Insider trading: Regulation, securities markets, and welfare under risk aversion

I analyze in this article the impact of insider trading regulation (ITR) on a securities market and on social welfare, and argue that the imposition of ITR forces a reallocation of wealth and risk that decreases social welfare. Three reasons explain this result: First, ITR increases the volatility of securities prices; second, it worsens the risk sharing among investors; and, third, it diverts resources from the productive sector of the economy. Further, although I formally establish conditions under which ITR makes society better off, I argue that those conditions are not useful to justify the imposition of this regulation.     

成都楼市的小阳春

近期,来自官方网站的一组数据,显示了成都楼市的小阳春:成都市2月份全市共成交商品房186万平方米,创出2007年11月以来的新高,比去年同期大幅增长了1.6倍,比上月增长了56%.其中,成交商品住房165万平方米,比去年同期大幅增长1.7倍,比上月增长了57%.2009年前两个月,成都市累计成交商品房323万平方米,同比增长47%,比市场形势最好的2007年同期还高出4%;其中商品住宅284万平方米,同比增长52%.……     

后奥运时代的地产市场

随着奥运会大幕的徐徐落下,地产市场重又回到公众关注的话题中。毕竟,在百姓尤其是城市居民已普遍达到丰衣足食境况的今天,住是目前最大的民生问题。刚刚过去的8月,奥运吸引了几乎所有国人的眼球。大多数消费者的注意力集中在奥运盛事上,地产商们也知趣地     

A Bayesian approach to experimental analysis: trading in a laboratory financial market

We employ a Bayesian approach to analyze financial markets experimental data. We estimate a structural model of sequential trading in which trading decisions are classified in five types: private-information based, noise, herd, contrarian and irresolute. Through Monte Carlo simulation, we estimate the posterior distributions of the structural parameters. This technique allows us to compare several non-nested models of trade arrival. We find that the model best fitting the data is that in which a proportion of trades stems from subjects who do not rely only on their private information once the difference between the number of previous buy and sell decisions is at least two. In this model, the majority of trades stem from subjects following their private information. There is also a large proportion of noise trading activity, which is biased towards buying the asset. We observe little herding and contrarianism, as theory suggests. Finally, we observe a significant proportion of (irresolute) subjects who follow their own private information when it agrees with public information, but abstain from trading when it does not.     

The impact of social influence in Australian real estate: market forecasting with a spatial agent-based model

Journal of Economic Interaction and Coordination - Housing markets are inherently spatial, yet many existing models fail to capture this spatial dimension. Here, we introduce a new graph-based...     

Variance trading and market price of variance risk

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The deviations from the optimal schedule can lead to surprisingly large hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and economically very large. The variance risk premium cannot be explained by the known risk factors and option returns.     

A comparison of different trading protocols in an agent-based market

We compare price dynamics of different market protocols (batch auction, continuous double auction and dealership) in an agent-based artificial exchange. In order to distinguish the effects of market architectures alone, we use a controlled environment where allocative and informational issues are neglected and agents do not optimize or learn. Hence, we rule out the possibility that the behavior of traders drives the price dynamics. Aiming to compare price stability and execution quality in broad sense, we analyze standard deviation, excess kurtosis, tail exponent of returns, volume, perceived gain by traders and bid-ask spread. Overall, a dealership market appears to be the best candidate, generating low volume and volatility, virtually no excess kurtosis and high perceived gain.     

Tax-free trading on calendar stock and bond market patterns

This study investigates the feasibility of using individual retirement accounts to exploit well-known calendar anomalies in the financial markets. We find no evidence of either a January effect or a weekend effect which may imply that investors have traded them out of existence. However, we find a significant turn-of-the-month effect in both stocks and bonds and show that investors may be able to enhance the performance of their retirement portfolios. We demonstrate that investors using a turn-of-the-month switching strategy would have outperformed a buy-and-hold strategy in stocks or bonds. Finally, our results have policy implications for investment companies.     

房地产市场解读

90年代初起步的中国房地产早已成为中国国民经济的支柱产业.但在1993年--1998年间.房地产市场始终波澜不兴;1999年--2003年是房地产业高速增长期,特别是2003年到达高峰,房地产业随之成为社会关注的焦点;2004年开始实施宏观调控,2005年调控需求、2006年调控结构、2007年继续调整,但房地产市场始终看回不回,直到2008年奥运盛会之后的全球金融海啸,导致房地产市场进入速冻期.面对中央各个地方政府的救市政策,期待未来房地产市场的破冰之旅.     

