Screening,Market Signalling,and Capital Structure Theory

This paper develops an equilibrium model in which informational asymmetries about the qualities of products offered for sale are resolved through a mechanism which combines the signalling and costly screening approaches. The model is developed in the context of a capital market setting in which bondholders produce costly information about a firm's a priori imperfectly known earnings distribution and use this information in specifying a bond valuation schedule to the firm. Given this schedule, the firm's optimal choices of debt-equity ratio and debt maturity structure subsequently signal to prospective shareholders the relevant parameters of the firm's earnings distribution.     

开放式基金在上升市场与下降市场中选时与选股能力的实证研究

选取我国10只开放式基金作为样本,根据它们的收益情况并联系市场背景,对它们基金管理人的选时与选股能力进行的实证研究表明,不同基金在市场上升和市场下降过程中所表现出来的选时能力指标和选股能力指标与整体指标并不相同.这一结论可用于基金整体性指标研究.     

Long-Term Market Overreaction or Biases in Computed Returns?

We show that the returns to the typical long-term contrarian strategy implemented in previous studies are upwardly biased because they are calculated by cumulating single-period (monthly) returns over long intervals. The cumulation process not only cumulates “true” returns but also the upward bias in single-period returns induced by measurement errors. We also show that the remaining “true” returns to loser or winner firms have no relation to overreaction. This study has important implications for event studies that use cumulative returns to assess the impact of information events.     

Trading Volume and Transaction Costs in Specialist Markets

Prior work with competitive rational expectations equilibrium models indicates that there should be a positive relation between trading volume and differences in beliefs or information among traders. We show that this result is sensitive to whether and how transaction costs are modeled. In a specialist market with endogenous transaction costs we show that trading volume can be negatively related to the degree of informational asymmetry in the market. Our analysis highlights the dependence of volume on market structure, and our results suggest that the “volume effects” of corporate or macroeconomic events reflect a decrease, rather than an increase, in heterogeneity of beliefs or asymmetry of information.     

Oil and the Stock Markets

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns.     

Relative Price Variability,Real Shocks,and the Stock Market

In this paper, we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return-inflation regressions. The evidence shows that the negative stock return-inflation relations proxy for the adverse effects of relative price variability on economic activity, particularly during the seventies, when the U.S. experienced oil supply shocks. Hence, it appears that inflation spuriously affects the stock market in two ways: the aggregate output link of Fama (1981) and the supply shocks reflected in relative price variability.     

Debt Financing under Asymmetric Information

We analyze the optimal design of debt maturity, coupon payments, and dividend payout restrictions under asymmetric information. We show that, if the asymmetry of information is concentrated around long-term cash flows, firms finance with coupon-bearing long-term debt that partially restricts dividend payments. If the asymmetry of information is concentrated around near-term cash flows and there exists considerable refinancing risk, firms finance with coupon-bearing long-term debt that does not restrict dividend payments. Finally, if the asymmetry of information is uniformly distributed across dates, firms finance with short-term debt.     

Organizational Cultures of Corruption

Systematic differences in the incidence of corruption between countries can be explained by models of coordination failure that suggest that corruption can only be reduced by a “big push” across an entire economy. However, there is significant evidence that corruption is often sustained as an organizational culture, and can be combated with targeted effort in individual organizations one at a time. In this paper, we propose a model that reconciles these two theories of corruption. We explore a model of corruption with two principal elements. First, agents suffer a moral cost if their corruption behavior diverges from the level they perceive to be the social norm; second, the perception of the norm is imperfect; it gives more weight to the behavior of colleagues with whom the agent interacts regularly. This leads to the possibility that different organizations within the same country may stabilize at widely different levels of corruption. Furthermore, the level of corruption in an organization is persistent, implying that some organizations may have established internal “cultures” of corruption. The organizational foci are determined primarily by the opportunities and (moral) costs of corruption. Depending on the values of these parameters, the degree of corruption across departments may be relatively uniform or widely dispersed. These results also explain another surprising empirical observation: that in different countries similar government departments such as tax and education rank very differently relative to each other in the extent to which they are corrupt. This is difficult to explain in incentive‐based models if similar departments face similar incentives in different countries.