Boundaries of the Tournament Pricing Effect in Asset Markets: Evidence from Experimental Markets

Tournament compensation of asset traders has been shown to promote deconvergence from intrinsic value pricing in an experimental asset market where all traders are so compensated (James and Isaac 2000). This paper explores the extent of this effect as experimental design parameters—proportion of traders facing tournament compensation, details of the tournament contract, and time horizon of the asset being traded—are varied. We find that the original results are replicated using the original parameters, that a tournament contract modified to provide a penalty for underperformance does not necessarily eliminate the effect, and that reducing the proportion of traders facing tournament compensation to half the market largely eliminates the effect.     

Relative Performance Incentives and Price Bubbles in Experimental Asset Markets

We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked by relative performance as measured by short‐term paper returns. Those who rank highly attract a larger share of new fund inflows. In an environment in which prices are typically close to intrinsic value, the effect of these incentives is mild. However, in an environment in which markets are prone to bubble, mispricing is greatly exacerbated by relative performance incentives and becomes even more pronounced with experience.     

Margin,Short Selling,and Lotteries in Experimental Asset Markets

The robustness of bubbles and crashes in markets for assets with finite lives is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders pay higher prices for the asset with lottery characteristics (i.e., a claim on a large, unlikely payoff). However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell.     

An Empirical Asset Pricing Model Accommodating the Sector-Heterogeneity of Risk

Stock returns are generally difficult to explain, as they are comprised of many discrete channels of risk. Empirical asset pricing models (EAPM), such as the Fama-French five-factor model (FF5), have been used to partition these channels across a series of systematic risk factors, such as company size (total market equity), value (book-to-market ratio), investment, and operating profitability. Prior EAPMs only accounted for how such factors contributed to risk at the market-level, ignoring any potential variation across sector. This study developed a sector-heterogenous model (SHM) which directly accounts for this variation by generalizing the Fama-French methodology to sector-subsets of stocks. The results demonstrated that risk is meaningfully heterogenous across sectors for each of the factors in the FF5, with different subgroups of factors being statistically significant within each sector. In a direct comparison of explanatory power, the SHM outperformed the FF5 and improved adjusted R² by an average of 5% for stocks across all sectors. Several applications of sector-heterogeneity were then demonstrated for stock-picking purposes, including a high-beta portfolio strategy using the SHM-beta which outperformed the S&P 500 in backtesting. This study concludes that meaningful sector-heterogeneity exists in market risk. This information is materially useful to investors.

     

Carry Trade Returns and Segmented Risk Pricing

Atlantic Economic Journal - The returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the...     

市场流动性与资产定价

本文构建了一个在不同投资者具有异质信念下市场流动性影响资产价格的资产定价理论模型,并以2006-2021年沪深300指数进行实证检验,发现:市场流动性会显著影响投资者对风险资产价格的预期和信念类型的转换。当市场流动性不足时,基础投资者认为资产价格回归基础价值的速度减慢,而技术投资者会削弱对资产价格加速偏离基础价值的预期,投资者整体会削弱原有信念转换机制的强度。此外,文章实证还发现沪深300在长期是低估的、均值回复的,但在2008年全球金融危机、2020年新冠疫情等短期时段出现了剧烈的价格偏离和市场失灵。     

隐性交易成本与资产定价的实证研究

本文利用上证180指数成份股票的高频数据计算隐性交易成本．探讨其与资产定价的关系。研究结果发现：1、隐性交易成本与换手率、规模和收益率都存在着明显的线性负相关关系。在股票收益率下降时期，隐性交易成本很可能通过流动性深度成本间接影响股票收益率。2、较之隐性交易成本，规模因素与换手率因素对收益率的影响有着更好的测度性，因为这两个因素与流动性深度成本也有着显著相关性。3、隐性交易成本与规模因素整体上是线性负相关关系．分段上的关系则很可能是凹函数与凸函数的组合。     

Statistical Discrimination in Labor Markets: An Experimental Analysis

This article reports results from controlled laboratory experiments designed to study second‐moment (that is, risk‐based) statistical discrimination in a labor market setting. Since decision makers may not view risk in the same way as economists or statisticians (that is, risk 5 variance of distribution), we also examine alternative measures of risk: the support of the distribution and the probability of earning less than the expected (maximum) profits for the employer. Our results indicate that employers made statistically discriminatory wage offers consistent with loss aversion in our full sample (though the result is driven by the male employer subsample). If one can transfer these results outside of the laboratory, they indicate that discrimination estimates based only on first‐moment (mean‐based) discrimination are biased. The public policy implication is that efforts and legislation aimed at reducing discrimination of various sorts face an additional challenge in trying to identify and limit relatively hidden, but significant, forms of statistical discrimination.     

An Experimental Analysis of Regulatory Interventions for Complex Pricing

Considerable evidence demonstrates that consumers make poor choices when facing complex multidimensional pricing schemes. The problem is clear but appropriate regulatory interventions less so. We study the efficacy of five different interventions to improve consumer decision making in an experimental context where subjects choose among a set of predefined phone plans involving nonlinear tariffs. We compare two types of intervention: information provision and consumer literacy training. We find that training about plan costs significantly improves decision quality, while providing information about plan value assists inexperienced decision makers, and visual feedback helps experienced decision makers. Implications for policy are discussed, mindful of heterogeneous consumer literacy and the infrequency with which consumers are actually “in the market” for a better phone service plan.     

