Nonfundamental Speculation Revisited

We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second‐order condition. If the nonfundamental speculator's information about noise trading is sufficiently precise, a linear pure strategy equilibrium fails to exist. In parameter regions where a pure strategy equilibrium does exist, we identify a few calculation errors in Madrigal (1996) that result in misleading implications.     

Effect of Investor Speculation on Earnings Management

This paper considers how the presence of a speculative investor, who bets on a firm's future earnings report, affects how the firm's management manipulates that report. We examine the influence of the speculator's information on earnings management behavior, quality of reported earnings, and stock price efficiency. We also provide predictions for, and interpretations of, short‐window event studies and long‐window association studies.     

中国证券市场投机问题研究

界定证券市场投机与投资行为的异同,分析证券市场中的庄家问题,阐明中国证券市场的投机驱动及其运行机制,提出降低证券市场投机程度的对策。     

IPO定价管制、价值不确定性与投资者“炒新”

本文以价值不确定性理论解释IPO定价管制对投资者"炒新"行为的影响,并以2006年6月-2012年2月的样本进行实证检验。结果发现,相对于定价市场化阶段,定价管制期间的IPO溢价(以首日收盘价减去估计的内在价值度量)显著更高。并且,新股上市前价值不确定性越大,定价管制对IPO溢价的影响越大;上市时二级市场投资者情绪越高,定价管制对IPO溢价的影响越大。上述发现都支持了价值不确定性理论对投资者"炒新"行为的解释。为增强结果的可靠性,我们使用双重差分模型控制时间序列上其他可能因素的影响,结论保持不变。本文的发现有助于理解新股定价管制的经济后果,并对注册制改革有重要启示。     

Cross‐Asset Speculation in Stock Markets

In practice, heterogeneously informed speculators combine private information about multiple stocks with information in prices, taking into account how their trades influence the inferences of other speculators via prices. We show how this speculation causes prices to be more correlated than asset fundamentals, raising price volatility. The covariance structure of asset fundamentals drives that of prices, while the covariance structure of liquidity trade drives that of order flows. We characterize how speculator profits vary with the distributions of information and liquidity trade across assets and speculators, and relate the cross‐asset factor structure of order flows to that of returns.     

Ownership Structure, Speculation, and Shareholder Intervention

An institution holding shares in a firm can use information about the firm both for trading ("speculation") and for deciding whether to intervene to improve firm performance. Intervention increases the value of the institution's existing shareholdings, but intervention only increases the institution's trading profits if it enhances the precision of the institution's information relative to that of uninformed traders. Thus, the ability to speculate can increase or decrease institutional intervention. We examine key factors that affect the intervention decision, the usefulness of "short-swing" provisions and restricted shares in encouraging institutional intervention, and implications for ownership structure across different firms.     

金融投机与油价波动

2008年以来,国际原油期货价格从不足100美元迅速攀升至逼近150美元,涨幅超过50%.然而就在7月份底的十个交易日当中,油价又从147美元高位暴跌15%至123美元一线.实际上,2003年以来,国际油价从每桶30美元左右上涨至2008年140多美元的高位,无论以名义价格还是真实价格来看,国际油价都达到了1970年代石油危机以来的最高点.高油价刺激了全球性的资源性商品价格上涨,也推动了全球性通货膨胀的形成和扩散.与此同时,是否是投机因素推高油价的争论也不绝于耳.但是,国际权威机构对石油市场中的投机行为的调查至今也没有比较统一的结论.油价波动与金融投机之间到底存在怎样的关系呢?     

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

Analyses of rational speculation usually presume that it dampens fluctuations caused by “noise” traders. This is not necessarily the case if noise traders follow positive-feedback strategies—buy when prices rise and sell when prices fall. It may pay to jump on the bandwagon and purchase ahead of noise demand. If rational speculators' early buying triggers positive-feedback trading, then an increase in the number of forward-looking speculators can increase volatility about fundamentals. This model is consistent with a number of empirical observations about the correlation of asset returns, the overreaction of prices to news, price bubbles, and expectations.     

Heterogeneous Beliefs, Speculation, and the Equity Premium

Agents with heterogeneous beliefs about fundamental growth do not share risks perfectly but instead speculate with each other on the relative accuracy of their models' predictions. They face the risk that market prices move more in line with the trading models of competing agents than with their own. Less risk‐averse agents speculate more aggressively and demand higher risk premiums. My calibrated model generates countercyclical consumption volatility, earnings forecast dispersion, and cross‐sectional consumption dispersion. With a risk aversion coefficient less than one, agents' speculation causes half the observed equity premium and lowers the riskless rate by about 1%.     

