，但在子样本上出现了差异，特别是与发行人部门有关的差异，这表明收益使用与该结果具有相关性。在证券交易市场日益成熟的背景下，该问题还值得深入研究。
02
The long-run effects of government expenditure on private investments: A panel CS-ARDL approach
Abstract: We re-explore the link between government expenditure and private investments within a modern econometric framework. Performing a dynamic analysis on a panel of 28 OECD countries over 1990–2019, we account for nonstationarity, country-heterogeneity, and cross-dival dependence. By estimating an ECM version of the novel CS-ARDL model, we find robust evidence of both short-run and long-run adverse effects of aggregate government expenditure on private investments. Increases in productive expenditure have no significant effect on the long-run dynamics of private investments, whereas reallocating public resources towards productive expenditure enhances them. By contrast, both level increases and shifts of resources towards unproductive expenditure discourage capital formation in the private sector. Using the government budget constraint (GBC) system, we observe that the effects of government expenditure depend on how it is financed. In most cases, the short-run fall in private investments is mainly associated with tax-financed expenditure, while debt-financed expenditure appears to be the most detrimental in the long-run.

摘要：在现代计量经济学的框架内，本文使用28个经合组织国家在1990-2019年间面板数据，利用最新的面板增强的自回归分布滞后方法（CS-ARDL）重新研究了政府支出与私人投资之间的关系。此次研究充分考虑了数据的非平稳性、国家异质性和跨部门依赖性，通过误差修正模型（ECM）的检验，本文发现了政府总支出对私人投资所生长短期不利影响的有力证据。具体而言，生产性支出的增加对私人投资的长期动态没有显著影响，但将公共资源重新分配给生产性支出则会促进私人投资。与此相反，无论是提高支出水平还是将资源转向非生产性支出，都会阻碍私营部门的资本形成。通过使用政府预算约束（GBC）系统，本文发现政府支出的实际效果取决于其所选择的支持方式，且主要体现为税式支出往往会导致同期私人投资的短期下降，而信贷支持则可能导致长期的不利影响。
03
Unconventional monetary policy and the stock market
Abstract: We use weekly changes in the size of the Federal Reserve’s balance sheet as a policy tool that has largely been ignored in the literature to investigate the relationship between the unconventional monetary policy and stock market returns when the federal funds rate reaches the zero lower bound. Our empirical framework is based on a structural VAR that is identified using heteroscedasticity in weekly data on the components of the Fed’s balance sheet. We find evidence that the unconventional expansionary monetary policy is effective in stimulating the stock market, as it has positive and statistically significant effects on stock returns. In extending our analysis to disaggregate returns, our findings suggest heterogenous and asymmetric responses of disaggregate returns to an unconventional policy shock.

摘要：美联储会每周更新其资产负债表，但此前的相关研究忽视了这其实是一种有效的政策工具，本文利用其周更数据来研究非常规货币政策与股市回报率之间的异质性。本研究假定联邦基金利率（即美国的银行同业拆借利率，译者注）处于零利率的下限，基于结构向量自回归模型（SVAR）的分析表明，非常规扩张性货币政策对股票回报率具有统计学意义下积极且显著的影响，主要体现为对股票市场的正向激励。若将分析对象扩展至分类回报率，基于SVAR的分析结果则呈现出明显的异质性和不对称分布。
整理 | 寇韵楳
排版、审核 | 寇韵楳、薛榆淞



北京大学税法研究中心
Peking University
Center for Tax Law


长按二维码关注我们