Correction to: Carry Trade Returns and Segmented Risk Pricing

Atlantic Economic Journal - A correction to this paper has been published: https://doi.org/10.1007/s11293-021-09708-3     

基于心理偏差的金融资产定价模式

金融资产定价一直以来都是金融学的焦点问题,传统的资产定价模型主要基于基本经济层面的影响因素分析,而没有考虑投资者的心理因素。近些年来,行为金融学越来越受到大家的关注,越来越多的研究者将注意力放到投资者的投资心理上,鉴于此,从投资者心理角度出发,研究了投资者在投资过程中认知、情绪、意志过程的偏差对资产定价的影响,并构建了基于心理偏差的金融资产定价理论模式。     

Examining Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

Abstract

This study adopts the SWARCH model to examine the volatile behavior and volatility linkages among the four major segmented Chinese stock indices. We find strong evidence of a regime shift in the volatility of the four markets, and the SWARCH model appears to outperform standard generalized autoregressive conditional heteroskedasticity (GARCH) family models. The evidence suggests that, compared with the A-share markets, B-share markets stay in a high-volatility state longer and are more volatile and shift more frequently between high- and low-volatility states. In addition, the relative magnitude of the high-volatility compared with that of the low-volatility state in the B-share markets is much greater than the case in the two A-share markets. B-share markets are found to be more sensitive to international shocks, while A-share markets seem immune to international spillovers of volatility. Finally, analyses of the volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets.     

基于流动性风险的行为资产定价模型研究

从行为金融的研究视角，本研究建立了一种简洁的流动性风险均衡模型。本文将流动性因素纳入股票横截面收益的关键影响因素，构建了基于流动性风险调整的行为资产定价模型，利用欧拉方程确定了模型均衡价格。在一般均衡框架下。本文揭示了买卖差价、交易频率和市场效率等因素以流动性偏好形式对资产价格的影响机理。在连续双向拍卖交易机制下，本文利用仿真检验了均衡价格的形成过程．结果能够解释股票溢价等金融异象。     

基于信息不确定性的分割市场盈余公告后漂移研究

文章采用事件研究和面板数据研究了中国A股、H股分割市场上盈余信息不确定性对盈余公告后漂移的影响。研究表明,境内外财务报告的主要数据不存在显著差异,也就是说,中国会计准则与国际会计准则执行的结果是基本一致的;而A股、H股市场的非财务因素差距较大。研究发现,在分割市场的盈余公告后漂移中,信息不确定性起到了十分重要的作用,无论两个市场上参与人的类型如何,信息不确定性都能加剧投资者认知偏差并有效地影响PEAD。     

流动性和条件资产定价:理论和实证检验

选择适当的工具一直是条件资产定价研究的中心,目前国内外尚没有研究从这个角度探讨流动性对资产定价的影响。本文在Breeden-Lucas随机折现因子框架下建立了以市场流动性为工具的条件CAPM,并使用1996．1．2-2004．12．31期间的沪深A股日度交易数据构造了Amihud（2002）的非流动性测度、Farm-French组合、定价因子等。一阶段GMM估计表明,该滞后工具可有效捕获资产回报的可预测变化。模型解释这种变化的能力显著优于Fama-French三因子模型和CAPM．且几乎没有统计显著的残留规模效果和价值效果。     

基于习惯形成的资产定价模型的稳态分析

习惯形成对资产定价有重要的影响，但是以往的研究几乎没有对基于习惯形成的资产定价模型进行稳态分析。本文将经济学中的稳态分析引入资产定价中。对传统的基于习惯形成的资产定价模型进行了改进。我们的研究表明，当金融市场处于一般均衡状态的时候可能存在多个均衡解：当金融市场处于稳态时。随机折现因子和的乘积一定小于1;剩余消费比率是股票市场内部波动性的一个来源．剩余消费比率的变动可以导致资产价格的波动。这些结果可以帮助我们理解金融市场的内在波动性以及习惯形成对资产定价的影响。     

信息不对称性与融资租赁资产证券化的定价研究

资产证券化产品在中国市场规模中的份额在逐渐扩大,与此同时在中国债券类金融产品中所发挥的作用也日渐重要。利用所构建的信息不对称性衡量指标,以2011—2020年中国融资租赁资产证券化产品为样本,研究信息不对称性对相关融资租赁资产证券化定价的影响。研究发现：信息不对称性对中国融资租赁资产证券化产品的发行定价有着显著的正向影响;对于原始资产分散程度低的融资租赁资产证券,信息不对称性对其产品发行定价存在显著的正向影响;与溢价发行的资产证券相比,信息不对称性对折价发行的证券有更显著的正向影响。     

An Experimental Investigation of Moral Hazard in Costly Investments

Frequently, parties make sequential decisions regarding investments for which the probability of success or failure is dependent on the amount of total investment. This paper reports a series of experiments involving a costly investment game that is derived from the catalytic finance model of Morris and Shin (Global games: Theory and applications. In Advances in Economics and Econometrics, Proceedings of the Eighth World Congress of the Econometric Society, edited by M. Dewatripont, L. Hansen, and S. Turnovsky. Cambridge, MA: Cambridge University Press, pp. 56-114). The sequential nature of investments is such that the second investment could function as a complement to the initial investment or simply serve as a substitute to it, thereby creating moral hazard. The features of this game are similar to those of the ultimatum game. However, there are several key differences between the games that may account for the high frequency of materially self-interested behavior that we observe, particularly among second movers.