国人通信

2006年3月30日，深圳国人通信公司在纳斯达克上市，收报于19美元，比18美元的IPO价格上涨了一美元。[编者按]     

Transportation Improvements and Land Values in the Antebellum United States: A Hedonic Approach

We offer county-level estimates of the effect of water and rail access on the value of antebellum farms. Employing a hedonic model, we find that in 1850 average farm values in counties with access to a canal or navigable river were $2.68 per acre greater than counties without such access and $1.80 greater with rail access. In 1860 the figures were $3.75 for a canal or river access and $1.35 for rail. With average farm size around 200 acres and per capita national income roughly $150 during the decade, we conclude that on average transportation access yielded substantial economic gains.     

Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Finance and Stochastics - This paper deals with a projection least squares estimator of the function $J_{0}$ computed from multiple independent observations on $[0,T]$ of the process $Z$ defined by...     

Particulate matter air pollution control programs in Japan — an analysis of cost savings in the absence of future remediation

The objectives of this study were to assess avoided economic costs (or anticipated ‘benefits’) of not implementing new environmental policies for particulate matter (PM) in Japan and compare these future benefits to estimates of future health risks developed in a separate analysis. The estimates for the benefits of avoided PM pollution control in the year 2010 were (1) $27 billion USD for stationary source controls, (2) $2.1 billion to $3.3 billion USD for diesel motor vehicle controls, (3) $41 million USD for governmental employee salaries, (4) $470 million USD for governmental financial assistance, (5) $510 million USD for special diesel vehicle control measures in Tokyo, and (6) $31 billion USD for total costs.

Using human health and productivity risks, calculated in a separate study to be $56 billion USD, the best net ratio of benefits to costs was 1.8 to 1. Inexpensive control options include road watering or paving for unpaved dirt roads and road vacuuming for paved roads. Intermediate options include differential road pricing, retrofitting diesel particulate filters, and reformulating diesel fuel. High cost options include adding particulate controls, such as wet scrubbers, baghouses, and electrostatic precipitators on uncontrolled stationary sources.     

Paulson's gift

We calculate the costs and benefits of the largest ever US government intervention in the financial sector announced during the 2008 Columbus-day weekend. We estimate that this intervention increased the value of banks’ financial claims by $130 billion (bn) at a taxpayers’ cost of $21–$44 billion with a net benefit between $86 and $109 bn. By looking at the limited cross section, we infer that this net benefit arises from a reduction in the probability of bankruptcy, which we estimate would destroy 22% of the enterprise value. The big winners of the plan were the bondholders of the three former investment banks and Citigroup, while the losers were JP Morgan shareholders and the US taxpayers.     

HOW INVESTORS INTERPRET CHANGES IN CORPORATE FINANCIAL POLICY

In May 1987, Apple Computer announced that it would pay $5 million in cash dividends on its common stock your cents per share) for the first time in its history. On the day of the announcement, the market value of Apple's equity rose by $219 million.
In May 1986, Emhart announced that it intended to issue 2.75 million shares to raise $102 million in new equity. Following the announcement, the market value of its existing equity fell by $23 million.
In February 1939, General Motors declared a 2-for-1 stock split for the first time since 1955, and increased its dividends. The announcement led the market value of GM's equity to increase by $1.3 billion.     

The fundamental theorem of asset pricing for continuous processes under small transaction costs

A version of the fundamental theorem of asset pricing is proved for continuous asset prices with small proportional transaction costs. Equivalence is established between: (a) the absence of arbitrage with general strategies for arbitrarily small transaction costs ${\varepsilon > 0}${\varepsilon > 0}, (b) the absence of free lunches with bounded risk for arbitrarily small transaction costs ${\varepsilon > 0}${\varepsilon > 0}, and (c) the existence of e{\varepsilon}-consistent price systems—the analogue of martingale measures under transaction costs—for arbitrarily small ${\varepsilon > 0}${\varepsilon > 0}. The proof proceeds through an explicit construction, as opposed to the usual separation arguments. The paper concludes comparing numéraire-free and numéraire-based notions of admissibility, and the corresponding martingale and local martingale properties for consistent price systems.     

Unintended consequences of the increased asset threshold for FDICIA internal controls: Evidence from U.S. private banks

We examine the unintended consequences of the 2005 increase from $500 million to $1 billion in the asset threshold for the Federal Deposit Insurance Corporation Improvement Act (FDICIA) internal control reporting requirements. We focus on a test sample of banks that increased their total assets from between $100 million and $500 million prior to the change in regulation to between $500 million and $1 billion within two years following the change. These “affected” banks are no longer subject to the internal control requirements but would have been had the regulation not been changed. We hypothesize that these affected banks are likely to make riskier loans, which will increase the likelihood of failure during the crisis period. We find evidence consistent with this hypothesis. Affected banks have higher likelihood of failure during the crisis period than banks from two different control samples. We also find that auditor reputation (i.e., whether the bank is audited by a Big 4 auditor or an industry specialist auditor) has a moderating effect on the likelihood of failure for these affected banks.     

