Order dynamics: Recent evidence from the NYSE

We examine investor order choices using evidence from a recent period when the NYSE trades in decimals and allows automatic executions. We analyze the decision to submit or cancel an order or to take no action. For submitted orders, we distinguish order type (market vs. limit), order side (buy vs. sell), execution method (auction vs. automatic), and pricing aggressiveness. We find that the NYSE exhibits positive serial correlation in order type on an order-by-order basis, which suggests that follow-on order strategies dominate adverse selection or liquidity considerations at a moment in time. Aggregated levels of order flow also exhibit positive serial correlation in order type, but appear to be non-stationary processes. Overall, changes in aggregated order flow have an order-type serial correlation that is close to zero at short aggregation intervals, but becomes increasingly negative at longer intervals. This implies a liquidity exhaustion–replenishment cycle. We find that small orders routed to the NYSE's floor auction process are sensitive to the quoted spread, but that small orders routed to the automatic execution system are not. Thus, in addition to foregoing price improvement, traders selecting the speed of automatic executions on the NYSE do so with little regard for the quoted cost of immediacy. As quoted depth increases, traders respond by competing on price via limit orders that undercut existing bid and ask prices. Limit orders are more likely and market sells are less likely late in the trading day. These results are helpful in understanding the order arrival process at the NYSE and have potential applications in academics and industry for optimizing order submission strategies.     

Book Reviews

Technological Innovation: University Roles. The Association of Commonwealth Universities, London
Eurotronics—European Working Party for Forecasting Electronics Markets
Micro Electronics in Western Europe—The Medium Term Perspective 1983–1987, K. P. Friebe and A. Gerybadze (Eds)
New Product Development in Engineering: A Comparison of the British and West German Machine Tool Industries. Stephen T. Parkinson
Stakeholders of the Organizational Mind. I. I. Mitroff.
How companies manage R&D. Niall Lothian. Published by Institute of Cost and Management Accountants, March 1984
The financial side of industrial research management. Lynn W. Ellis. John Wiley & Sons Inc.
The costs of evaluation, edited by Marvin C. Atkin and Lewis C. Solmon.
Personal-Management in der industriellen Forschung and Entwicklung, edited by Michel Domsch and Eduard Jochum. Carl Heymanns Verlag, Cologne
Managing Interdisciplinary Research. Edited by Epton, Payne and Pearson. John Wiley
Optimisation Models for Strategic Planning, edited by T. H. Naylor and C. Thomas
The Next Industrial Revolution—Reviving Industry Through Innovation. Robert U. Ayres.
Management Compensation in High Technology Companies. Jay Schuster.
A History of Engineering in Classical and Medieval Times. Donald Hill.     

Tests for multiple change points under ordered alternatives

We consider the problem of testing the null hypothesis of no change against the alternative of multiple change points in a series of independent observations when the changes are in the same direction. We extend the tests of Terpstra (1952), Jonckheere (1954) and Puri (1965) to the change point setup. We obtain the asymptotic null distribution of the proposed tests. We also give approximations for their limiting critical values and tables of their finite sample Monte Carlo critical values. The results of Monte Carlo power studies conducted to compare the proposed tests with some competitors are reported. This research was supported by research grant SS045 of Kuwait University. Acknowledgments. We wish to thank the two referees for their comments and suggestions which have significantly improved the presentation. We are particularly thankful to one of the referees for suggesting the test statistics T_n1 ^* (k) and T_n2 ^* (k).     

首日涨停板制度与IPO解禁效应——基于投机泡沫视角的分析

本文以2006—2016年上市的1397家公司为研究样本,实证检验了首日涨停板制度对新股解禁效应的影响。结果发现:首日涨停板制度实施期间发行的新股,解禁时有显著更差的市场表现,[-30,30]窗口期间的超额回报低至-8.43%,同时有更小的异常交易量和异常波动率;新股上市时股价高估程度越大、投资者情绪越高,首日涨停板制度对解禁效应的影响越强。上述结果支持了Hong et al.(2006)提出的“解禁与资产泡沫破灭”的理论,即首日涨停板制度导致新股发行后投机泡沫累积,投机泡沫破灭导致解禁时更大幅度的股价下跌。本文的研究结论补充了首日涨停板制度后果的文献,并对防范金融风险和完善新股市场化改革具有一定的政策参考价值。     

