内部资本市场功能异化与公司治理

内部资本市场缓解了企业集团的融资约束,提升了投资效率,但也增加了公司治理的难度。在缺乏有效公司治理机制的情况下,内部资本市场的功能部分地被异化为经理人寻租或控股股东进行“利益输送”的渠道。本文讨论了内部资本市场功能异化与公司治理的关系,分析了内部资本市场的部分功能异化的原因,提出了治理的建议。     

Optimal payment schemes for physicians

Increasingly, physicians payment schemes are being reformed to enhance performance and to ensure an optimal allocation of scarce medical resources. The empirical evidence points towards the use of mixed payment schemes that appear better at achieving efficiency than either lump sum payments (such as capitation) or piece rates (fee for service). Yet, this alleged superiority remains to be established from a theoretical standpoint. The Principal-Agent model developed in this paper offers a contribution in this line, with a primary care physician as agent and a public regulator as principal. Alternative specifications of the principals objective function are considered in the model (efficiency versus fairness). Uncertainty is introduced by two random variables that represent the probability for an individual of being ill and his productivity parameter which determines the amount of resources (the physicians effort in particular) necessary to restore health. The relationship is characterised by information asymmetry since the physician is assumed to observe both variables after the contract has been signed, but before choosing his effort level. Both selection and moral hazard issues are addressed in the model and the results show that, under GP risk neutrality, mixed payment schemes fully correct for both types of information asymmetry.Received: June 2002, Accepted: May 2003, JEL Classification: I18, I11, D82Rosella Levaggi: Correspondence toThe authors would like to thank participants to the LEA Barcelona Workshop, November 2001, to the Second Health Economics Workshop, Lisbon, February 2002 and two anonymous referees for their helpful comments. The usual disclaimer applies.     

Competitive search markets for durable goods

Summary. This paper considers a dynamic version of Akerlof's (1970) lemons problem where buyers and sellers must engage in search to find a trading partner. We show that if goods are durable, the market itself may provide a natural sorting mechanism. In equilibrium, high-quality goods sell at a higher price than low-quality goods but also circulate longer. This accords with the common wisdom that sellers who want to sell fast may have to accept a lower price. We then compare the equilibrium outcomes under private information with those under complete information. Surprisingly, we find that for a large range of parameter values the quilibrium outcomes under the two information regimes coincide, despite the fact that circulation time is used to achieve separation. Received: August 24, 2000; revised version: October 24, 2000     

Information and the operation of markets: tests based on a general equilibrium model of land leasing in India

This paper develops an estimable general equilibrium model of land leasing to test the extent to which information is commonly held in a village and whether village markets are efficient. Information regarding the relative farming skill of households is found to be widespread, but the assumption of perfectly efficient markets within the village is rejected. These results have ramifications for the estimation of agricultural household models and for our understanding of rural institutions. The model is derived from the primitives of the production technology, the extent of information and the distributions of assets and several household unobservables. Simultaneity and selection issues are dealt with explicitly in a two-stage maximum likelihood estimation procedure using panel data from India.     

Influence and inefficiency in the internal capital market

I model inefficient resource allocations in M-form organizations due to influence activities by division managers that skew capital budgets in their favor. Corporate headquarters receives two types of signals about investment opportunities: private signals that can be distorted by managers, and public signals that are undistorted but noisy. Headquarters faces a tradeoff between the cost of attaining an accurate private signal and the value of the information the signal provides. In contrast to existing models of “socialism” in internal capital markets, I show that investment sensitivity to Tobin's Q is higher than first-best in firms where division managers hold equity (a result consistent with evidence presented in Scharfstein, 1998). When managers face high private costs from distorting information (equity holdings), headquarters may commit to investment contracts that place “too little” weight on private signals and “too much” weight on public signals (i.e. Q). This result has implications for managers in the design of capital budgeting processes and incentive compensation systems.     

Dynamic versus one-period completeness in event-tree security markets

We show that in event-tree security markets dynamic completeness does not coincide with one-period completeness unless the law of one price is explicitely assumed. We do so by means of a simple example of a dynamically complete market with an incomplete one-period sub-market.     

A model for international capital markets closure in an economy with incomplete markets and short sales

Using a two-country dynamic optimization model, we investigate the impact of exchange risk, incomplete information and short sales constraints on international portfolio decisions around market closure. Using optimal control theory, we provide solutions and simulation results. Our model can be applied to solve several problems in financial economics in the presence of market closure, information asymmetry and short sales constraints.     

