基于理性预期均衡框架下的价格泡沫与过度反应研究

基于理性预期均衡框架,分别在私人信息外生和内生获取的条件下研究知情交易者对新信息过度反应与价格泡沫之间的联系。研究发现：在私人信息外生获取的情况下,知情交易者对新信息过度反应会提高价格信息量。在私人信息内生获取的情况下,过度反应挤出了私人信息的生产,导致价格信息量降低,价格泡沫由此形成,此时流动性可能呈先降低后提高的U型变化。这为管理层加强私人信息披露和弱化投资者的过度反应程度提供了依据。     

上市公司被ST后的超额累积收益的实证研究

市场有效性是一个资本市场健全发展的主要标志,而过度反应是进行市场有效性研究的一种最优方法之一.本文则对由于ST公告这一事件所导致的市场价格异常进行研究.通过实证分析,得出中国股票市场存在过度反应,即市场是非有效的.这一研究有助于深化人们对股票价格变化原因的认识,同时也有助于投资者进行投资组合决策分析.     

机构投资者信息搜寻、公开信息透明度与私有信息套利

本文利用特有的机构投资者私有信息搜寻数据,研究了机构投资者的信息搜寻、透明度与私有信息套利的关系。本文的研究发现,机构投资者的信息搜寻和信息披露的透明度降低了私有信息套利,而且机构投资者信息搜寻、信息披露透明度在私有信息套利严重的公司对降低私有信息套利的作用更加明显。同时,本文的研究结果也表明,机构投资者信息搜寻与信息披露透明度对私有信息套利存在交互效应,随着信息披露透明度的提高,机构投资者信息搜寻对私有信息套利的边际效应下降。     

信息透明度对B2B交易场作用的博弈分析

传统理论认为,低的信息透明度不利于买卖双方之间达成交易,无法实现资源在市场中的最优化配置,而提高信息的透明度将有利于改变这一局面。本文通过博弈论方法分析低信息透明度和高信息透明度分别对传统交易场和B2B交易场的负面影响作用,认为,高信息透明度对于在线交易并非完全是一件有益之事。在此基础上,本文提出了降低高信息透明度负面影响作用的方法。     

双向部分透明供应链的大数据投资决策与激励

针对供应链中需求大数据的分散投资与决策激励问题,考虑单个供应商和制造商均能通过大数据投资预测需求,且彼此可共享部分大数据。建立基于上下游间双向部分透明的大数据投资决策模型,揭示双向透明对于大数据应用价值与投资激励的影响,并设计契约合作机制解决大数据投资的激励失调问题。研究发现：双向透明总是对供应商有利,当逆向透明度低时,正向部分透明可能对制造商最有利,当正向透明度低时,促进双向透明可能对所有参与者均有利;正向透明而逆向不透明有利于提高大数据投资的可行性;制造商只存在大数据投资激励不足,而供应商在双向透明度低时还存在大数据投资激励过度;投资补偿契约能协调各参与者的大数据投资激励,且可提升系统投资利润5-49%。     

商业银行信息披露监控机制的构建研究

商业银行充分有效的信息披露是进一步完善市场经济机制、强化对银行的市场约束,提高金融透明度的必然要求,也是国际银行监管发展的趋势。运用博弈论与信息经济学的原理,研究商业银行信息披露监控中的一阶段博弈和多阶段的重复博弈问题。根据博弈结果,认为按既定的行为规则下设计信息披露监控机制,可以构成稳定的均衡,博弈的双方都有遵守机制的内在动力。     

信息透明度与经理薪酬契约有效性:来自中国证券市场的经验证据

本文以2003-2006年深圳证券交易所A股上市公司为研究对象,实证考察信息透明度对经理薪酬契约有效性的影响,试图从经理薪酬契约角度重新诠释信息透明度的经济后果.研究发现,信息透明度能够显著提高经理薪酬契约的有效性.具体而言,信息透明度越高的公司,经理薪酬业绩敏感性越高,经理薪酬与盈利业绩和亏损业绩之间的非对称性越小.研究还发现,与非国有企业相比,国有上市公司信息透明度对经理薪酬契约有效性的影响更加显著.本研究论证了信息透明度在减少股东与经理之间的信息不对称和降低公司代理成本中的重要作用.     

