2024年，中國(guó)金融學(xué)院繼續(xù)致力于將中國(guó)金融理論與實(shí)踐的優(yōu)秀成果推向國(guó)際，向世界講好中國(guó)金融故事，展示中國(guó)金融學(xué)者的智慧與魅力。學(xué)院教師全年在國(guó)際高水平期刊共有論文22篇見(jiàn)刊發(fā)表，較去年同比增長(zhǎng)37.5%，其中A類論文10篇，A-類論文12篇。同時(shí)，還在國(guó)際B類期刊上發(fā)表論文13篇。這些研究成果覆蓋了金融監(jiān)管、金融市場(chǎng)、公司治理、宏觀經(jīng)濟(jì)、風(fēng)險(xiǎn)管理等多個(gè)領(lǐng)域，不僅體現(xiàn)了學(xué)院在金融學(xué)領(lǐng)域的深厚積累與持續(xù)創(chuàng)新能力，也為中國(guó)金融學(xué)術(shù)研究的國(guó)際化進(jìn)程注入了強(qiáng)勁動(dòng)力，向世界展現(xiàn)了中國(guó)智慧與中國(guó)力量。

一、國(guó)際頂級(jí)期刊（A類）論文（10篇）

論文名稱：Banking Supervision with Loopholes

作者：危建行；Xu, T

刊名：EUROPEAN ECONOMIC REVIEW

發(fā)表時(shí)間：2024.01

論文摘要：This paper develops a model of financial intermediation focusing on the interaction between banks and a regulator. In the model, the regulator chooses its supervision capacity to monitor banks and prevent excessive risk-taking. Meanwhile, banks can engage in loophole innovation to circumvent supervision, diminishing the value of the regulator's accumulated expertise. In equilibrium, as the regulator's supervision capacity increases, loophole innovation is more likely to succeed. In the dynamic framework, our model generates pro-cyclical bank leverage and asymmetric credit cycles. After a longer boom, a crisis is more likely to occur, and the consequences are more severe. We analyze the welfare implications of maximum leverage regulation and other regulatory tools in the loophole innovation environment.

核心觀點(diǎn)與政策含義：在論文中，作者通過(guò)建立理論模型，深入探討了金融監(jiān)管中存在的漏洞問(wèn)題。研究著重分析了銀行利用這些漏洞來(lái)規(guī)避監(jiān)管的行為，以及這種行為對(duì)銀行危機(jī)的潛在影響。這項(xiàng)研究基于金融監(jiān)管機(jī)構(gòu)與銀行之間的動(dòng)態(tài)互動(dòng)，為我們理解監(jiān)管失靈提供了一個(gè)新的視角，對(duì)于我國(guó)金融監(jiān)管政策的制定也具有一定的借鑒意義。

論文名稱：Testing the Dimensionality of Policy Shocks

作者：Li, J ; Todorov, V ；張秋詩(shī)

刊名：REVIEW OF ECONOMICS AND STATISTICS

發(fā)表時(shí)間：2024.03

論文摘要：This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the event to estimate the covariance jump matrix and then test its rank. We find a one-factor structure in the covariance jump matrix of the yield curve resulting from the Federal Reserve's monetary policy shocks before the 2007-2009 financial crisis. The dimensionality of policy shocks increased afterwards because of the use of unconventional monetary policy tools.

核心觀點(diǎn)與政策含義：未被預(yù)見(jiàn)的經(jīng)濟(jì)政策往往會(huì)對(duì)金融市場(chǎng)產(chǎn)生較大沖擊，從而導(dǎo)致資產(chǎn)價(jià)格顯著變化。理解經(jīng)濟(jì)政策對(duì)金融市場(chǎng)乃至整個(gè)宏觀經(jīng)濟(jì)的影響是學(xué)者和政策制定者共同關(guān)注的熱點(diǎn)。然而，如何有效地從眾多混淆因素中提取政策沖擊著力點(diǎn)和維度是相關(guān)實(shí)證研究面臨的主要挑戰(zhàn)。相較于傳統(tǒng)研究，本文著眼于分析政策發(fā)布前后局部時(shí)間窗口中與新發(fā)布信息關(guān)聯(lián)更緊密的高頻資產(chǎn)價(jià)格變化。論文創(chuàng)造了一套非參數(shù)檢驗(yàn)方法，通過(guò)研究對(duì)比宏觀政策發(fā)布前后一籃子資產(chǎn)的隨機(jī)協(xié)方差矩陣中的異常變化，來(lái)確定宏觀政策沖擊的維度，為運(yùn)用高頻數(shù)據(jù)研究宏觀政策沖擊提供了新的工具。

