异质信念下内幕交易者市场操纵行为研究

在竞争性理性预期均衡的框架下,建立起非知情交易者异质信念下风险资产定价模型,推导出关于风险资产的贝叶斯线性均衡价格函数,并基于此研究内幕交易者市场操纵行为,揭示操纵手法。研究结果表明非知情交易者的信念偏差对交易需求、均衡价格以及内幕交易者的操纵策略均有重大影响,而对市场深度没有影响。内幕交易者通过散布虚假消息使得非知情交易者成为虚假消息的跟随者可实现获利;内幕交易者在散布虚假消息时需要考虑非知情交易者的整体信念偏差;在线性均衡下,均衡价格与内幕交易者散布的虚假消息呈线性正相关。     

Effects of Knowledge on Attitude Formation and Change Toward Genetically Modified Foods

In three waves, this study investigates the impact of risk and benefit knowledge on attitude formation toward genetically modified (GM) foods as well as the moderating effect of knowledge level on attitude change caused by receiving information. The data in Wave 1 (N = 561) demonstrate that both benefit and risk knowledge either directly contribute to attitude formation or indirectly affect attitudes through the mediating roles of benefit and risk perceptions. Overall, benefit and risk knowledge affect consumer attitudes positively and negatively, respectively. In Wave 2, 486 participants from Wave 1 were provided with information about GM foods, and their attitudes were assessed. Three weeks later, 433 of these participants again reported their attitudes. The results indicate that compared with the benefit and mixed information, risk information has a greater and longer lasting impact on attitude change, which results in lower acceptance of GM foods. Furthermore, risk information more strongly influences participants with a higher knowledge level. The moderating effect of knowledge on attitude change may result from these participants’ better understanding of and greater trust in the information. These findings highlight the important role of knowledge in attitude formation and attitude change toward GM foods as well as the necessity of considering the determinants of attitude formation in attitude change studies.     

股东为什么在解禁后会减持股票?——基于背景风险分析的股票解禁效应研究

背景风险指投资者因持有非交易性资产而承担的风险，会降低投资组合效率。本文以2016年全年1502家公司限售股解禁事件为样本，从背景风险的角度分析了股东的解禁减持行为，并对限售股解禁的价格效应进行了研究。实证结果表明，背景风险因素对解禁后股价异常收益具备显著负向影响。基于背景风险的投资组合调整效应相较于"高位套现"效应对股价变动的影响更为显著。研究还发现解禁规模对股票异常收益具备显著负向影响；公司规模及异常换手率，在解禁期间缓解了股价的下降；不同的解禁性质对股价也有一定影响，相较于定向增发解禁，首发IPO解禁对股价的影响更大。     

Engaging with Comparative Risk Appraisals: Public Views on Policy Priorities for Environmental Risk Governance

Communicating the rationale for allocating resources to manage policy priorities and their risks is challenging. Here, we demonstrate that environmental risks have diverse attributes and locales in their effects that may drive disproportionate responses among citizens. When 2,065 survey participants deployed summary information and their own understanding to assess 12 policy‐level environmental risks singularly, their assessment differed from a prior expert assessment. However, participants provided rankings similar to those of experts when these same 12 risks were considered as a group, allowing comparison between the different risks. Following this, when individuals were shown the prior expert assessment of this portfolio, they expressed a moderate level of confidence with the combined expert analysis. These are important findings for the comprehension of policy risks that may be subject to augmentation by climate change, their representation alongside other threats within national risk assessments, and interpretations of agency for public risk management by citizens and others.     

基于因素嵌入的非理性资产价格泡沫生成及膨胀演化研究

近几年,随着资产价格泡沫现象的频繁发生,实业家和学者开始重点关注泡沫生成、膨胀的演化过程。本文通过引入导致预期发生变化的三个影响因素(过度自信、资产缺乏弹性、流动性过剩),扩展了现有的噪声交易者(DSSW)模型,揭示由噪声交易者对资产价格预期发生变化而造成的非理性资产价格泡沫的生成及膨胀机理,分析得出:三个影响因素促使资产价格预期发生变化,进而导致非理性资产价格泡沫生成及膨胀;并利用MATLAB软件对非理性资产价格泡沫膨胀过程进行模拟,分析得出:噪声交易者占比、非知情噪声交易者占比、过度自信影响因子、资产缺乏弹性影响因子、流动性过剩影响因子越大,非理性资产价格泡沫的膨胀速度越快、波动幅度越大,这对防止泡沫膨胀速度过快、过大有一定的参考价值。     

