信息不对称、过度自信与股价变动

信息传导的非同步和投资者情绪变化是股票市场的两个典型特征,前者会引发投资者之间出现信息不对称问题,后者主要体现为投资者过度自信,两者共同作用影响股票价格变动。本文将信息不对称和投资者过度自信情绪置于同一个分析框架,建立两阶段动态序贯定价理论模型研究现实市场上信息传导过程中股价变动的内在机制。结果表明:(1)面临新信息的进入,投资者对股票收益预期的调整与均衡价格之间具有正相关关系;(2)面临有利消息时,过度自信投资者比例越大,股票的均衡价格越高,投资收益将越低;面临不利消息时则相反;(3)随着过度自信投资者比例以及过度自信程度升高,市场风险溢价将下降;(4)投资者群体在信息传导过程中出现分化,对股价变动形成异质信念,未获取信息和获取信息但未出现过度自信的投资者认为股价被高估,获取信息且出现过度自信的投资者认为价格被低估,促使更多的交易,引发市场成交量和股价变动;(5)过度自信投资者比例与过度自信程度提高均会对市场效率产生正向影响,而对市场深度具有负向效应。最后,基于理论结果对非对称性和持续性等典型的市场波动性特征进行解释。     

加快保险信息化发展提升我国保险行业竞争力

保险信息化是信息技术在保险领域中广泛应用而引起的一场保险业革命,它将促使保险机构更加贴近市场和客户,提供个性化、差异化的服务,提升企业核心竞争力,促进保险业的长远发展.我国保险业在硬件设备、系统集成和应用程序开发等方面还存在较大差距,信息技术在经营管理中的应用程度还不高,应加快保险信息化发展,提升我国保险行业竞争力.     

竞争是否缓解了商业银行风险承担？ ——基于利率市场化视角下的GMM检验

本文选取2005-2018年34家沪深上市银行的年度面板数据,通过GMM面板回归和DID双重差分模型实证分析了利率市场化视角下价格竞争和市场竞争对银行风险承担水平的影响。实证分析结果显示,利率市场化下的利差收窄提升了商业银行风险抵御能力,破产风险和概率有所下降;价格竞争和市场竞争使得商业银行“以量补价”的信贷投放冲动较强,加剧了信用风险;在利率市场化进程下,商业银行面临的价格竞争和市场竞争使得自身风险承担水平受到了更大冲击。     

存款保险、市场竞争与银行经营稳健性

本文基于银行存款市场空间竞争模型,探讨存款保险制度的实施效果和福利效应,及其与市场竞争政策的交互作用。研究表明,政府隐性担保尽管能够保障存款人利益,但会降低存款人对银行经营稳健性的要求,使得银行追求高风险高收益资产从而降低经营稳健性;而市场化的存款保险制度通过费率与风险挂钩的激励机制,能够有效提升银行经营稳健性,同时避免过高政策成本负担,实现较高的社会福利水平。随着市场竞争强化,引入风险差别费率保险制度,在提升银行经营稳健性和增进社会福利方面的效果逐渐增强。模型分析表明,当长期允许机构自由进出市场时,政府强化竞争政策短期可能降低银行的经营稳健性,但长期内高风险银行逐渐退出市场而更有效率的低风险银行进入市场,这种柔性市场退出机制使得银行业整体经营稳健性增强。因此,在金融市场中强化竞争政策,推行并完善当前市场化的风险差别费率存款保险制度,长期内有助于在保护存款人利益的同时,提升银行稳健性和社会福利。     

Does banking system transparency enhance bank competition? Cross-country evidence

There seems to be a consensus among regulators and scholars that in order to improve the functioning of a banking system it is necessary to raise the level of bank information disclosure. However, its influence on bank competition – which is an important factor affecting the efficiency and stability of the banking system – is left out of consideration. To test whether greater bank information disclosure is associated with both lower market power and lower concentration in the banking markets, we use country-level data covering the years 1998, 2001, 2005 and 2010. Our findings show that countries with higher levels of bank transparency have lower levels of bank concentration, while the link between transparency and market power is less pronounced. We also show that the reduction of competition due to stricter disclosure requirements depends on bank credit risks and the relationship is U-shaped.     

Competition,premature trading and excess volatility

A substantial body of research suggests that it is difficult to account for all of the volatility of asset prices in terms of news. This paper attempts to explain the excess volatility puzzle as a consequence of competitive interaction between market participants in the presence of noisy information. We develop a model of competitive interaction between market participants in response to unverified information. Our model shows that in the presence of competitive pressures, market participants find it optimal to act prematurely on unverified information. This premature reaction leads to lower total profits and excess market volatility in equilibrium. Our model also shows that the spike in volatility at the closing time of the market can be modelled as a direct consequence of premature trading.     