論文名稱：Withholding Bad News in the Face of Credit Default Swap Trading: Evidence from Stock Price Crash Risk

作者：劉津宇；Ng, J ; Tang, DY ; Zhong, R

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

發(fā)表時(shí)間：2024.03

論文摘要：Credit default swaps (CDSs) are a major financial innovation related to debt contracting. Because CDS markets facilitate bad news being incorporated into equity prices via cross-market information spillover, CDS availability may curb firms' information hoarding. We find that CDS trading on a firm's debt reduces the future stock price crash risk. This effect is stronger in active CDS markets, when the main lenders are CDS market dealers with securities trading subsidiaries, or when managers have more motivation to hoard information. Our findings suggest that debt market financial innovations curtail the negative equity market effects of firms withholding bad news.

核心觀點(diǎn)與政策含義：研究考察了金融市場(chǎng)的工具創(chuàng)新的經(jīng)濟(jì)后果。研究發(fā)現(xiàn)，CDS市場(chǎng)通過(guò)跨市場(chǎng)信息溢出，將壞消息納入股票價(jià)格中，抑制公司的信息囤積。研究認(rèn)為，債務(wù)市場(chǎng)的金融創(chuàng)新可以減輕公司隱瞞壞消息對(duì)股票市場(chǎng)的負(fù)面影響。

論文名稱：Independent Director Tenure and Corporate Governance: Evidence from Insider Trading

作者：高萌; Huang, S

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

發(fā)表時(shí)間：2024.06

論文摘要：Executives trade more profitably and opportunistically over the course of the tenure of independent directors (IDs). IDs' increased connections with and hence allegiance to executives are likely the channel through which ID tenure can affect executive trading. Executive opportunism is mitigated by disciplinary factors that include the presence of a firm's internal trading policy, blockholders, and IDs with legal expertise as well as the risk of shareholder-initiated derivative lawsuits. These results point to an association between long-tenured IDs and weakened corporate governance.

核心觀點(diǎn)與政策含義：在薩班斯法案（Sarbanes-Oxley Act）施行后，美國(guó)上市公司對(duì)于獨(dú)立董事的需求增加，而管理層人才市場(chǎng)對(duì)獨(dú)立董事的供應(yīng)卻減少。法案推行導(dǎo)致的一個(gè)意料之外的后果（unintended consequence）為獨(dú)立董事的任期普遍延長(zhǎng)。這一后果對(duì)董事會(huì)監(jiān)管效率的影響對(duì)于該政策的效應(yīng)評(píng)估尤為重要。論文發(fā)現(xiàn)隨獨(dú)立董事的任期延長(zhǎng)，其監(jiān)管效率下降。表現(xiàn)為管理層內(nèi)部人交易的利潤(rùn)提高，并且信息驅(qū)動(dòng)的交易占比增加。其他的監(jiān)管機(jī)制能夠降低獨(dú)立董事任期延長(zhǎng)導(dǎo)致的監(jiān)管效率下降，但不能完全抵消這一負(fù)面影響。從個(gè)體層面的研究發(fā)現(xiàn)，隨著任期延長(zhǎng)，獨(dú)立董事對(duì)公司特有信息的掌握沒(méi)有明顯變化，但與公司CEO建立其他社會(huì)關(guān)系的可能性顯著增加。論文基于獨(dú)立董事突然死亡事件，使用兩階段雙重差分方法解決了內(nèi)生性問(wèn)題。學(xué)術(shù)界和監(jiān)管部門在關(guān)注董事會(huì)獨(dú)立性的同時(shí)，往往將其視作董事固有的屬性，而論文從一種動(dòng)態(tài)的觀點(diǎn)考察董事獨(dú)立性隨其任期延長(zhǎng)而發(fā)生的變化。通過(guò)研究對(duì)內(nèi)部人交易的影響，將董事會(huì)的監(jiān)管職能和戰(zhàn)略咨詢職能分離開(kāi)，成功解決了現(xiàn)有理論和實(shí)證研究中對(duì)于董事任期延長(zhǎng)的爭(zhēng)議。并且，進(jìn)一步證實(shí)了董事會(huì)治理對(duì)于內(nèi)部人交易監(jiān)管的重要作用。

論文名稱：Analyst coverage and corporate environmental policies

作者：井辰星; Keasey, K; Lim, I ; Xu, B

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

發(fā)表時(shí)間：2024.06

論文摘要：Exploiting two quasi-natural experiments, we find that firms increase emissions of toxic pollution following decreases in analyst coverage. The effects are stronger for firms with low initial analyst coverage, poor corporate governance, and firms subject to less stringent monitoring by environmental regulators. Decreases in environmental-related questions raised in conference calls, an increased cost of monitoring to institutional shareholders, reductions in pollution abatement investment, and the weakening of internal governance related to environmental performance are channels through which reduced analyst coverage contributes to increases in firm pollution. Our study highlights the monitoring role analysts play in shaping corporate environmental policies.

