Informational Cascade in the Insurance Market

We develop an informational cascade model based on Bikhchandani, Hirshleifer, and Welch (1992) with applications to the insurance market. We investigate the existence of cascades and the effects of public information on cascades. We apply the results to insurance markets to explain how catastrophic events may lead to demand increases, how loss shocks may lead to insurance cycles, and how the heterogeneity of policyholders affects the choice of limited tort auto insurance in Pennsylvania.     

中国证券市场投机问题研究

界定证券市场投机与投资行为的异同,分析证券市场中的庄家问题,阐明中国证券市场的投机驱动及其运行机制,提出降低证券市场投机程度的对策。     

Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?

In a duopoly model of informed speculation, we show that overconfidence may strictly dominate rationality since an overconfident trader may not only generate higher expected profit and utility than his rational opponent, but also higher than if he were also rational. This occurs because overconfidence acts like a commitment device in a standard Cournot duopoly. As a result, for some parameter values the Nash equilibrium of a two-fund game is a Prisoner's Dilemma in which both funds hire overconfident managers. Thus, overconfidence can persist and survive in the long run.     

沪市投资者追风行为影响因素的个体差异研究

目前，证券投资中的追风行为受到越来越多金融和经济学家的重视，用迫风行为(HerdBehavior)研究证券市场，解释证券市场的异常波动和市场泡沫的形成机制，成为西方金融理论与证券市场研究的一个新热点。……     

The Economic Impact of Herd Behavior in the Japanese Loan Market

This paper investigates whether inefficient herd behavior of Japanese financial institutions in the domestic loan market affected the real economy during the period between 1975 and 1999. By using Japanese loan data, arranged by geographical area, we show that loans stemming from inefficient herd behavior of Japanese financial institutions tended to have destabilizing effects on the GDP and land prices in the following years, while ordinary loans of those financial institutions had a more positive impact. Our results indicate that the deterioration of the real economy in the 1990s may have been attributable partly to the inefficient herd behavior in the Japanese loan market during the period of the economic bubble in the late 1980s.     

金融投机、实需与国际大宗商品价格——信息摩擦视角下的大宗商品价格影响机制研究

本文实证考察了2005-2015年金融投机和实需对国际大宗商品现货价格的影响及其作用机理。首先对具有信息噪音属性的金融投机进行了明确识别。其次,从多个维度出发区分市场信息摩擦状态,定量分析不同信息摩擦环境中金融投机和实需的影响差异。研究发现:大宗商品价格在长期中由实需因素主导,短期中由金融投机主导;短期中,相对于低信息摩擦环境,在市场波动性较高、金融压力上升以及投资者情绪高涨的高信息摩擦环境中,以金融投机为主的信息噪音对大宗商品价格的影响更强。进一步分析证实,相比于低信息摩擦环境,高信息摩擦环境中金融交易者的市场份额反而降低。据此,本文提出稳定大宗商品市场的关键在于提高市场透明度,减少信息摩擦,从市场质量出发降低信息噪音的影响。     

The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis

Using a unique dataset based on daily and hourly high-yieldbond transaction prices, we find the informational efficiencyof corporate bond prices is similar to that of the underlyingstocks. We find that stocks do not lead bonds in reflectingfirm-specific information. We further examine price behavioraround earnings news and find that information is quickly incorporatedinto both bond and stock prices, even at short return horizons.Finally, we find that measures of market quality are no poorerfor the bonds in our sample than for the underlying stocks.     

基于上证180指数股票的羊群行为实证研究

证券市场的羊群行为现象一直是证券市场研究的一个重要课题,在用LSV法、PCM法、CH法和CSAD法等对羊群行为的实证研究的基础上,运用CSAD法对上证180指数的样本股票进行的实证检验表明,在样本期间(2002年7月1日至2003年12月31日)内,上证180指数股票呈现明显的羊群行为特征.     

中国股市过度投机探析

中国股票市场快速发展，在国民经济中占有越来越重要的地位，而过度投机则对我国股票市场健康稳定发展。具有不可忽视的消极作用。抑制过度投机，引导理性投资对我国股票市场以及国民经济的发展都有着非常重要的意义。     

基于相关均衡的A股投机控制研究

追涨杀跌是股市投机中的聚点纯策略纳什均衡,在投机力量作用下,正反馈价格传导机制使得投资者陷入博弈困境,理性的投资者将依据共同观测到的信号进行趋势投资,建立价值投资的股市文化任重道远,政府有必要适时发出明确的相关信号维护股市平衡运行.     

The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis-a-vis the equity markets, and reject this private information hypothesis. We also reject a liquidity hypothesis which suggests that equity markets always lead loan markets, despite bank lenders' access to private information, because of greater liquidity in equity markets. We further test, and reject, an asymmetric price reaction hypothesis that states that loan returns are more sensitive to negative information whereas equity returns respond symmetrically to both positive and negative information. We find evidence most consistent with an integrated markets hypothesis that suggests that both the equity and syndicated bank loan markets are highly integrated such that information flows freely across markets. This is particularly true when the equity market makers are also loan syndicate members.      