外资银行的进入对我国信贷市场贷款价格的影响

本文从中资银行和外资银行分别具有信息优势和融资成本优势的基本假设出发,建立了不对称信息下的银行信贷市场竞争模型,从贷款价格的角度来研究外资银行通过绿地投资和兼并收购两种方式进入对我国信贷市场的影响,且在并购方式中将并购对象按规模分为了本地大银行和小银行。结果表明,外资银行通过兼并收购本地大银行方式进入对贷款价格的降低效果不大,而通过兼并收购小银行方式进入能够全面降低本地银行的贷款价格,在处于竞争劣势地位的本地大银行的老客户市场通过绿地投资模式进入可以大幅度的降低贷款价格。     

一个银企关系共生界面测评模型的构建和分析:来自广东地区的实证

现有研究银企关系的文献,或从企业融资理论视角间接审视银企关系,或从新制度经济学、信息理论、博弈论等视角直接分析银企关系模式与行为选择。本文认为,互利关系是融资关系的实质和基础,互利关系的研究应该成为融资关系研究的重要视角。本文基于共生理论的基本原理,构思了从利润(能量)分配、市场准入、信息传输、阻尼特征、共生序特征五个维度描述与分析银企共生界面的参数与分析框架,提出了参数的量化方法与计算公式,构建了基于共生理论进行银企关系的量化研究技术基础,并通过实证分析对方法的有效性进行了初步检验,提出了改善银企共生关系的建议。     

MARKET DISTORTIONS AND GOVERNMENT TRANSPARENCY

In this paper, we investigate how government transparency depends on economic distortions. We first consider an abstract class of economies in which a benevolent policy maker is privately informed about the exogenous state of the economy and contemplates whether to release this information. Our key result is that distortions limit communication: even if transparency is ex ante Pareto superior to opaqueness, it cannot constitute an equilibrium when distortions are sufficiently high. We next confirm this broad insight in two applied contexts, in which monopoly power and income taxes are the specific sources of distortions.     

向银行业投资的过度性甄别及动机分析

基于向银行业投资的资金总量与资金使用效率的关系,本文甄别了投资者投向银行业的资金是否存在过度投资现象,并提出金融业务特征假说来解释这一现象.研究结果表明,投向银行业的资金整体上存在明显的过度投资,且金融业务特征假说成立,即投资者正是因企图占有金融业务集聚的金融资源而过度投资.国有银行和城市商业银行的过度投资尤为突出,非上市银行也存在过度投资,并都证实了金融业务特征假说;从投资渠道来看,投向银行业的债权资金存在最为严重的过度投资,而金融业务特征假说在权益资金投资者上体现得最为明显.完善监管体制和提高信息透明度均有利于减轻过度投资并纠正不良的投资动机.     

Detecting and explaining systemic risks of mortgage banks—evidence from the subprime crisis

In recent history, financial markets worldwide experienced severe turmoil due to the subprime crisis originating from the practice of US mortgage banks to securitize loans given especially to subprime borrowers. In the same crisis, several distressed banks were bailed out by states with even more banks receiving financial aids from governments. Using a unique data sample of 100 announcements of US mortgage banks between 2006 and 2009, this paper provides empirical evidence that isolated failures of US mortgage banks caused significant contagion effects in the US financial system. Conversely, especially the bailouts of Fannie Mae and Freddie Mac led to significant positive valuation effects at rival banks. In the cross-sectional analyses, contrary to previous studies in the literature on past financial crises, we find evidence for pure contagion effects following the failures of US mortgage banks. Furthermore, we analyze the reactions of the CDS spreads of several large US banks to the announcements of mortgage banks using a novel mixture copula model. The results show that the contagion effects were limited to the stock market thus underlining the notion of an irrational response of (stock) market participants. The results from our cross-sectional and CDS data analyses in turn indicate that several of the failures of US mortgage banks during the subprime crisis caused irrational contagion in the US financial system thus justifying government intervention. Finally, we rule out the possibility that the contagion effects limited to the US stock market were caused by a herding of investors.     