新疆生产建设兵团国有农用土地有偿使用探析

实现国有农用土地的有偿使用是推动土地使用权合理流转进程中的重要内容。新疆生产建设兵团国有农用土地的有偿使用有使用权出让、使用权租赁、使用权授权经营、土地承包经营几种形式。但在使用过程中存在着农用土地使用权不稳定、土地承包费的确定缺乏科学性、未形成规范的土地流转市场等问题。因此，应该明晰国有农用土地产权，完善国有农用土地使用权等，以规范国有农用土地的有偿使用。     

非高管股权激励与企业创新:公平理论视角

股权激励管理办法允许上市公司通过股权激励计划对部分非高管员工进行股权激励,但设定激励对象等方面的有关规定对企业的影响却鲜有研究关注。本文从公平理论视角分析我国非高管员工股权激励对上市公司创新的影响,并依据中国上市公司股权激励计划与专利数据实证检验了非高管员工股权激励有效性假说与不公平假说。研究发现,总体上我国股权激励计划能够显著促进企业创新,但非激励员工因薪酬不公平而产生的消极行为在一定程度上削弱了股权激励计划的激励效果。具体而言,在国有控股上市公司以及激励与非激励员工收入差距小的上市公司中,非高管股权激励弱化企业创新的影响明显小于其他公司;而在非高管员工覆盖比例较高的公司中,非高管股权激励计划弱化企业创新的影响不存在。因此适当提高员工股权激励覆盖的范围可以减少激励员工与非激励员工之间因激励错配导致的薪酬不公平问题,有助于提升我国上市公司股权激励计划的创新激励效果。     

Accounting and economic consequences of CEO paycuts

Boards sometimes cut a CEO’s pay following poor performance. This study examines whether such CEO paycuts really work. We identify 1,496 instances of large CEO paycuts during the period 1994–2013. We then create a propensity-score-matched control group of firms that did not cut their CEOs’ pay and employ a difference-in-differences approach to examine the consequences of paycuts. Our results show that, following a paycut, CEOs are likely to engage in earnings management in an attempt to accelerate improvement in the reported performance and to achieve a speedier restoration of their pay to pre-cut levels. Further, we find that improvement in long-term performance after a paycut occurs only for those firms with lower levels of earnings management after the paycut. Finally, we show that paycuts are more likely to lead to unintended value-destroying consequences in the absence of high institutional ownership or when the CEO is sufficiently entrenched, thereby impairing the effectiveness of internal monitoring by boards.     

产品市场竞争、管理层权力与薪酬辩护

以2011~2014年我国 A 股上市公司为研究样本,基于薪酬辩护的视角,考察管理层权力对薪酬—业绩敏感性的影响以及产品市场竞争的监督约束作用。实证结果表明,企业高管利用手中权力获取超额薪酬、谋取私利的同时,会通过提升薪酬—业绩敏感性为自身薪酬进行辩护,形成薪酬契约合理有效的表象;产品市场竞争能够显著抑制企业高管的薪酬辩护行为,降低管理层权力对薪酬契约的影响和扭曲。     

如何从支付系统完善电子商务税收征管

电子商务给传统贸易方式和社会经济活动带来了巨大的冲击,同时也对税收制度、税收征管、税收规则等提出了新的挑战。银行的支付系统与电子商务交易以及电子商务税收征管都息息相关,但因为历史的原因,我国银行、税务、国库、工商、公安各自独立的网络体系又制约了目前依赖银行、工商等部门网络体系的税务机关对蓬勃发展的电子商务税收征管的进程。本文从基于"资金流"的电子商务税务征管思路出发,针对我国现状,探讨从银行支付系统本身以及银税横向联网等各方面来完善电子商务税收征管,使我国经济在21世纪能持续发展。     

基于银行卡个人支付手段与支付模式的研究

本文通过分析基于银行卡个人支付手段的交易流程,指出基于POS、ATM传统机具的支付模式存在较大的金融信用风险,并存在资源稀缺性的缺陷;而基于移动终端或电话终端的支付模式比基于POS、ATM的支付更具有可普及性,且金融风险得到了降低;随着生物识别技术的发展,基于生物识别的支付模式可能是未来的一个发展方向。生物识别具有唯一性,在这种模式下,金融风险会得到最大限度的降低。