A Simple Measure of Price Adjustment Coefficients

One measure of market efficiency is the speed with which prices adjust to new information. We develop a simple approach to estimating these price adjustment coefficients by using the information in return processes. This approach is used to estimate the price adjustment coefficients for firms listed on the NYSE and the AMEX as well as for over-the-counter stocks. We find evidence of a lagged adjustment to new information in shorter return intervals for firms in all market value classes, and some support for the proposition that prices adjust much more slowly and with more noise for smaller firms.     

A Note on Forward Price and Forward Measure

The forward measure is convenient in calculating various contingent claim prices under stochastic interest rates. We demonstrate that caution needs to be drawn when the forward measure is used to price contingent claims that involve multiple cash flows. We also derive partial different equations for the forward price to demonstrate how forward contracts can be used for dynamic hedging and how hedges can be conducted if the payoff of a contingent claim depends on the forward price.     

A Simple Measure for Examining the Proxy Problem of the Short-Rate

The behavior of a finite-maturity yield used as a proxy for the short-rate can deviate substantially from that of the short-rate, which causes estimation biases of model parameters and pricing errors of interest-rate claims. This study proposes a simple measure that visualizes this deviation based on an analytical approximation of the term structure of interest rates. The computation of the measure is almost as easy as that of an affine model, so the adequacy of proxy can be readily checked even for short-rate models that do not admit closed-forms of bond prices.     

土地面积和地价单位换算的简便方法

由于历史原因,我国土地面积的计量单位在不少场合仍沿用"亩"这个单位.基准地价也往往用"万元/亩"作单位.但我国土地面积的法定计量单位是"平方米".土地面积单位在"亩"与"平方米"之间以及地价在"万元/亩"与"元/平方米"之间的换算,还是土地价值评估中经常要遇到的事情.     

资产价格波动与货币政策调整问题研究

近年来,尤其是在2007年,中国股票和房地产等资产价格快速增长,给宏观调控带来了很大挑战,因此央行在调整货币政策时是否应考虑资产价格的波动,已成为学术界讨论的热点问题。在这种背景下,本文通过对资产价格渠道在货币政策传导中有效性的实证检验显示,货币政策对资产价格有着较大的影响力,然而货币政策通过资产价格渠道影响实体经济效果有限。基于此,本文不主张把资产价格纳入货币政策规则,但是央行在制定货币政策时应关注资产价格的波动。     

股票市场的最优限幅间隔与股票价格调整速度

本基于股票价格的偏调整模型，估计了中国股市的价格调整系数，给出了股票价格信息揭示能力的直接证据。章首先确定了中国股票市场价格调整过程中的限幅间隔为13天。对沪、深两市的6只交易指数的实证结果显示，两市均需9天时间方能对新信息冲击实现充分调整。价格调整系数的研究体现了一种基于微观结构的方法、行为金融的视角，把价格形成原理和价格对信息的不完全反应特征相结合进而考察股票市场效率的研究思路，可对事件研究法作有益补充。     

修正的房价收入比:衡量我国城市房价泡沫水平的更优指标

改革开放以来,我国城镇居民可支配收入连续多年高速增长,本文通过构建一个包含收入增长的模型,估算城镇居民可承受的按揭还款房价收入比极值。在此基础上,考虑到实际购房分为首付和按揭还款两部分,提出了修正的房价收入比这一新指标,用于衡量首付部分或按揭还款部分是否存在泡沫。通过实证检验,发现我国房地产市场的泡沫主要集中在首付部分,且当首付比例超过20%以后,所考察的13个重点城市的房价都存在严重的泡沫。     

Stock Price Adjustment to the Information in Dividend Changes

This paper examines abnormal stock returns in the three years surrounding relatively large changes in dividends announced during the 1971 to 1990 period. The main results are that statistically and economically significant negative post-announcement abnormal returns of 11% and 17% over the post-announcement year are found for firms which decrease dividends and those which omit their dividends. Firms resuming and firms increasing dividends do not exhibit significant abnormal returns, on average, over the post-announcement year. The pattern of lagged price adjustment to negative dividend change information differs from that reported for 'earnings surprise' firms in important respects. While the dividend change firms do exhibit returns behavior consistent with year-to-year returns momentum, differences in prior year returns do not explain the differences in returns over the post-announcement period.     

