会计学对科斯定理的完善与推进

从会计学的角度来看,交易费用难以量化以及以交易费用为基础的专业化、一体化、企业边界理论和产权制度选优准则未考虑配比问题限制了科斯定理应用的可操作性。通过改进现有会计核算体系,对经济学中的交易费用实施直接计量法,交易费用的微观计量和宏观数据生成都可以低成本方式顺利实现。本文提出了交易费用的量化原则,以直接计量法为基础阐释了交易费用的具体量化策略,凸现了会计学在解决交易费用量化难题方面的贡献;同时,运用会计学中的配比思想,文章完善了专业化、一体化、企业边界理论以及产权制度选优准则,推进了科斯定理的应用。     

Imperfect information and the business cycle

Imperfect information has played a prominent role in modern business cycle theory. This paper assesses its importance by estimating the new Keynesian (NK) model under alternative informational assumptions. One version focuses on confusion between temporary and persistent disturbances. Another, on unobserved variation in the inflation target of the Central Bank. A third on persistent mis-perceptions of the state of the economy (measurement error). And a fourth assumes perfect information (the standard NK-DSGE version). Imperfect information is found to contain considerable explanatory power for business fluctuations. Signal extraction seems to provide a conceptually satisfactory, empirically plausible and quantitatively important business cycle mechanism.     

Imperfect credibility and the zero lower bound

As the nominal interest rate cannot fall below zero, a central bank with imperfect credibility faces a significant challenge to stabilize the economy in a New Keynesian model during a large recession. We characterize the optimal monetary policy at the zero lower bound for the nominal interest rate if credibility is imperfect. Confronting monetary policy communication of the U.S. Federal Reserve and the Swedish Riksbank with such a framework, the credibility of both institutions is shown to have been low in the aftermath of the 2008 economic crisis.     

Imperfect Agency and the Regulation of Hospitals

This article addresses the combined problem of imperfect agency and asymmetric information in the regulation of hospitals by modeling the physician as a utility maximizer with both the utility of patients and profit of the hospital as arguments in his or her utility function. The article concludes that optimal regulation of hospitals is based on three important factors: the doctor's marginal rate of substitution between profit of the hospital and utility of the patients, moral hazard in the relationship between the regulator and the hospital, and adverse selection in the same relation.     

Imperfect competition and quality signalling

We examine the interplay of imperfect competition and incomplete information in the context of price competition among firms producing horizontally and vertically differentiated substitute products. Incomplete information about vertical quality (consumer satisfaction) signalled via price softens price competition. Low‐quality firms always prefer the incomplete information game to the full‐information analog. Moreover, for “high‐value” markets with a sufficiently high proportion of high‐quality firms, these firms also prefer incomplete information to full information. We find that an increase in the loss to consumers associated with the low‐quality product may perversely benefit low‐quality firms; we consider applications to tort reform and professional licensing.     

Imperfect Accounting and Reporting Bias

Errors and bias are both inherent features of accounting. In theory, while errors discourage bias by lowering the value relevance of accounting, they can also facilitate bias by providing camouflage. Consistent with theory, we find a hump‐shaped relation between a firm's propensity to engage in intentional misstatement and the prevalence of unintentional misstatements in the firm's industry for the whole economy and a majority of the industries. The result is robust to using firms’ number of items in financial statements and exposure to complex accounting rules as alternative proxies for errors and to using the restatement amount in net income to quantify the magnitude of bias and errors. To directly test for the two effects of errors, we show that when errors are more prevalent, the market reacts less to firms’ earnings surprises and bias is more difficult to detect. Our results highlight the imperfectness of accounting, advance understanding of firms’ reporting incentives, and shed light on accounting standard setting.     

Imperfect Information and Credible Communication

This paper analyzes a communication game between a sender and receiver with misaligned incentives. Because of the misalignment, in equilibrium, the sender's privately observed information is not perfectly communicated. We study the relation between the quality of the sender's information and the quality of the information communicated. We establish that the quality of information communicated is a non-monotonic function of the quality of the sender's information, and it is maximized when the sender has imperfect information. We suggest that our model applies to a setting where an equity research analyst communicates information about a firm's value to investors.     

A theory of relativity in restructuring developed with the Coase Theorem

This article addresses a key topic in restructuring law, namely the alternative legislative rules for setting priorities for payments and rights among stakeholders in a statutory restructuring programme. The EU Member States have now implemented the Restructuring Directive (2019/1023), which gives two options for the priority rules and the outcomes of the new laws seem to vary significantly. As this legislation is important also for the efficiency of the capital markets, it is good to investigate the potential impacts the new legislative structures may bring for the process. In the article the author argues, by using the Coase Theorem, a leading theory in law and economics, that wider powers for a court to consider the interests of all parties in restructuring could be a preferable legislative solution to restructuring law. It would protect generally the creation of a restructuring surplus, as an individual class would be unable to use its rights as a tool for gaining further benefits. Relativity would stimulate the bargaining of property rights in the process and would follow the Coase Theorem, according to which bargaining between individuals or groups related to property rights will lead to an optimal and efficient outcome.     