核心觀點(diǎn)與政策含義：論文通過(guò)券商倒閉和券商合并兩個(gè)準(zhǔn)自然實(shí)驗(yàn)創(chuàng)新性地研究了金融分析師在塑造企業(yè)環(huán)境政策方面所發(fā)揮的監(jiān)督作用。文章發(fā)現(xiàn)，在分析師關(guān)注下降后，公司會(huì)顯著增加有毒污染的排放。這種影響在初始分析師關(guān)注較低、公司治理較差以及受到不太嚴(yán)格的環(huán)境監(jiān)管的公司中更為顯著。從作用機(jī)制來(lái)看，環(huán)境相關(guān)問(wèn)題在電話會(huì)議中被提及的次數(shù)減少、機(jī)構(gòu)投資者環(huán)境監(jiān)控成本增加、污染治理投資的減少以及與環(huán)境績(jī)效相關(guān)的內(nèi)部治理弱化是導(dǎo)致企業(yè)污染排放增加的主要途徑。文章強(qiáng)調(diào)了外部監(jiān)督在提升企業(yè)環(huán)境績(jī)效、減少污染排放方面所起到的重要作用。

論文名稱：Reading the Candlesticks: An OK Estimator for Volatility

作者：Li, J ; Wang, DS；張秋詩(shī)

刊名：REVIEW OF ECONOMICS AND STATISTICS

發(fā)表時(shí)間：2024.07

論文摘要：We propose an Optimal candlesticK (OK) estimator for the spot volatility using high-frequency candlestick observations. Under a standard infill asymptotic setting, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. Its estimation error can be coupled by a Brownian functional, which permits valid inference. Our theoretical and numerical results suggest that the proposed candlestick-based estimator is much more accurate than the conventional spot volatility estimator based on high-frequency returns. An empirical illustration documents the intraday volatility dynamics of various assets during the Fed chairman's recent congressional testimony.

核心觀點(diǎn)與政策含義：即時(shí)波動(dòng)率(spot volatility)在研究宏觀信息對(duì)波動(dòng)率的沖擊、開(kāi)展實(shí)時(shí)風(fēng)險(xiǎn)管理、設(shè)計(jì)日內(nèi)交易策略等領(lǐng)域用處廣泛。本文借助日內(nèi)高頻K線數(shù)據(jù)（開(kāi)、高、低、收價(jià)格）中更豐富的信息，構(gòu)建了OK (Optimal candlesticK) 即時(shí)波動(dòng)率非參數(shù)估計(jì)量及其最優(yōu)置信區(qū)間，并在漸近填充（infill asymptotic）框架下證明了OK估計(jì)量漸近無(wú)偏且在同類線性估計(jì)量中具有最小漸近方差。此外，OK估計(jì)誤差可通過(guò)布朗泛函耦合，其在有限樣本中已知的（非標(biāo)準(zhǔn)）分布可被用于構(gòu)建即時(shí)波動(dòng)率置信區(qū)間。文章中的理論和實(shí)證結(jié)果均表明OK置信區(qū)間的精確度大幅超越基于高頻收益率的傳統(tǒng)置信區(qū)間。OK估計(jì)法的計(jì)算便捷性、即時(shí)性為實(shí)時(shí)風(fēng)險(xiǎn)管理和優(yōu)化投資決策提供了新的工具和思路。

論文名稱：Replicating and Digesting Anomalies in the Chinese A-Share Market

作者：李志冰; Liu, LX; Liu, XY; Wei, KCJ

刊名：MANAGEMENT SCIENCE

發(fā)表時(shí)間：2024.08

論文摘要：We replicate 469 anomaly variables similar to those studied by Hou et al. (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low quintile raw return spreads. Further adjusting risk increases the failure rate slightly to 84.22% based on CAPM alphas and 86.99% based on Fama-French three-factor alphas. We show that the conventional procedure using all A-share breakpoints with equal-weighted returns for the anomaly test is indeed problematic as it assigns too much weight to microcaps and has a very limited investment capacity. The CH3-factor, CH4-factor, and q-factor models show the best performance over the whole sample period. The q-factor model is the best performer in the post-2007 subsample period after significant improvements occurred in China's financial market environment, such as the completion of the split-share structure reform and the implementation of new accounting standards conforming to the International Financial Reporting Standards. The non-state-owned enterprise subsample in the post-2007 period is a cleaner sample in which the CH4-factor and qfactor models are the best performers.