A strategy for trading the S&P 500 futures market

A system for trading the S&P 500 futures market is proposed. The system is applied to S&P 500 futures data during the period from September 14, 1987, to September 27, 1999. The system uses a momentum oscillator for generating entry or exit prices. In addition, the system uses another indicator for predicting the direction of the trend. When only the oscillator is used for selecting trades, the system is not, in general, as good as buy-and-hold. However, when the trend indicator is used as a filter, the trading system is, at least, as good as buy-and-hold.     

Thick market externalities in a spatial model

It is natural to think of thick market externalities as spatial phenomena. When agents are in close physical proximity, potential trading partners are more numerous and less costly to reach. Counteracting such agglomeration benefits is the dispersion force due to land being an essential input in production. The distribution of economic activities over space is an outcome of how decisions on location, land demand, and the search strategy of agents interact in spatial equilibrium. More desirable locations are those that allow their occupants more abundant and less costly access to potential trading partners. In spatial equilibrium, these are the densest locations, the occupants of which benefit from the strongest thick market externalities.     

2008年房地产市场的几个关键词

2008年,中国房地产市场进入调整期.市场下滑幅度加大,房地产价格也随之开始回落.国家发改委和国家统计局的有关统计数据显示,2008年,全国70个大中城市房屋销售价格同比涨幅逐月下降;1～7月房价走势虽然呈上行态势,但7月之后环比均为负增长,房价下跌势头明显.……     

海滨地产:下一个商机?

我有一所房子,面朝大海,春暖花开。海子的诗句,表达了人类对美好居所的永恒向往。如今,拥有一所海边的房子,不再是浪漫而遥不可及的梦想。首付三四万、独享海景,诱人的广告吸引了越来越多的内陆都市人涌向海边。随着城市居民消费能力的升级,海边购房的大众化,全方位激活了沿海城市的海滨地产。     

商业地产风起云涌

北京奥运无疑是2008年最让国人欢欣鼓舞的盛事.大量游客涌入、北京国际形象的提升等,为商业地产发展赢得了新契机:写字楼租金上涨、酒店扩建、品牌商家蜂拥而入…………     

奥运能“救市”吗?

在长久的期盼中,奥运的脚步终于近了。亿万国人的百年梦想,历经磨难,几天之后将在北京展开真实的画卷。2008年8月8日,这个将永载史册的日子已与我们相距咫尺。为这一天我们准备了7年甚至更久:经济计划为之调整,市场格局为之改变。举办城市北京以及青岛、沈阳等6个协办城市,其基础设施、奥运场馆,以及相应的酒店、宾馆、商场等配套服务设施等,都在这7年里加大了投资和     

中国土地的极限运动

房地产业的暴利正在吸引外来资本的“倾入”，伴随着中国大地上正在演绎的浩大的城市化潮流？一场盘旋在中国房地产市场上空，由人民币．美元，欧元、港元及其他货币积聚而成的“金钱雨”正在蓄势倾盆而下……     

如何看待市场的冷与暖

从去年的拐点之争到今年的百日剧变论,从房价的高低走势到房企的生存与发展方向,这一年多来,房市一直处在话题不断、纷争迭出的热闹氛围中。而今年以来的市场风云则为这些话题与纷争增添了更多     

富力金港城启动岁末优惠

本刊讯（记者 高智勇）据悉,位于花都的富力·金港城首个别墅组团“金色湖岸”,开盘当天推出优厚大礼回馈市场,而洋房也推出岁末“三重大礼”一口价特惠回赠活动,限量加推一口价湖央精装洋房特惠单位。据介绍,成功认购“金色湖岸”的前10名买家即可享受95折优惠,     

Option introduction and insider trading in the NASDAQ/NMS equity market

This paper investigates and supports the hypothesis that insiders have an incentive to shift their informed trading activities when options initially are listed for a firm. Firm size is found to be related to the level of insider trading activity. There is a significant decrease in insider equity-market volume for the smallest third of firms, a significant increase in insider-equity market volume for the middle third of firms, and a significant decrease in insider equity-market volume for the largest third of firms. This supports the hypothesis of a difference in the degree of impact on equity volume upon option introduction based upon firm size. This research provides additional evidence of informed trading activities when option introduction, insider trading, and firm size are considered simultaneously.