引入投资者关注的中国股市协方差预测——基于多元HAR类模型

众多经济事实表明投资者并非完全理性。一方面，投资者由于有限关注，无法及时掌握市场上所有投资决策相关信息，可能导致资产价格对信息的反应不足；另一方面，某些信息会诱导投资者过度关注和过度交易，导致价格信号中包含更多噪声。这些都会造成短暂的错误定价，引起资产价格波动和资产间相关性的变化。鉴于此，本文认为投资者关注是影响资产多元波动率的一个重要外生因素，用百度指数衡量中国市场个体投资者关注，将其引入已实现协方差的多元异质自回归类模型，刻画个体投资者关注的变化对资产协方差的非对称影响，同时区分电脑端和移动端百度指数对协方差预测的不同贡献。采用2014年1月2日至2018年12月28日的50ETF成分股高频价格，和以股票简称及“50ETF”为关键词的百度指数，对上述模型进行实证。结果表明，百度指数代理的个体投资者关注蕴含对协方差预测有益的信息，将其引入协方差预测模型显著提升拟合性能和样本外预测能力；投资者关注的变化对资产波动及相关性的影响均存在非对称性；引入电脑端百度指数比引入移动端百度指数对协方差预测性能的提升更为显著。研究结果肯定了引入投资者关注对协方差预测的积极作用，对投资者的资产配置和风险管理有实际指导意义。     

What makes search fund entrepreneurship different in Europe?

Ownership transition is an increasingly relevant decision in small businesses because millions of owners in the largest world economies are reaching retirement age without a successor. As a result, entrepreneurship through acquisition—becoming an entrepreneur through the acquisition of an existing business and growing it much like a startup—is likely to accelerate in the coming years. In contrast to traditional entrepreneurship, where the entrepreneur comes up with an idea and then grows it into a company, the idea of entrepreneurship through acquisition is embedded in the acquired company. In this article, we share our findings from a research project that tracked first-time entrepreneurs looking to acquire businesses in four European countries. These entrepreneurs put in “sweat equity” and used the “search fund” model, whereby investors funded their search expenses and provided funds for an acquisition. However, implementing the search fund model, originally created in the United States, was not straightforward in Europe. Search funders faced novel challenges in investor-entrepreneur (i.e., principal-agent) relationships and the search process. Our study identifies these challenges, the responses from our search fund sample, the lessons learned, and a novel framework to conceptualize a search fund playbook specific to Europe. These experiences hold valuable lessons for those who pursue entrepreneurship through acquisition and help stimulate new research questions for scholars.     

Assortative Matching and Search

In Becker's (1973) neoclassical marriage market model, matching is positively assortaive if types are complements: i.e., match output f(x, y) is supermodular in x and y. We reprise this famous result assuming time‐intensive partner search and transferable output. We prove existence of a search equilibrium with a continuum of types, and then characterize matching. After showing that Becker's conditions on match output no longer suffice for assortative matching, we find sufficient conditions valid for any search frictions and type distribution: supermodularity not only of output f, but also of log f_x and log f_xy. Symmetric submodularity conditions imply negatively assortative matching. Examples show these conditions are necessary.     

搜索引擎企业隐私政策声明研究——以百度与谷歌为例

张贴隐私政策声明是网站缓解用户隐私担忧的一项重要举措。从三个主要方面对百度和谷歌（中文网站）的隐私政策声明进行对比研究，结果发现，两大网站的隐私政策声明存在不少差异，谷歌也并不必然就比百度做得好，都在某种程度上存在不规范的情况。在对比基础上找出问题的形成原因并讨论其完善机制，以期切实实现通过制定隐私政策声明履行网站保护隐私权的承诺。     

Directed Matching and Monetary Exchange

We develop a model of monetary exchange where, as in the random matching literature, agents trade bilaterally and not through centralized markets. Rather than assuming they match exogenously and at random, however, we determine who meets whom as part of the equilibrium. We show how to formalize this process of directed matching in dynamic models with double coincidence problems, and present several examples and applications that illustrate how the approach can be used in monetary theory. Some of our results are similar to those in the random matching literature; others differ significantly.