股票发行认购不足的理论分析

股票发行认购不足,是指投资者认购股票的数量低于公司实际发行的股票数量.这种现象主要存在于公司配股过程中,而且投资者完全放弃认购的现象是非常少见的,通常是部分投资者认购股票,而部分投资者放弃认购股票.为什么不同的投资者选择不同的股票认购比例?文章以完全市场为假设前提,运用证券组合理论,分析了投资者选择认购股票比例的内在经济动机,研究结果表明,在完全市场条件下,投资者根据原有的投资组合以及股票风险,选择不同的认购比例.因此,确定合理的发行价格,允许配股权的转让,都可以有效降低股票发行认购不足的风险.     

Precautionary Saving and Health Insurance: A Portfolio Choice Perspective

This paper analyzes the impact of health insurance on household portfolio choice. Using the U.S. Survey of Consumer Finance and Health Retirement Survey databases, it finds that insured households are more likely to own stocks and invest a larger proportion of financial assets in stocks than uninsured households do. The results remain strong even after controlling for household characteristics and reverse causality. Further, the results are robust across different survey years and data sources. It suggests that a precautionary motive is strong in household portfolio choice decisions.     

Hedging a Portfolio of Derivative Securities: A Simulation Approach

We illustrate a numerical simulation method to decompose a portfolio of derivative securities in a linear combination of dynamical risk factors. The price of the portfolio and its sensitivities are linear functions of these factors.
The method generalizes the static hedging theory proposed by Madan and Milne (1994) and applies to a dynamically complete, arbitrage free market with purely Brownian fluctuating assets. The extension to a class of market models whose volatility dynamics shows long memory and scaling behaviour is discussed and shown to be possible.
(J.E.L.: G12).     

Portfolio Choice under Uncertain Lifetime

This paper revisits the theory on life cycle savings and portfolio choice under uncertain lifetime emphasizing the role of temporal risk aversion. It provides new insights on the impact of mortality rates on optimal financial strategies. This is of particular interest for the management of pension funds.     

考虑基准资产的动态投资组合选取

职业基金经理的目标经常是希望自己的投资组合以稳定的表现能够超越所某一基准资产或组合。因此本文给出一个考虑基准资产的动态均值——方差投资组合选取模型。假设状态之间的转移遵循马氏过程,给定状态转移矩阵,可以得到对风险资产最优投入的解析表达式。此表达式表明对风险资产的投入由三项构成,前两项是不考虑基准资产时对风险资产的投入,最后一项与基准资产有关;在基准资产上的权重由基准资产收益的大小来决定,与积极投资组合管理者的风险厌恶程度无关;随着风险厌恶程度的增加,管理者会减少在风险资产上的投入。数值分析显示考虑基准资产的投资组合是一个积极的投资组合。     

健康与家庭资产选择

本文采用中国居民家庭微观调查数据,运用资产参与和资产分配模型,分别讨论健康状况对居民家庭资产配置行为的影响。研究结果表明:投资者的健康状况不显著影响其参与股票市场和风险资产市场的决定,但影响家庭的股票或风险资产在总财富中的比重,健康状况不佳会导致这两个比重较低,在控制了参保情况或时间展望期后这一影响仍然显著;而投资者风险态度和遗赠动机能够一定程度上解释健康风险的影响。     

Portfolio Choice and Liquidity Constraints*

We study the infinite‐horizon model of household portfolio choice under liquidity constraints and revisit the portfolio specialization puzzle. We show why the puzzle is robust to several model variations, and argue that positive correlation between earnings shocks and stock returns is unlikely to provide an empirically plausible resolution. We find that relatively small fixed costs for stock market entry are sufficient to deter stockholding because, for a plausible range of parameter values, households can achieve desired consumption smoothing with small or zero holdings of stocks. Such costs could arise from informational considerations, sign‐up fees, and investor inertia.     

