论“市场欺诈理论”与证券内幕交易民事责任因果关系的确立及借鉴

目前内幕交易民事责任因果关系问题是我国立法中的一个空白点。理论界对此问题做过大量探讨,但涉及内幕交易因果关系的理论基础和发展趋势及我国应采用的基本观点还缺乏必要的认识,为此从我国相关立法实践出发,借鉴"市场欺诈理论"和西方国家立法、司法实践,对完善我国证券内幕交易民事责任的因果关系问题提出建设性意见。     

证券市场会计信息失衡研究

证券市场本质上是一个信息市场,而会计信息是证券市场信息的核心组成部分,证券市场信息功能出现问题主要表现于会计信息在整个传递过程之中。本文以信息生态学的视角探索和分析了会计信息作用机理、失衡原因,以及可能造成的不良后果,以期能够引起有关监管部门足够的重视,并在对会计信息作用机理及其失衡原因分析的基础上提出一些政策建议。     

中国证券市场金融创新探析

中国证券市场正处于转折的关键时期.推进这种转折的关键是要不断强化证券市场的金融创新.针对证券市场金融创新的动因、特点、风险及控制、成本和收益的特殊性,应在保护投资者利益、制度建设等方面加大创新力度.     

A Microeconomic Approach to Diffusion Models For Stock Prices

This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete-time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous-time model. the resulting process is an Ornstein-Uhlenbeck process in a random environment, and we analyze its qualitative behavior. In particular, we provide simple criteria for the stability or instability of the corresponding stock price model, and we give explicit formulae for the invariant distributions in the recurrent case.     

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

Recently, Duan (1995) proposed a GARCH option pricing formula and a corresponding hedging formula. In a similar ARCH-type model for the underlying asset, Kallsen and Taqqu (1994) arrived at a hedging formula different from Duan's although they concur on the pricing formula. In this note, we explain this difference by pointing out that the formula developed by Kallsen and Taqqu corresponds to the usual concept of hedging in the context of ARCH-type models. We argue, however, that Duan's formula has some appeal and we propose a stochastic volatility model that ensures its validity. We conclude by a comparison of ARCH-type and stochastic volatility option pricing models.     

中国证券投资基金评价体系研究

一、建立中国证券投资基金评价体系的意义 中国证券投资基金业的发展迅速,从1998年开始试点到2000年底,已发展到33只基金,规模达到560亿元,流通市值722亿元,占两市当日流通市值的10%,而且种类在不断增加,开放式基金正在酝酿,不久将推出,特别是保险资金和社保资金入市以及规模巨大的城镇居民储蓄使证券投资基金在中国存在着的极大的发展空间,其对中国的金融业及整个国民经济的发展都将产生深刻的影响.     

A Stochastic Extension of the Miller-Modigliani Framework1

This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite-valued solutions is characterized. the results are extended to the non-risk-neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so-called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.     

开放条件下证券监管的成本效益分析--以《萨班斯-奥克斯利法案》为例

证券市场的开放会改变监管对本地证券市场的影响。证券监管影响的对象分为居民和非居民,根据监管对证券市场的影响,对监管的成本和效益进行分类,以《萨班斯-奥克斯利法案》的有关条款为例,通过证券监管成本效益分析框架,识别和划分证券监管对证券市场影响的类型等。     

The Association between Earnings' Yield and Market Returns: A Stochastic Dominance Analysis

This paper examines the contemporaneous association between earnings' yield and return on common stock, during the nineteen-year period commencing with 1959. The analysis includes 391 firms, which have been clustered in ten portfolios, by the magnitude and changes in their Total Debt to Total Assets ratios, over twenty years. Three Stochastic Dominance rules have been employed in a twofold examination: a market index and direct pairwise portfolio comparisons. The results suggest a positive association between earnings' yield and return on common stock and, therefore, support previously published findings. However, the association reported in this paper is limited to Third Degree Stochastic Dominance, which is tied to decreasing absolute risk aversion behaviour on the part of market participants. Since the analytical path followed in this study is free of some criticism voiced with respect to empirical applications of the capital asset pricing and market models, which have been utilized by previous writers, the results also lend further validity to the application of those models in similar studies. Résumé Cette étude examine l'association simultanée entre le rendement des bénéfices et le rendement d'actions ordinaires pendant une période de 19 ans commençant en 1959. L'analyse comprend 391 entreprises qui ont été regroupées en 10 portefeuilles selon l'ampleur et les changements du rapport de la dette totale et l'actif total sur une période de 20 ans. Trois règles de dominance stochastique ont ete employées dans un examen a deux volets portant sur l'indice boursier et les comparaisons de portefeuilles par paires. Les résultats indiquent une association positive entre les bénéfices et le rendement sur les actions ordinaires et corroborent donc les résultats d'études publiées précédemment. Cependant, l'association établie dans la présente etude est limitée à une dominance stochastique du troisième degré qui est reliée à une diminution du comportement d'aversion au risque absolu chez les participants sur le marché boursier. Comme le cheminement analytique de la présente étude ne comporte pas toutes les critiques concernant les applications empiriques des modèles de marché et de détermination de la valeur de l'actif qui ont été utilisés par d'autres auteurs, les résultats confèrent également une validité accrue à l'application de ces modèles dans des études semblables.     

