Order Form and Information in Securities Markets

This paper examines the effects of price-contingent orders on security prices. We show that a market maker who knows the type and composition of trades will set larger spreads and adjust prices faster than if price-contingent orders were not allowed. Because traders have rational expectations over the book, we demonstrate that uncertainty over order type reduces the variance of prices but with a corresponding loss in price informativeness. We also show that the sequence property of price-contingent orders increases the probability of large price movements. This distinction between variance and episodic price volatility has important policy implications.     

信息税与证券市场财务信息披露模式转变

本文在反思现有披露制度缺陷的基础上提出建立一个更能体现证券市场信息公开原则,基于信息税的强制性、有偿性的财务信息披露模式,以达到明确财务信息披露责任主体和塑造有效财务信息需求主体,以及完善政府有关部门在会计准则等公共信息产品等方面的供给服务,并改善注册会计师执业中的独立性等对策目标。     

Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion

In this paper, recent techniques of estimating implied information from derivatives markets are presented and applied empirically to the French derivatives market. We determine nonparametric implied volatility functions, state–price densities and historical densities from a high–frequency CAC 40 stock index option dataset. Moreover, we construct an estimator of the risk aversion function implied by the joint observation of the cross–section of option prices and time–series of underlying asset value. We report a decreasing implied volatility curve with the moneyness of the option. The estimated relative risk aversion functions are positive and globally consistent with the decreasing relative risk aversion assumption.     

证券期货市场自动化交易的风险与监管研究

证券期货市场上,自动化交易的报单模式具有机械性、同质化和瞬间巨量的特点,成交需求也是快速变化的,为此本文归纳了自动化交易可能会存在"克隆人进攻"、系统负载大、风险蔓延快、波及范围广等潜在风险,借鉴国际上处理典型风险案例的经验,总结了美国分块并圈定重点式、欧洲分层式、澳大利亚智能分析式及新加坡激励相容式等多个国家的自动化交易监管制度,结合国内"堵"大于"疏"、信息传递不通畅、监控流量指标体系不完备等自动化交易监管方面的不足,提出要接口技术标准化、数据共享与时钟同步、组建跨行业(专业)的技术专家团队等事前监管,优化交易管理规则、加强交易所系统建设、构建应急处理机制、完善交易日志备份等交易所层面的事中监管,以及规范机构投资者使用自动交易软件的自律性等维护清算服务市场的秩序等全流程、分层次、多角度的监管建议。     

证券市场跨境监管研究——以EMMoU为视角

随着中国金融市场的逐步开放,证券市场跨境违法违规行为随之出现,并呈现逐年增加的趋势。为增强国际市场间的跨境监管合作,国际证监会组织在2017年对多边谅解备忘录进行了修订,新增了五项执法权力,形成了加强版的多边谅解备忘录。文章解读了此次改进,以及新增的五项执法合作措施的具体内容及其优势,并在此基础上对我国证券市场的跨境监管问题进行了分析。分析表明,我国证券市场跨境监管存在法律依据过于原则化、证监会执法措施不够完善等问题;另外,目前广泛采用的双边谅解备忘录在制定、实施方面也存在一定的问题。本文最后提出以下建议:增强国内法的可操作性,扩大证监会执法权来完善跨境监管体制;组建专业的合作队伍,提高《证券法》的域外效力;实施"两步走"方案逐步加入加强版的多边谅解备忘录,进一步完善我国证券市场跨境监管。     

Stock Price Response to News of Securities Fraud Litigation: An Analysis of Sequential and Conditional Information

This study examines investor response to three events that help define a federal class action securities lawsuit, specifically, the announcement that names an issuer as a defendant in the lawsuit (at the class action filing date), the disclosure or accounting restatement that 'corrects' the information deficiency (at the end of the class period), and the date at which the fraud on the market allegedly begins (at the beginning of the class period). We document a significant and predictable stock price response at each of these three events. Our tests also indicate that the market interprets these events not in isolation but as sequential and conditional events. Investor response differs on the basis of the characteristics of the issuer, the allegations in the complaint, and the outcome of the litigation. These results and the fact that we observe no systematic price momentum in investor response beyond the announcement dates imply that the market is reasonably efficient with respect to information about securities fraud litigation. Our results are robust to alternative definitions and procedures, and are based on a proprietary database that includes almost all federal securities class action lawsuits since 1990.     