核心觀點(diǎn)與政策含義：論文對(duì)中國(guó)股票市場(chǎng)進(jìn)行了大規(guī)模的異象（anomaly）檢驗(yàn)和因子模型比較，構(gòu)建了469個(gè)異象，分別檢驗(yàn)了它們的超額收益表現(xiàn)，并評(píng)估主流的因子模型對(duì)這些超額收益的解釋效果，是中國(guó)市場(chǎng)迄今最大樣本量的股票異象檢驗(yàn)。這一研究成果曾在多個(gè)子領(lǐng)域入選SSRN論文全球下載量排名前10名單，在一定程度上反映出論文的學(xué)術(shù)價(jià)值和國(guó)際影響力。本文的研究團(tuán)隊(duì)已于2024年3月建立網(wǎng)站并公開(kāi)這些異象組合和因子收益的數(shù)據(jù)，供資產(chǎn)定價(jià)方向的研究者使用，希望基于A股市場(chǎng)建立的這套數(shù)據(jù)庫(kù)能夠成為推動(dòng)中國(guó)資產(chǎn)定價(jià)學(xué)術(shù)研究的重要力量。目前，因子數(shù)據(jù)（包括Fama-French三因子、五因子，Carhart四因子，q因子，Liu-Stambaugh-Yuan中國(guó)版三因子和四因子）和異象組合數(shù)據(jù)（包括45個(gè)動(dòng)量類異象，68個(gè)價(jià)值/成長(zhǎng)類異象，36個(gè)投資類異象，94個(gè)盈利類異象，83個(gè)無(wú)形資產(chǎn)類異象，和143個(gè)市場(chǎng)摩擦類異象）已更新至2023年12月，并將在未來(lái)保持年度更新。

論文名稱：Fintech Lending and Credit Market Competition

作者：儲(chǔ)寅嘯；危建行

刊名：JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS

發(fā)表時(shí)間：2024.08

論文摘要：This article studies how the rise of financial technology (Fintech) lending affects credit access, interest rates, and social welfare. We consider a lending competition model with two incumbent banks and a Fintech lender, which use different information and technologies to assess borrower creditworthiness. We show that Fintech lending could negatively affect high-quality borrowers' access to credit when the Fintech lender's screening accuracy is superior to that of the banks. Furthermore, Fintech lending may worsen the allocative efficiency of credit and reduce social welfare under some conditions. Analytical and numerical results suggest that Fintech lending mostly reduces the expected interest rates.

核心觀點(diǎn)與政策含義：在論文中，作者通過(guò)建立理論模型，深入探討了近年來(lái)日益興起的金融科技信貸對(duì)信貸可得性和經(jīng)濟(jì)效率的影響。研究重點(diǎn)分析了當(dāng)金融科技公司和傳統(tǒng)銀行在篩選借款客戶的信貸技術(shù)上存在顯著差別時(shí)，金融科技信貸和銀行之間的相互競(jìng)爭(zhēng)。這一研究為解釋金融科技信貸實(shí)證研究中的多項(xiàng)發(fā)現(xiàn)提供了新的理論框架，同時(shí)對(duì)我國(guó)金融科技信貸相關(guān)監(jiān)管政策的制定具有一定的啟示意義。

論文名稱：Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence

作者：Horváth, L; Kokoszka, P；盧尚霖

刊名：JOURNAL OF BUSINESS ＆ ECONOMIC STATISTICS

發(fā)表時(shí)間：2024.10

論文摘要：We consider a regression model with autoregressive terms and propose significance tests for the detection of change points in this model. Our tests are applicable to both low- or moderate dimension and to high-dimension with sparse regressors. The dimension may be high from the practical point of view of economic and business applications, but in our theoretical framework it is fixed. To accommodate practically high dimension, variable selection is incorporated as an integral part of our approach. The regressors and the errors can exhibit general nonlinear dependence and the model incorporates autoregressive dependence. We develop asymptotic justification and evaluate the performance of the tests both on simulated and real economic data. We test for and estimate changes in responses to risk factors of a U.S. energy stocks portfolio and the Industrial Production index. We relate our findings to macroeconomic policy changes and global impact events.