Measuring consumer switching costs in the television industry

In this article, I develop and estimate a model of dynamic consumer behavior with switching costs in the market for paid‐television services. I estimate the parameters of the structural model using data on cable and satellite systems across local US television markets over the period 1992–2006. The results suggest switching costs range from $159 to $242 for cable and from $212 to $276 for satellite providers in 1997 dollars. Using a simple dynamic model of cable providers, I demonstrate that switching costs of these magnitudes can significantly affect the firms' optimal strategies.     

THE MOTIVES AND CONSEQUENCES OF DEBT-EQUITY SWAPS AND DEFEASANCES: MORE EVIDENCE THAT IT DOES NOT PAY TO MANIPULATE EARNINGS

On February 9,1982, Hammermill Paper registered with the Securities and Exchange Commission to swap as many as 400,000 common shares for $13.4 million of the company's 8.07% promissory notes due February 1, 1997. The resulting swap increased Hammermill's 1st quarter earnings by $3.7 million, accounting for more than a third of its earnings for that period. Between February 9 and 10, the market value of Hammermill's equity fell by 4.5%.
On January 28, 1985, United Airlines announced that its preceding 4th quarter earnings included a $3 million extraordinary gain from the defeasance of $38 million of outstanding notes, and that earnings for all of 1984 included a defeasance gain of $21.5 million, representing 7.6% of UAL's 1984 net income. Between January 28 and 29, the market value of UAL's equity declined by 4.6%.     

How Have the World's Poorest Fared since the Early 1980s?

A new assessment is made of the developing world's progressagainst poverty. By the frugal $1 a day standard there were1.1 billion poor people in 2001—almost 400 million fewerthan 20 years earlier. During that period the number of poorpeople declined by more than 400 million in China, though halfthe decline was in the early 1980s and the number outside Chinarose slightly. At the same time the number of people in theworld living on less than $2 a day rose, so that there has beena marked bunching up of people living between $1 and $2 a day.Sub-Saharan Africa has become the region with the highest incidenceof extreme poverty and the greatest depth of poverty. If thesetrends continue, the 1990 aggregate $1 a day poverty rate willbe halved by 2015, meeting the Millennium Development Goal,though only East and South Asia will reach this goal.      

Picking Your Tick: Toward a New Theory of Stock Splits

Thanks to stock splits, the average nominal share price has been amazingly stable in the United States. The average NYSE share price has fluctuated within the $30 to $40 range since the late 1930s—a period in which most consumer prices have increased by a factor of 10 and the S&P index has risen over 1,500%. Why has this nominal price been so stable when every other price has increased so much? And why do typical stock prices vary so greatly among different countries? For example, the median nominal stock price ranges from about $2 in Hong Kong and $7 in the U.K., to $103 in France and over $600 in Switzerland. The author's recent research suggests that typical stock prices vary across countries in ways that reflect primarily differences in how markets in each country set their “tick” rules—the rules governing the minimum price variation that can occur in a stock (in the U.S., for example, the tick was recently reduced from $1/8 to $1/16). Companies, on average, appear to respond to the resulting differences in tick size by adjusting the number of their shares outstanding so that the tick size relative to the nominal share price remains relatively constant. In fact, a tick size equal to about 25 basis points of the median share price “appears to be a universal norm” across global markets. This article explores how and why a company might wish to affect the relative tick size for its stock by splitting—and, in so doing, it suggests a “new theory” of stock splits. The theory also suggests that the optimal tick size for any given company will vary according to its size, visibility, and riskiness.     

No arbitrage and closure results for trading cones with transaction costs

In this paper, we consider trading with proportional transaction costs as in Schachermayer’s paper (Schachermayer in Math. Finance 14:19–48, 2004). We give a necessary and sufficient condition for , the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that, firstly, the corresponding cone of claims attainable for zero endowment, , does obey the fundamental theorem of asset pricing and, secondly, if is arbitrage-free then it is the closure of . We then conclude by showing how to represent claims.      

The Effect of Eliminating Direct Payments to Farmers on Land Values

This study looks at the effects of the complete elimination of direct government payments to farmers on the U.S. economy in general and the effect on land values in particular. The analytical approach used consists of a computable general equilibrium model composed of 14 producing sectors, 14 consuming sectors, six household categories classified by income, and a government. The results suggest that, with a complete elimination of direct government payments to farmers, there will be a reduction in output by all producing sectors of 0.18% or about $14.5 billion, a decline in output in the agricultural sectors of 4.39% or about $12.0 billion, a fall in the consumption of goods and services by about 0.11% or $4.15 billion, a fall in total utility by 0.47% or $22.0 billion, and a net reduction in expenditures for the government of $13.4 billion. Land values will be adversely affected, falling an average of 14%.     