A Theory of Noise Trading in Securities Markets

In a recent article, Black 1 introduces a type of trading that he terms noise trading. He asserts that noise trading, which he defines as trading on noise as if it were information, must be a significant factor in securities markets. However, he does not provide an explanation of why any investors would rationally want to engage in noise trading. The goal of this paper is to provide such an explanation for one type of investor, managers of investment funds. As shown here, the incentive for a manager to engage in noise trading arises because of the positive signal that the level of the manager's trading provides about his or her ability to collect private information concerning current and potential investments. If the manager's compensation is directly related to investors' perceptions of his or her ability, the manager will then trade more frequently than is justified on the basis of his or her private information. In addition to providing this explanation for noise trading, the results of this analysis may also be useful for further empirical exploration of the relation between investment fund portfolio turnover and subsequent performance.     

我国证券市场投资者非理性行为的治理路径研究——兼论投资者教育体系的构建

构建科学有效的投资者组织运营机制,是我国证券市场投资者教育体系正常运营并顺利实现其教育功能的重要保障。本文从分析我国证券市场投资者的非理性行为入手,提出投资者教育是治理非理性行为的科学路径,并构建了我国证券市场投资者教育体系的系统性框架。在此基础上,本文借鉴发达国家证券市场投资者教育经验,设计了适合我国国情的投资者教育体系组织模式,并给出了我国证券市场投资者教育体系的运营路径。     

金融危机对证券市场波动溢出的影响研究

不同证券市场之间的波动存在时变、非对称、非线性相关的特性,尤其是在极端事件影响下,证券市场之间往往会表现出尾部相关的特性。以次贷危机为背景,利用时变Copula模型研究了证券市场间的波动溢出。结果发现无论是金融安全时期还是金融危机时期,均存在美国证券市场对中国证券市场的波动溢出,并且在金融危机期间这种波动溢出效应有增强的趋势。     

中国证券公司风险预警研究

利用层次分析法（简称AHP）确定中国证券公司各种风险因素的影响程度,并据此计算各证券公司的风险综合评价值,用三角白化权函数的灰色评估方法来计算各指标每个风险层次的可能程度,用灰色熵及模糊熵的计算来判断风险评价的不确定程度。从而建立了一套相对有效的风险预警系统,为科学预测证券公司未来的风险及经营决策提供了依据。     

Partial Revelation of Information in Experimental Asset Markets

We develop a model of market efficiency assuming private information is partially revealed to uninformed traders via the behavior of those who are informed. This partial revelation of information (PRE) model is tested in fourteen computerized double auction laboratory markets. It explains the market value and allocation of purchased information, and asset allocations, better than either a fully revealing information model (FRE strong-form efficiency) or a nonrevealing expectations model; but it takes second place to FRE in explaining asset prices. We conjecture that refined versions of PRE may provide insight into “technical analysis” and minibubbles in securities markets.     

证券市场价格涨跌幅限制制度的实验研究

采用实验经济学的研究方法在信息对称的实验室股票市场中检验有效市场假说,检验价格涨跌幅限制制度是否能减少股票价格波动和市场的过度投机行为,从而促进市场有效性的提高.实验结果表明,在信息对称的实验室股票市场中,股票交易价格在一定程度上偏离了股票的基本价值,出现了价格偏高或偏低现象,与有效市场假说相悖;并且,价格涨跌幅限制制度不能减少股票价格波动和市场的过度投机行为,反而在很大程度上阻碍了股票交易价格向基本价值靠近的速度,降低了市场有效性,同时也不能降低股票换手率,未能减少市场中投机性交易的数量.证券市场交易制度的政策制定者可以重新评估价格涨跌幅限制制度的作用,进一步深入研究证券市场价格涨跌幅限制制度的合理性.     

