Public Disclosure and Dissimulation of Insider Trades

Regulation requiring insiders to publicly disclose their stock trades after the fact complicates the trading decisions of informed, rent‐seeking insiders. Given this requirement, we present an insider's equilibrium trading strategy in a multiperiod rational expectations framework. Relative to Kyle (1985), price discovery is accelerated and insider profits are lower. The strategy balances immediate profits from informed trades against the reduction in future profits following trade disclosure and, hence, revelation of some of the insider's information. Our results offer a novel rationale for contrarian trading: dissimulation, a phenomenon distinct from manipulation, may underlie insiders' trading decisions.     

现货市场与期货市场微观结构比较研究

证券现货市场和期货市场的微观结构是不相同的,在考虑交易成本和卖空限制条件下研究了拥有特定证券信息的知情交易者在这两个市场中的交易策略,以及相应的做市商和未知情策略交易者的交易策略.通过上述研究比较了现货市场与期货市场微观结构的不同.     

最优交易策略对交易持续期的影响

构建一个纯流动市场交易动态策略模型。假设交易者按Poisson过程到达市场,交易者根据其私人估值及市场状态对限价指令的收益做预期,通过最大化其收益确定所提交指令的类型(限价指令或市价指令)。模型发现,虽然交易者到达市场的时间间隔相互独立,但交易持续期却受前一期的交易策略影响:买(卖)指令的提交将增加下一期卖(买)交易持续期的期望值,减小下一期买(卖)交易的持续期的期望值。因而,交易间的自相关性是依据最优交易策略所内生的性质,与知情交易无关。     

Insider Trading With a Random Deadline

We consider a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset's fundamental value. The value of the asset is publicly revealed at a random time. The equilibrium has two regimes separated by an endogenously determined time T. In [0, T), the insider gradually transfers her information to the market. By time T, all her information has been transferred and the price agrees with the market value of the asset. In the interval [T, ∞), the insider trades large volumes and reveals her information immediately, so market prices track the market value perfectly. Despite this market efficiency, the insider is able to collect strictly positive rents after T.     

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。     

Strategic Liquidity Provision in Limit Order Markets

We characterize and prove the existence of Nash equilibrium in a limit order market with a finite number of risk‐neutral liquidity providers. We show that if there is sufficient adverse selection, then pointwise optimization (maximizing in p for each q) in a certain nonlinear pricing game produces a Nash equilibrium in the limit order market. The need for a sufficient degree of adverse selection does not vanish as the number of liquidity providers increases. Our formulation of the nonlinear pricing game encompasses various specifications of informed and liquidity trading, including the case in which nature chooses whether the market‐order trader is informed or a liquidity trader. We solve for an equilibrium analytically in various examples and also present examples in which the first‐order condition for pointwise optimization does not define an equilibrium, because the amount of adverse selection is insufficient.     

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.     

透明度与市场效率——基于信息不对称的适应性学习研究

通过拓展Pouget模型,考察了当所有投资者采用适应性学习(有限理性)规则更新信念时,订单信息的透明度增加如何影响市场的价格发现效率和福利配置效率.结果表明,透明度增加后,市场效率大幅降低,价格发现和福利配置都难以收敛到理性预期均衡.进一步剖析投资者的策略选择可以发现,透明度增加后,拥有信息优势的知情者倾向于提交对自己更加有利的订单,而放弃均衡的交易策略;非知情者为了规避由此带来的逆向选择风险,也会放弃均衡策略而倾向于提交更加保守的订单,最终导致市场效率大幅下降.     

非理性信息交易者的羊群行为均衡分析

分析了证券市场上信息交易者的非理性行为与其羊群行为均衡之间的关系。首先建立信息交易者完全理性下的交易行为模型,并对羊群行为均衡做出定义;然后利用2个反映信息交易者非理性程度的参数将模型拓展,得到非理性信息交易者达到羊群行为均衡时2个参数的临界值。结论表明,若市场中的交易者完全理性,则不会发生羊群行为;若考虑其非理性因素,则可能引发羊群行为。并且随着市场中采取相同策略进行交易的人数增加,反映信息交易者非理性程度的2个参数的临界值表现出一定的变化规律。     

中国股票市场的简单量价关系模型

通过建立模型分析了我国股票市场上价格变化和交易量之间的关系.在该模型中,有两类投资者,不知情交易者和庄家.不知情交易者的持仓量变化和预期变化都对量价关系产生影响,并且不知情交易者会根据交易推测庄家所掌握的私人信息.文章还实证检验了模型,并指出模型对于交易成本等问题具有一定的解释能力.     

交易者市场到达率及影响因素研究

将交易者市场到达率看作与市场状态相依的变量,实证研究了上海证券市场知情与非知情交易者的市场到达率及其影响因素.首先运用EKOP模型假设,选取2003.7.1至2003.12.31上海证券市场高频分笔交易数据,对知情与非知情者的到达率(交易强度)进行了度量;其次研究了各种宏观、微观市场特征对交易者到达率的影响.实证结果表明:非知情交易者的到达率与市场收益正相关,知情交易者的到达率主要受买(卖)交易量和供给(需求)弹性的影响,且这种影响只存在于同期之间.与非知情交易者不同,知情者较多的观察微观公共信息.     

