再论经理人股票期权的会计确认

谢德仁和刘文(2002)提出了经理人股票期权会计确认的利润分配观。本文在此基础上进行进一步论证,认为经理人股票期权赠予交易的经济实质是股东为激励经理人而将部分剩余索取权(在财务会计意义上就是利润分配权)让渡给经理人,而不是经理人直接用服务来交换股票期权,经理人股票期权赠予并不以经理人服务的投入为必备前提,经理人股票期权赠予交易内含的价值运动是具有一定价值的剩余索取权(所有者权益)从现有股东那里来,流到经理人处去。因此,在经理人股票期权赠予交易的会计确认上,应将经理人股票期权的对应项目确认为企业的利润分配。     

商业银行管理层股票期权激励:特征及其影响因素——基于美国银行业的实证研究

本文以1996～2005年间美国43家代表性商业银行和98家制造业企业为样本,实证分析了商业银行管理层股票期权补偿激励的特征和影响因素。结果表明:商业银行管理层股票期权补偿占总报酬补偿比例的变化呈现出先升后降的倒U型趋势,商业银行管理层股票期权补偿占总报酬补偿的比例显著地低于制造业的这一比例;管理层股票期权补偿与商业银行成长机会、外部董事比例存在着显著的正相关关系,而与杠杆比率呈显著负相关;资产规模、管理层股票补偿对股票期权补偿水平的影响为负,但不显著;行业管制与管理层股票期权补偿费用的会计处理方法对银行业股票期权补偿有显著的影响。     

篮子期权定价的蒙特卡罗方法研究

篮子期权是多标的资产的一个投资组合期权,随着投资者对其投资组合分散化日益增长的要求,人们对这种投资组合期权的需求也不断增加.当维数不断增大时,运用蒙特卡罗模拟法来定价相对来说更可行.但是随着维数的增多,模拟的效率将大幅度下降,因此对模拟进行适当的改进是十分必要的.本文在给出篮子期权定价的蒙特卡罗模拟模型基础上,应用方差减少技术中的控制变量法进行改进,并以欧式看涨篮子期权为例,进行了模拟分析.     

盘点2013年保险行业大事

保险资管曝首例老鼠仓时间：2013年2月22日大事梗概：2013年2月22日,证监会官方网站通报,平安资产管理有限责任公司原投资经理夏侯文浩利用未公开信息交易股票行为被立案调查。这是证监会查处的首例保险资产管理从业人员内幕交易案。其利用家人朋友账户先于或同期于其管理的保险资产账户买入亚宝药业、铁龙物流、兴化股份等相同股票11只,成交金额累计达1.46亿余元,获利919万余元,涉嫌利用未公开信息从事证券交易,非法获利。     

CTA基金表现夺人眼球

CTA全称为Commodity Trading Advisor，意为商品交易顾问，是指通过给客户提供期货、期权方面的交易建议，或直接通过受管理的期货账户参与实际交易来获得收益的机构或个人。CTA基金由专业的资金管理人，将客户委托的资金投资于期货和期权市场，并且收取相应管理费用。由于C TA基金的主要投资对象是期货和期权，有别于传统基金的交易对象是股票、债券，故而C TA基金也被称为管理期货（Managed Futures）基金。     

有交易费和随机分红的多因素期权定价模型

本文在经典B-S模型的推导基础之上,对多因素期权定价问题进行了研究.在考虑了有与股票数量成正比的交易费和有随机分红的情况,导出了有交易费与随机分红时多因素权定价模型,并对双标的的情况给出了模型的解析解.首先,我们在假定股票价格的变化服从布朗运动的基础之上,利用无套利原理,通过构造投资组合的方式导出了经典的B-S模型.然后,我们引入并证明了多维的ITO引理,并在此基础上导出了不含交易费与随机分红的多因素期权定价模型.最后我们通过构造投资策略空间的方式,推导出含有交易费及随机分红时彩虹期权的定价方程,并给出了双标的的情况的解析解.     

期权的那些事儿

2015年1月9日,证监会发布《股票期权交易试点管理办法》及配套规则,并批准上海证券交易所成为我国内地首个股票期权交易试点,试点范围为上证50ETF期权,并于2015年2月9日正式上市。这一举措标志着中国大陆市场股票期权交易的诞生,是我国经济实体和资本市场迅速发展的必然产物,也是健全、完善我国资本市场结构及功能的内在要求。股票期权交易从无到有的转变,必然会对我国资本市场、     

股票杠杆交易行为及收益分析——基于融资融券交易数据

作为重要金融工具,股票杠杆交易对于资本市场效率的提高具有重要意义.本文通过融资融券的交易数据研究中国股票杠杆交易行为及收益情况,从信息披露、盈余质量及公司估值三个层面,本文发现参与融资融券的杠杆交易者更多选择信息披露质量差、盈余质量低的公司,且交易的股票估值偏高.通过构建投资组合,我们发现这种杠杆交易行为获得超额收益.本文进一步从业绩预告和证监会处罚两个视角进行检验,发现杠杆交易者可能是通过内幕信息获得收益.本文打开杠杆交易的黑箱,为监管层监管杠杆交易的合理性和必要性提供了依据,也为在打造规范、透明、有活力的资本市场过程中,如何让金融工具更好地服务于资本市场提供了参考.     