Speculation spreads and the market pricing of proposed acquisitions

This paper examines speculation spreads following initial acquisition announcements in 362 cash tender offers spanning the 1981–1995 period. Speculation spreads in acquisitions, defined as the percentage difference between the bid price and market price one-day after the initial announcement, are the starting point for arbitrage returns, a subject receiving increased attention in practice and in the literature. Speculation spreads exhibit a positive mean, with considerable cross-sectional variation. In fact, over 23% of speculation spreads are negative, indicating a post-announcement price greater than the initial bid price. In spite of its importance, the informational content of the speculation spread and the reasons for its cross-sectional variation have not been previously examined. We model speculation spreads as the visible component of total speculative returns of the target. Rational traders set speculation spreads anticipating the expected price resolution and length of the acquisition bid. Empirically, we find strong support for key implications of our model. Speculation spreads are significantly related to bid and offer characteristics observable ex ante. Consistent with our model, they are also significantly negatively related to the magnitude of price revision and significantly positively related to offer duration. These results are robust to the inclusion of bid and offer characteristics known ex ante as well as those only revealed ex post. The results are consistent with market pricing of both offer duration and price resolution at the time of the initial announcement.     

对经管类专业本科毕业论文选题的思考与分析

选题是本科毕业论文的基础环节,也是决定毕业论文后续环节能否顺利开展的关键,选题的质量对毕业论文质量影响很大。目前经管类本科毕业论文的选题普遍存在选题偏大、涉及面过于宏观、选题范围狭窄、选题价值太低、选题表述不规范等问题。因此,可以通过采取培养问题意识、提升选题能力、明确选题原则、改革选题模式、加强选题的监督和控制等措施,提高毕业论文选题的质量。     

中国股市过度投机探析

中国股票市场快速发展,在国民经济中占有越来越重要的地位,而过度投机则对我国股票市场健康稳定发展。具有不可忽视的消极作用。抑制过度投机,引导理性投资对我国股票市场以及国民经济的发展都有着非常重要的意义。     

Do Mandatory Hedge Disclosures Discourage or Encourage Excessive Speculation?

In order to shed some light on the desirability of hedge disclosures, I investigate the consequences of hedge disclosures on a firm's risk management strategy. Several major results emerge from this analysis. First, greater transparency about a firm's derivative activities is not necessarily a panacea for imprudent risk management strategies. I show that such transparency actually induces the firm to take excessive speculative positions in the derivative market. Second, I show that the firm may choose a prudent risk management strategy in the absence of hedge disclosures. However, the selection of a prudent risk management comes at a cost. The firm's production policy is distorted in the absence of hedge disclosures.
These findings suggest that regulators must carefully investigate the trade-offs between production distortions and risk management distortions in evaluating the desirability of mandatory hedge disclosures for all firms.     

防范国际资本投机,保持金融平稳发展

进入21世纪,国际金融投机资本加速跨国转移,形成了独立运行于各主权国家金融监管范围之外的影子金融体系。这种影子金融体系通过各种形式规避主权国家的金融监管,不仅对国际金融秩序造成     

中央银行监管政策与商业银行经营效率

随着金融市场的深化和开放,银行业者与学者都很关心监管政策与商业银行运营效率之间的关系.由于中国金融市场的特殊性,本文期望通过对全球数据进行定量分析而对中国金融市场的监管问题做出一个定性的解释.具体而言,本文通过对世界银行的数据进行随机前沿分析和Tobit回归分析,得出一系列银行监管政策,包括资本充足率,商业银行行为约束,监管体制和存款保险,与商业银行运营表现的关系.我们的结论证明银行监管政策与商业银行的运营效率有直接的联系.     

现金流量表快捷编制法的构想

财政部要求从1998年开始编制现金流量表,而准则中的方法较难掌握,且编制繁琐,一年一报,不利于及时提供企业有关现金流量的信息。针对准则中的缺陷和不足,可考虑用多栏式现金日记账编制现金流量表。     

Taking a View: Corporate Speculation, Governance, and Compensation

Using responses to a well‐known confidential survey, we study corporations' use of derivatives to “take a view” on interest rate and currency movements. Characteristics of speculators suggest that perceived information and cost advantages lead them to take positions actively; that is, they do not speculate to increase risk by “betting the ranch.” Speculating firms encourage managers to speculate through incentive‐aligning compensation arrangements and bonding contracts, and they use derivatives‐specific internal controls to manage potential abuse. Finally, we examine whether investors reading public corporate disclosures are able to identify firms that indicate speculating in the confidential survey; they are not.     

控制管理机会主义的有效工具——可转换债券

管理者一般都有过度投资的倾向,但是可转债通过其可转换性,可以改变公司的债务水平,进而可以控制管理机会主义。设计良好的可转债在控制管理机会主义方面具有独特的优势,而债券和股票却没有此方面的优势。