Agency and brokerage of real assets in competitive equilibrium

Brokerage contracts for many categories of real assets are characterizedby a common, constant commission rate payable upon sale, exclusiveagency, and contractual asking prices. For a large market insteady state, these conventional contracts produce in equilibriumno agency problem between a broker and his clients. Each brokerspends the same time or effort selling each client's asset asthe broker would spend on his own assets. As in standard agencyproblems, extra effort by a broker generates first-order stochasticallydominant distributions of bids by potential buyers. Unlike standardagency problems, each broker can allocate his time or effortbetween selling the assets of his multiple clients and searchingfor new clients in competition with other brokers. Because brokers'time spent searching for new sellers is dissipative, entry bybrokers is excessive in equilibrium.     

Competitive equilibrium with type convergence in an asymmetrically informed market

This article studies an asymmetric information game with 'typeconvergence', in which, under some realizations of a commonuncertainty, inducing informed agents to reveal their typesthrough self-selection by contract choice is either costly orimpossible. Under other realizations, self-selection permitscostless distinctions between informed agents. I obtain sufficientconditions under which contracting with options prior to therealization of the common uncertainty leads to the existenceof a perfectly separating, costless Nash equilibrium. Applicationsto variable rate loan commitments and life insurance contractingare discussed.     

正视问题强化质量增强信心提高行业公信力——强化证券市场审计评估执业质量管理工作会议综述

11月12-13日,财政部、证监会在北京国家会计学院联合召开了"强化证券市场审计、评估执业质量管理工作会议".     

Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver.     

Expected earnings growth and the cost of capital: an analysis of accounting regime change in the European financial market

This study focuses on the relation between the cost of equity capital and earnings expectations when the properties of accounting that determine earnings vary across different regulatory regimes. More particularly, it addresses the European setting where different types of GAAP regime have continued to function in the presence of the gradual harmonization of the underlying legal framework, and where the adoption of internationally recognized accounting standards by certain firms has anticipated the requirement for International Financial Reporting Standards. On the basis of estimates of the cost of equity that are implied by analysts' earnings forecasts, the article provides evidence that financial market integration may have already contributed to mitigating the economic consequences of accounting diversity, and that switching to IFRS could have a short lived impact on capital markets. Moreover, based on firm level transparency and disclosure rankings provided by Standard and Poor's, it is shown how the quality of financial reporting conditions the implied cost of equity under different GAAP.     

Robust effects of a debt-financed tax cut in an economy with incomplete markets

International Tax and Public Finance - We propose a two-period pure-exchange economy with spot and nominal security markets and a government that enacts a debt-financed tax cut in the first period...     

The role of financial analysts in stock market efficiency with respect to annual earnings and its cash and accrual components

This study examines biases in stock prices and financial analysts' earnings forecasts. These biases take the form of systematic overweighting or underweighting of the persistence characteristics of cash versus accrual earnings components. Our evidence suggests that stock prices tend to overweight and financial analysts tend to underweight these persistence characteristics. Furthermore, we find that analysts' underweighting attenuates stock price overweighting. However, we find little evidence that the overweighting in stock prices attenuates analyst underweighting. This study brings a new perspective to the literature regarding the disciplining role of financial analysts in capital markets.     

Macroeconomic determinants of stock market capitalization in an emerging market: fresh evidence from cointegration with unknown structural breaks

This article explores the macroeconomic determinants of stock market development in an emerging market (Pakistan) over the period of 1974–2010. We have applied Zivot–Andrews unit root test for integrating properties of the variables and the autoregressive distributed lag bounds testing for cointegration. The direction of causality between the variables is investigated by applying the vector error-correction model Granger causality approach. Our results revealed that variables are cointegrated for long run relationship. Economic growth, inflation, financial development and investment increase stock market development, but trade openness decreases it. The causality analysis confirms that stock market development is a Granger cause of economic growth, inflation, financial development, investment and trade openness. This article indicates the importance of trade openness while formulating a comprehensive financial policy.     

On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market

Summary. Experiments were conducted on an asset with the structure of an option. The information of any individual is limited, as if only the direction of movement of the option value known for a single period without information of the value from when movement was initiated. However, if all information of all insiders were pooled, the value of the option would be known with certainty. The results are the following: (1) Information becomes aggregated in the prices as if fully informative rational expectations operated; and (2) The mechanism through which information gets into the market is captured by a path dependent process that we term The Fundamental Coordination Principle of Information Transfer in Competitive Markets. The early contracts tend to be initiated by insiders who tender limit orders. The emergence of bubbles and mirages in the markets are coincident with failures and circumstances that prevent the operation of the Fundamental Principle.The financial support of the national science foundation and the Caltech Laboratory for Experimental Economics and Political Science are gratefully acknowledged. The authors have benefited from helpful comments of David Grether, Kerry Back, Ivana Komunjer and Pete Kyle.     

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument

We test the C-CAPM with CRRA utility using Hong Kong data. In 2SLS regressions, we obtain rather high estimates of the coefficient of relative risk aversion, which could explain the high equity premium in Hong Kong. Because we use lagged emigration growth as an instrument in the first-stage regression, which has significant negative impact on future stock market return in Hong Kong, the first-stage R² and F-statistics are rather high and the weak instrument critique of the validity of 2SLS regressions is potentially resolved. Weak-instrument-robust tests also confirm that the degree of risk aversion is indeed high for Hong Kong.     

基层金融机构房地产贷款压力测试探析——以河南省洛阳市为例

当前,房地产宏观调控引发的房地产市场调整将给金融机构货款安全造成影响.本文运用向量自回归方法,以河南省洛阳市为例,对商品房价格、销售量、利率变化对金融机构房地产货款质量的影响,进行了实证分析和压力测试.本文认为在房地产萧条情形下,银行会受到较大打击,但通过压力测试表明银行可以承受.