借贷投资和资产价格泡沫:理论与实证分析

现代金融市场上普遍存在着信息不对称和借贷投资行为,以及由此带来的风险收益不对称和风险转移问题,这会造成资产价格膨胀从而形成泡沫。基于选择有代表性投资者的借贷投资活动为研究对象,通过引入贷款价值比(LTV)进一步扩展Allen-Gale模型,并用LTV的动态调整来说明金融市场上资产价格泡沫生成的内在机理及其影响,以及通过模拟分析后得出:利率不变时,LTV越大,资产价格泡沫程度越大;LTV不变时,利率越低,资产价格泡沫程度越大。因此,遏制资产价格泡沫的关键是降低LTV,提高利率。     

不完全反映假说对我国财报信息披露监管的启示

有效市场假说(Efficient Market s Hypot hesis)认为信息在资产价格中得到充分反映,投资者无法通过交易获得超额收益。然而,现实中的诸多异象使市场有效性越来越受到实务界的置疑,也由此诞生了能对现实市场做出更贴切解释的不完全反应假说(Incomplet e Revelat ion Hypot hesis)。该假说认为资产价格反映信息的多少取决于信息的解析成本,解析成本越高的信息越难完全反映到资产价格中去。信息解析困难造成的资产价格有效性低下会催生管理者信息披露的机会主义行为,导致投资者利益受到损害。文章从不完全反映假说的理论与应用角度,指出改善信息披露环境、降低信息解析成本,对提高我国上市公司财报信息披露质量有重要意义。     

会计性信息不对称、新股折价与高管持股变动

本文探讨新上市公司是否由于会计性信息不对称越严重,其新股折价幅度较大.同时探讨会计性信息不对称越严重时,上市后高管持股比例是否会增加.结果发现,会计性信息不对称越严重的新上市公司,其新股折价幅度较大.以上市后一年为计算期间,则会计性信息不对称越大时,新股长期性折价幅度也越大,但不显著. 一般性信息不对称越严重时,新股上市折价幅度也较大.会计性信息不对称越严重的 公司,其管理层可能隐瞒了不好信息,上市后高管持股比例并没有显著的增加,反而 降低了.这说明,会计性信息不对称是公司上市时形成新股折价幅度与管理层内部交易的原因之一.     

价格信息成本与价格离中现象

本文在Varian(1980)中引入消费者价格信息成本和信息成本的分布。采用Janssen和Moraga(2000)的对称混合策略均衡定义，同时内生化了消费者的信息行为和厂商的定价行为，确定了Varian(1980)中的知情消费者比例。证明了厂商定价正期望利润均衡的存在性。本文证明了，在不完全价格信息条件下，市场普遍存在知情消费者，从而本文加强了Varian(1980)的结论。     

异质性财富偏好和资产定价

Bakshi和Chen(1996)在代表性投资者经济中提出了基于财富偏好的资产定价模型。本文研究了在异质性投资者经济中财富偏好对资产定价的影响。如果风险资产的价格服从几何布朗运动,那么资产市场具有两基金分离现象。本文首先证明了基于风险基金的资产定价模型,然后使用该模型证明了如果定价的基准是单个的投资者的最优消费和财富时,那么基于财富偏好的资产定价模型成立。但是,当定价的基准是总消费和总财富时,基于财富偏好的资产定价模型不能成立。也就是,不能在异质投资者经济中将Breeden(1979)的经典CCAPM模型推广到包含财富偏好的资产定价模型。     

价格信息成本与价格离中现象

该文在Varian(1980)中引入消费者价格信息成本和信息成本的分布,采用Janssen和Moraga(2000)的对称混合策略均衡定义,同时内生化了消费者的信息行为和厂商的定价行为,确定了Varian(1980)中的知情消费者比例,证明了厂商定价正期望利润均衡的存在性.该文证明了,在不完全价格信息条件下,市场普遍存在知情消费者,从而该文加强了Varian(1980)的结论.     