期货保证金调整对中国钢材市场价格发现的影响研究

近年来,上海期货交易所频繁调整大宗商品期货的交易保证金,以期抑制市场风险。这种调整措施给中国钢材市场的价格发现过程究竟会带来何种影响,是理论界和实践界关注的问题。本文针对上海期货交易所于2010年11月29日上调钢材期货保证金比例和2012年5月2日下调保证金比例这两项措施,采用基于VECM模型的信息份额方法,定量测算了中国三类钢材市场对钢材价格发现过程的贡献。研究结果表明,调升期货保证金的措施可抑制钢材市场价格波动风险、提升期货市场的价格发现功能;调降期货保证金后,期货市场对价格发现过程的贡献度仍占1/3以上;电子交易市场价格发现功能受期货保证金调整影响较大。在钢材期货价格剧烈波动时,电子交易市场作为价格发现工具能引导其它两类市场价格。     

Evaluating the Benefits of Adaptation of Critical Infrastructures to Hydrometeorological Risks

Infrastructure adaptation measures provide a practical way to reduce the risk from extreme hydrometeorological hazards, such as floods and windstorms. The benefit of adapting infrastructure assets is evaluated as the reduction in risk relative to the “do nothing” case. However, evaluating the full benefits of risk reduction is challenging because of the complexity of the systems, the scarcity of data, and the uncertainty of future climatic changes. We address this challenge by integrating methods from the study of climate adaptation, infrastructure systems, and complex networks. In doing so, we outline an infrastructure risk assessment that incorporates interdependence, user demands, and potential failure‐related economic losses. Individual infrastructure assets are intersected with probabilistic hazard maps to calculate expected annual damages. Protection measure costs are integrated to calculate risk reduction and associated discounted benefits, which are used to explore the business case for investment in adaptation. A demonstration of the methodology is provided for flood protection of major electricity substations in England and Wales. We conclude that the ongoing adaptation program for major electricity assets is highly cost beneficial.     

Asset Markets With Heterogeneous Information

This paper studies competitive equilibria of economies where assets are heterogeneous and traders have heterogeneous information about them. Markets are defined by a price and a procedure for clearing trades, and any asset can, in principle, be traded in any market. Buyers can use their information to impose acceptance rules which specify which assets they are willing to trade in each market. The set of markets where trade takes place is derived endogenously. The model can be applied to find conditions under which these economies feature fire sales, contagion, and flights to quality.     

指令驱动市场中非知情交易者的最优交易策略

在非对称信息下,综合非知情交易者对资产价值的预期、私人估值及资产价值波动,构造指令驱动市场价格形成的动态模型,给出非知情交易者指令提交策略的解析解,并依此描述了非知情交易者对资产价值预期的动态更新过程.研究发现:私人估值和资产价值波动通过影响非知情交易者最优策略,使得市场进入不同均衡状态;在每个均衡状态下,非知情交易者根据资产价值的预期变化更新交易策略,进而引起知情交易者策略调整,特别地,使得知情交易者被挤出市场成为可能.进一步分析表明,私人估值、资产价值波动及知情交易者比例对市场流动性的影响依赖于每个均衡中限价指令执行风险的差异.     

考虑退货风险的制造商双渠道供应链定价决策研究

针对事前不确定性导致的退货问题，从消费者行为出发，建立考虑定价差异和退货风险双重因素的市场需求函数，通过Stackelberg博弈模型研究四种不同市场需求情形在不同定价模式下双渠道供应链的最优决策。在数值仿真部分，对不同情形决策之间比较、供应链收益进行比较分析。研究表明：电子渠道销售价格与电子渠道的市场基本需求成正比，批发价和传统渠道销售价格与传统渠道的市场基本需求成正比，实体店体验服务水平和传统渠道的市场基本需求的关系（线性关系）则根据某些条件而定；退货风险对供应链决策的影响与定价模式、市场需求影响因素相关；制造商偏好于定价不相等模式，零售商偏好于定价相等模式；退货风险与定价差异对供应链成员收益的影响与定价模式相关，对整体供应链收益的影响与定价模式和退货率大小有关。     

系统风险的会计决定:企业财务风险、经营风险、系统风险的时变关联

新企业会计准则的颁布有力推进了我国金融工具信息披露制度建设,但是到目前为止,研究者对会计信息和上市公司系统风险的关系还不是很清楚.本文提出了新的经济理论模型用于研究财务风险、经营风险和系统风险的动态关联.主要结论:一、财务杠杆和经营杠杆以乘子的形式放大了无杠杆条件下的企业系统风险,这一结论在时变的条件下仍成立;二、理论证实了无杠杆条件下的企业系统风险来源于公司净利润-流通市值比率、销售增长率和平均价格增长率的变动;三、财务风险和经营风险间存在一个权衡,例如经营风险高的公司,将会选择一个较低的财务风险,使得公司有一个相对合理的系统风险.因此,会计风险披露制度的推进可以为投资者提供更多和更好的有关公司风险的信息.     

