GDP manipulation,political incentives,and earnings management

Political decisions often affect macroeconomic activity, which triggers effects on corporate decisions. Using satellite night light data to proxy for economic activity, we show that manipulation of GDP figures is associated with earnings management by local companies, especially when local politicians face more promotion pressure. We show that local politicians seeking career advancement exchange favors with local companies and pressure them to inflate earnings to increase local GDP numbers. Our findings illustrate how the macro-level political agenda and GDP manipulation can affect micro-level corporate earnings management.     

Klugman,S.A., Panjer,H.H., and Willmot,G.E., 1998, Los flwfodels: From Data to Decisions

Abstract

Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index. As a result, any decision to execute an index-based hedge requires a framework for (1) developing an informed understanding of the basis risk, (2) appropriately calibrating the hedging instrument, and (3) evaluating hedge effectiveness. We describe such a framework and apply it to a U.K. case study, which compares the population of assured lives from the Continuous Mortality Investigation with the England and Wales national population. The framework is founded on an analysis of historical experience data, together with an appreciation of the contextual relationship between the two related populations in social, economic, and demographic terms. Despite the different demographic profiles, the case study provides evidence of stable long-term relationships between the mortality experiences of the two populations. This suggests the important result that high levels of hedge effectiveness should be achievable with appropriately calibrated, static, index-based longevity hedges. Indeed, this is borne out in detailed calculations of hedge effectiveness for a hypothetical pension portfolio where the basis risk is based on the case study. A robustness check involving populations from the United States yields similar results.     

Transactions, volume, and volatility

We show that the positive volatility-volume relation documentedby numerous researchers actually reflects the positive relationbetween volatility and the number of transactions. Thus, itis the occurrence of transactions per se, and not their size,that generates volatility; trade size has no information beyondthat contained in the frequency of transactions. Our resultssuggest that theoretical research needs to entertain scenariosin which (i) both the frequency and size of trades are endogenouslydetermined, yet (ii) the size of trades has no information contentbeyond that contained in the number of transactions.     

Liquidity,volume and price efficiency: The impact of order vs. quote driven trading

As equity trading becomes predominantly electronic, is there still value to a traditional, intermediated dealer system? We address this question by comparing the impact of the organization of trading on volume, liquidity, and price efficiency in a quote-driven dealer market and in an order-driven limit order book. Small order price impacts are higher and large order price impacts are lower in a dealer market. Prices are more efficient in the limit order book, except when the level of informed trading is high. Volume is higher in a limit order market, making this system most attractive for trading venues.     

Trading volume: definitions, data analysis, and implications of portfolio theory

We examine the implications of portfolio theory for the cross-sectionalbehavior of equity trading volume. Two-fund separation theoremssuggest a natural definition for trading activity: share turnover.If two-fund separation holds, share turnover must be identicalfor all securities. If (K + 1)-fund separation holds, we showthat turnover satisfies an approximately linear K-factor structure.These implications are examined empirically using individualweekly turnover data for NYSE and AMEX securities from 1962to 1996. We find strong evidence against two-fund separation,and a principal-components decomposition suggests that turnoveris well approximated by a two-factor linear model.     

Stock price dynamics: nonlinear trend,volume, volatility,resistance and money supply

We present a methodology to study a data set of 119 260 daily closed-end fund prices using mixed-effects regressions with the objective of understanding price dynamics. There is strong statistical support that relative price change depends significantly on (i) the recent trend in a nonlinear manner, (ii) recent changes in valuation, (iii) recent changes in money supply (M2), (iv) longer-term trend, (v) recent volume changes and (vi) proximity to a recent high price. The dependence on the volatility is more subtle, as short-term volatility has a positive influence, while the longer term is negative. The cubic nonlinearity in the weighted price trend shows that a percentage daily gain of up to 2.78% tends to yield higher prices, but larger gains lead to lower prices. Thus, the nonlinearity of price trend establishes an empirical and quantitative basis for both underreaction and overreaction within one large data set, facilitating an understanding of these competing motivations in markets. Increasing money supply is found to have a significant positive effect on stock price, while proximity to recent high prices has a negative effect. The data set consists of daily prices during the period 26 October 1998 to 30 January 2008.     

深入理解管理目标、风险和成本

实施企业信息化项目的成功与否与许多因素有关，较为关键性的因素有哪些呢?曾有众多专家和学对此做过研究，他们通常从方法及规划上寻找原因。例如，从规划、人员配备、技术实施等方面进行分析。这样做容易忽略一项最重要的因素，即领导层对信息化目标的深刻理解和认知。     

Microstructure-based manipulation: Strategic behavior and performance of spoofing traders

We examine how investors strategically spoof the stock market by placing orders with little chance of being executed, but which mislead other traders into thinking there is an imbalance in the order book. Using the complete intraday order and trade data of the Korea Exchange (KRX) in a custom data set identifying individual accounts, we find that investors strategically placed spoofing orders which, given the KRX's order-disclosure rule at the time, created the impression of a substantial order book imbalance, with the intent to manipulate subsequent prices. This manipulation, which made use of specific features of the market microstructure, differs from previously studied forms of manipulation based on information or transactions. Roughly half of the spoofing orders were placed in conjunction with day trading. Stocks targeted for manipulation had higher return volatility, lower market capitalization, lower price level, and lower managerial transparency. We also find that spoofing traders achieved substantial extra profits. The frequency of spoofing orders decreased drastically after the KRX altered its order-disclosure rule.     

IT服务管理的标准、理解与探讨

随着外资银行的进入和国有银行上市进程的日益加快，如何提升客户满意度及提高服务水平成为IT服务管理的重要目标；如何通过增强IT服务管理水准，提升企业形象及竞争能力，已成为当前最紧迫和热门的话题。