信息不对称与机构操纵——中国股市机构与散户的博弈分析

中国股市中 ,股票二级市场价格常常在短期内发生剧烈变化。这种现象产生的原因在于 ,在信息不对称情况下 ,机构通过操纵上市公司基本面信息来影响股票交易价格 ,以获得超额收益。鉴于机构之间信息不对称程度远远低于机构与散户之间信息不对称程度 ,发展机构投资者可以最终减少市场操纵行为 ,机构在投资者中所占比例与市场整体被操纵程度的关系可以用倒“U”形曲线表示。     

不完全信息静态博弈视角下的三度价格歧视分析研究

本文针对三度价格歧视存在信息不对称的问题,讨论了两个寡头垄断企业在成本信息不对称的情况下,在两个细分市场实施价格歧视的产量决策问题.将成本函数分为三种、两种及一种可选成本(完全信息)3类情况,通过海萨尼转换,根据成本甄别系数的不同取值范围,得出了两个寡头垄断企业相互制约下的均衡产量、均衡价格、均衡利润及相互关系.研究结果表明:成本甄别系数越小,成本信息劣势企业的均衡产量越高,均衡状态下的总利润也越高;当寡头垄断企业1采用较高成本时,企业1会更加倾向于隐藏自身成本,他在具有信息优势的同时还具有成本劣势;而当寡头垄断企业1采用低成本时,则不会隐藏自己的信息而更倾向通过信号传递,把低成本信息的优势传递出去,以使寡头垄断企业2按完全信息决策产量等结论.本文的研究结果将为信息不对称下的歧视定价提供理论依据.     

不完全信息静态条件下企业总成本领先战略探究

从迈克尔·波特教授的著作中引入总成本领先战略的概念，从博弈论不完全信息静态模型出发来建立我们要分析问题的一般化模型，分析不完全信息静态模型，并得到均衡解。通过对其均衡产量和均衡利润来分析相关结论，得到在不完全信息静态这一模式下，如果企业在行业竞争中采取总成本领先战略，那么企业显然是可以得到高于不采用此战略的企业均衡产量；在两个企业之间的相关系数不大的前提条件，可以得到采取总成本领先战略的企业就可以得到更高的利润空间。     

连续竞价市场的股权结构、非对称信息与流动性

本文采用分笔交易的高频数据研究了股权结构对指令驱动的连续竞价市场中流动性和非对称信息的影响。研究表明,机构投资者对股票流动性有正的影响,且机构投资者能够显著减少交易过程的信息不对称程度,从而降低流动性成本。以国有股权和法人股权为代表的公司内部人对股票流动性没有显著影响,但能够降低交易过程的信息不对称程度,对减少流动性成本有积极作用。上市公司持股比例越分散,信息不对称程度越低,流动性成本越低。     

The impacts of investor sentiment and price uncertainty on the effects of open-market share repurchase announcements

This study probes into relationship between investor sentiment and cumulative abnormal returns (CAR) of share repurchase announcements, and it treats market return as threshold variable. By threshold regression model, it tries to find the effect of market situations on relation between investor sentiment and CAR. According to empirical result, in share market of Taiwan, investor sentiment can explain CAR. When share market is extremely pessimistic (market return lower than ?16.0053%), relation between investor sentiment and CAR will change to some degree. In addition, relation between price risk of announcement company and CAR will disappear with the extremely pessimistic situation of market.     

Investor sentiment,trading behavior and stock returns

This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.     

我国股市波动的非对称性和杠杆效应研究

本文选取2006年1月4日到2008年12月31日期间上证综合价格指数日收益率和收益波动率的数据,建立二者变量指标的GARCH模型、AGARCH模型、EGARCH模型,对我国牛熊市轮替过程中股票市场波动的非对称性和杠杆效应进行实证分析。结果发现,股改后牛熊市期间我国股票市场的波动表现出显著的长记忆性、非对称性和杠杆效应,股票市场波动性对"利好"和"利空"消息呈现出不平衡性反应,我国股票市场出现了强市恒强、弱市恒弱现象。最后,从投资者心理预期、过度反应与反应不足、投资者构成和交易机制等方面对该结论进行了分析。     

Beauty contest,bounded rationality,and sentiment pricing dynamics

We present a dynamic asset pricing model that incorporates investor sentiment, bounded rationality and higher-order expectations to study how these factors affect asset pricing equilibrium. In the model, we utilize a two-period trading market and investors make decisions based on the heterogeneous expectations principle and the “sparsity-based bounded rational” sentiment. We find that bounded rationality results in mispricing and reduces it in next period. Investor sentiment produces more significant effects than private signals, optimistic investor sentiment increases hedging demand, thus causing prices to soar. Higher-order investors are more rational and attentive to the strategies of other participants rather than private signals. This model also derives the dampening effect of higher-order expectations to price volatility and the heterogeneity expectation depicts inconsistent investor behavior in financial markets. In the model, investors' expectations about future price is distorted by their sentiment and bounded rationality, so they obtain a biased mean from the signal extraction.     

