Insider trading in sequential auction markets with risk-aversion and time-discounting

We extend Kyle's [Kyle, A. S. 1985. “Continuous Auctions and Insider Trading.” Econometrica 53, 1315–1335] analysis of sequential auction markets to the case in which the insider is risk-averse and discounts her trading profits as her private information is long-lived. We see that time-discounting exacerbates the impact of risk-aversion on the optimal trading strategy of the insider. Ceteris paribus, a larger degree of risk-aversion or a smaller time-discount factor induces the informed agent to consume more rapidly her informational advantage increasing the liquidity and efficiency of the securities market.     

抗SSDF攻击的EWSPRT协作频谱感知方案

比较了认知无线电网络中几种典型的协作感知方案在篡改感知数据(SSDF)攻击条件下的感知 性能,并提出了一种增强型加权序贯检 测（EWSPRT）协作方案。在该方案中,各次用户首先通过能量检测得到2 bit本地决策 ,然后 收集其它协作用户的感知结果进行决策融合和最终判决,并依据历史观测信息动态更新各协 作用户的融合权重;利用改进的信任度更新算法能使恶意用户的融合权重更快地降低,从而 有效地减少SSDF攻击对协作过程的影响。Monte-Carlo仿真结果表明,与传统方案相比,EWS PRT方案能够更有效地抵抗SSDF攻击。     

Sequential fixed-width confidence bands for distribution functions under random censoring

Summary Sequential fixed-width confidence bands for a distribution function are derived in the case, when the data are censored from the right. The Breslow-Crowley invariance principle for the Kaplan Meier estimate is extended to the random sample size situation. Also some simulation results are reported, which illustrate the behavior of the stopping times.     

Sequential estimation of means of linear processes

First the minimum risk point estimation as well as the fixed-width confidence interval problems for the mean parameter of a linear process are addressed under the framework of Fakhre-Zakeri and Lee (1992). The accelerated versions of their full sequential methodologies are introduced in order to achieve operational savings. Next, multi-sample analogs are discussed along the lines of Mukhopadhyay and Sriram (1992) both under full sequential as well as accelerated sequential sampling. In either setup, the first-order asymptotic characteristics are highlighted.     

The choice of entry mode in sequential foreign direct investment

Relatively few studies have examined the importance of an entry's sequential position to the choice of foreign entry mode. We use a dynamic model to analyze sequential entries into the United States from 1975 to 1992. Our findings show that several independent variables which explain a firm's initial mode of entry do not explain the modes of subsequent entries. These findings underscore the importance of experience in foreign investment, as companies learn from early entries and adapt the modes of subsequent ones. Copyright © 2001 John Wiley & Sons, Ltd.     

NONPARAMETRIC KERNEL-BASED SEQUENTIAL INVESTMENT STRATEGIES

The purpose of this paper is to introduce sequential investment strategies that guarantee an optimal rate of growth of the capital, under minimal assumptions on the behavior of the market. The new strategies are analyzed both theoretically and empirically. The theoretical results show that the asymptotic rate of growth matches the optimal one that one could achieve with a full knowledge of the statistical properties of the underlying process generating the market, under the only assumption that the market is stationary and ergodic. The empirical results show that the performance of the proposed investment strategies measured on past nyse and currency exchange data is solid, and sometimes even spectacular.     

Stock authorizations: A sequential equilibrium analysis

We develop a sequential equilibrium model of the common stock authorization process. We provide conditions under which actions that increase the number of slack shares, such as stock authorizations, generate negative announcement effects.     

基金羊群行为与投资组合崩盘风险——基于序贯交易模型的实证研究

采用序贯交易模型度量基金羊群行为,选取 2007-2016 年的公募基金为样本,实证考察 了基金羊群行为对投资组合崩盘风险的影响。研究发现:(1)基金羊群行为降低了投资组合的崩 盘风险,且在“牛市”和“熊市”的特殊阶段尤为明显;(2)相对于男性,女性基金经理的羊群 行为与投资组合崩盘风险的负向关系更强;(3)基金羊群行为通过减少基金的泡沫股票持仓比例 降低了投资组合崩盘风险;(4)基金羊群行为通过减弱正反馈交易降低了投资组合崩盘风险。文 章揭示了基金羊群行为是一种“以邻为壑”的投资策略,其降低自身崩盘风险是建立在加剧了市 场波动、破坏了市场稳定以及提高了金融体系脆弱性的代价之上的。政府应该加快推进市场监管 体系改革、完善相关的信息披露制度,合理引导、规范基金经理的各类交易行为,进而缓解由于 个体过分追逐自身利益所带来的“负外部性”对市场造成的不利影响。     

试析上市公司信息强制披露与自愿披露的相对重要性——基于后股权分置时代上市公司年报披露的实证研究

本文在对上市公司年报进行直接打分的基础上,运用方差分析和回归分析的方法,关注股改前后我国上市公司信息披露水平的变化及其对公司价值的影响。研究结果表明：股改后上市公司的信息披露水平确实有所提高,但并非由股改本身所致;股改并未使绩优上市公司进发出通过提高自愿信息披露水平而向市场传递信号的冲动;在现阶段,上市公司年报强制披露水平的提高对上市公司价值的影响明显大于自愿披露水平提高所产生的影响。     

Building brand knowledge structures: Elaboration and interference effects on the processing of sequentially advertised brand benefit claims

Two experiments are reported that examine the effects of an ad campaign designed to link two different benefit claims to a brand. The findings indicated that recall for a subsequently advertised claim depended on the strength of existing brand–benefit links in memory. If prior advertising strongly established a benefit claim in memory, then proactive interference effects inhibited the recall of subsequently advertised benefit claims unrelated in meaning. Additional analyses suggested that these interference effects appeared to be a result of difficulties with encoding the newly advertised claims. If the original benefit claim was not as strongly established in memory, however, then unaided recall of the subsequently advertised benefit claims was actually higher than if there had been no prior advertising at all. In fact, less accessible and memorable claims, whether they preceded or followed more accessible and memorable claims, enhanced recall of the stronger claims. Additional analyses suggest that these elaboration effects occurred because prior or subsequent advertising improved brand awareness and thus later brand claim recall as a result.