股票市场透明度、信息份额与价格发现效率

股票市场透明度是交易机制设计的一个重要方面,这关系着资本市场能否有效促进价格发现及其效率。2003年12月8日深圳证券交易所买卖盘揭示范围由三档变为五档,股票市场透明度增加。基于信息份额模型,本文研究了市场透明度的增加对价格发现效率的影响。结果表明,新增加的两档报价向市场传递了边际信息含量,有助于投资者做出理性投资决策;同时,交易价格偏离有效价格的定价误差显著减小,收益自相关性程度降低,交易价格更加趋向于有效。因此,市场透明度的增加促进了资本市场价格发现及其效率的提高,为今后市场透明度的改革提供了有意义的参考意见。     

考虑社交网络和互联网金融的金融市场超网络均衡研究

社交网络和互联网金融的广泛应用给金融市场发展带来机遇和挑战,金融市场呈现复杂多变、交叉融合的特征,传统的金融市场和监管理论难以适应金融市场发展和风险管理需要。本文从金融网络视角,针对互联网金融发展带来的区别于传统金融的信用风险和操作风险,引入信用惩罚函数和操作风险函数,考虑到加强社交网络关系可提高信息透明度、降低交易成本和交易风险,建立了由资金供给者、互联网金融中介、传统金融中介、资金需求者四种类型金融参与组成的、集成资金流动网络和社交关系网络的金融市场超网络模型,进行金融市场各参与主体的行为分析,建立包括净收益最大化、社交网络关系最大化和风险最小化为目标的多目标决策模型;运用变分不等式将约束条件放松为单边约束,研究包括上述金融市场的均衡条件;最后通过算例的MATLAB仿真验证模型有效性。研究结果表明,考虑与否社交网络关系水平,金融市场的均衡状态不同;社交网络关系水平对互联网金融中介和传统金融中介具有影响作用;为提高市场稳定性和有效性,降低金融风险,互联网金融和传统金融中介需要合作和协同发展。     

What explains variation in voluntary disclosure? A study of the annual reports of corporations listed on the Stockholm Stock Exchange

The demand for information and transparency from listed corporations has recently increased. In spite of an increased demand for mandatory disclosures from regulators, corporations choose to voluntarily disclose additional information in order to satisfy demands from the capital market. However, the extent and content of information in those voluntary disclosures vary across corporations. The aim of this study is to explain the variation in the content of information in voluntary disclosures by listed corporations. The analyses are based on data collected from 431 annual reports from corporations listed on the Stockholm Stock Exchange during the years 2002 and 2005. The findings support explanations from agency theory and positive accounting theory that size and the debt ratio are positively correlated with the content of information in voluntary disclosures. Corporations with a high share of management ownership disclosed less information than corporations with a low share of management ownership. The study also shows that variations in voluntary disclosures can be explained by factors derived from institutional theory and ‘international capital market pressures’. The results indicate that foreign ownership and international listing to some extent have a positive effect on the content of information in voluntary disclosures. Industry was another factor that had a significant influence on voluntary disclosures. One important finding is that regulation to some extent can stimulate voluntary disclosures; our results did not indicate an ‘unintended chilling effect’ due to too much regulation. In general, the corporations disclosed more voluntary information after the introduction of IFRS.     

机构投资者私人信息、散户投资者情绪与IPO首日回报率

针对影响IPO首日回报率的一级市场与二级市场因素,本文将机构投资者的私人信息和散户投资者的情绪结合起来,以我国新股发行市场为背景建立模型,对IPO破发或抑价产生的微观机制给出一种理论上的解释。模型结论表明:IPO是否破发主要取决于散户投资者的情绪,而不是机构投资者的私人信息,并且散户投资者情绪越乐观,IPO破发的可能性就越小;同时发现IPO首日回报率与散户投资者情绪正相关,与机构投资者的私人信息负相关。以2010年11月至2013年12月在沪深交易所上市且披露网下具体报价情况的477家IPO公司为样本对模型进行实证检验,实证结果支持了模型结论。研究结果对于如何提高IPO发行效率提供了一些启示。     

