卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。     

Pricing rules and Arrow–Debreu ambiguous valuation

This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free incomplete asset structure with a bond. This characterization relies on the equivalence between the sets of frictionless securities and securities priced by C. The former captures securities without bid-ask spreads, while the second captures the class of securities where, if some of its delivers is replaced by a higher payoff, then the resulting security is characterized by a higher value priced by C. We also analyze the special case of pricing rules associated with securities markets admitting a structure of basic assets paying one in some event and nothing otherwise. In this case, we show that the pricing rule can be characterized in terms of capacities. This Arrow–Debreu ambiguous state price can be viewed as a generalization for incomplete markets of Arrow–Debreu state price valuation. Also, some interesting cases are given by pricing rules determined by an integral w.r.t. a risk-neutral capacity. For instance, incomplete markets of Arrow securities and a bond are revealed by a Choquet integral w.r.t. a special risk-neutral capacity.     

股权制度安排、信息不对称与企业非效率投资行为

本文针对股权分置和股权全流通的制度安排,在不同信息状态下研究了企业的投资行为.研究表明,信息对称时,股权全流通制度下企业投资行为达到最优,股权分置制度下国有资产的高折算溢价使得企业存在投资过度行为;信息不对称时,股权分置制度下低质量企业表现出更多投资过度行为,高质量企业表现出更多投资不足行为.证券监管部门近期应该促使股权全流通,远期应该重视规范企业信息披露,从而提高企业投资决策的效率.     

Real assets, financial assets, liquidity and the lemon problem

Return obtained by diversification is based on average quality. Similarly, under asymmetric information, the price at which an asset can be sold reflects the average quality of assets. Therefore, 4under some conditions, sale of an asset under asymmetric information is a useful alternative to diversification. This idea is developed with a model that incorporates a liquidity shock. One key result is that investment in real assets is higher under asymmetric information than under symmetric information. The model can explain why the ratio of real assets to financial assets is higher in emerging economies than in developed countries.     

Information Revelation and Market Incompleteness

This paper introduces a theory of market incompleteness based on the information transmission role of prices and its adverse impact on the provision of insurance in financial markets. We analyse a simple security design model in which the number and payoff of securities are endogenous. Agents have rational expectations and differ in information, endowments, and attitudes toward risk. When markets are incomplete, equilibrium prices are typically partially revealing, while full relevation is attained with complete markets. The optimality of complete or incomplete markets depends on whether the adverse selection effect (the unwillingness of agents to trade risks when they are informationally disadvantaged) is stronger or weaker than the Hirshleifer effect (the impossibility of trading risks that have already been resolved), as new securities are issued and prices reveal more information. When the Hirshleifer effect dominates, an incomplete set of securities is preferred by all agents, and generates a higher volume of trade.     

Selecting equilibria in common agency games

We characterize equilibrium payoffs of a delegated common agency game in a public good context where principals use smooth contribution schedules. We prove that under complete information, payoff vectors of equilibria with truthful schedules coincide with the set of smooth equilibrium payoffs, including non-truthful schedules. We next consider whether the presence of arbitrarily small amounts of asymmetric information is enough to refine this payoff set. Providing that the extensions of the equilibrium schedules beyond the equilibrium point are flatter than truthful schedules, the set of equilibrium payoffs is strictly smaller than the set of smooth (equivalently, truthful) equilibrium payoffs. Interestingly, some forms of asymmetric information do not sufficiently constrain the slopes of the extensions and fail to refine the payoff set. In the case of a uniform distribution of types and arbitrary out-of-equilibrium contributions, the refinement has no bite. If, however, one restricts out-of-equilibrium behavior in a natural way, the refinement is effective. Alternatively, we may consider an exponential distribution with unbounded support (and hence no out-of-equilibrium choices) and we find that the refinement selects a unique equilibrium payoff vector equal to Lindahl prices.As a separate contribution, equilibria with forcing contracts are also considered both under complete and asymmetric information.     

Cooperative vs. non-cooperative R&D incentives under incomplete information

This paper studies incentives for cooperative research vis-à-vis non-cooperative research in an incomplete information framework. We show that with quantity competition under asymmetric information, the expected payoff from non-cooperative research goes down compared to the case of symmetric information; hence research joint venture incentives of the firms are larger under asymmetric information. In either case, however, the larger is the size of the cost-reducing innovation the lower is the incentive for cooperative research. Finally, in our model, incomplete information does not affect the consumers' welfare, but the firms become worse off.     