An Investigation of the Informational Role of Short Interest in the Nasdaq Market

This paper examines the relationship between the level of short interest and stock returns in the Nasdaq market from June 1988 through December 1994. We find that heavily shorted firms experience significant negative abnormal returns ranging from −0.76 to −1.13 percent per month after controlling for the market, size, book–to–market, and momentum factors. These negative returns increase with the level of short interest, indicating that a higher level of short interest is a stronger bearish signal. We find that heavily shorted firms are more likely to be delisted compared to their size, book–to–market, and momentum matched control firms.     

Stock Market Reaction to the Bank Liquidation in Japan: A Case for the Informational Effect Hypothesis

Previous studies investigating the stock market reaction to U.S. bank failures rejected the bank run or domino hypothesis. However, if providing relevant bank information to the public is crucial to preventing bank panics, Japanese banks with limited disclosure are more vulnerable to bank runs than their U.S. counterparts. In this paper, I investigate the stock market reaction to Hyogo Bank's liquidation on August 30, 1995, which was the first bank liquidation in Japan and placed the financial burden on the general public. I find that stock market participants distinguished solvent banks from problematic banks. That is, my results, supporting the informational effect hypothesis, suggest that it is questionable even in Japan for the government to bail out an insolvent bank based on the potential risk of bank runs.     

An Equilibrium Analysis of Hedging with Liquidity Constraints, Speculation, and Government Price Subsidy in a Commodity Market

We develop a simple commodity model to analyze (i) the effects of hedging with liquidity constraints, due to producers' inability to bear unlimited trading losses, (ii) the role of speculation in the process of risk allocation between consumers and producers, and (iii) the equilibrium implications of government price subsidies to the producers. We find that (1) liquidity constraints can cause futures prices to exhibit mean reversion, which then makes speculation profitable; (2) speculation tends to make futures price volatility an increasing function of futures price; and (3) government price subsidy, if actively hedged by the producers, serves to lower the futures risk premium and reduce futures volatility.     

Clarification and Extension of Beaver's Definitions of Market Informational Efficiency: A Note

Beaver (1981a, 1981b) provides sound conceptual definitions of market informational efficiency. Recently, his definitions have been operationalized in experimental-markets studies dealing with market informational efficiency. Given these successes, we extend Beaver's definitions to make apparent the relationships among the publicly available information system and the market information system and related signals. This extension provides a foundation for distinguishing between tests of semistrong-form and strong-form efficiency in the contexts of Beaver's definitions and related experimental-markets studies. We also provide a proof which identifies the necessary and sufficient condition for the convergence of these forms of market informational efficiency.     

中国股市个体投资者羊群行为影响因素分析

中国股市投资者表现出显著的羊群行为,心理因素是投资者羊群行为产生的主要原因,情绪、股票历史收益率和股票规模等也是影响投资者行为的重要因素。本文利用我国股市个体投资者交易数据,对影响投资者羊群行为的因素进行了实证研究,探讨了我国股市个体投资者羊群行为的特征。     

股市交易中群体行为发生机制研究——以新股上市首日股价大涨为例

本文以新股上市首日股价大涨这一现象为例,探索了股市交易中群体行为的发生机制。第一,股市群体行为的发生往往具有特定的外部市场、制度环境因素作为铺垫。第二,突发事件或者新生事物的出现会对群体行为的启动起到激发作用。第三,具有易受环境因素影响而聚集,易受激发因素影响而采取共同行动的大量个体投资者的存在,使群体易于聚集和形成。第四,部分账户大笔委托的"煽风点火"和"推波助澜"、高风险偏好投资者的积极参与,是群体行为得以持续并加强的必要条件。最后,证券交易过程中以"行情"为纽带的群体互动和情绪传染,最终导致了群体行为的形成。基于此,本文认为,应当推进交易制度创新,建立投资者分类教育机制,完善投资者适当性管理制度,同时强化对"炒新"行为的监管措施。     

Short-Term External Debt and Foreign Exchange Rate Volatility in Emerging Economies: Evidence from the Korea Market

Abstract:

We empirically analyze the main determinants of foreign exchange rate (FX) volatility in emerging market economies using the data of Korea corporations and financial institutions. We find that short-term external debt is more important than trading volume of foreign investors in explaining FX volatility. Our results suggest that short-term debt-controlling measures, such as a tax levy on short-term borrowing, can be more effective in moderating FX volatility than can the measures affecting the trading volume, such as a Tobin tax.     

华尔街飞起来的金融机构——贝莱德

2010年,华尔街飞起来的金融机构首推贝莱德（BlackRock）。这是一家全球最大的资产管理公司,旗下管理的资产多达3,45万亿美元,比德国国内生产总值还要多。贝莱德是华尔街券商的大客户,2010年付给各家券商的费用达10亿美元。