交易限制与股票市场定价效率——基于创业板涨跌幅限制放宽的准自然实验研究

本文基于2020年8月24日创业板涨跌幅限制由10%扩大到20%这一政策变化建立准自然实验,从市场层面与公司事件层面探讨交易限制放宽的外生冲击下市场定价效率的变化。研究发现,涨跌幅限制放宽政策实施后,股票价格能更灵敏地反映公开市场信息,更多地包含公司层面特质信息,整体市场定价效率显著提升。进一步研究表明,涨跌幅限制放宽有效缓解了交易干扰问题,避免了过度交易行为延后,缓解了波动性外溢与价格发现延迟。异质性分析表明,无论是市场层面定价效率改善,还是事件层面波动性外溢、价格发现推迟与交易干扰问题的缓解,均在低信息透明度公司中更为显著。本文研究发现为验证涨跌幅限制会抑制股票市场定价效率的理论提供了直接经验证据,同时为推广完善市场化交易制度提供了有益启示。     

Word-of-mouth communication,noise-driven volatility,and public disclosure

This paper examines how a firm adjusts its disclosure quality in response to technological innovations that improve investors' private information. We show that more precise private information can endogenously amplify supply shocks and, hence, increase noise-driven (or non-fundamental) price volatility. We study how the firm reacts to such changes and derive a necessary and sufficient condition under which the firm improves its disclosure quality when investors are informed with better private signals. We then apply our model to study investors' private word-of-mouth communication. Our analysis highlights a “dark side” of word-of-mouth communication and a call for better public disclosure even if private communication is assumed to be unbiased and truthful. We provide empirical predictions regarding how price volatility, market depth, and firms’ disclosure qualities would change as technological innovations, such as social media, facilitate information sharing among investors.     

Arrogance can be a virtue: Overconfidence,information acquisition,and market efficiency

In behavioral finance, overconfidence has been established as a prevalent psychological bias, which can make markets less efficient by creating mispricing in the form of excess volatility and return predictability. In this paper, we develop a model in which overconfidence causes investors to overinvest in information acquisition when this information could improve market efficiency by driving prices closer to true values. We study the impact of overconfidence on mispricing and information acquisition, comparing their net effect on prices. We derive several novel implications. First, overconfidence generally improves market pricing provided the level of overconfidence is not too high. Pricing can also improve even when overconfidence is arbitrarily high, depending on the amount of private information acquired relative to publicly available information.     

Information effect of entry into credit ratings market: The case of insurers' ratings

The paper analyzes the effect of competition between credit rating agencies (CRAs) on the information content of ratings. We show that a monopolistic CRA pools sellers into multiple rating classes and has partial market coverage. This provides an opportunity for market entry. The entrant designs a rating scale distinct from that of the incumbent. It targets higher-than-average companies in each rating grade of the incumbent's rating scale and employs more stringent rating standards. We use Standard and Poor's (S&P) entry into the market for insurance ratings previously covered by a monopolist, A.M. Best, to empirically test the impact of entry on the information content of ratings. The empirical analysis reveals that S&P required higher standards to assign a rating similar to the one assigned by A.M. Best and that higher-than-average quality insurers in each rating category of A.M. Best chose to receive a second rating from S&P.     

Evolution,efficiency and noise traders in a one-sided auction market

Natural selection is used to examine a one-sided buyer auction market. With each trader's behavior preprogrammed with its own inherent and fixed probabilities of overpredicting, predicting correctly and underpredicting the fundamental value of the asset, informational efficiency occurs. If each buyer's initial wealth is sufficiently small relative to the market supply and if the variation in the asset's random shock is sufficiently small, then as time gets sufficiently large, the proportion of time, that the asset price is arbitrarily close to the fundamental value, converges to one with probability one. This is established under a weak restriction regarding traders’ behavior.     

Product market pricing power, industry concentration and analysts’ earnings forecasts

This is the first study to establish a link between product market power and analysts’ earnings forecast accuracy and bias. Relating two different dimensions of market power to earnings forecastability, we document that (a) a firm’s relative pricing power and (b) its industry concentration are strong positive determinants of analysts’ earnings forecast accuracy. We find that forecasting earnings of higher market power firms is less complex due to their ability to withstand cost shocks as well as greater informational-efficiency enjoyed by such firms. Further, forecast optimism increases with weakening product market pricing power and with lower industry concentration. The knowledge derived from this study will hopefully improve the accuracy of equity valuation, and thereby engender better buy-side (stock selections) and sell-side recommendations by analysts. Our analysis also suggests that brokerage firms compensating analysts based on forecast accuracy need to adjust for the differential in the information complexity of different industries.     

Information, heterogeneity and market incompleteness

Information is “market-consistent” if agents only use market prices to infer the underlying states of the economy. This paper applies this concept to a stochastic growth model with incomplete markets and heterogeneous agents. The economy with market-consistent information can never replicate the full information equilibrium, and there are substantial differences in impulse responses to aggregate productivity shocks. These results are robust to the introduction of a noisy public signal and aggregate financial markets. We argue that the principle of market-consistent information should be applied to any model with incomplete markets.     

