Institutional quality and sovereign credit default swap spreads

We examine how the quality of political, legal, and regulatory institutions impacts sovereign risk premia. An improvement in institutional quality significantly lowers a country's sovereign credit default swap (CDS) spread, even after controlling for domestic and global macroeconomic factors. The incremental effect of institutional quality may also be economically important in explaining the variations in the level of sovereign CDS spreads. The basic results are robust to alternative model specifications, samples, control variables, measures of institutional quality, estimation methods, and controls for endogeneity. Overall, the evidence suggests that institutional quality may play a significant role in explaining sovereign CDS spreads.     

信息不对称与电子商务的发展

本文认为,信息不对称引致的信用缺失是制约电子商务发展的重要因素,发展我国电子商务除了继续加强基础设施建设外,建立和完善社会信用体系,提高信用度是必不可少的重要方面。文章提出,要建立良好的信息沟通渠道和机制,使信息公众化、公开化;提高企业组织化程度;制定企业信用评价制度:健全法制,约束企业交易行为,提高其信用度;消除信息不对称,促进我国电子商务健康发展。     

试论信息非对称条件下的消费者主权保护

消费者主权是现代市场经济的基本特征和维护市场机制高效运行的重要保障。但由于消费信息的非对称而使消费者主权受到了诸多损害,从而不利于市场机制的高效运作和市场经济的健康发展。为此,应分析消费信息非对称对消费者主权造成的损害,采取有效措施,保护消费者主权,促进经济健康发展。     

非对称信息下的电力产业需求侧管理机制设计

应用机制设计理论的一般方法,对需求侧管理合约进行分析,认为传统的峰值定价不能有效的解决信息不对称的问题,偏离了需求侧管理的目标。激励性需求侧管理可以根据消费者的类型,提供不同的合约,从而有效地解决信息不对称条件下社会福利偏离的问题。这种合约在一定的范围内解决电子资源供给与需求的矛盾,符合需求侧管理的目标,实现市场环境下电力资源的最优配置。     

股票价格对信息的非对称调整实证研究

运用非对称自回归对数广义异方差模型(asAR-EGARCH),通过对上海股票市场和深圳股票市场1997年9月1日到2003年8月29日的日收盘指数进行实证研究,验证了上海、深圳股票市场对信息的是否存在非对称反应,实证结果显示:上海股票市场和深圳股票市场都存在杠杆效用;从条件均值和条件方差两方面来看,上海股票市场和深圳股票市场对信息调整都是非对称性的。实证结果支持股票市场对信息存在非对称调整的理论假设。     

不对称信息下供应链的协调机制研究

供应链是以资源外用为特征的集成企业网络,供应链管理强调用系统的观点提高整个供应链效率。对不对称信息环境下供应链管理中存在的问题进行分析,阐明影响协调机制的因素和协调机制的任务,进而建立更为有效的协调机制。     

信息不对称与农业保险有效供给的经济分析

农业生产具有自然生产与经济生产相结合的特性。这一特性决定了农业对自然过程、自然环境等自然因素具有强烈的敏感性和依赖性。自然因素变化无常、难以控制及差异性,增加了农业保险经营者获取农业保险标的物的信息成本,加剧了农业保险市场因信息不对称引起的逆选择、道德风险等行为,进而影响保险有效供给,引发市场失效。探讨信息不对称下的农业保险供给问题,寻求一种可行的农业保险有效供给模式具有现实价值。     

信息物理融合系统软件可信性演化动力学建模

信息物理融合系统(CPS)软件可信性建模是CPS可信软件开发过程中至关重要的一环,现有的形式化方法、软件验证技术并不适合对CPS软件可信性动态演化进行描述和分析。在深入分析CPS可信软件动态演化过程的基础上,结合非线性动力学的基本理论和方法,研究CPS软件可信性演化的动力学机制,对CPS软件在内外双重因素影响下的可信性演化过程进行建模,并分析其可信性演化规律,为CPS软件可信性研究提供了一种新手段。通过对一个工业控制领域中CPS软件的建模与分析,验证了该方法的可行性。     