Effects of Risk-Based Capital Requirements and Asymmetric Information on Banks' Portfolio Decisions

This paper examines if asymmetric information about earnings prospects caused low-capital banks to reduce assets rather than raise capital between 1989 and 1992, the transition period from the leverage ratio to the risk-based capital requirement. The measure of asymmetric information here is the residual of an earnings prediction model based on publicly available information. If managers are significantly better informed than outside investors, a large residual indicates that inside information is more favorable and that the bank's stock is undervalued. The empirical results show an insignificant effect of asymmetric information on banks' portfolio decisions.     

Reorganization strategies and securities valuation under asymmetric information

This paper examines optimal reorganization strategies during financial distress and securities valuation under asymmetric information. We model strategic interactions between debtholders and equityholders in a game-theoretic setting that can accommodate the varying bargaining powers of the two claimants. Two reorganization strategies are considered: Chapter 11 (debt–equity swap) and private workout (strategic debt service). Using Chapter 11 as a costly state verification device, we characterize in equilibrium which firms choose Chapter 11 and which choose private workout. In particular, we show how the bank's belief about the type of firm evolves by observation of reorganization strategies. We also derive closed-form solutions to both the equity and debt valuation problems under asymmetric information and show that credit spreads increase with the degrees of asymmetric information.     

On the Non-Existence of Redundant Options

In a seminal paper, Ross (Q J Econ 90:75–89, 1976) shows that if security markets are resolving, then there exist (non-redundant) options that generate complete security markets. Complementing his work, Aliprantis and Tourky (2002) show that if security markets are strongly resolving and the number of primitive securities is less than half the number of states, then every option is non-redundant. Our paper extends Aliprantis and Tourky’s result to the case when their condition on the number of primitive securities is not imposed. Specifically, we show that if there exists no binary payoff vector in the asset span, then for each portfolio there exists a set of exercise prices of full measure such that any option on the portfolio with an exercise price in this set is non-redundant. Since the condition that there exists no binary payoff vector in the asset span holds generically, redundant options are thus rare. I am grateful to an anonymous referee for very helpful comments. Research support from the School of Business at The George Washington University is gratefully acknowledged     

How sensitive are bargaining outcomes to changes in disagreement payoffs?

We use a human-subjects experiment to investigate how bargaining outcomes are affected by changes in bargainers’ disagreement payoffs. Subjects bargain against changing opponents, with randomly drawn asymmetric disagreement outcomes that vary over plays of the game, and with complete information about disagreement payoffs and the cake size. We find that subjects only respond about half as much as theoretically predicted to changes in their own disagreement payoff and to changes in their opponent’s disagreement payoff. This effect is observed in a standard Nash demand game and a related unstructured bargaining game, in both early and late rounds, and is robust to moderate changes in stake sizes. We show theoretically that standard models of expected utility maximisation are unable to account for this under-responsiveness, even when generalised to allow for risk aversion. We also show that quantal-response equilibrium has, at best, mixed success in characterising our results. However, a simple model of other-regarding preferences can explain our main results.     

Symmetry-breaking in two-player games via strategic substitutes and diagonal nonconcavity: A synthesis

This paper is an attempt to develop a unified approach to symmetry-breaking in strategic models arising in industrial organization by constructing two general classes of two-player symmetric games that always possess only asymmetric pure-strategy Nash equilibria. These classes of games are characterized in some abstract sense by two general properties: payoff nonconcavities and some form of strategic substitutability. Our framework relies on easily verified assumptions on the primitives of the game, and relies on the theory of supermodular games. The underlying natural assumptions are satisfied in a number of two-stage models with an investment decision preceding product market competition. To illustrate the generality and wide scope for application of our approach, we present some existing models dealing with R&D, capacity expansion and information provision, which motivated this study.     

关于两类金融资产划分动机的实证分析

笔者以上市公司初次实施金融工具的会计准则为研究契机,通过对两类金融工具在损益处理上的差异分析,研究了公允价值在我国实施的经济后果。研究发现管理层初次划分两类资产的动机受该股票过去储存利润的影响,即截至2007年初的公允价值变动损益越大,越可能被列入可供出售金融资产。此外,相对于民营企业,国有企业利用两类金融资产的划分进行盈余管理的动机更强。     

Effort and performance in group contests

We study contest performance by focusing on the per capita payoffs of the contestants in an important class of asymmetric two-group contests. The group with the higher valuation has a greater chance of winning the contest whenever the rent-seeking technology is increasing and concave. We note that equilibrium efforts and payoffs per capita are uniquely defined and can be subjected to a comparative statics analysis. We show that payoff per capita for a group increases with its own valuation but decreases with the valuation of the opposing group. Per capita payoff for a group increases with its population.     