核心觀點(diǎn)與政策含義：該文章提出了可對(duì)動(dòng)態(tài)線性回歸模型的結(jié)構(gòu)性突變進(jìn)行顯著性檢驗(yàn)的加權(quán)CUSUM統(tǒng)計(jì)量，并在允許變量存在線性、非線性序列相依性和截面相關(guān)性等一般假設(shè)下給出了統(tǒng)計(jì)量的漸進(jìn)性質(zhì)。文章在統(tǒng)計(jì)量的構(gòu)造中集成嵌入了基于LASSO方法的變量選擇機(jī)制，以應(yīng)對(duì)在經(jīng)濟(jì)和金融應(yīng)用場(chǎng)景中常見(jiàn)的高維數(shù)據(jù)處理問(wèn)題。文章實(shí)證部分考察了124個(gè)宏觀經(jīng)濟(jì)變量對(duì)美國(guó)工業(yè)產(chǎn)出增長(zhǎng)率的預(yù)測(cè)能力，檢測(cè)到1983年4月和2020年2月兩個(gè)突變時(shí)點(diǎn)。其中第一個(gè)時(shí)點(diǎn)與美國(guó)經(jīng)濟(jì)從“大通脹時(shí)期”轉(zhuǎn)換至“大緩和時(shí)期”相契合，第二個(gè)時(shí)點(diǎn)則反映了COVID-19新冠疫情關(guān)停政策對(duì)整體經(jīng)濟(jì)活動(dòng)的影響，印證了所提出的統(tǒng)計(jì)量對(duì)高維模型結(jié)構(gòu)突變的檢驗(yàn)效力。另外，文章還以美國(guó)能源行業(yè)股票組合收益為例闡釋了該方法對(duì)中等維度模型的適用性，發(fā)現(xiàn)其對(duì)22個(gè)外生風(fēng)險(xiǎn)因素的暴露在1981年12月、2001年9月、2019年12月存在突變。文章認(rèn)為前兩個(gè)突變分別與美國(guó)政府推行的石油去管制政策和應(yīng)對(duì)氣候變化計(jì)劃有關(guān)，第三個(gè)突變反映了COVID-19新冠疫情導(dǎo)致能源消費(fèi)驟減對(duì)股票市場(chǎng)預(yù)期超額收益的影響。在發(fā)生突變后包含疫情時(shí)期的子樣本內(nèi)，能源行業(yè)超額收益僅對(duì)市場(chǎng)、動(dòng)量、盈利價(jià)格比、成交量標(biāo)準(zhǔn)差這四個(gè)因子存在暴露。文章中的這兩個(gè)例證揭示了廣泛存在于復(fù)雜經(jīng)濟(jì)、金融系統(tǒng)模型系數(shù)的突變性，對(duì)探究中國(guó)宏觀經(jīng)濟(jì)和資本市場(chǎng)的發(fā)展階段，以及測(cè)度不同時(shí)期的發(fā)展?fàn)顩r提供了重要參考。

論文名稱：Disclosing and cooling-off: An analysis of insider trading rules

作者：鄧軍；潘慧峰；Yan, HJ；Yang, LY

刊名：JOURNAL OF FINANCIAL ECONOMICS

發(fā)表時(shí)間：2024.10

論文摘要：We analyze two insider-trading regulations recently introduced by the Securities and Exchange Commission: mandatory disclosure and "cooling-off period". The former requires insiders disclose trading plans at adoption, while the latter mandates a delay period before trading. These policies affect investors' trading profits, risk sharing, and hence their welfare. If the insider has sufficiently large hedging needs, in contrast to the conventional wisdom from "sunshine trading", disclosure reduces the welfare of all investors. In our calibration, a longer cooling-off period benefits speculators, and its implications for the insider and hedgers depend on whether the disclosure policy is already in place.

核心觀點(diǎn)與政策含義：論文通過(guò)構(gòu)建信息交易模型，分析了不同的信息披露制度和延遲期的設(shè)置如何影響市場(chǎng)的公平性和效率。 這項(xiàng)研究突破了傳統(tǒng)內(nèi)幕交易研究的局限，提出了在特定市場(chǎng)條件下，通過(guò)合理的規(guī)則設(shè)計(jì)，可以顯著改善市場(chǎng)流動(dòng)性和市場(chǎng)效率。隨著我國(guó)資本市場(chǎng)逐漸走向成熟，監(jiān)管法規(guī)逐漸完善，這一理論創(chuàng)新為我國(guó)監(jiān)管機(jī)構(gòu)在制定內(nèi)幕交易相關(guān)政策時(shí)， 提供了重要的理論參考。該研究成果受到哈佛大學(xué)法學(xué)院論壇的邀請(qǐng)并報(bào)道： corpgov.law.harvard.edu/2024/09/17/disclosing-and-cooling-off-an-analysis-of-insider-trading-rules/

二、國(guó)際權(quán)威期刊（A-類）論文（12篇）

三、國(guó)際權(quán)威期刊（B類）論文（13篇）