苏冬蔚
个性化签名
- 姓名:苏冬蔚
- 目前身份:
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学术头衔:
国家“百千万”人才工程国家级人选, 享受国务院特殊津贴专家, 教育部“新世纪优秀人才支持计划”入选者, 博士生导师
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学科领域:
公路标志、信号、监控工程
- 研究兴趣:
Dongwei Su received his PhD in Economics from the Ohio State University in 1997 and has been Professor of Finance at Jinan University in Guangzhou since 2002. He has published more than 40 articles in academic journals. To date, his research has been cited more than 370 times in SCOPUS, 2100 times in CAJD (China Academic Journal Database) and 1340 times in Google Scholar with an h-index of 16. He has received numerous grants from National Science Foundation of China and Ministry of Education, and research awards including the best paper award by the Chinese Finance Association, Pacific-Basin Capital Markets Research Center and International Association of Chinese Management Research. He was ranked in the top 15 authors/economists in mainland China by RePEc in 2009.
[1] “An Empirical Investigation of Underpricing in Chinese IPOs”, 1999, Pacific-Basin Finance Journal 7,173-202. [2] “Corporate Finance and State Enterprise Reform in China”, 2005, China Economic Review 16, 118-148. [3] “Industrial Diversification, Partial Privatization and Firm Valuation: Evidence from Publicly Listed Firms in China”, 2008, Journal of Corporate Finance 14, 405-417. [4] “Executive Pay at Publicly Listed Firms in China”, 2011, Economic Development and Cultural Change 59, 271-292. [5] “Ownership Structure, Corporate Governance and Productive Efficiency in China”, 2012, Journal of Productivity Analysis 38, 303-318. [6] “Liquidity and Asset Pricing: An Empirical Exploration of Turnover and Stock Returns in China”, Economic Research Journal《经济研究》, 2004. [7] “An Empirical Exploration on Sustainable Development of China's Stock-market Listed Firms”, Economic Research Journal《经济研究》, 2005. [8] “Noise Trading and Market Quality”, Economic Research Journal《经济研究》, 2008. [9] “Macroeconomic Conditions and Capital Structure”, Economic Research Journal《经济研究》, 2009. [10] “CEO Incentives, Earnings Management and Corporate Governance”, Economic Research Journal《经济研究》, 2011. [11] “Liquidity, Information Content of Stock Prices and CEO Compensation”, Economic Research Journal《经济研究》, 2013. [12] “Tunneling and CEO Compensations”, Journal of Financial Research《金融研究》, 2013. [13] “Corporate Social Responsibility and Firm Efficiency: Theory and Evidence Based on New Institutional Economics”, World Economy《世界经济》, 2011.
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苏冬蔚
,-0001,():
-1年11月30日
本文通过行业、规模、负债和成长能力的配对,建立起32家上证50成份股上市公司的控制样本,然后运用合理的计量方法,首次估计出符合我国股市微观结构的噪声交易高频时间序列,在此基础上深入分析噪声交易与信息不对称、流动性、波动性和有效性等市场质量指标之间的经验关系,发现:我国股市私人信息具有较高的相关性和持久性;噪声交易提高了交投活跃程度,同时却扩大了执行成本和价格波动幅度;噪声交易与信息不对称的关系不大;噪声交易使实际价差缩小,进而削弱了市场有效性。由此可见,噪声交易是一把“双刃剑”,只有继续改革价格形成机制、增强价值投资力量、引导长期资金入市、完善信息披露制度并强化交易监控,才能进一步提高我国股市的质量。
噪声交易, 市场质量, 信息不对称, 市场有效性, 市场微观结构
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引用
【期刊论文】DOES STATE CONTROL AFFECT MANAGERIAL INCENTIVES? EVIDENCE FROM CHINA’S PUBLICLY LISTED FIRMS*
苏冬蔚, Chen Lin, Dongwei Su
Journal of Business Economics and Management 2009 10(4): 291-311,-0001,():
-1年11月30日
Using data for 1203 publicly listed fi rms in China during 1999–2002, this paper empirically investigates whether and to what extent state control affects managerial incentives, including managerial compensation and CEO turnover. The paper fi nds that CEO turnover is negatively related to both current and lagged fi rm performance as measured by ROA and RPE (Relative Performance Evaluation) for non-state-controlled fi rms, while insensitive to performance measures for statecontrolled fi rms. In addition, CEO compensation is positively related to fi rm performance, but state wnership and control weaken this positive relation. Moreover, state control reduces the effectiveness of internal governance mechanisms such as the board of directors and supervisory committee. Overall, empirical results in the paper indicate that state ownership and control weaken managerial incentives and internal monitoring among publicly listed fi rms in China.
managerial incentives,, state control,, corporate governance,, partial privatization,, China.,
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【期刊论文】PRICE MANIPULATION AND INDUSTRY MOMENTUM—EVIDENCE FROM THE CHINESE STOCK MARKET1
苏冬蔚, He Zhongzhi* and Su Dongwei**
中国金融评论,2009,3(4):1~34,-0001,():
-1年11月30日
Recent theoretical studies show that trade-based stock price manipulation is a possible source of the momentum effect. This paper proposes three sets of testable hypotheses and provides empirical evidence for a manipulation-based explanation of momentum. Using weekly data on 14 CITIC industries in the Shanghai A-share market from 1997 to 2006, our analysis of industry momentum shows that cumulative returns fi rst increase then decrease across holding periolds, and the returns monotonically decrease across formation periods. This return pattern is consistent with a so-called "pump and dump scheme, where momentum is created by manipulators and chased by speculators. We attribute the source of momentum to the positive own-autocorrelation, which dominates the cross-autocorrelation effect of industry returns. We also fi nd that momentum profi ts are higher in the bull than in bear market, and most of the profi ts come from the gains of winning industries rather than the losses of losing industries. These empirical results, when related to some welldocumented behavioral biases of Chinese speculators, tell us a possible stock-market manipulation story of momentum.
