教授观点 | Ben Charoenwong：中国主权财富基金购买ETF能否稳定金融市场？（双语）

在一篇研究论文中，我与阿尔伯塔大学的Randall Morck和我的同事Yupana Wiwattanakantang发现，日本央行的购买行为提振了股价，与中央汇金在2013年和2015年的经验相似。这些购买还增加了股票发行，为公司提供了更多的流动资金。但这些购买并未增加大多数公司的资本投资或增长。

实际上，政府购买了更多不需要资本且不太可能面临财务约束的公司的股份。日本央行的购买并未刺激大多数公司的资本投资，只有那些公司治理较弱的公司受到了刺激。这表明，购买并未促进生产性投资，而促进了CEO的无效扩张。

中国的近期经验与日本央行的购买相似，但两者之间存在一些差异。首先，中国购买的规模要小得多，相当于GDP的不到0.01%，而日本央行的购买相当于3.5%。其次，中国购买的动机可能更为防御性，旨在对抗海外投资者的抛售和防止市场进一步下滑，而不是刺激市场增长。

尽管中国的购买可能会暂时提振股价，但它可能不会导致公司增加资本筹集或投资，尤其是考虑到高债务负担、政策不确定性或需求疲软等基本问题。

此外，房地产市场中不良贷款的存在构成了一个重大障碍。

中国可以更直接地将财政刺激定向到具有更高潜力和社会价值的领域，而不是盲目购买ETF来提振股价，从而使投资者、对冲基金和CEO受益，同时增加非生产性的公司现金持有。中国过去并未回避这种有针对性的政策。这些工具也可以与旨在培育更具竞争力和包容性的市场环境的政策结合使用，以提高透明度，并适当地将损失和收益分配给相应的风险承担者，以避免扭曲的激励，这可能最终使纳税人承担更多的成本。

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研究报告原文

Bank of Japan Equity Purchases: The (Non-)Effects of Extreme Quantitative Easing

Ben Charoenwong, Randall Morck, Yupana Wiwattanakantang 

Review of Finance,Volume 25,Issue 3,May 2021,Pages 713–743,

https://doi.org/10.1093/rof/rfaa029

With the onset of the Covid-19 pandemic, the financial press has reported that central banks around the world such as the European Central Bank and the Bank of Israel have contemplated buying equity to further boost economic growth. Are massive equity purchases by central banks an effective alternative monetary policy stimulus that other central banks might use amid near zero or negative interest rates when debt market interventions grow ineffective?

In this paper, we exploit a unique empirical setting in Japan, where the Bank of Japan (BOJ) has pioneered a unique form of quantitative easing: the central bank buying and holding large equity blocks in domestic corporations since December 2010. Through March 2018, the BOJ accumulated equity index-backed exchange-traded fund (ETF) holdings worth almost ¥19.3 trillion, equivalent to 3.5% of GDP or over 75% of the total ETF market. So far, the BOJ is the only major central bank to have purchased domestic equities on such a scale. Of empirical relevance is the plausibly exogenous cross-sectional heterogeneity in index weights due to price-weighting schemes and differential index inclusion.

We find the BOJ’s ETF purchases (1) increase share prices relative to a market-weighted benchmark, (2) lead firms to raise more capital through secondary equity offerings, but (3) do not predict substantially increased corporate investment on average, but rather predict increased holdings of cash and other current assets. We conclude that these BOJ equity purchases have scant expansionary impact on corporate actions but can temper bankruptcy risk.

However, we also find evidence such purchases likely exacerbate “empire-building” problems as BOJ equity purchases are associated with increased investment in the subsample of firms without valuable growth opportunities and with weak corporate governance.

Our findings suggest that central bank purchases of equities are a problematic tool for stimulating economic growth through high broad-based private-sector corporate investment. We believe that Japan’s institutions and recent economic history leave its experience relevant to policy-makers elsewhere.

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