市场速递

社科院预计2010年GDP增速9．9％ 中国社会科学院发布2011年《经济蓝皮书》指出,从季度经济运行情况看,2010年我国经济运行将呈现“前高后低”的局面,预计全年GDP增长速度将达到9．9％的较高水平。     

市场速递

中国人民银行2月23日发布《（2008年第四季度货币政策执行报告》。报告显示,2008年我国GDP缩减指数变动率为7．2％,比上年回落0．2个百分点。报告称,价格近期仍有下行压力,我国经济仍将面临严峻的外部环境。但从基本面和发展优势看,我国经济持续增长仍有较大潜力。     

市场速递

前9个月中国税收收入逾4．5万亿元;世行调高我国GDP增速预期至8．4％;中小板本月迎来最大解禁高峰;银行与保险机构债市投资策略分化明显;广交会出口成交额增长明显     

市场速递

9月份中国非制造业商务活动指数较上月上升1.7％中国物流与采购联合会10月3日发布的9月份中国非制造业商务活动指数为59．3％,比上月上升1．7个百分点。其中,以零售业为首的消费性行业带动非制造业经济活动整体活跃,季节性因素较为明显。     

市场速递

前两月工业利润同比下降37．3％,中国加入巴塞尔银行监管委员会,证监会公布百佘家券商信息,PMI指数连续4月回升,央企指数正式对外发布,     

市场速递

上证所全面修改机构席位显示；第一季度346只基金全面亏损6474．99亿元；今年以来47家券商持股浮亏达133亿元；基金专户理财资金入市首单浮出     

市场速递

774家公司预告前三季业绩 上证报资讯统计,截至9月30日,已有774家上市公司对前三季度业绩作出预告,其中“报喜”公司总计500家,占比达64．6％。元器件、汽车、小金属等多个行业在前两季度业绩增长的同时,前三季度业绩继续保持稳定态势。     

市场速递

央行3月8日发布公告,宣布3月9日公开市场操作将在银行间市场发行1000亿元1年期央票,这一发行量较上周又增加了400亿元,增加近七成,创下自去年10月下旬以来单周发行量的最高值,显示出央行继续回笼流动性的决心。     

市场速递

去年全国财政收入超6．8万亿元 财政部公布了2009年财政收支数据。去年,全国财政收入执行初步统计数为68477亿元,比上年增长11．7％;全年国家财政支出执行初步统计数为75874亿元,比上年增长21．2％。收支相抵,全国财政赤字初步统计数约为7397亿元,比2009年年初7500亿元的预算数略有下降。     

市场速递

九大行业将淘汰落后产能4月6日,中国政府网公布《国务院关于进一步加强淘汰落后产能工作的通知》,我国近期将在电力、煤炭、钢铁、水泥、有色金属、焦炭、造纸、制革、印染等行业淘汰落后产能。     

Market failure fallacies and accounting information

Proponents of increased regulation of accounting maintain that there are failures in the private market for accounting information. In this paper, it is argued that market failure theories contain a logical fallacy. The optima identified in those theories are not optima because they are defined independently of institutional arrangements necessary to attain them. Existing institutional arrangements, such as markets, should not be condemned until it can be shown that there is an alternative regime which can produce socially superior output.The paper examines theories which explicitly allege that there are failures in the private market for accounting information. In addition, early criticisms of accounting information are restated in economic terms, and it is revealed that those criticisms implicitly assume that private production of accounting information suffers from market failures. The paper concludes by suggesting that, if accounting research is to contribute to public policy formulation, researchers should focus on evaluating the type of information that can be produced by feasible regimes such as markets or government agencies.     

Market ambiguity and individual investor information demand

We examine whether ambiguity in the market leads to an increase in information demand by individual investors. Drawing on the asset-pricing model proposed by Mele and Sangiorgi (2015), which incorporates market ambiguity, we measure individual information demand using daily Google searches and measure market ambiguity using a metric based on the market trades of institutional investors. We find that individual investors increase their information demand during periods of greater market ambiguity. We also provide evidence that information demand from individual investors spikes around earnings announcement days primarily when market uncertainty is driven by net-selling activity. Overall, these results suggest that the disagreement among institutional investors either represents uncertainty or contributes to the uncertainty related to a stock, leading to increased demand for information from individual investors.     