Price fluctuations,market activity and trading volume

We investigate the relation between trading activity - measured by the number of trades [iopmath latex="$N_{Delta t}$"] N _t [/iopmath] - and the price change [iopmath latex="$G_{Delta t}$"] G _t [/iopmath] for a given stock over a time interval [iopmath latex="$[t,~t+Delta t]$"] [t, t + t] [/iopmath]. We relate the time-dependent standard deviation of price changes - volatility - to two microscopic quantities: the number of transactions [iopmath latex="$N_{Delta t}$"] N _t [/iopmath] in [iopmath latex="$Delta t$"] t [/iopmath] and the variance [iopmath latex="$W^2_{Delta t}$"] W ² _t [/iopmath] of the price changes for all transactions in [iopmath latex="$Delta t$"] t [/iopmath]. We find that [iopmath latex="$N_{Delta t}$"] N _t [/iopmath] displays power-law decaying time correlations whereas [iopmath latex="$W_{Delta t}$"] W _t [/iopmath] displays only weak time correlations, indicating that the long-range correlations previously found in [iopmath latex="$vert G_{Delta t} vert$"] |G _t| [/iopmath] are largely due to those of [iopmath latex="$N_{Delta t}$"] N _t [/iopmath]. Further, we analyse the distribution [iopmath latex="$P{N_{Delta t} gt x}$"] P{N _t>x} [/iopmath] and find an asymptotic behaviour consistent with a power-law decay. We then argue that the tail-exponent of [iopmath latex="$P{N_{Delta t} gt x}$"] P{N _t>x} [/iopmath] is insufficient to account for the tail-exponent of [iopmath latex="$P{G_{Delta t} gt x}$"] P{G _t>x} [/iopmath]. Since [iopmath latex="$N_{Delta t}$"] N _t [/iopmath] and [iopmath latex="$W_{Delta t}$"] W _t [/iopmath] display only weak interdependence, we argue that the fat tails of the distribution [iopmath latex="$P{G_{Delta t} gt x}$"] P{G _t>x} [/iopmath] arise from [iopmath latex="$W_{Delta t}$"] W _t [/iopmath], which has a distribution with power-law tail exponent consistent with our estimates for [iopmath latex="$G_{Delta t}$"] G _t [/iopmath]. Further, we analyse the statistical properties of the number of shares [iopmath latex="$Q_{Delta t}$"] Q _t [/iopmath] traded in [iopmath latex="$Delta t$"] t [/iopmath], and find that the distribution of [iopmath latex="$Q_{Delta t}$"] Q _t [/iopmath] is consistent with a Lévy-stable distribution. We also quantify the relationship between [iopmath latex="$Q_{Delta t}$"] Q _t [/iopmath] and [iopmath latex="$N_{Delta t}$"] N _t [/iopmath], which provides one explanation for the previously observed volume-volatility co-movement.     

2007年全球1000家大银行排名综述

2007年度《银行家》杂志上榜的全球1000家大银行，一级资本平均回报率继续大步前行，将去年的22．7％推升至23．4％的历史新高。上榜银行的税前利润总体涨幅惊人，结束去年18．6％的放缓态势，今年上涨21．7％，达到7863亿美元。一级资本和资产增长显著，分别增长18．3％和16．3％，合计总值分别达到33651亿和742322亿美元。     

CEO Cash and Stock‐Based Compensation Changes,Layoff Decisions,and Shareholder Value

The chief executive officers (CEOs) of firms announcing layoffs receive 22.8% more total pay in the subsequent year than other CEOs. The pay increases result almost entirely from increases in stock‐based compensation and are found to persist. In addition, layoff announcements are accompanied by shareholder value increases averaging $40 million to $95 million. One‐time labor cost savings from layoffs average $65 million. We conclude that CEOs receive pay increases following layoffs as rewards for past decisions and to motivate value‐enhancing decisions in the future.     

Internal Finance and Corporate Investment

This paper examines Pecking Order/Free Cash Flow behavior in small ($25–$50 million), medium ($100–250 million), and large ($1000 million and over) firms. The purpose is to proffer an explanation for the important role of cash flow on the investment expenditure of firms that is more complete than the commonly given accounts. The Pecking order theory (PO) emphasizes the value‐enhancing influence of cash flow, while the free cash flow hypothesis (FCF) underscores its value‐destroying effect. Using the vector error correction model, we find that although the overall behavior of small firms support the pecking order theory, the cash flow of these firms does not have any causal effect on their investment. We further find evidence of free cash flow theory in large firms.