Determining demand, supply, and pricing for emerging markets based on disruptive process technologies

A model for forecasting the likely market size and demand for an early-stage emerging process technology is considered. This method takes into account markets, supply, demand, supply/demand gap, pricing, implications to government policy, corporate strategy, and value of intellectual property. For the purpose of illustration, forecasting of microsystems is considered.     

Imperfect competition in financial markets and capital structure

We consider a model of corporate finance with imperfectly competitive financial intermediaries. Firms can finance projects either via debt or via equity. Because of asymmetric information about firms’ growth opportunities, equity financing involves a dilution cost. Nevertheless, equity emerges in equilibrium whenever financial intermediaries have sufficient market power. In the latter case, best firms issue debt while the less profitable firms are equity-financed. We also show that strategic interaction between oligopolistic intermediaries results in multiple equilibria. If one intermediary chooses to buy more debt, the price of debt decreases, so the best equity-issuing firms switch from equity to debt financing. This in turn decreases average quality of equity-financed pool, so other intermediaries also shift towards more debt.     

Are the markets for financial assets efficient? : Evidence for the USA, 1974–1988

The analysis in this paper addresses the efficient markets hypothesis as it pertains to the markets for financial assets. Both weak form efficiency and semistrong form efficiency are investigated for three different financial assets - common stocks, preferred stocks and government bonds. For these assets the markets are indicated to be weak form efficient based on monthly data covering the period January 1974 to June 1988. In the case of semistrong form efficiency, the financial assets markets are efficient with respect to the supply of money for the period after October 1979 but not before. This anomaly is attributed to the different procedures used by the Federal Open Market Committee between the two periods for controlling the growth rate of the money supply.     

Disclosure of information in matching markets with non-transferable utility

We present a model of two-sided matching where utility is non-transferable and information about individualsʼ skills is private, utilities are strictly increasing in the partnerʼs skill and satisfy increasing differences. Skills can be either revealed or kept hidden, but while agents on one side have verifiable skills, agents on the other side have skills that are unverifiable unless certified, and certification is costly. Agents who have revealed their skill enter a standard matching market, while others are matched randomly. We find that in equilibrium only agents with skills above a cutoff reveal, and then they match assortatively. We show that an equilibrium always exists, and we discuss multiplicity. Increasing differences play an important role to shape equilibria, and we remark that this is unusual in matching models with non-transferable utility. We close the paper with some comparative statics exercises where we show the existence of non-trivial externalities and welfare implications.     

信息不对称、机构投资者与股价波动率——基于扩展CAPM的理论与实证分析

针对现有文献对于机构投资者与股价波动率研究结果的差异,我们认为不管是羊群效应模型,还是Fama-MacBeth截面回归方法,均由于无法考虑二者之间的相关性问题而使股价波动率的估计有所偏误。因此,基于李勇、王满仓等（2010）所提出的扩展CAPM,本文将影响股价波动率的因素定义为机构投资者的逆向选择效应和道德风险效应,从而可以将羊群效应模型和Fama-MacBeth截面回归方法统一到相同的框架来分析股价波动率的影响因素。在此基础上,本文运用2005年1月至2009年12月的相关数据,选择反映机构投资者逆向选择效应和道德风险效应的相应指标,利用固定效应模型和TSLS模型等方法对上述结论进行实证检验,并给出了相应的政策建议。     

An experimental investigation of soft price caps in uniform price auction markets for wholesale electricity

This paper presents the results from an auction experiment using industry professionals and student participants who compete in a simulated wholesale market for electricity. Motivated by the intervention by FERC in response to the “meltdown” of the California spot market, we investigate the effect of including a “soft” price cap in a uniform price auction as a means of mitigating high prices. When prices are driven above the soft cap, offer curves become flat, in contrast to the hockey stick shape observed in a typical uniform price auction for electricity. This flat offer curve leads to market prices that are relatively insensitive to both generation costs and demand reductions.      