Market responses to qualitative information from a group polarization perspective

This study examines the predictions of group polarization in response to the receipt of qualitative information (i.e., good or bad news) in a laboratory market. Qualitative information induces varying beliefs within the market because such information is interpreted using the relevant knowledge possessed by the recipients. Findings from the group polarization literature suggest that individuals who subsequently hold the most extreme price beliefs will influence the market to a greater extent than individuals holding the most conservative beliefs. Group polarization research also suggests that participation in a market will accentuate risk preferences so that good news produces a cautious shift in prices (i.e., towards lower prices) whereas bad news produces a risky shift (i.e., towards higher prices). The results confirm the predictions of group polarization and further suggest that if extreme reactions to information reflect recency, so too may the market price.     

Market makers as information providers: The natural experiment of STAR

Market makers are financial intermediaries who are supposed to provide additional liquidity, but do not have any information-related obligation. This paper studies the unique case of the Italian Stock Exchange, where market makers are also obliged to facilitate information disclosure about the firms they cover. We focus on a group of small/medium capitalization stocks (STAR) that are assigned a designated market maker (DMM) starting from 2001. We show that their liquidity requirements are not binding during the sample periods and that the main impact of DMMs' introduction is due to their obligations on information provision. We find that DMMs' activity as information providers reduces spread and price volatility, the probability of informed trading (PIN), and the adverse selection component of the spread. An event study provides evidence that the information released through DMMs is perceived as useful by market participants.     

Market imperfections and the information content of implied and realized volatility

The information content of option implied volatility and realized volatility under market imperfections are studied in the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most studies, we find that the Taiwan implied volatility index (TVIX) calculated from the TAIEX option prices contains most of the information, and that White's [White, H., 2000. A reality check for data snooping. Econometrica 68, 1097–1126] reality check test cannot reject the null hypothesis that the TVIX provides the best forecast. Possibly due to market imperfections, however, the incremental information content of realized volatility as well as daily returns cannot be ruled out. Finally, we also find that the information is found only in the most recent TVIX, indicating information is being efficiently impounded on the TAIEX option prices. This finding suggests that appropriately designed derivative products can alleviate the problems caused by market imperfections.     

Market reaction to public information: The atypical case of the Boston Celtics

The publicly traded Boston Celtics Limited Partnership shares provide a unique means of studying the impact of information on equity prices. The results of the Celtics’ basketball games significantly affect partnership share returns, trading volume, and volatility. Controlling for the expectedvalue of the signal using betting-market point spreads has little effect on these relations. Investors respond asymmetrically to wins and losses, and playoff games have a larger impact on returns than regular-season games. Opening prices do not fully reflect game results, consistent with previous findings that significant volatility is caused by traders acting on private information.     

Market ecologies: The effect of information on the interaction and profitability of technical trading strategies

Technical trading strategies make profits by identifying and exploiting patterns in market prices—patterns generated by the interaction of market participants. Using a model market populated by individuals using a range of trading rules we show that the presence of technical traders may be beneficial, in some cases reducing volatility and increasing price efficiency. In particular, contrarian traders who base their decisions on high frequency data have the largest positive effect. It is also found that if technical traders condition their actions using ‘real time’ information, they partially emulate arbitrageurs and make positive profits.     

Market Orders and Market Efficiency

This work compares a dealer market and a limit-order book. Dealers commonly observe order flow and collect information from multiple market orders. They may be better informed than other traders, although they do not earn rents from this information. Dealers earn rents as suppliers of liquidity, and their decisions to enter or exit the market are independent of the degree of adverse selection. Introduction of a limit-order book lowers the execution-price risk faced by speculators and leads them to trade more aggressively on their information. Introduction of the book also lowers dealer profits, but increases the informational efficiency of prices.     

Market Discipline in the Individual Annuity Market

Theoretical expectations related to market discipline generally suggest a positive relationship between firm financial strength and price. We examine market discipline in the individual annuity market by measuring annuity contract yields during the accumulation phase and find that, among other results, firm financial strength is positively related to yield (i.e., negatively related to price). We argue that this apparent anomaly can be viewed as a form of market discipline itself, for at least four related reasons, the foremost reason being that in order to compete in the asset accumulation market, an insurer has an incentive to provide a track record of historically strong credited interest rates within the annuity. In addition, the credited interest rates within an annuity are only revealed ex post over time, thus diminishing consumer ability to impose traditional market discipline relating firm financial strength and price, and also enabling financially weaker insurers to impose higher ex post prices in the form of lower realized annuity yields.