Does the Stock Market Gender Stereotype Corporate Boards? Evidence from the Market's Reaction to Directors' Trades

Attitudes towards male and female managers within organizations are well documented, but how the stock market perceives their relative capabilities is less studied. Recent evidence documents a negative short‐run market reaction to the appointment of female chief executive officers and suggests that female executives are less informed than their male counterparts about future corporate performance. These results appear to dispute the stock market value of having women on corporate boards. However, such short‐run market reactions may retain a ‘gender bias’, reflecting the prevalence of negative stereotypes, where the market reacts to ‘beliefs’ rather than ‘performance’. This study tests for such bias by examining the stock market reaction to directors' trades in their own companies' shares, by measuring both the short‐run and longer‐term returns after the directors' trades. Allowing for firm and trade effects, some evidence is found that, in the longer term, markets recognize that female executives' trades are informative about future corporate performance, although initially markets underestimate these effects. This has important implications for research that has attempted to assess the value of board diversity by examining only short‐run stock market responses.     

Insider Trading,Stochastic Liquidity,and Equilibrium Prices

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the fundamental value is constant. The volatility of price volatility appears ‘excessive’ because insiders choose to trade more aggressively (and thus more information is revealed) when uninformed volume is higher and price impact is lower. This generates a positive relation between price volatility and trading volume, giving rise to an endogenous subordinate stochastic process for prices.     

多基本面下异质交易者竞争及流动性分析

假设风险资产出清价值由多个基本面组成，比较分析了同质与异质信息结构下交易者策略的相互作用及对市场的影响。结果发现：交易者人数增加所导致的竞争会提高市场流动性及市场信息效率，同时对同质交易者产生挤出效应和对异质交易者产生促进效应；异质知情交易者在私人信息质量方面的竞争则会加剧市场信息不对称程度，降低市场流动性；异质交易者间通过信息质量的竞争决定收益分配。理论上，市场流动性存在最佳状态。     

询价制度改革、知情交易者概率与IPO溢价

O'Hara理性预期模型假设非知情交易者对市场交易价格信息存在完全学习行为,从而知情交易者概率对资产期望收益产生负向效应。本文放松这一假设,引入非知情交易者学习程度,在理性预期模型框架下,以新股发行市场为背景对理性预期模型进行了拓展,模型结论表明：非知情交易者对市场交易价格的学习行为影响了知情交易者概率与资产期望收益的关系;当市场非知情交易者存在学习行为时,随着非知情交易者的学习程度加深,知情交易者概率对资产期望收益产生负向影响。在进一步的实证研究中,通过羊群效应验证了市场上非知情交易者的学习行为,以2010年1月到2011年12月在中小板上市的278家IPO公司为样本,对模型进行实证检验,实证结果支持理论模型结论。本研究对已有实证研究中知情交易者概率对资产收益产生正或负效应这一矛盾的研究结论提出了一种理论解释,并基于此对询价制度改革的有效性进行了检验。本文研究结论对知情交易者概率在资产定价中的适用性具有一定启示性,同时对非知情交易者的学习行为提出了一种实证检验的方法,具有一定的开创性。     

基于时间特性的中国股市交易集群性特征的研究

本文以自回归条件久期模型(ACD)为基础,选择标志我国股市交易集群性特征的代理变量,建立了刻画该特征的实证模型,检验了我国上海证券所个股的交易过程中集群性问题.实证结果表明,我国证券市场交易过程中的集群性是由于以私人信息为基础的信息交易所引起的,私人信息的进入导致了证券市场在时间方向表现出更大的波动性.     

Impact of Reseller's Forecasting Accuracy on Channel Member Performance

This article studies a three‐layer supply chain where a manufacturer sells a product through a reseller who then relies on its own salesperson to sell to the end market. The reseller has superior capability in demand forecasting relative to the manufacturer. We explore the main trade‐offs between the risk‐reduction effect and the information–asymmetry–aggravation effect of the improved forecasting accuracy. We show that under the optimal wholesale price contract, both the manufacturer and the reseller are always better off as the reseller's forecasting accuracy improves. Nevertheless, under the menu of two‐part tariffs, the manufacturer prefers the reseller to be either uninformed or perfectly informed about the market condition. We further find that the improved forecasting accuracy is beneficial for the reseller if its current forecasting system is either very poor or very good.     

Waiting for News in the Market for Lemons

We study a dynamic setting in which stochastic information (news) about the value of a privately informed seller's asset is gradually revealed to a market of buyers. We construct an equilibrium that involves periods of no trade or market failure. The no‐trade period ends in one of two ways: either enough good news arrives, restoring confidence and markets reopen, or bad news arrives, making buyers more pessimistic and forcing capitulation that is, a partial sell‐off of low‐value assets. Conditions under which the equilibrium is unique are provided. We analyze welfare and efficiency as they depend on the quality of the news. Higher quality news can lead to more inefficient outcomes. Our model encompasses settings with or without a standard static adverse selection problem—in a dynamic setting with sufficiently informative news, reservation values arise endogenously from the option to sell in the future and the two environments have the same equilibrium structure.     

Corporate prediction markets: a tool for predicting market shares

Prediction markets have been applied for various forecasting issues, such as political events or sports. The ability of these markets to collect distributed information in a fast and efficient way provides useful support for corporate planning. A crucial criterion for the quality of the information aggregation process is the liquidity of the market, especially in corporate prediction markets, which typically consist of fewer traders than public markets. The use of automated market makers is one option with which to ensure enough liquidity, but it is always related to some drawbacks. This paper investigates a field study of a corporate prediction market that replaces the automated market maker with human traders. We analyze the efficiency of such markets, the impact of the applied incentive system and the effects of human market makers.     

The Bubble Game: An Experimental Study of Speculation

We propose a bubble game that involves sequential trading of an asset commonly known to be valueless. Because no trader is ever sure to be last in the market sequence, the game allows for a bubble at the Nash equilibrium when there is no cap on the maximum price. We run experiments both with and without a price cap. Structural estimation of behavioral game theory models suggests that quantal responses and analogy‐based expectations are important drivers of speculation.