Price Discovery in Real Estate Markets: A Dynamic Analysis

Although the correlation between the public and private market pricing of real estate has generated considerable research effort, the methods utilized in previous studies have failed to capture the dynamic nature of this correlation. This paper proposes a new statistical method to address this issue. This method, known as the dynamic conditional correlation GARCH model, enables us to study the dynamics of the correlation between the two markets over time and enrich our understanding of the public and private market pricing of real assets. We find that the correlation between NAV returns and REIT returns is dynamic for all REIT types and there is a strong degree of persistence in the series of correlation. Our Granger-causality tests show that price discovery generally takes place in the securitized public market. However, we also find significant variations across property types and individual firms within each type. Our results indicate that constructing an optimal portfolio requires firm level analysis of causality and correlation between REIT returns and NAV returns.     

Cash Flow Volatility, Prices and Price Volatility: An Experimental Study

The value of an asset is equal to the present value of its expected future cash flows. It is affected by the magnitude, timing and riskiness, or volatility, of the cash flows. We hypothesize that if the expected values of two assets?? cash flows are equal, the value of the asset with more volatile cash flows will be lower. Furthermore, we examine the impact of the volatility of cash flows on the volatility of prices. We consider a simple experimental environment where subjects trade in an asset which provides dividends from a known probability distribution. The expected value of the dividends is identical in all experimental treatments. The treatments vary with respect to the volatility of dividends. We find that when dividends are more volatile, transaction prices are lower. We also find that the volatility of prices is lower in the treatment with highly volatile dividends. In addition, as expected, trading volume is lower when cash flows are less volatile.     

我国证券市场内幕信息操纵行为理论研究

构建基于我国证券市场内幕信息操纵的数理模型,通过分析内幕信息操纵期间不同市场参与者的交易策略,得出他们的获益情况。研究结果表明,内幕信息操纵者并非一定获取正的操纵收益,其存在操纵失败的可能性。内幕信息的精度、正反馈交易者"追涨杀跌"的倾向等是影响不同市场参与者收益的重要因素。最后,有针对性地提出抑制内幕信息操纵行为的对策。     

完善证券公司业务信息隔离机制问题探讨

近年来,证券公司投行、投资等业务部门相互利用敏感信息炒卖股票,研究人员发表严重失实的研究报告和炒卖研究报告所推荐股票等情形时有发生,部分证券行业人士甚至认为“靠山吃山”是证券行业的潜规则。这些问题,反映出证券公司内部业务信息隔离机制存在严重缺陷,研究人员独立性、公正性和客观性缺失。本文分析了目前证券公司在信息隔离方面存在问题的外在表现形式和内在实质,对国内外证券业信息隔离制度进行了比较,提出了加强证券公司业务信息隔离工作、防范利益冲突和杜绝利益输送的几点建议。     

Earnings Metrics,Information Processing,and Price Efficiency in Laboratory Markets

An enduring issue in financial reporting is whether and how salient summary measures of firm performance (“earnings metrics”) affect market price efficiency. In laboratory markets, we test the effects of salient earnings metrics, which vary in how they combine persistent and transitory elements, on investor information search, beliefs about value, offers to trade, and market price efficiency. We find that including transitory elements in salient earnings metrics causes traders to search unnecessarily for further information about these elements and to overestimate their effect on fundamental value relative to a rational benchmark. In contrast, separately displaying persistent elements in earnings increases the accuracy of traders’ value estimates. Prices generally reflect traders’ beliefs about value, and prices are most efficient when transitory elements are excluded from earnings metrics entirely. Our study contributes to research on salience effects in financial reporting by showing that including transitory elements in salient earnings metrics causes inefficient information search and biased beliefs about value that can aggregate to affect market prices. We also contribute to research in experimental markets by showing that redundant disclosure is not always beneficial; redundant disclosure of transitory earnings elements, in particular, appears to have negative consequences for investor behavior and market efficiency.     

Capital Structure and Political Risk in Asia-Pacific Real Estate Markets

This study investigates the determinants of capital structure decisions by real estate firms, with a specific focus on the impact of political risk on leverage. Using a sample of Asia-Pacific REITs and listed property trusts, we find those firms with properties located in countries characterized by relatively high degrees of political risk, such as political instability, and/or greater uncertainty in the ability to repatriate and monetize profits from international investment activities, employ less debt than their counterparts operating in more politically stable environments. This core finding remains robust to alternative sample selection criteria including the division of the sample into high versus low market-to-book value firms, and also holds within the subset of organizations that are active in raising additional capital in the secondary markets.