随机利率下最优投资策略及其在险价值研究

Cannerg难题是指通常的投资建议和两基金分离定理间存在较大的差异。以股票、现金和债券作为交易资产,采用由通货膨胀和实际利率定义的仿射利率期限结构模型,对最优资产配置问题进行研究,得出最优资产配置方案。通过对该方案实例分析,对投资建议和两基金分离定理间的差异给出合理的解释,并指出投资期限和风险厌恶水平对投资策略选择有重大影响。最后通过蒙特卡洛模拟对不同投资策略下期末组合的VaR分布进行评估和分析。     

基于期权定价理论的风险管理

一、期权与风险管理简介 期权(option)是指一种选择权合约,它是指持有者在未来一段时间内以一定的价格购买或出售某项资产的权利.持有者没有必须执行和约的义务,因而为了得到这种权利,其购买者要支付一定的费用--期权费.根据持有者的权利,期权可以划分为看涨期权(call option)和看跌期权(put option).其中看涨期权是指期权持有者在未来一定时间内以某一确定的价格购买某项资产;看跌期权是指持有者在未来一定时间内以某一确定的价格出售某项资产.期权交易的标的资产可以是股票、外汇、商品,还可以是利率、期货、风险项目价值等不可交易证券.     

我国证券市场内幕交易的法学实证分析——来自31起内幕交易成案的统计分析

内幕交易是证券法学界炙手可热、经久不衰的热门课题,关于内幕交易的各种概念、学说、理论被学术界翻炒得烂熟,解剖个案麻雀的精彩论著也不鲜见,但受制于案例、资料和相关数据的局限,少有学者从实证角度,系统性地研究我国内幕交易成案的总体特征。本文力图在传统证券法学研究途径之外,独辟蹊径,通过运用统计、数量分析等经济学科工具,对证券市场成立以来查处的全部31起内幕交易案件加以实证分析,以期得出我国内幕交易案件的发案特征与规律,为打击和防范内幕交易违法行为,修订内幕交易法制提供数据支持和实证参考。     

卖空者与内幕交易——来自中国证券市场的证据

本文研究上市公司内部人减持、年报、诉讼、分析师评级、停复牌以及高送转等重大公告前后卖空交易行为的变化,系统考察卖空者是否参与内幕交易以及何种因素影响卖空者参与内幕交易,发现卖空率较高的股票具有较低的未来收益,表明卖空者拥有信息优势,属知情交易者;卖空者拥有非常精确的择时交易能力,在重大利空公告前显著增加卖空量,而在利好公告前则显著减少卖空头寸,表明卖空者作为知情交易者的信息优势源自内幕消息;公司内、外部投资者的信息不对称程度越低或公司所在地的法治水平越高,卖空者参与内幕交易的行为就越少。因此,监管机构应密切关注公司重大消息发布前后卖空量的异常变动,同时,完善信息披露规则、健全证券分析师制度并强化法律法规的执行力度,才能有效防范卖空者参与内幕交易。     

内幕交易罪的司法困境及出路研究

近年来内幕交易案件频发,无论是"杭萧钢构案",还是"上海祖龙内幕交易案"都在司法认定方面引起了理论和实务界的较大争议。这充分表明,在认定内幕交易罪的司法实践中仍然存在很多待解的难题。只有在对这些司法难题进行深入剖析的基础上,重构内幕信息的认定标准、改善内幕交易行为的取证路径、强化内幕交易的执法力度、完善机制设计,才能破解司法难题,维护证券市场的公平公正,保障证券法律法规得以遵守和执行。     

Correlation risk

Investors hold portfolios of assets with different risk-reward profiles for diversification benefits. Conditional on the volatility of assets, diversification benefits can vary over time depending on the correlation structure among asset returns. The correlation of returns between assets has varied substantially over time. To insure against future “low diversification” states, investors might demand securities that offer higher payouts in these states. If this is the case, then investors would pay a premium for securities that perform well in regimes in which the correlation is high. We empirically test this hypothesis and find that correlation carries a significantly negative price of risk, after controlling for asset volatility and other risk factors.     