销售成本信息不对称下供应商风险规避的回购契约

在价格随机条件下,销售成本信息不对称且供应商规避风险时,本文探讨回购契约协调供应链的最优决策。在前提假设的基础上构建新的回购契约模型,求解并用算例进行仿真验证,考虑信息不对称与风险规避共同发生耦合作用后对供应链相关决策变量的影响。研究结果表明：在价格随机条件下,不管信息是否对称,只要供应商有风险规避意识,供应链相关决策变量均发生分岔突变;不管市场价格是否随机,也不管供应商是否风险规避,只要零售商隐瞒私人销售成本信息,就会给自己带来额外的收益,但会给供应商与整个供应链带来损害;供应链上的信息越不对称,在分岔突变区域,相关决策变量的振荡幅度越大。分岔突变现象是市场价格随机和供应商风险规避耦合作用后特有的现象;零售商能够利用信息不对称给自己带来额外的好处,但会损害供应商和供应链的利益;供应商防范零售商这种损人利己行为的最好对策,就是通过设计一种合作机制,以最低成本的方式来促使零售商将销售成本信息公开化;另外,供应商以平稳的心态(风险中性)应对外部风险,更有利于提高其自身决策的水平。     

What's Time Got to Do with It? Inattention to Duration in Interpretation of Survival Graphs

Reports of randomized clinical trials often use survival curves to summarize clinical outcomes over time and graphically demonstrate evidence of treatment effectiveness. Survival curves can also be used in patient communications to display how health risks accumulate over time. In a randomized survey experiment, administered online, we tested whether people viewing survival curves appropriately adjust their risk perceptions to account for the duration shown. Internet users (N= 864) were recruited from a demographically balanced U.S. panel. Participants read about a hypothetical disease and then viewed one of four survival graphs that displayed mortality risks with and without treatment. Survival graphs showed either a visually large or visually small difference between treatments and were labeled to represent either 5-year or 15-year risk statistics. Participants then provided ratings of disease seriousness, as well as treatment effectiveness for each possible treatment. Variations in ratings corresponded more with visual dissimilarity than with changes in the statistical risk exhibited, with participants perceiving somewhat greater disease seriousness and significant differences in treatment effectiveness in large visual difference graphs. We conclude that when people interpret survival curves, they often fail to sufficiently account for the timeframe represented and perceive more risk and larger differences when identical risks are displayed over longer periods of time. We recommend that all presentations of survival graphics, whether to patients, physicians, or scientists, emphasize duration information (e.g., in the title) and remind readers that attending to graph axis labels is the only way to pierce these visual illusions.     

Does Market Incompleteness Matter?

This paper argues that incompleteness of intertemporal financial markets has little effect (on welfare, prices, or consumption) in an economy with a single consumption good, provided that traders are long–lived and patient, a riskless bond is traded, shocks are transitory, and there is no aggregate risk. In an economy with aggregate risk, a similar conclusion holds, provided traders share the same CRRA utility function and the right assets are traded. Examples demonstrate that these conclusions need not hold if the wrong assets are traded or if the economy has multiple consumption goods.     

Communicating about the Risks and Benefits of Genetically Modified Foods: The Mediating Role of Trust

Recent research suggests that public attitudes toward emerging technologies are mainly driven by trust in the institutions promoting and regulating these technologies. Alternative views maintain that trust should be seen as a consequence rather than a cause of such attitudes. To test its actual role, direct as well as mediating effects of trust were tested in an attitude change experiment involving 1,405 consumers from Denmark, Germany, Italy, and the United Kingdom. After prior attitudes to genetic modification in food production had been assessed, participants received different information materials (either product-specific information or balanced/general information about genetic modification in food production) and were asked to evaluate different types of genetically modified foods (either beer or yoghurt). The information materials were attributed to different information sources (either an industry association, a consumer organization, or a government source). After completion, perceived risk and perceived benefit were assessed, and participants indicated their trust in the information sources to which the materials had been attributed. Direct and trust-mediated attitude change effects were estimated in a multi-sample structural equation model. The results showed that information provision had little effect on people's attitudes toward genetically modified foods, and that perceptions of information source characteristics contributed very little to attitude change. Furthermore, the type of information strategy adopted had almost no impact on postexperimental attitudes. The extent to which people trusted the information sources appeared to be driven by people's attitudes to genetically modified foods, rather than trust influencing the way that people reacted to the information. Trust was not driving risk perception-rather, attitudes were informing perceptions of the motivation of the source providing the information.     