中国股市账面市值比效应成因分析:基于行为金融视角

本文将账面市值比分解为反映公司基本面的有形收益和反映投资者主观预期的无形收益,以1994-2008年间在沪深两市交易的A股公司为研究样本,实证考察投资者对账面市值比中不同元素的反应,结果显示,投资者对公司发展前景的主观预期过分乐观或者悲观引发市场过度反应,随着市场回归理性,股票收益发生反转导致账面市值比效应。     

应计信息、机构投资者反应与股票错误定价

利用日内交易数据构建订单流不平衡指标,考察机构投资者对上市公司应计信息的即时反应情况及对股票价格产生的影响.结果表明,机构投资者在公司意外盈余为正的前提下,根据应计利润水平采取反转交易策略,买入(卖出)低(高)应计公司股票;受机构投资者交易行为的影响,低应计(高应计)公司股价在盈余公告后短期内上涨(下跌),在公告后长期则下跌(上涨),股价在整个区间内经历反转;通过构建套利组合研究发现,公司应计对股票盈余公告后长期收益的正向预测能力,不能完全被基于风险的资产定价模型所解释,说明机构投资者的交易行为造成股价过度反应,导致市场对公司应计项目错误定价.     

Communicating Low‐Probability High‐Consequence Risk,Uncertainty and Expert Confidence: Induced Seismicity of Deep Geothermal Energy and Shale Gas

Subsurface energy activities entail the risk of induced seismicity including low‐probability high‐consequence (LPHC) events. For designing respective risk communication, the scientific literature lacks empirical evidence of how the public reacts to different written risk communication formats about such LPHC events and to related uncertainty or expert confidence. This study presents findings from an online experiment (N = 590) that empirically tested the public's responses to risk communication about induced seismicity and to different technology frames, namely deep geothermal energy (DGE) and shale gas (between‐subject design). Three incrementally different formats of written risk communication were tested: (i) qualitative, (ii) qualitative and quantitative, and (iii) qualitative and quantitative with risk comparison. Respondents found the latter two the easiest to understand, the most exact, and liked them the most. Adding uncertainty and expert confidence statements made the risk communication less clear, less easy to understand and increased concern. Above all, the technology for which risks are communicated and its acceptance mattered strongly: respondents in the shale gas condition found the identical risk communication less trustworthy and more concerning than in the DGE conditions. They also liked the risk communication overall less. For practitioners in DGE or shale gas projects, the study shows that the public would appreciate efforts in describing LPHC risks with numbers and optionally risk comparisons. However, there seems to be a trade‐off between aiming for transparency by disclosing uncertainty and limited expert confidence, and thereby decreasing clarity and increasing concern in the view of the public.     

The Internet and the Deconstruction of the Integrated Banking Model

The rapid development of information and communication technologies (ICTs), with the Internet being one of the most significant, is shaking the foundation of the banking industry. Simply deploying the Internet as a more efficient distribution channel will not bring sustainable strategic advantages. To compete effectively, banks may need to embrace a new set of strategic priorities, based on the 'unbundling' of banking services and processes, and the 'deconstruction' of the integrated banking model. Such a radical transformation threatens the profitability and survival of some existing incumbent banks, and at the same time, it brings a cohort of new opportunities and powerful new players to the market. This paper reviews existing studies on the use of the Internet in banking, and highlights two prevailing models and the strategic thinking behind them. Based upon recent empirical evidence gathered from in-depth case studies and other information sources in the UK, the paper discusses a number of emerging tendencies and explores possibilities to reconcile the discrepancies between the two prevailing models. The paper calls for a radical departure from existing strategies in the banking industry based on the concept of process integration and service bundling. A new framework is outlined for banks and other financial organizations in developing and evaluating their strategies. The latest evidence suggests that at least eight models of Internet banking, somewhere on the spectrum between the two prevailing models highlighted by previous studies, have emerged in the UK. These models are illustrated briefly in the paper. This is still a rapidly evolving area, and new research is clearly needed to understand the key dynamics of the banking industry in the networked economy. Finally, some themes for further research are highlighted.