我国权证市场创设与注销机制研究

针对权证产品的爆炒,监管机构推出了全额抵押下的创设、注销机制,意在防范市场风险.从创设人角度分析,这套制度机制自身形成了一个均衡价格.在对武钢认购权证、认沽权证的实证分析后,本文认为,由该发行机制决定的均衡价格并不是政策目标所在,需要进行改革.     

我国权证市场期权平价关系的实证研究

一、引言 2005年5月,我国开始了解决股权分置的进程,在所采取的众多方案中认股权证的方式备受瞩目.8月22日,宝钢认购权证在上海证券交易所上市,标志着我国认股权证市场的开始.11月23日,武钢认购权证和认沽权证同时在上海证券交易所上市交易,再次大规使地为权证市场注入了新鲜血液.     

认股权证再融资

认股权证是指以约定的价格和约定的时间购买或者出售一定标的资产的权利合约。认股权证的交易实质上属于期权的买卖。其标的资产可以是个股股票，称为“正股”，也可以是一篮子股票、股指、黄金、外汇等。目前我国推出的认股权证都是以个股股票为标的资产的。认股权证有两种不同的权利方向，一是买入权利，又叫认购权证，即权证持有人有权于约定期间以约定价格买入标的资产；一是卖出权利，又叫认沽权证，即权证持有人有权于约定期间以约定价格卖出标的资产。从理论上讲，对于认购权证，随着正股价格的无限上升其收益是无限的，但认沽权证因正股价格最多跌至于零，因而其收益是有限的。     

我国权证对正股波动性影响的实证研究

选取我国市场的6只权证为研究对象,并以其日收益率和日均方差为指标,考察了我国资本市场中权证对正股波动性的影响。结论是:权证的上市对正股日收益率的影响并不显著,但对正股日收益率的波动性有显著影响,其中认购权证比认沽权证的影响更大。     

中国权证平价关系实证检验

期权平价公式是用来衡量欧式看涨与看跌期权之间的平价关系。在一个完善的市场上,市场价格与平价关系应当成立,如果这种平价关系不相符合,那个市场上就会存在套利空间,投资者就可能获得无风险套利的机会。本文就五粮液这只权证对中国权证市场进行评价检验。结果表明,期权平价关系在中国不成立。     

负风险溢价对我国权证市场价格的影响

文章利用B—S期权定价公式对我国权证市场价格进行检验发现,大多数的权证存在着严重的价格泡沫,而少数认购权证的价格可能低于理论价格。文章认为对投资者的同质信念假设排除了股票的负的风险溢价,这就难以利用卖空约束解释期权和权证价格偏离完全市场的理论价格。股票市场的负的风险溢价来自于投资者的异质信念,将负风险溢价与卖空约束相结合,可以解释我国权证市场存在的一部分价格异象。     

中国权证市场高开效应行为金融学研究

探讨中国权证市场全部55只权证的高开效应,从行为金融学视角分析了影响权证高开效应的主要因素,建立了回归模型,并进行实证检验,检验结果统计上显著地支持高开效应的普遍存在性以及理论分析和回归模型的合理性。高开效应及相应的无风险套利机会的长期存在表明大陆证券市场还不是一个弱有效市场。对于市场的监管决策,监管部门需要降低模糊性,提高透明度。     

创设

创设制度是指在权证上市后,由有资格的券商在结算公司进行履约担保后发行的与原权证条款完全一致的权证,创设机制的主要目的是增加权证供应量,以平抑权证的过度需求所导致的权证价格过高,推动权证价格向合理价格回归。     

股权分置改革中权证业务会计处理方法探析

目前，在已经公布的上市公司股权分置改革方案中，主要采用欧式认购权证，具体有两种方法：其一，向流通股股东赠送认购权证，非流通股股东以非流通股为标的，向流通股股东免费发送相应数量的认购权证，到期时采用股票结算的方式，流通股股东可以转让权证或行权获得收益，而非流通股则逐步获得流通权，认购权证的价值即为非流通股股东支付的对价，如宝钢股份；其二，向上市公司的高级管理人员赠送或发行认股权证，即所谓股票期权，如中华国际、中信证券等。本文拟借鉴国际上对权证业务会计的规范，对我国股权分置改革中涉及的上述两种主要权证业务的会计处理方法提出建议。     

备兑权证将成为我国权证市场发展的主流

备兑权证是由标的资产发行人以外的第三方（通常为信誉好的券商、投行等大型金融机构）发行的权证，其标的资产可以为个股、一篮子股票、指数以及其他衍生产品。备兑权证所赋予的权利可以是购买的权利（认购权证）或出售的权利（认沽权证）。行权时可以股票、实物或现金差价交割，如果是股票交割，当持有人行使购买股票的权利时，备兑权证发行人需要从市面上购买股票（或将自己原持有的股票）卖给权证持有人；当持有人行使卖出股票权利时，发行人必须按行使价格买下股票。一般来说，发行备兑认股权证并非为了集资，而是为投资者提供一种有效的风险管理工具。     

The role of the list price in housing markets: Theory and an econometric model

Houses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the Baltimore, MD, area. The estimated model predicts sale and reservation prices conditional on list prices. The predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression. The estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time.     

国有土地使用权出让中“地王”现象分析

“地王”的产生既有土地供应、需求等基本层面的因素,也有分税制、招拍挂、土地国有等制度层面的因素,同时又受到国际国内经济运行大环境的影响.“地王”不仅会直接推高房价,还会提高房价上涨预期,形成地价房价相互抬高的恶性循环.“地王”增加了经济运行风险,不利于国民经济长期可持续发展.为抑制“地王”产生,要坚决遏制投资投机性住房...     