Asset price bubbles in Arrow-Debreu and sequential equilibrium

Summary. Price bubbles in an Arrow-Debreu equilibrium in an infinite-time economy are a manifestation of lack of countable additivity of valuation of assets. In contrast, the known examples of price bubbles in a sequential equilibrium in infinite time cannot be attributed to the lack of countable additivity of valuation. In this paper we develop a theory of valuation of assets in sequential markets (with no uncertainty) and study the nature of price bubbles in light of this theory. We define a payoff pricing operator that maps a sequence of payoffs to the minimum cost of an asset holding strategy that generates it. We show that the payoff pricing functional is linear and countably additive on the set of positive payoffs if and only if there is no Ponzi scheme, provided that there is no restriction on long positions in the assets. In the known examples of equilibrium price bubbles in sequential markets valuation is linear and countably additive. The presence of a price bubble means that the dividends of an asset can be purchased in sequential markets at a cost lower than the asset's price. We present further examples of equilibrium price bubbles in which valuation is nonlinear, or linear but not countably additive.     

Portfolio Theory and Foreign Investment ? The Role of Non-Marketed Assets

Far from thinking the extent of foreign investment in Australia is large, economists ought perhaps be surprised that the extent is not greater. Certainly, portfolio diversification theory would seem to predict Australians would own a small share of their marketable wealth in Australian marketed assets. We show that when domestic residents in a small open economy possess non-marketable wealth (so that securities markets are not complete), domestic marketed assets may be disproportionately demanded by residents to hedge their non-marketed risks.     

信息不对称与股票价格变动--我国证券市场信息传导机制的经济学分析

本文从简化的假设和模型出发 ,从理论上得到资本资产定价模型与信息不对称之间的关系 ,从而从原理上说明信息向资产价格传导的机理。本文得到的主要结论是 :(1 )在其他条件相同的情况下 ,如果投资者对资产的预期提高 ,则资产的均衡价格升高 ;反之则相反。 (2 )如果是有利的信息 ,那么获得信息的投资者的比例越小 ,资产的均衡价格就越高 ,收益就越大 ;如果是不利的信息 ,那么获得信息的投资者的比例越大 ,则损失越大。 (3 )获得信息的投资者的比例越大 ,则整个市场的风险溢价水平也越低。这些结论可以部分解释我国证券市场存在的一些现象和问题。针对利用信息不对称操纵股票价格的问题 ,本文提出了政策建议     

On Perceptions of Fairness: The Role of Valuations, Outside Options, and Information in Ultimatum Bargaining Games

This study examines fairness perceptions in ultimatum bargaining games with asymmetric payoffs, outside options, and different information states. Fairness perceptions were dependent on treatment conditions. Specifically, when proposers had higher chip values, dollar offers were lower than when responders had higher chip values. When responders had an outside option, offers were higher and were rejected less often than when proposers had an outside option. However, a given offer was rejected more often when responders had an outside option. Therefore, similar to the first mover advantage, the “advantaged” or “entitled” player received a higher monetary payoff than they would otherwise. When there was complete information about payoff amounts (payoff conversion rates and outside options), rejections occurred more often, and given offer amounts were rejected more often than when there was incomplete information. When there was incomplete information, offers were higher in the initial rounds than in the final rounds. These results suggest that proposers made offers strategically, making offers that would not be rejected, rather than out of a concern for fairness.     

The effects of portfolio size on international equity home bias puzzle

This paper investigates a new explanation for the international equity home bias puzzle based on an endogenous asymmetric information model. Using a cross-sectional mutual fund data set, it is found that the degrees of home bias across fund managers are negatively correlated to the asset sizes under their management. This result is consistent with the theoretical prediction in the endogenous asymmetric information model—the portfolio managers with the larger assets tend to acquire more information regarding foreign equity and, hence, hold more foreign equity holdings.     

风险投资中道德风险和可转换证券关系的分析

可转换证券在风险投资中发挥着多种作用。本文论证了它在解决道德风险方面的功能。首先设置了在不存在道德风险时的模型;然后,用模型推导出在信息不对称情况下的最优合约的特点;阐述了风险投资中使用可转换证券的原因并且给出了简单的建议。