理性选择向非理性选择转化的行为分析

本文针对不确定条件下的人类选择行为提出一个新的可供研究的观点:人的非理性选择在很大程度上是由理性选择转化而来的。文章首先简要评说了早期行为经济学的动物实验和认知心理学,认为人的选择行为是理性和非理性的同构;继而,通过解析丹尼尔·卡尼曼等人创立的前景理论所蕴涵的理性向非理性选择转化的思想,构建了这种转化的抽象模型;最后,作为对本文分析观点的一种联系实际的论证,研究了金融市场中的非理性选择以说明这种转化现象的客观存在。本文的分析可视为对行为经济学非理性选择理论之深邃见解的一种挖掘。     

A Consumer Choice Theory Incorporating Behavioral and Spiritual Wisdom

A consumer makes choices by following a certain paradigm, a system for organizing his thinking based on norms that are determined by certain norm-setters or role models. Widespread societal ills such as depression and suicide seem to correlate with certain types of consumer behavior. However, current consumer choice theories don＇t appear to be effective in evaluating epidemiology research. This study compares existing consumer choice paradigms and introduces the linguistic paradigm as a framework for studying the organization of human thinking. The linguistic paradigm is based on the nature of human language and on spiritual wisdom. The paradigm is implemented to generate models （process templates） for the analysis of selected consumer choice issues. The potential effectiveness of these models in analyzing consumer behavior is discussed.     

Intraindustry Trade in Identical Products: a Portfolio Approach

In the traditional model, intraindustry trade in an identical product is driven by the profit margin each firm perceives in the rival market on the basis of Cournot conjectures. The authors demonstrate that when markets are stochastic and potentially correlated, benefits from diversification create added incentives for cross–hauling for risk–averse Cournot duopolists. The portfolio motive for cross–hauling makes the unusual pattern of trade a theoretically more robust phenomenon than has been recognized in the traditional models. The benefits from diversification can raise producer welfare in the intraindustry trade equlibrium, unlike in the deterministic model.     

A Behavioral Decision-Making Modeling Approach Toward Hedging Services

This paper takes a behavioral approach toward the market for hedging services. A behavioral decision-making model is developed that provides insight into how and why owner-managers decide the way they do regarding hedging services. Insight into those choice processes reveals information needed by financial institutions to improve the design of their financial products. The key elements of the model are related to the characteristics of the owner-managers, thereby exploring the decision units' evaluations of the hedging services provided by futures exchanges. Using structural equation models and data from 467 owner-managers, obtained by means of computer- assisted personal interviews, we find that the elements "exercising entrepreneurial freedom," "perceived performance," and the "owner-manager's reference price" determine their attitude toward using futures. These elements are related to innovativeness, risk attitude, and level of understanding of futures markets.     

流动性、生命周期与投资组合相异性——中国投资者行为调查实证分析

本文采用Probit和Tobit模型对中国居民的股票市场参与和投资组合的影响因素进行了分析,主要有以下的实证发现:首先,不流动性资产特别是房地产的投资显著影响了投资者的股票市场参与和投资组合,而且影响以“替代”效应或者说“挤出”效应为主。其次,投资者在进行投资组合时极少利用股票市场对其未来现金流所承担的风险进行对冲,也就是说,中国居民投资的“生命周期效应”不明显;第三,中国居民投资的“财富效应”非常显著。财富的增加既增加了居民参与股票市场的概率,也增加了居民参与股票市场的深度。     

Portfolio Choice in the Presence of Background Risk

In this paper, we focus on how the presence of background risks – from sources such as labour and entrepreneurial income – influences portfolio allocations. This interaction is explored in a theoretical model that is calibrated using cross-sectional data from a variety of sources. The model is shown to be consistent with some but not all aspects of cross-sectional observations of portfolio holdings. The paper also provides a survey of the extensive theoretical and empirical literature on portfolio choice.     

Measuring and Optimizing Portfolio Credit Risk: A Copula‐based Approach*

In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non‐normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula‐based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t‐copula, the grouped t‐copula and the Clayton n‐copula (or Cook–Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps.     

Financing Higher Education: A General Equilibrium Public Choice Approach*

A public choice approach is used to examine the level of a tax-financed grant chosen by a cohort, allowing for a wide range of interdependencies, including the goverment's budget constraint The existence of an externality is necessary, but not sufficient, for support of a grant It is shown that a majority voting equilibrium exists. Comparative static analyses are carried out using a minimum of assumptions about the structure of the model An increase in government expenditure for non-higher education purposes is associated with an increase in the preferred grant while an increase in private returns to education reduces the grant     

Liability Insurance and Choice of Cars: A Large Game Approach

If a car, already on the road, is replaced by another one, more expensive to collide with, a negative externality spills over to other drivers. This paper studies such externalities, relating them to insurance and incentives. It formalizes links from liability rules to choice of car. By assumption, insurance is cooperative but car acquisition is noncooperative. Construing drivers' interaction as a large game, the paper considers how a Nash equilibrium—and its efficiency or fairness—is shaped by the underlying liability regime.