基于信息熵的多属性决策方法在商品住宅价格中的研究

在市场经济条件下,房地产价格在房地产经济发展和房地产经济运行中有着重要的功能和作用,因此,对房价变动的预测以及如何能够合理制定房价,显得尤为重要。价格的预测,究其本质,是一种体现在数值上的决策活动,本文结合了多属性综合决策模型与回归分析对房价进行了预测研究。通过选取影响房价的部分宏观因素,建立基于熵的多属性综合决策模型,得到各因素与房价之间的关系,并通过回归分析,对房价进行预测。     

国际初级产品分类价格对中国物价传导效应的实证研究

文章基于2001年1～12月的月度数据,对国际初级产品分类价格对中国物价的传导效应进行了实证分析。结果表明:国际初级产品价格对国内物价的传导效应具有由短期波动到长期均衡的动态机制特征,其对PPI和CPI均具有显著的正向影响。各分类价格指数对国内物价的影响之间存在较大差异,燃料价格对国内物价的影响最大且持续时间最长,非燃料价格的影响较小且持续时间相对短。燃料价格和农业原材料价格对PPI的影响显著,燃料价格、农业原材料价格和食品价格对CPI的影响显著,其他子成分的影响力很弱。     

Information from successive changes in gold and silver prices during phases of the business cycles

This paper concerns the behavior of gold and silver prices on a daily, weekly and monthly time span during January 1970 to December 1989. The methodology consists of extracting the predictive power of time series of changes in past prices for obtaining optimal forecasts for next-period changes in prices. Optimizations are made in the context of information theory via minimizing the degree of diversity between the actual and predicted changes in prices. This methodology has merit in that it does not rest on, generally speaking, unacceptable assumptions regarding the shape of the distribution, stationarity of variance or its existence. The behavior of gold and silver prices are studied during peak to trough and trough to peak of the business cycles over 1970–1989. It is generally shown that information contained in past prices of gold and silver does not allow one to predict next-period changes in prices in the short run. However, longer-term predictions are possible. This study further reveals that as the length of the time interval expands, gold prices exhibit a higher degree of dependency on past prices than silver.     

北京土地价格空间分布特征——基于单中心城市的视角

为了解具有单中心城市牦最的北京市．土地价格空间分布特征,从理论上分析单中心城市土地价格的空间分布特征并提出相应假设,构建土地价格的Hedonic模型,利用北京2005—2013年住宅和办公用地微观交易价格数据进行假设的实证检验。结果显示：（1）北京住宅和办公用地的区位属性、物理属性和邻里属性对其价格有显著决定作用,且该决定作用随土地市场的成熟而逐渐增强;（2）北京住宅和办公用地价格与该区位到城市中心的距离负相关,而随时间推移,两类土地价格从城市中心向外的降低速度逐渐变快。     

Role of credit and monetary policy in determining asset prices: Evidence from emerging market economies

We examine the relative dominance of credit and monetary policy shocks in influencing asset prices in emerging markets. Estimates from panel VAR models for 22 EMEs provide evidence of a significant impact of bank credit on house prices in contrast to trivial impact on stock prices, possibly due to prudential regulations on banks’ exposure to stock markets. Contractionary monetary policy triggers sizeable and persistent decline in stock than housing prices as higher interest rates may render the funding of leverage costlier. Global shocks play an important role in explaining fluctuations in domestic stock prices rather than house prices since the latter class of asset is largely non-tradable across countries.     

基于WebGIS的基准房价信息发布系统设计

基准房价是指以宗地为单位、同种用地类型的房地产单位面积的市场特征价格，构建基准房价的目的在于全面、及时、定量、准确地披露房地产价格体系。基准房价的研究可以为政府制定政策性住房售价、租金标准、征地拆迁补偿标准、房地产税费征收等提供参考依据，同时也可以为普通民众的房地产消费提供价格指导。鉴于基准房价研究的重要意义，在总结国内外基准房价概念、内涵、特点及其信息发布相关理论和技术现状的基础上，设计实现了一个基于WebGIS技术基准房价信息发布系统，经过试运行，用户可以通过该系统快速准确地查询研究区域内的基准房价及其相对应的空间信息。     

Hassle Costs: The Achilles' Heel of Price-Matching Guarantees*

We show that price-matching guarantees can facilitate monopoly pricing only if firms automatically match prices. If consumers must instead request refunds (thereby incurring hassle costs), we find that any increase in equilibrium prices due to firms' price-matching policies will be small; often, no price increase can be supported. In symmetric markets price-matching guarantees cannot support any rise in prices, even if hassle costs are arbitrarily small In asymmetric markets, higher prices can be supported, but the prices fall well short of maximizing joint profits. Our model can explain why some firms adopt price-matching guarantees while others do not.     

Hypotheses testing concerning relationships between spot prices of various types of coffee

In this paper hypotheses are tested concerning long-run relationships between the four indicator prices of coffee. These relationships are assumed to exist based on a previous study of the coffee market by the same author. The four coffee prices are investigated in more detail in this paper. After a brief introduction to the price formation on the coffee market the univariate properties of the coffee prices are checked first. Then the tests for co-integration, as developed by Johansen (1988) and Johansen and Juselius (1989) are performed. These tests appear to be very informative with respect to the way the prices may be linked in the long run, concerning the number and the form of the relationships. Specifications of three equilibrium relationships among the coffee prices are detected and commented.