Security Innovation on Several Assets Under Asymmetric Information

The paper examines the optimal innovation of securities by an issuer who is endowed with several risky assets and private information on one of the assets. Assuming that the degree of asymmetric information between the issuer and the outside investor is large, we show that the issuer restricts the number of securities that he creates. We also show that the payoff of the security created by the issuer is not closely correlated, and is sometimes completely uncorrelated, with the payoff of the asset that is subject to the asymmetric information, depending on the hedging needs and the accuracy of information.
JEL Classification Numbers: D52, D82, G20.     

Investor Attention Strategy

This article documents the motivation, the construction, and the profitability of an investment strategy based on investor attention in the options market. Using the option volume after a 1-week dormant period as a proxy for investor attention, the author shows that heightened investor attention after the dormant period has rich investment implications. A portfolio constructed on the basis of volume spike events immediately after the dormant period generates an abnormal return of 68 basis points on a monthly basis (8.16% on an annualized basis). This abnormal return is robust to risk adjustment using standard asset pricing models. The author's findings constitute strong evidence that it is profitable for outside investors to mimic attentive investors in the options market and reap economically and statistically significant profits.     

过度自信、流动性和资产定价

本文研究了过度自信的投资者在一个多阶段金融市场中是如何影响均衡价格和投资者要求的期望收益的.结论表明,由于投资者过度自信,容易低估风险,从而在一段时期内会使得价格急剧上升.投资者人数实际上是股票市场流动性的一个表征,我们的结论表明,由于过度自信的投资者的存在,他们实际上充当了流动性提供者的角色,从而使得一段时期内即使对理性投资者来说,依然导致了风险的暂时降低,他们也会接受比较高的资产价格,要求相对比较低的期望收益.     

信息成本与企业家的融资决策

在项目的融资过程中,企业家可能面临两种选择:非市场融资与市场融资。尽管信息不对称是非市场融资的主要约束,但是市场融资可以改善彼此的信息结构。文章分析了企业家(内部人)与投资者(外部人)在不同信息结构下的不完全金融合同。分析后发现,投资者可以榨取的信息租与企业家的信息披露成本构成两种融资方式的主要融资成本;而项目所需的外部资本以及资本市场要求的回报率构成了企业家融资决策的决定性元素。事实上,若项目所需的外部资本越高,信息披露成本越低,市场融资要求的回报率越低和信息租越高,则企业家越有可能选择市场融资;反之,企业家可能选择非市场融资。此外,合谋与私人收益的存在也可能影响到企业家的融资决策。     

Stochastic investor sentiment,crowdedness and deviation of asset prices from fundamentals

This study constructs a theoretical model to address how stochastic investor sentiment affects investor's crowdedness, and how stochastic investor sentiment and crowdedness affect asset prices. An asset pricing model incorporating stochastic investor sentiment and crowdedness is developed, which can provide efficient explanations for the deviations of asset prices from fundamentals and the maverick risk of investors. This model indicates that the optimistic (pessimistic) investor sentiment and the long (short) crowdedness caused by optimistic (pessimistic) sentimental investors can push asset price above (below) fundamental value. Also, the sentimental investors who are wrong and alone would take the maverick risk. Our results are consistent with the idea that investor sentiment and investor behavior matter for the asset prices and the deviations of asset prices from fundamentals.     

Open source information,investor attention,and asset pricing

In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered. Secondly, the Main Board is more efficient than the ChiNext and the SME Board in the view of informational efficiency. Thirdly, investor attention exhibits strong contemporary relationship with abnormal return. Fourthly, open source information can enhance the speed of information dissemination and make the market efficient.