风险投资中的信息不对称与制衡机制安排

风险投资是对新创立企业的投资 ,由于信息的不对称性 ,存在很高的投资风险 ,决定了风险投资与众不同的治理安排。文章对存在于风险投资者、风险投资家、创业者之间的信息不对称 ,分析了风险投资中的制衡机制。     

供应商与零售商的动态非对称演化博弈

传统博弈理论关于参与人完全理性的假设,难以应用于现实工作中。而基于有限理性的演化博弈理论则克服了这些缺陷。从激励的角度建立信息不对称环境下供应商与零售商的非对称演化博弈模型,采用复制动态机制对博弈模型进行详细分析,得出模型的三个局部平衡点不是演化稳定策略;而另外两个平衡点哪个是模型最终的演化稳定策略是由五个假设因素决定。     

信息不对称性与风险企业相机控制权安排的关系分析

相机控制权安排是风险投资合约的中心问题之一。在风险资本融资时,存在信息不对称和逆向选择问题。创业家向风险资本家转移的控制权是显示其类型的信号,这是一个不完全信息动态博弈问题。拥有相机控制权的风险资本家会根据事后的信息决定是否对风险企业进行干预。如果进行干预,创业家得不到私人利益。因此,风险资本家拥有相机控制权,对好创业家来说,成本是很低的,对坏创业家而言,是很大的威胁,从而使好创业家得到融资的同时,减少了坏创业家进行融资的可能性。     

News and sovereign default risk in small open economies

This paper builds a unified model of sovereign debt, default risk, and news shocks. News shocks improve the quantitative performance of the sovereign default model in a number of empirically-relevant dimensions. First, with news shocks, not all defaults occur during downturns. Second, the news shocks help account for key differences between developing and more developed economies: as the precision of news improves, the model predicts lower variability of consumption, less countercyclical trade balance and interest rate spreads, as well as a higher level of debt in line with more developed economies. Third, the model captures the hump-shaped relationship between default rates and the precision of news obtained from the data. Finally, the news shocks have a nonmonotonic effect on welfare.     

Management pay-performance sensitivity, internal cash flow and investment behavior: A test of the free cach flow theory and asymmetric information theory

The relationship between investment and financing, the two basic components of corporate finance, is of significant interest to researchers and practitioners alike. The free cash flow hypothesis and asymmetric information hypothesis are two important theories to explain the relationship between investment expenditure and cash flow. In this paper, we examine how consistency between the interests of management and shareholders influences investment-cash flow sensitivity, and how the nature of the controlling shareholder influences this relationship, so as to analyze how much the free cash flow hypothesis and asymmetric information hypothesis can explain the practice of investment and financing in China. We use pay-performance sensitivity as a proxy for the degree of consistency between shareholders and management interests. We find that investment-cash flow sensitivity is affected not only by financial constraints that caused by asymmetric information, but also by the shareholder-manager agency problem. It is found that the asymmetric information theory has more explanatory power than the shareholder-manager agency theory. In addition, the relationship between investment-cash flow sensitivity and pay-performance sensitivity is affected by the nature of controlling shareholders. Specifically, in the state-owned enterprises, the investment-cash flow sensitivity is mainly ascribed to information asymmetry problems, but in the non-state-owned enterprises, the investment-cash flow sensitivity mainly results from free cash flow. Translated and revised from Kuaiji Yanjiu 会计研究 (Accounting Research), 2007, (10): 73–81     

Corporate security prices in structural credit risk models with incomplete information

The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to determine the price dynamics of traded securities, one needs to solve a stochastic filtering problem for the asset value. We transform this problem to a filtering problem for a stopped diffusion process and apply results from the filtering literature to this problem. In this way, we obtain an stochastic partial differential equation characterization for the filter density. Moreover, we characterize the default intensity under incomplete information and determine the price dynamics of traded securities. Armed with these results, we study derivative assets in our setup: We explain how the model can be applied to the pricing of options on traded assets and we discuss dynamic hedging and model calibration. The paper closes with a small simulation study.     