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苏冬蔚, Chen Lin a, Dongwei Su b, c, *
Journal of Corporate Finance 14(2008)405-417,-0001,():
-1年11月30日
This paper investigates the relationship between industrial diversification and firm valuation in a sample of 816 publicly listed firms in China. It contributes to the literature in threeways. First, it is one of the first studies of diversification and firm value in an emerging market dominated by partially privatized firms. Second, it explores the determinants of corporate diversification by considering some unique aspects of the agency and political conflicts inherent in China's transition toward a market economy. Third, it employs a number of empirical methodologies (instrumental variables estimation, the Heckman self-selection model, and propensity score matching) to examine the relationship between diversification and firm value. The paper finds that when the decision to diversify is modeled as an endogenous choice based on firm characteristics, multi-segment firms have significantly higher Tobin's q than single-segment firms, even after controlling for factors such as ownership structure, ownership concentration, and growth opportunities. In addition, government-controlled multi-segment firms have lower Tobin's q than non-government-controlled multi-segment firms, providing evidence in support of the political cost hypothesis of diversification. Moreover, non-government-controlled firms in growth industries that perform better are more likely to diversify. Overall, our results illustrate that the valuation effect of diversification depends on government control.
Diversification, Partial privatization, Political costs, Corporate, governance, China
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苏冬蔚, 曾海舰, 苏冬蔚*
,-0001,():
-1年11月30日
在一个“自然实验”框架内,本文首次采用双重差分估计法考察1998年信贷扩张与2004年信贷紧缩对中国上市公司资本结构的影响。本文的研究发现,1998年信贷扩张后,规模小、民营化程度高及担保能力弱的公司获得了较多的银行资金,其负债水平显著上升;而2004年信贷紧缩后,上述三类公司的有息负债率显著下降,同时,公司应付款项显著增加,以弥补信贷资金的减少。研究表明,资本市场供给面因素对公司资本结构具有统计和经济意义上的重要影响,而且中国货币政策松紧对不同类型的公司个体具有不同的信贷渠道传导效应。本文的研究结果有助于澄清2004年以来关于宏观调控的社会争议,对宏观经济政策的制定和实施具有一定的借鉴意义。
资本结构, 信贷政策, 宏观调控, 负债率, 双重差分
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苏冬蔚, 曾海舰
,-0001,():
-1年11月30日
本文首次从宏观经济的角度,结合我国资本市场独特的制度环境,提出若干关于资本结构权衡理论、最优融资顺序理论和市场择机假说的新假设,然后运用面板数据分数响应和分位数回归两种新的非线性计量方法进行实证分析并发现:我国上市公司的资本结构呈显著的反经济周期变化,宏观经济上行时,公司的资产负债率下降,而宏观经济衰退时,公司的资产负债率则上升;信贷违约风险与资本结构呈显著的负相关关系;信贷配额及股市表现与资本结构之间关系不大。本文的实证结果表明:宏观经济状况是影响公司资本结构的重要因素;资本结构选择符合最优融资顺序理论;上市公司没有单一的股权融资偏好或债务融资偏好。
资本结构, 宏观经济因素, 权衡理论, 最优融资顺序理论, 市场择机假说
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【期刊论文】Stock price reactions to earnings announcements: evidence from Chinese markets
苏冬蔚, Dongwei Su*
Review of Financial Economics 12(2003)271-286,-0001,():
-1年11月30日
We examine the stock price reactions to changes in earnings per share (EPS) in the Chinese stock markets. We find that domestic A-share investors do not correctly anticipate the changes in earnings and fail to adjust new earnings information quickly, but international B-share investors can predict earnings changes better than A-share investors. As a result, abnormal returns (ARs) can be obtained by trading on the earnings information, but for A shares only. An explanation is that most A-share holders are individuals with short-term investment horizon while most B-share holders are large institutions that trade on more detailed and accurate financial information not immediately available to A-share holders.
Earnings announcements, Abnormal returns, Event studies, Emerging market, China
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苏冬蔚, 昊仰儒
经济研究,2005,(1):105~116,-0001,():
-1年11月30日
随着我国对稳定发展资本市场的日益重视.如何客观评价上市公司自身的竞争优势、长期绩效和成长能力,从而科学认识其持续发展的内在规律已成为一个亟待研究和解决的重要问题。为此,本文构建出一个新颖的上市公司可持续发展计量模型,并首次运用屏面数据计量方法进行实证研究,通过使用数理统计工具,如Mahalanobis广义距离、计算机集约法和刀切法,深入剖析我国上市公司长期绩效的形成机制,发现动态累积效益模型能深刻揭示出各类可持续发展指标之间错综复杂的内在关系、真实体现上市公司可持续发展的本质特征并客观评价上市公司的综合素质。
上市公司 可持续发展 动态累积效益模型 屏面数据计量方法 中国证券市场
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