基于行为金融实验的非线性证券价格动态模型

为了研究交易者资产结构与股价波动之间的关系,设计并实施了10场内容相同的行为金融实验。根据实验现象以及交易者持仓状态反映其对市场的投资态度,构建了描述市场平均投资态度和股票价格的数学模型。首先利用离散动力系统的相关理论研究了模型的稳定性,然后根据金融市场稳定与否对传染效应进行界定。数值模拟发现,在理性传染效应区间内,存在最优传染效应。在此基础上,进一步探讨了资产结构与股价波动之间的关系。具体而言,在理性传染效应的作用下,当市场中满仓交易者数量与空仓交易者数量相当时,股价呈现小幅水平趋势波动;当满仓交易者数量远高于(低于)空仓交易者数量,股价呈现大幅下跌(上涨)趋势波动。     

基于核心-边缘网络的中国银行风险传染

采用核心-边缘网络刻画我国银行间市场的网络结构,结合各银行同业往来资产和负债信息构建风险传染模型,对单个银行倒闭以及资产价格泡沫破灭两种情况下的传染过程进行模拟.研究发现,近年来我国银行系统的抗风险能力不断增强,但在所有银行中中国银行的风险传染程度最严重,应该加强对系统重要性银行的重视.同时,防范银行危机的关键在于控制资产价格泡沫,在合理的资产价格水平下,外界冲击难以对银行系统的安全性构成威胁.     

When Does Information about Probability Count in Choices Under Risk?

The question addressed in the present research is whether in naturalistic risky decision environments people are sensitive to information about the probability parameter. In Study 1, we showed that in naturalistic scenarios participants generally revealed little interest in obtaining information about the outcomes and probabilities. Moreover, participants asked fewer questions about probabilities for scenarios containing moral considerations. In Study 2, it was shown that, when supplied with information on probabilities, people could be sensitive to this information. This sensitivity depends on two factors. People were less sensitive to probabilities in scenarios perceived as containing ethical considerations. People were also less sensitive to probabilities when they were faced with a single-choice situation than when they were faced with a series of lotteries with different probabilities. This can be accounted for in terms of the evaluability principle.     

Food Safety in the Domestic Environment: The Effect of Consumer Risk Information on Human Disease Risks

The improvement of food safety in the domestic environment requires a transdisciplinary approach, involving interaction between both the social and natural sciences. This approach is applied in a study on risks associated with Campylobacter on broiler meat. First, some web-based information interventions were designed and tested on participant motivation and intentions to cook more safely. Based on these self-reported measures, the intervention supported by the emotion "disgust" was selected as the most promising information intervention. Its effect on microbial cross-contamination was tested by recruiting a set of participants who prepared a salad with chicken breast fillet carrying a known amount of tracer bacteria. The amount of tracer that could be recovered from the salad revealed the transfer and survival of Campylobacter and was used as a measure of hygiene. This was introduced into an existing risk model on Campylobacter in the Netherlands to assess the effect of the information intervention both at the level of exposure and the level of human disease risk. We showed that the information intervention supported by the emotion "disgust" alone had no measurable effect on the health risk. However, when a behavioral cue was embedded within the instruction for the salad preparation, the risk decreased sharply. It is shown that a transdisciplinary approach, involving research on risk perception, microbiology, and risk assessment, is successful in evaluating the efficacy of an information intervention in terms of human health risks. The approach offers a novel tool for science-based risk management in the area of food safety.     

资产结构与证券价格的非线性动态模型

根据真人被试的行为金融实验现象,本文构建了描述市场平均投资态度和股票价格的数学模型。首先利用离散动力系统的相关理论研究了模型的稳定性,然后根据金融市场稳定与否对传染效应进行界定。数值模拟发现,在中度传染效应区间内,存在最优传染效应,它能使股票价格以最快速度收敛至均衡价格。在此基础上,进一步探讨了资产结构与股价波动之间的关系。具体而言,在理性传染效应的作用下,当市场中满仓交易者数量与空仓交易者数量相当时,股价呈现小幅水平趋势波动;当满仓交易者数量远高于(低于)空仓交易者数量,股价呈现大幅下跌(上涨)趋势波动。