Index Revision,House Price Risk,and the Market for House Price Derivatives

It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.

External Conditions,the Evolution of Financial Risks,and the Informational Content of Stock Prices: The Case of Chile

ABSTRACT

In this article, we find that the dynamics of local financial risks in the Chilean stock market are associated with the evolution of external economic conditions, with a strong reduction in both idiosyncratic and systematic risks during periods of stable conditions. Despite this, we fail to find any significant change in the traditional measures of stock price synchronicity developed in the R² literature in our sample. We argue that these measures neglect the relationship between stock prices and fundamentals and find that the strength of the association between prices and fundamentals changes during our sample period, being much stronger during times of stable external conditions and diminished stock price volatility.     

Transitions in the stock markets of the US,UK and Germany

In an analysis of the US, the UK and German stock market, we find a change in the behaviour based on the stocks’ beta values. In the years 1995–2006, trades of stocks with high beta and large volume were concentrated in the IT and technology sector, whereas in 2006–2012 those trades are dominated by stocks from the financial sector. We show that an agent-based model can reproduce such a transition. We further show that the initial impulse for the transition might stem from the increase of high-frequency trading at that time.     

股票价格、房地产价格和我国货币需求的实证分析

本文通过引入股票价格和房地产价格,实证分析了资产价格对我国货币需求关系的影响。协整分析表明,房地产价格对长期货币需求有显著的替代效应,股票价格因素不显著。可变参数误差修正模型分析表明,我国的转轨经济特性使得各经济变量对短期货币需求的影响呈现动态变化的特征,同时金融深化和创新也加快了公众对长期货币需求偏离的修正速度。     

Leverage,Consumer Finance,and Housing Prices in China

In this article, we focus on the effect of household borrowing behavior on housing prices in China, under the background of rapid growth of consumer finance during the past decade. We build a micromodel to deduce the relationship between consumers’ leverage, housing enterprises’ leverage, and housing prices and use a dynamic panel model and panel error correction model to do the empirical work. The results show that the first- and second-tier cities of China are greatly influenced by leverages, the second-tier cities also by local growth, and the third-tier cities are weakly affected by leverages but greatly affected by the land prices. Further explanations and discussions of the empirical results are given accordingly.     

股价信息、价格运动特征与资源配置效率

行为金融学的研究表明,股价不仅受到公司基本价值有关信息的影响,而且还受到市场公共信息的影响。通过研究股票价格运动特征可以有效地判断股价所包含的信息特征,解释股票市场的资源配置效率状况以及市场发育程度。现阶段我国股价还不能传递足够多的企业特定信息,引导资源配置的信号功能较弱,这一结论和对资源配置效率的实证结果相吻合,即股市对金融资源的低效配置问题还相当突出。     

Search,learning, and tracking

In many search markets, some consumers search to learn both the price and their willingness-to-pay whereas others search only to learn prices. When a seller can track indicators of the likelihood that consumers already know their willingness-to-pay, I show that price discrimination reduces profits and welfare relative to uniform pricing if search costs are small, but may increase both if search costs are large. The analysis also applies to sequential search if learning causes the likelihood that consumers know their willingness-to-pay to depend on the search history.     

Information,interest rates,and the volatility of asset prices

The volatility of an asset price is modelled as a function of the volatility of an information signal, real interest rates and inflation expectations. Volatility depends on the duration of cash flows, and the degree to which cash flows are indexed to real rates and inflation. The model is applied to determine asset betas, the volatility of the futures prices of assets and the volatility of equity prices.     

Risk Aversion,Uncertain Information,and Market Efficiency

Abstract. We reexamine and extend tests of the uncertain information hypothesis (UIH) proposed by Brown, Harlow, and Tinic (1988, 1993). We find that their empirical results are sensitive to the sampling procedure employed and that their particular methodology does not sufficiently distinguish between event and nonevent periods. When the sampling procedure is modified to identify only relatively large, isolated events, the test results generally do not support the UIH. Instead, significant price shocks are consistently followed by short-lived price reversals. We observe this behavior following positive and negative events regardless of whether the event is classified as risk increasing or risk decreasing.     

房地产市场变化与通货膨胀传导机制

文章分析了房价上涨在通胀形成和传导中的作用,指出房地产等资产价格上涨通过引发通胀预期推高各类生产要素特别是劳动力成本价格,从而对整体价格水平产生成本推动型的上涨压力,其中劳动力等生产要素价格上涨通过加大食品价格波幅和提高其价格中枢水平对通胀水平产生显著影响,因此,抑制物价须管好房价,并充分发挥货币政策的作用。     

股票价格、货币政策和宏观经济波动

本文对包含股票价格在内的新凯恩斯模型的结构方程进行估计,分析了股票价格和货币政策与宏观经济波动之间的关系,认为股票价格与宏观经济波动密切相连,货币政策调整可以平滑经济波动。在此基础上,比较了不同的货币政策规则的宏观调控效果,得到的结论是,将股票价格波动纳入货币政策的调控范围会改善货币政策效果,有助于稳定宏观经济。     

A Note on Affordability and the Optimal Share Price

Despite the increase in institutional ownership, decreased trading costs, and increased real personal savings, we find that the average stock price is lower today than it was in the 1920s. In the aggregate, the propensity to split is a function of recent market performance, personal savings, and the desirability of appearing to be a small firm. Our results indicate that, after decades of inflation and the average stock price falling, splitting stocks to return to an "affordable" trading range must be rejected as an explanation. This suggests that other economic forces are behind splits, whether traditional or behavioral in nature.     