Heterogeneous Beliefs,IPO Valuation,and the Economic Role of the Underwriter in IPOs

We empirically analyze the economic role of the underwriter in initial public offerings (IPOs), distinguishing between the “certification” and “market power” hypotheses. We find that equity in high‐reputation underwriter backed IPOs is priced higher and further away from intrinsic value than that in low‐reputation underwriter backed IPOs. Our results are robust to controlling for the endogenous selection of firms to take public by underwriters. Overall, our results support the market power hypothesis and reject the certification hypothesis, indicating that the role of underwriters is to obtain the highest possible valuation for the IPOs that they back rather than to price the equity close to intrinsic value.     

Underwriting relationships: Information production costs, underwriting fees, and first mover advantage

We study underwriting relationships in the floating rate debt market, where many issuers have a large number of offerings. We find that frequent issuers maintain close relationship with only three to five underwriters and pay significantly less underwriting fees than infrequent issuers. The findings are consistent with the notion that starting an underwriting relationship requires expenses for information production. We also find that an issuer’s first underwriter has a cost advantage over later-comers in competing for the issuer’s business. As a result, the first underwriter wins a larger share of the issuer’s business. JEL Classification G21 · G24     

去伪存真:油价趋势与股票市场——来自“一带一路”35国的经验证据

油价波动深刻影响全球经济,严重时会造成全球股市动荡,甚至引发系统性金融风险。然而油价中的信息噪音严重阻碍国际油价对股票市场的预测效果。本文提出的移动平均法可有效减弱信息噪音,研究表明,本文基于移动平均法构建的油价趋势因子对“一带一路”沿线国家股票市场具有良好的样本内和样本外可预测性。进一步研究发现,国际油价波动对产油国和非产油国股票市场的影响存在非对称性。本文为国际油价冲击股票市场提供了新的有力证据,同时本文研究成果提示了油价风险,对维持我国股票市场稳定,保持金融稳定具有一定意义。     

Product market competition and analyst forecasting activity: International evidence

In this study, we investigate how product market competition affects the extent of analyst following and the properties of analyst forecasts. Using a broad sample of firms from 37 countries over the 1990–2008 period, we find that firms that operate in more concentrated industries and with stronger pricing power are associated with greater analyst following, higher forecast accuracy, and lower forecast dispersion. Moreover, the effect of product market power on analyst following and forecast properties is more pronounced in countries with less effective competition laws and higher entry costs. These findings suggest that high industry concentration and a dominant market position enhance the earnings predictability of firms and lower their information uncertainty, and that country-level institutions that promote competition effectively constrain the power in product markets.     

Insider trading,future earnings,and post-earnings announcement drift

This paper examines the association between insider trading prior to quarterly earnings announcements and the magnitude of the post-earnings announcement drift (PEAD). We conjecture and find that insider trades reflect insiders’ private information about the persistence of earnings news. Thus, insider trades can help investors better understand and incorporate the time-series properties of quarterly earnings into stock prices in a timely and unbiased manner, thereby mitigating PEAD. As predicted, PEAD is significantly lower when earnings announcements are preceded by insider trading. The reduction in PEAD is driven by contradictory insider trades (i.e., net buys before large negative earnings news or net sells before large positive earnings news) and is more pronounced in the presence of more sophisticated market participants. Consistent with investors extracting and trading on insiders’ private information, pre-announcement insider trading is associated with smaller market reactions to future earnings news in each of the four subsequent quarters. Overall, our findings indicate insider trading contributes to stock price efficiency by conveying insiders’ private information about future earnings and especially the persistence of earnings news.     

The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production

We study the behavior of U.S. natural gas futures and spot prices on and around the weekly announcements by the U.S. Energy Information Administration of the amount of natural gas in storage. We identify an inverse empirical relation between changes in futures prices and surprises in the change in natural gas in storage and that this relation is not driven by the absolute size of the surprise. The evidence also indicates prices react first in the futures market for natural gas with that information then flowing to the spot market. Post 2005, corresponding to a period of significant increases in the production of natural gas in the United States, the response of prices to storage surprises was larger in absolute value. No evidence is found of economically meaningful reactions to the surprise other than on the date the storage news is released. The results demonstrate the importance of fundamental information in the formation of natural gas prices.     

Informed lending as a deterrent to predation

Predatory practices have been rationalized by positing some information problem between entrant firms and their financiers. We argue that an effective way to deter product market predation is to obtain credit from an informed source, who can disentangle a firm’s expected profitability from its realized profits. Bank finance is often seen as a way of obtaining informed financing. We thus offer a rationale for choosing between bank financing and public debt financing based on its implications for competition in the product market.