Optimal asset allocation using a combination of implied and historical information

This paper investigates the contribution of option-implied information for strategic asset allocation for individuals with minimum-variance preferences and portfolios with a variety of assets. We propose a covariance matrix that exploits a mixture of historical and option-implied information. Implied variance measures are proposed for those assets for which option-implied information is available. Historical variance and correlation measures are applied to the remaining assets. The performance of this novel approach for constructing optimal investment portfolios is assessed out-of-sample using statistical and economic measures. An empirical application to a sophisticated portfolio comprised by a combination of equities, fixed income, alternative securities and cash deposits shows that implied variance measures with risk premium correction outperform variance measures constructed from historical data and implied variance without correction. This result is robust across investment portfolios, volatility and portfolio performance metrics, and rebalancing schemes.     

浅析单位内幕交易违法的认定与处罚

近年,单位作为主体从事内幕交易的案例呈增加之势。本文结合行政执法与刑事司法实践,结合近年典型单位内幕交易案例,并借鉴海外监管查处经验,着重讨论了单位内幕交易认定的一些疑难法律问题,诸如是否将单位作为违法主体以及是否处罚、如何认定单位知悉与利用内幕信息、如何区分单位内幕交易行为与个人内幕交易行为等问题。     

The Effect of Option Listing on Bid-Ask Spreads,Price Volatility,and Trading Activity of the Underlying OTC Stocks

This paper examines the changes in spreads, price volatility, and trading activity surrounding option listing for a sample of 144 OTC stocks. For this sample, both price volatility and volume increase, but the evidence on spreads is mixed. The increase in price volatility is attributed primarily to an increase in residual return variances. Furthermore, price volatility increases even after controlling for volume, insider trading, and spreads. Although these variables do not fully explain the causes for the increase in price volatility after option listing, the results suggest that liquidity trading or volume has a stronger effect on price volatility than insider trading. This study also finds that both the number of trades and institutional holdings show substantial increases, which are supportive of the notion that listing of options on OTC stocks attracts more attention.     

An Empirical Analysis of Illegal Insider Trading

Whether insider trading affects stock prices is central to both the current debate over whether insider trading is harmful or pervasive, and to the broader public policy issue of how best to regulate securities markets. Using previously unexplored data on illegal insider trading from the Securities and Exchange Commission, this paper finds that the stock market detects the possibility of informed trading and impounds this information into the stock price. Specifically, the abnormal return on an insider trading day averages 3%, and almost half of the pre-announcement stock price run-up observed before takeovers occurs on insider trading days. Both the amount traded by the insider and additional trade-specific characteristics lead to the market's recognition of the informed trading.     

Ethical norms of CFO insider trading

Insider trading encompasses the buying or selling of stocks based on non-public information about the securities in question. Engaging in insider trading is particularly unethical for a Chief Financial Officer (CFO) who holds a fiduciary responsibility to shareholders and also typically is ethically obligated by his or her professional responsibilities. Although the Securities and Exchange Commission (1934) has expressly forbidden insider trading, the business press suggests insider trading continues. An application of Cooter’s [Cooter, R., 1997. Normative failure theory of law. Cornell Law Review 82 (5), 947–979; Cooter, R., 2000. Three effects of social norms on law: Expression, deterrence and internalization. Oregon Law Review 79 (1), 1–22] theory of the law and norms suggests that one explanation for the continuation of insider trading is that although illegal, norms may fail to consider insider trader to be unethical. Nevertheless, our knowledge of the norms regarding insider trading is limited. To address this gap, we examine the ethical norms regarding CFOs’ insider trading, and consider the extent to which contextual variables are associated with ethical perceptions of CFO insider trading. We find that insider trading by CFOs is generally perceived to be unethical but not by all participants, nor all ethical measures. Moral equity is particularly informative for understanding the ethicality of CFO insider trading. When relying on the multidimensional ethics scale (MES) measure of moral equity, our results reveal that contextual factors, including trading method used (stock options or share equity) and the direction of earnings surprise (favorable or unfavorable) are significant. We also found that participants that possessed more work experience or financial expertise had a greater tendency to consider CFO insider trading to be unethical than those with less work experience or financial expertise, which suggests the importance of training and education of the general public. In addition, our findings suggest that tougher sanctions will encourage compliance with existing insider trading laws. Implications of our findings for public policy are discussed.     

Does stronger corporate governance constrain insider trading? Asymmetric evidence from Australia

We investigate the role of internal corporate governance in limiting opportunities for ASX company ‘insiders’ to extract abnormal returns from trading ‘own shares’. We show that stronger governance translates into more restrictive insider trading policies and, while not resulting in lower insider purchase volumes, values or profits, it does reduce insider selling profitability. Firm size and increasing trading policy restrictiveness is associated with reduced insider purchase profitability while insider sale profitability is reduced by aggregate governance, trading restrictions and increasing trading policy restrictiveness. We conclude that internal firm governance constrains insider sales but not purchases, providing contrarian trading signals.