Appraisals,Transaction Incentives,and Smoothing

This article is structured around three principal objectives. The first is to determine whether any incentives for appraisals support an underlying purchase offer, which may be termed a transaction bias. Appraisals that are lower than purchase prices could involve additional cost for justification and thus undermine the transaction. The second objective is to test whether appraisal data are smoothed or exhibit less volatility than purchase data. The article compares the volatility of separate appraisal and purchase data. Given separate appraisal and purchase time series, the third objective is to derive the implied optimal appraisal updating rule.The model is applied to appraisal and purchase price indices for 3.7 million repeat transactions on mortgages bought by Fannie Mae and Freddie Mac by using monthly data from January 1975 to December 1993. The estimation procedure uses generalized autoregressive conditioned heteroskedastic (GARCH) analysis to take account of persistence in means and volatility in the house price time series. The article draws three principal conclusions. First, appraisals are systematically higher than purchase data, a first-moment differential. Second, appraisal smoothing does not occur generally. Third, the appraisal updating rule for the United States appears to involve error correction whereby underappraisals from pervious periods are eventually adjusted.     

呼和浩特市蔬菜产业现状及发展对策

蔬菜不仅是人们生活中的重要产品也是农民经济收入的重要来源。由于各种原因,呼和浩特市本地蔬菜供给量呈逐年递减状态,大量的蔬菜需要外调,从而导致蔬菜价格居高不下、供求矛盾突出。本文通过对呼和浩特市蔬菜产业现状进行分析,指出了蔬菜产业中存在的问题,对于如何发展呼和浩特市蔬菜产业提出了部分建议。     

Stock price synchronicity,cognitive biases,and momentum

The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high stock price synchronicity, a manifestation of noisy firm-specific information. Our results demonstrate that momentum is more pronounced in the presence of high stock price synchronicity. This finding is robust to other explanations and firm characteristics. We also find that stock price synchronicity boosts the profitability of momentum by amplifying investor underreaction to new information.     

Press freedom,externally-generated transparency,and stock price informativeness: International evidence

This paper examines the impact of press freedom on stock price informativeness in a sample of firms from 50 countries. We find a significant relation between more press freedom and lower stock price synchronicity. Our results suggest that the freedom of the press can enhance the information environment of stock markets.     

On the Asymmetric Recognition of Good and Bad News in France, Germany and the United Kingdom

We investigate whether accounting systems recognise bad news more promptly in earnings than good news, where news is proxied by changes in share price. The analysis is based on a sample of firm/years drawn from France, Germany, and the UK during 1990 to 1998. These three countries are the originators of three distinct legal traditions. Previous studies have argued that asymmetric recognition, one manifestation of conservative accounting, is sensitive to legal background and history. We find that in all three countries the contemporaneous association between earnings and returns is much stronger for bad news (i.e. when price changes are negative) than for good news, and although the results are strongest for the UK, and then France, the inter-country differences are not statistically significant. The stronger reaction to bad news is more pronounced for firms with relatively low capitalisation. We also find that the relative persistence of profits and losses are consistent with asymmetric recognition in France and the UK, but not in Germany, and that the more timely recognition of bad news is maintained even when we control for earnings persistence. When we extend the model to include price changes from previous periods, we see that the stronger reaction to bad news decays over time. The results from this model also suggest that 'pervasive' conservatism, unrelated to news, is observed in Germany and France, but the UK results are consistent with optimism. Although asymmetric recognition is generally strongest in the UK and weakest in Germany, and this broadly conforms to our expectations, the differences are less clear than the results from earlier periods.     

Seasonals,price adjustment delays and estimated systematic risk

This article analyzed potential interactions between seasonals and price adjustment delays on estimated systematic risk. It was shown that seasonals in unobservable true security returns can induce inconsistencies into the generalized Scholes and Williams estimator of systematic risk. An alternative estimator was proposed that is consistent in the presence of seasonals in the unobservable true returns. The direction of induced bias is unpredictable a priori, thereby representing a potentially important research consideration in market efficiency tests using abnormal returns. NASDAQ and Dow Jones 30 Industrial return data for the period 1983–87 were used to evaluate the proposed estimator against the OLS and generalized Scholes and Williams (GSW) alternatives. The absolute difference between the GSW and our estimator, that is the seasonal-induced bias, for NASDAQ stocks was negatively correlated with market capitalization. Moreover, seasonal-induced bias was larger for NASDAQ stocks than more highly capitalized Dow stocks. These empirical findings indicate that seasonals and price adjustment delays can interact to bias estimated systematic risk, where price adjustment delays would be projected to be more acute for smaller capitalization stocks.     

股票期权行权价格的局限与修订研究

股票期权计划在国内外受到广泛关注,并日益成为公司经理人激励的主要手段。但由于我国股票市场的弱式性,以股价为基础的股票期权并不能真正反映经理人的业绩表现。为此,本文引入超额EVA增长率和行业股票价格参数对现行以股票价格为基础的股票期权行权价格进行修订,以使经理人的激励报酬和业绩贡献变动相结合。与此同时,本文还引入行业分类指数变动率以消除股市波动对行权日行权价格的影响。调整后的行权价格更加真实的反映了经理人的业绩。论文最后指出该方案所具有的优势,认为经过修订的股票期权行权价格在我国更具有现实意义。     

The Forward Premium in the Nord Pool Power Market

This article investigates the forward premium of futures contracts in the Nordic power market for the time period from January 2004 to December 2013. We find that futures prices are biased predictors of the subsequent spot prices and that there is a significant forward premium in the Nord Pool market, particularly during the winter and autumn. We analyze the impact from several factors on the forward premium. The spot price, and the deviation of water inflow from its usual level, positively affect the forward premium. The variance of the spot price also has a positive effect on the forward premium, but only for the contract closest to delivery.