金融市场泡沫理论的文献综述

近年来,世界各国经济密切度的加深不仅带来了全球经济一体化,而且使金融市场经济泡沫发生的广度和深度今非昔此,总结有关金融市场泡沫理论的文献,不仅可以把握泡沫研究的根本和精髓,也可以为进一步的研究提供坚实的理论基础。     

专业市场价格指数编制理论初探

专业市场在商品经济中的地位越来越重要,专业市场价格指数作为一种反映市场价格变动情况的指标工具,其作用日渐被人们所认可,价格指数的编制工作越来越受到重视。通过对当前我国的专业市场及其价格指数编制理论的探述,为指数编制实践和运用提供支持。     

The Tunisia Wheat Market in the Context of World Price Volatility: A Stochastic Partial Equilibrium Approach

Food security is a key objective of agricultural and food policy in Tunisia. The 2007–2008 food crisis highlighted the negative impacts of price volatility on international markets both in terms of food insecurity and budget exposure. Tunisian food subsidy expenditures ranged from $180 million to $710 million in 2006–2010, so volatile world prices meant volatile subsidy costs. Moreover, cereal production in Tunisia still has much instability due to climate conditions, which also influences imports and, consequently, subsidy expenditures. This study applies a structural model to conduct stochastic analyses of trade and policy impacts on food security and budget expenditures in the Tunisian wheat market. The methodology disaggregates durum wheat and soft wheat markets and generates projections of import prices of durum wheat and soft wheat, using projections of world prices provided by the Food and Agricultural Policy Research Institute at University of Missouri (FAPRI-MU). The key innovation is the generated stochastic analyses of subsidy costs based on stochastic world price projections and stochastic domestic wheat yields based on historic yield variances. The analysis highlights the sensitivity of subsidy costs to world prices, volumes imported and domestic production, so that alternative policy tools can be considered.     

多方协作共创残疾人旅游市场新局面

随着社会经济的发展和全民旅游休闲时代的来临,残疾人这一特殊弱势群体的具有巨大开发潜力的旅游市场却由于种种原因一直未能得到重视与发展。通过结合残疾人旅游市场发展现状,本文分析了残疾人旅游存在的问题及成因,提出了政府、旅行社、公益组织、景区等多方协作开拓残疾人旅游市场的新思路。     

Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.     

从市场区理论看企业跨国经营的动因及策略

市场区理论是二战前德国著名工业经济学家廖什提出的工业布局理论。该理论认为产品市场区的大小对企业的生产布局至关重要。因此,产品市场区的有限性是企业跨国经营的重要动因,而企业跨国经营策略的制定,如是否在海外设立较多的子公司等,要考虑到产品市场区的大小。     

A Positive Theory of Private Label: A Strategic Role of Private Label in a Duopoly National-Brand Market

This article offers an economic rationale for national brands to provide private labels to their retailers. We build a game-theoretic model that analyzes the interactions among two national brand manufacturers and one common retailer. In an interesting strategic role, the private label mitigates the promotion competition between the two national brands and provides benefits for all three members in the channel. Our analysis shows that offering a private label can be a credible commitment from a national brand manufacturer that it will not engage in promotions and decrease the incentive of the national brand rival to engage in promotions. In this way, we attempt to provide a reason for why national brand manufacturers provide retailers with private labels in practice. In addition, we discuss the optimal quality level of private labels.     

软件商业模式与操作系统的市场结构——Windows与Linux两种模式的比较研究

本文通过将网络外部性和产品纵向差异化引入传统的豪泰林模型，比较了Linux和Windows两种软件商业模式，进而研究了操作系统市场结构的决定因素和形成机理：在操作系统市场，软件厂商采取不同的商业模式竞争，不同的商业模式内生了软件厂商不同的竞争优势，从而在不同的操作系统市场呈现出双寡头竞争和单寡头垄断两种主要的市场结构。