On government-created credit markets for education and endogenous growth

Interest in public loans to fund (higher) education has been increasing in the last decades. This paper explores the general welfare properties of government-created credit markets for education in a three-period overlapping generations model with physical and human capital. It shows that the mere existence of public credit markets is second-best in nature, and cannot decentralize the optimum. Achieving the first-best “Golden Rule” balanced growth path requires a government loan system that lends the amounts required for optimal investments in education and an optimally chosen pure pay-as-you-go social security system. Student loans and pensions thus appear as two inseparable elements of the policy that maximizes social welfare.     

患者满意度调查对医院管理的作用

目的通过住院患者对医护人员服务态度、医疗护理质量、住院环境、是否存在滥收费现象及心理指导的满意度调查,研究患者满意度调查对医院管理的作用。方法对2009年1～2月与11～12月接受满意度调查的住院患者进行回顾性分析。结果患者满意度调查开展前后,实验组医护人员操作、医护人员服务态度、病区环境、是否存在滥收费及心理指导等方面内容评分均高于对照组,两组比较差异有统计学意义(P<0.05);且实验组投诉率较低。结论患者满意度调查可以提高患者对医院的满意度,降低投诉率,及时发现工作中存在的问题。医院应注意提高医护人员的操作及服务态度,杜绝滥收费现象,并定期对患者进行心理指导,加强患者对医院的信任,利于医院的管理。     

EDGAR on the internet: The welfare effects of wider information distribution in an experimental market for risky assets

Policies such as the SEC’s Fair Disclosure Rule, and technologies such as SEC EDGAR, aim to disseminate corporate disclosures to a wider audience of investors in risky assets. In this study, we adopt an experimental approach to measure whether this wider disclosure is beneficial to these investors. Price-clearing equilibrium models based on utility maximization and non-revealing and fully-revealing prices predict that in a pure exchange economy, an arbitrary trader would prefer that no investors are informed rather than all are informed; non-revealing theory further predicts that an arbitrary trader would prefer a situation in which all traders are informed rather than half the traders are informed. These predictions can be summarized as “None > All > Half”. A laboratory study was conducted to test these predictions. Where previous studies have largely focused on information dissemination and its effects on equilibrium price and insider profits, we focus instead on traders’ expected utility, as measured by their preferences for markets in which none, half, or all traders are informed. Our experimental result contradicts the prediction and indicates “Half > None > All”, i.e. subjects favor a situation where a random half is informed. The implication is that in addition to testing predictions of price equilibrium, experiments should also be used to verify analytical welfare predictions of expected utility under different policy choices. JEL Classification D82, D53, G14, L86 This work was largely completed while this author was at The Hong Kong University of Science and Technology.     

Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets

Existing literature has produced broadly inconclusive evidence about the asset pricing model which best fits partially integrated markets. This paper examines whether industry and country factors are independent factors helping to determine returns in emerging stock markets, or are derived from the stocks’ risk-return characteristics. We link the country-industry decomposition framework to the local and the Global CAPM in a new and more direct way. The results show that country factors are additional independent sources of cross-sectional variation in stock returns before 1996 particularly under the Global CAPM. After 1996, the results suggest partial integration: industry and country factors are both additional independent determinants of cross-sectional variations in stock returns. .     

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.     

Exogenous shocks,dynamic correlations,and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

ABSTRACT

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks, our results highlight the usefulness of including other global stock assets in the traditional portfolio for Asian emerging market investors. However, investors have limited opportunities to diversify their assets during the global financial crisis. Moreover, the shocks from the U.S. stock market have a greater influence on global stock markets compared to that from U.S. economic policy. Fortunately, the model with exogenous shocks improves its accuracy, which plays the same role of controlling structural breaks in the model. More importantly, incorporating exogenous shocks in our model also provides better value-at-risk performance results and hedging effectiveness. These results have several important implications for investors, researchers, and policymakers.     

The relationship between the markets for health insurance and medical malpractice insurance

This article evaluates the interdependence of medical malpractice insurance markets and health insurance markets. Prior research has addressed the performance of these markets, individually, without specifically quantifying the extent to which they are linked. Increasing levels of health insurance losses could increase the scale of potential malpractice claims, boosting medical malpractice losses, or could embody an improvement in medical care quality, which will reduce malpractice losses. Our results for a state panel data set from 2002 to 2009 demonstrate that health insurance losses are negatively related to medical malpractice insurance losses. An additional dollar of health insurance losses is associated with a $0.01–$0.05 reduction in medical malpractice losses. These findings have potentially important implications for assessments of the net cost of health insurance policies.