Sovereign risk and procyclical fiscal policy in emerging market economies

This study develops a dynamic stochastic general equilibrium model to account for the differences in fiscal policy stance over the business cycle between developed and emerging market countries, and, in particular, for the volatile and procyclical government consumption and transfer payment in emerging market countries. Two models with and without default option in sovereign borrowings replicate the contrasting cyclical behaviors indicating that the default option is responsible for procyclical fiscal policy. Further, augmented model with third-party bailouts, together with the stochastic trend income process, successfully predicts high volatilities of fiscal expenditures. These imply that procyclical fiscal policy, entailed by default option, may exacerbate the business cycle in emerging market countries.     

State institutions, risk, and lending in global capital markets

This paper examines one component of the expansion of global capitalism, the lending of capital across national borders and the affect of national political institutions and arrangements upon that lending. Global capital markets expanded rapidly during the latter part of the twentieth century, prompting discussions about the role of mobile capital. This contribution makes three key points to the understanding of globalization, its impacts, its causes, and its relationship to the nation-state, business and development. First, globalization is an uneven, bifurcated, phenomenon. Only a select group access these global capital markets, while many watch from the sidelines. Second, national political arrangements help us understand systematic disparities in access to global capital. National and local public policies, national political institutions, and other local activities prove instrumental in affecting access to global capital. Democracy and regulatory stability matter as they provide information to international investors about the risk to investments from local arenas. Third, the data presents a methodological obstacle in understanding how politics affects access to global capital. The structure of the data’s distribution can hide real relationships and pervert substantive interpretations if not managed. Without addressing the statistical concerns presented by the data the results would at worst be little more than garbage in, garbage out, and at best misleading.     

Growth,integration and trends in equity markets in Asia

The objective of this paper is to examine the growth and development in the Asian financial markets and then focus on equity-market developments in the Asian economies. Asian equity markets have grown exponentially over the last two decades. The trauma of the Asian crisis crystallized transformations in Asia's financial architecture. Equity markets were, in turn, no exceptions. Despite these problems, these markets slowly began expanding again. Attracted by rapid and sustained regional growth in Asia, international institutional investors and fund managers began investing in Asian equities. This inexorably led to an increase in market capitalization. However, growth in the equity markets was far from steady and uniform. This paper has dwelt on the performance of important equity markets in Asia and highlighted the diversity in them.     

Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.     

Gender Differences in Online Customer Satisfaction: The Asymmetric and Nonlinear Effect

ABSTRACT

The article aims to determine the extent of gender-related differences in user satisfaction with websites with a focus on the asymmetric and nonlinear effects of customer satisfaction. An experiment was conducted with 15 men and 15 women who undertook a typical task (scenario) on 44 websites. Overall, 1,320 evaluations of website quality attributes were obtained and analyzed. The results reveal that men and women differ in their website quality assessment. Marketing professionals should consider their target audience's gender when designing a quality website, or even devise ways of approaching both gender groups through distinct means.     

Order flow and exchange rate dynamics in electronic brokerage system data

We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a substantial association between interdealer order flow and exchange rate returns at horizons ranging from 1 min to two weeks, but find that the association is substantially weaker at longer horizons. We study the time-variation of the association between exchange rate returns and order flow both intradaily and over the long term, and show that the relationship appears to be stronger when market liquidity is lower. Overall, our study supports the view that liquidity effects play an important role in the relationship between order flow and exchange rate changes. This by no means rules out a role for order flow as a channel by which fundamental information is transmitted to the market, as we show that our findings are quite consistent with a recent model by Bacchetta and Van Wincoop (2006: Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review, 96, pp. 552–576.) that combines both liquidity and information effects.