Imperfect Information and Stock Market Volatility

The purpose of this paper is to (1) develop a model to show how imperfect information can create excess volatility in asset returns and (2) provide empirical evidence consistent with the model. In this framework, variations in information quality cause the market prices to fluctuate more than the corresponding economic fundamentals. Using high‐frequency data from 1988 to 2002, the empirical evidence supports the predictions of the model by showing that economic volatility, defined as squared deviations of the quarterly gross domestic product (GDP) growth rate from its long‐run trend, can explain about half of the variation in S&P 500‐stock index quarterly volatility.     

Long-Lived Private Information and Imperfect Competition

We develop a multi-period auction model in which multiple privately informed agents strategically exploit their long-lived information. We show that such traders compete aggressively and cause most of their common private information to be revealed very rapidly. In the limit as the interval between auctions approaches zero, market depth becomes infinite and all private information is revealed immediately. These results are in contrast to those of Kyle (1985) in which the monopolistic informed trader causes his information to be incorporated into prices gradually, and, when the interval between auctions is vanishingly small, market depth is constant over time.     

Imperfect financial contracting and macroeconomic stability

This paper studies the implications of imperfect financial contracting for macroeconomic stability in the context of a stochastic dynamic general equilibrium model. We find that the equilibrium growth path might be indeterminate in an economy with financing frictions even if the aggregate production function exhibits constant returns to scale. Self-fulfilling expectations about the future price of capital lead to macroeconomic fluctuations in this economy.     

Options Arbitrage in Imperfect Markets

Option valuation models are based on an arbitrage strategy—hedging the option against the underlying asset and rebalancing continuously until expiration—that is only possible in a frictionless market. This paper simulates the impact of market imperfections and other problems with the “standard” arbitrage trade, including uncertain volatility, transactions costs, indivisibilities, and rebalancing only at discrete intervals. We find that, in an actual market such as that for stock index options, the standard arbitrage is exposed to such large risk and transactions costs that it can only establish very wide bounds on equilibrium options prices. This has important implications for price determination in options markets, as well as for testing of valuation models.     

Who Finances Durable Goods and Why It Matters: Captive Finance and the Coase Conjecture

We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive‐backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex‐post actions that support used machine prices. This, in turn, conveys higher pledgeability for captive‐backed products, even for individual machines financed by banks. Although motivated as a rent‐seeking device, captive financing generates positive spillovers by relaxing credit constraints.     

Imperfect Information and Cross-Autocorrelation among Stock Prices

I develop a model to explain why stock returns are positively cross-autocorrelated. When market makers observe noisy signals about the value of their stocks but cannot instantaneously condition prices on the signals of other stocks, which contain marketwide information, the pricing error of one stock is correlated with the other signals. As market makers adjust prices after observing true values or previous price changes of other stocks, stock returns become positively cross-autocorrelated. If the signal quality differs among stocks, the cross-autocorrelation pattern is asymmetric. I show that both own- and cross-autocorrelations are higher when market movements are larger.     

Relationship Lending and Liquidation Under Imperfect Information

Journal of Financial Services Research - Using a model of a competitive credit market, we study a firm’s choice between financing a production project using a transaction loan and a...     

Imperfect Competition among Informed Traders

We analyze competition among informed traders in the continuous-time Kyle(1985) model, as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique linear equilibrium when signals are imperfectly correlated and confirm the conjecture of Holden and Subrahmanyam (1992) that there is no linear equilibrium when signals are perfectly correlated. One result is that at some date, and at all dates thereafter, the market would have been more informationally efficient had there been a monopolist informed trader instead of competing traders. The relatively large amount of private information remaining near the end of trading causes the market to approach complete illiquidity.     

Price Stability with Imperfect Financial Integration

This paper studies whether the international monetary system can be affected by asymmetries in the cross-country positions in the international financial markets, i.e., the fact that some countries are large debtors while others are creditors. An important channel that is explored is the interaction between international risk sharing and the stabilization role of monetary policy in each country. The main finding is that the welfare costs of incomplete markets and the gains of deviating from a policy of price stability are increasing with the cross-country asymmetries in the initial net international positions and in particular they become nonnegligible when the persistence of the shocks increases (1% of a permanent shift in steady-state consumption, for the welfare costs of incomplete markets, and 0.2%, for the gains of deviating from a policy of price stability). When global imbalances become larger, optimal monetary policy requires an increase in the volatilities of the real returns on assets and in particular of the nominal interest rates, which should happen to be more correlated across countries.     

不完全竞争、交易效率和证券风险

本文提出了一种崭新的理论观点———不完全竞争的市场结构是证券风险的一个重要来源,并利用市场数据进行了实证分析。此外,本文还发现不完全竞争的市场结构会通过影响买卖双方的交易策略而降低市场的交易效率。