公开市场操作公告对中国股市交易行为的影响

基于MRR结构模型,利用广义矩估计方法,从信息不对称和流动性成本角度考察了央行公开市场操作公告对股票市场交易行为的影响。实证结果表明,公开市场操作披露前股票市场的信息不对称程度、流动性成本并未发生显著变化,公开市场操作披露后30分钟内,信息不对称程度增加,流动性成本下降。在考虑了公开市场操作未预期的利率变化具体内容后,所得结果并没有显著变化。     

从分笔交易数据透视中国债券市场流动性

采用分笔交易数据,用相对买卖价差分析我国债券市场流动性,可以得出如下结论:各期限国债流动性差异不大,短期和长期国债流动性相对较好;国债买卖价差最小,可转债累计深度最大;债券市场流动性和波动性特征之间存在紧密的内在联系。     

股权众筹是否真的那么美--基于美国制度缺陷的再思考

股权众筹作为初创企业采用的一种利用互联网向大众募集小额资本的融资方式，以“脱媒式”对接投融资双方的优势，利用互联网的人群聚集与信息广泛传播效应，降低投融资方之间沟通成本，有助于投融资意向的快速达成。2012年美国JOBS法案的高调出台，吸引了全球范围内的广泛关注。但股权众筹制度在美国已受到诸多批判，除信息披露要求弱化引发的欺诈风险增加外，在注重前端融资效率的同时却忽略了投资端的设计和保护，尤其是众筹股权的流通和退出问题等。美国立法与实践领域对于这些问题尚未取得彻底的突破。股权众筹以美国模式为样板引入中国，在遭遇中国固有法律体系及制度的困扰后，中国股权众筹实践陷入更多困境。通过对美国相关制度出台的背景及存在的不足进行分析，对照中国实践，锁定实践中产生的新问题，并深入探讨现有解决路径能否真正缓解这些不足，以期对股权众筹制度重新进行明确的定位。     

Is prenatal sex selection associated with lower female child mortality?

I examine whether prenatal sex selection has substituted postnatal excess female mortality by analysing the dynamics of child sex ratios between 1980 and 2015 using country-level life table data. I decompose changes in child sex ratios into a ‘fertility’ component attributable to prenatal sex selection and a ‘mortality’ component attributable to sex differentials in postnatal survival. Although reductions in numbers of excess female deaths have accompanied increases in missing female births in all countries experiencing the emergence of prenatal sex selection, relative excess female mortality has persisted in some countries but not others. In South Korea, Armenia, and Azerbaijan, mortality reductions favouring girls accompanied increases in prenatal sex selection. In India, excess female mortality was much higher and largely stable as prenatal sex selection emerged, but slight reductions were seen in the 2000s. In China, although absolute measures showed reductions, relative excess female mortality persisted as prenatal sex selection increased.     

Asymptotic expansions for sequential confidence levels in inverse linear regression

Non-linear renewal theory is used to derive second order asymptotic expansions for the coverage probability of a fixed-width sequential confidence interval for an unknown parameter xin the inverse linear regression model. These expansions are obtained for a two-stage sequential procedure, proposed by Perng and Tong (1974) for the construction of a confidence interval for x.     

Moments of suprema of random variables

The supremum of random variables representing a sequence of rewards is of interest in establishing the existence of optimal stopping rules. Necessary and sufficient conditions are given for existence of moments of sup_n(X_n ? c_n) and sup_n(S_n ? c_n) where X₁, X₂, … are i.i.d. random variables, S_n = X₁ + … + X_n, and c_n = (nL(n))^1/r, 0 < r < 2, L = 1, L = log, and L = log log. Following Cohn (1974), “rates of convergence” results are used in the proof.     

Consumption Commitments and Habit Formation

We analyze the implications of household‐level adjustment costs for the dynamics of aggregate consumption. We show that an economy in which agents have “consumption commitments” is approximately equivalent to a habit formation model in which the habit stock is a weighted average of past consumption if idiosyncratic risk is large relative to aggregate risk. Consumption commitments can thus explain the empirical regularity that consumption is excessively sensitive and excessively smooth, findings that are typically attributed to habit formation. Unlike habit formation and other theories, but consistent with empirical evidence, the consumption commitments model also predicts that excess sensitivity and smoothness vanish for large shocks. These results suggest that behavior previously attributed to habit formation may be better explained by adjustment costs. We develop additional testable predictions to further distinguish the commitment and habit models and show that the two models have different welfare implications.     

EXcess Idle Time

We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an alternative hypothesis grounded in no‐arbitrage (the null) and market microstructure (the alternative) theories of price determination, we derive a limit theory for EXIT leading to formal tests for staleness in the price adjustments. Empirical implementation of the theory indicates that financial prices are often more sluggish than implied by the (ubiquitous, in frictionless continuous‐time asset pricing) semimartingale assumption. EXIT is interpretable as an illiquidity proxy and is easily implementable, for each trading day, using transaction prices only. By using EXIT, we show how to estimate structurally market microstructure models with asymmetric information.     

A new estimation method for Weibull-type tails based on the mean excess function

Studying the right tail of a distribution, one can classify the distributions into three classes based on the extreme value index γ$\gamma$. The class γ>0$\gamma >0$ corresponds to Pareto-type or heavy tailed distributions, while γ<0$\gamma <0$ indicates that the underlying distribution has a finite endpoint. The Weibull-type distributions form an important subgroup within the Gumbel class with γ=0$\gamma =0$. The tail behaviour can then be specified using the Weibull tail index. Classical estimators of this index show severe bias. In this paper we present a new estimation approach based on the mean excess function, which exhibits improved bias and mean squared error. The asserted properties are supported by simulation experiments and asymptotic results. Illustrations with real life data sets are provided.     

Asymptotic properties of the maximum-likelihood estimator in zero-inflated binomial regression

The zero-inflated binomial (ZIB) regression model was proposed to account for excess zeros in binomial regression. Since then, the model has been applied in various fields, such as ecology and epidemiology. In these applications, maximum-likelihood estimation (MLE) is used to derive parameter estimates. However, theoretical properties of the MLE in ZIB regression have not yet been rigorously established. The current paper fills this gap and thus provides a rigorous basis for applying the model. Consistency and asymptotic normality of the MLE in ZIB regression are proved. A consistent estimator of the asymptotic variance–covariance matrix of the MLE is also provided. Finite-sample behavior of the estimator is assessed via simulations. Finally, an analysis of a data set in the field of health economics illustrates the paper.