Equilibrium moment restrictions on asset returns: normal and crisis periods

Empirically, the covariance between stock returns varies with their volatility. We seek a robust theoretical explanation of this. With minimal assumptions, we model stochastic properties of equilibrium returns which result from the interaction between inter-temporal traders and noisy, price-sensitive short-term traders. The inter-temporal traders can have arbitrary investment rules, preferences and information. In all cases we find a set of restrictions between second moments of equilibrium returns. With two assets there is also a bound on the correlation between asset returns. Estimation with second moments of global stock returns supports our theoretical framework. Higher volatility in at least one market can increase comovement among markets. With globalization, covariances between two stock markets can also affect covariances between two other stock markets. We also find that the changes in trader behavior between normal and crisis periods lead to changes in the moment restrictions between asset returns.     

The effect of earnings forecast precision on firm value and insider trading under voluntary disclosure in Taiwan

Taiwan changed its earnings forecast policy from mandatory to voluntary disclosure in 2005. In this study, the inferences of voluntary earnings forecast are examined based on forecasts issued by listed firms. This study suspects that insiders have a temptation to strategically manipulate financial forecast information to influence markets and thus receive extra rents. Under the new earnings forecast disclosure policy, the number of disclosing firm decreases but the precision of earnings forecast increases. The empirical result from dynamic panel data evidences the forecast error of voluntary disclosure may negatively impact firm values. Furthermore, there is a positive relationship between insiders＇ trading profit and manipulation of earnings forecasts. As volatility in insider manipulation increases, it is difficult for the investors to predict the real intention of insiders, and insiders may achieve greater benefits from trading. This study also observes that many listed companies hold investor conferences to provide earnings guidance in Taiwan. The reason may be that investor conference is more flexible and has less forecast error cost than the formal financial forecast. This study provides important insights into earnings forecast policy in emerging markets. The competent authority should improve corporate governance and develop monitoring functions to abate forecast manipulation.     

侵害患者知情同意权侵权责任研究

《侵权责任法》第55条不仅将患者知情同意权确立为一项独立性的权利,而且明确了侵害患者知情同意权造成损害的,应当承担赔偿责任。这标志对患者知情同意权的保护由宣示步入实践。侵害患者知情同意权是一项独立的侵权行为,作为其构成要件的违法行为、损害后果、因果关系和过错均有别于普通的医疗损害,需要予以明确和甄别,以恰当地确定其损害赔偿范围,明确医务人员特定情形下告知义务的免除,统一、平等地保护医患双方的合法权益。     

The Consequences for a Monopolistic Insurance Firm of Evaluating Risk Better than Customers: The Adverse Selection Hypothesis Reversed

This article models a situation in which a monopolistic insurer evaluates risk better than its customers. The resulting equilibrium allocations are compared to the consequences of the standard adverse selection hypothesis. On the positive side, they exhibit the property that low-risk people are better covered than higher-risk people. On the normative side, the article shows that there are two reasons for avoiding excessive risk classification: one is the classical destruction of insurance possibilities, and the other comes from the distrustful atmosphere generated by new asymmetric information.     

基于计算实验金融的交易者构成对市场的影响研究

基于计算实验金融方法,建立指令驱动的人工股票市场模型,研究交易者构成不同的市场流动性、交易者策略、指令成交量和指令成交率以及市场波动性和交易量等宏观指标。结果表明,市场中耐心的交易者的比例增加有利于增加市场深度,而急躁的交易者数量的比例增加对于减少买卖价差、提高市场指令成交率和增加交易量具有一定的促进作用。     

洋务派经济管理思想述评

洋务派官商合作的经济管理模式,是近代化企业初创时期的开拓之举,对社会经济发展有促进作用。但由于内部体制上官商矛盾的不可避免性,必然使企业缺乏生命力。加之官权的扩大,封建势力的控制和勒索,此种管理模式必定陷入困境。归根结底是封建官僚参与经济领域而带来的巨大恶果。     

金融监管对市场质量和知情交易者的影响

本文利用一个基于代理的人工股票市场,考察了卖空禁令、涨跌幅限制、交易税和T+1结算周期对市场质量和知情交易者的影响。市场由知情交易者和不知情交易者组成,两者都可以通过遗传编程从市场股票信息中学习。通过平行测定几个市场程式化事实,将系统校准到真实的金融市场后,我们发现这四种监管都以不同程度的降低了市场波动、价格扭曲和交易...     

What drives informed trading before public releases? Evidence from natural gas inventory announcements

This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre‐announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.     

Is options trading informed? Evidence from credit rating change announcements

Using a sample of proactive credit rating changes, this study examines the information content of options trading before news events. Pre-event informed options trading predicts cumulative abnormal returns around credit rating change announcements. The predictability of options trading is more pronounced before announcements of more severe and surprising rating changes. Moreover, the information content of pre-event options trading is greater when the pre-event underlying stock market is less informational, when the options market is more liquid, and in the post–regulation fair disclosure period. Overall results are consistent with informed options trading before credit rating change announcements.