从价格调整机制看通货膨胀

我国2004年消费者价格指数连续5个月增速超过5%.5%是公认的安全警戒线:超过5%,即可认为经济过热了,这次经济过热源于投机性的投资过热.其对物价的影响符合价格调整机制理论:当需求超过生产能力时,价格有上升的趋势.受此趋势影响,人们调高对未来价格的预期,价格上涨加速.这预示着如果政府不能有效控制需求和生产能力之间的缺口并改善预期,那么今后物价还有继续恶化的可能.     

Correction to: Local House Price Paths: Accelerations,Declines, and Recoveries

The Journal of Real Estate Finance and Economics - The article Local House Price Paths: Accelerations, Declines, and Recoveries written by Alexander N. Bogin, William M. Doerner and William D....     

基准地价修正系数法评估的风险研究

房地产价格评估的主要依据包括委托方提供的相关资料,国家的有关标准,地方政府公布的指导参考标准,估价人员的现场勘查收集资料、市场收集资料及估价经验,各种参考数据手册等.<中华人民共和国城市房地产管理法>规定,"基准地价、标定地价和各类房屋的重置价格应当定期确定并公布".当前,各地基本上均公布了基准地价.基准地价成为估价人员热衷采用的估价依据,甚至普遍把基准地价系数修正法作为地价评估的首选方法.这么做主要原因是,普遍认为该方法资料容易收集,价格标准是政府公布的,不会出现估价风险.     

Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada.     

Foreign and Local Institutional Ownership and the Speed of Price Adjustment

Abstract:  This paper examines the relation between the speed of price adjustment and stock ownership by foreign and local institutional investors using data from the Korean stock market. We show that returns of stocks with high foreign institutional ownership lead returns of stocks with low foreign institutional ownership, especially after foreign ownership restriction is lifted. Likewise, returns of stocks with high local institutional ownership lead returns of stocks with low local institutional ownership. These results support the idea that foreign institutional (local institutional) investors have faster access to or processing power of new information than local institutional (local individual) investors.     

我国证券市场的价格机制缺陷及改进措施

价格机制合理与否决定了证券市场的价值发现功能和资源配置功能的发挥程度,国内外实践表明,最有效的价格机制就是市场化的价格机制.目前我国证券市场的价格机制被严重扭曲,证券价格不是内在价值和供求关系的真实反映,形成了许多畸形的股票价格.这种扭曲的价格机制存在着极大的缺陷,不可能担当起引导社会经济资源流向的重任,会造成金融资源的错误配置.因此,我国证券市场必须加快推进市场化和规范化进程,努力培育市场化的价格机制,建立科学、合理的公司价值评价体系,切实提升证券市场配置与整合社会经济资源的能力.     

利率、汇率调整对房地产价格的影响——基于理论与经验的研究

本文首先构建了适合我国国情的房地产价格与利率、汇率关系模型，然后利用该模型对我国12个城市房地产价格与利率、汇率的关系进行实证研究。研究结果显示，利率与房地产价格呈负向关系；汇率与房地产价格之间具有相同的变化趋势，与理论分析有较大差异，表明我国金融制度仍存在缺陷，逐步完善金融市场才能更好地发挥利率和汇率调节经济的功能。因此，我们认为房地产价格保持相对稳定是房地产业安全运行的关键，在完善的金融制度下正确的利率和汇率政策能在此方面发挥重要作用。     

Earnings Announcements,Stock Price Adjustment,and the Existence of Option Markets

This paper employs a new approach to study the effects of option trading on the behavior of underlying stock prices. Extant research compares distributional properties of the stock price at two points in time divided by an event in the option market that might affect price behavior. As an alternative, we examine the stock price adjustment to the release of quarterly earnings using samples of firms with and without listed options. We find the two samples exhibit different adjustment processes, with the nonoption firms requiring substantially more time to adjust.     

中美黄金市场的价格发现和动态条件相关性研究

本文运用向量误差修正模型、Hasbrouck信息份额分析法和Engle(2002)提出的动态条件相关多元GARCH模型,研究从2004年11月18日至2008年11月17日期间,中国黄金市场与美国黄金市场的价格发现和动态条件相关性。实证结果发现:中国黄金市场现货和美国黄金市场期货、ETF三者间存在长期均衡关系,美国黄金市场ETF和期货在价格发现过程中居主导地位;中美黄金市场间的相关性随时间变化而动态改变,上海黄金交易所开设夜市交易及延长夜市交易时间,增加了两个市场的关联性,但中国黄金期货的推出和2008年全球金融危机的加深,又使中美黄金市场间的相关性有所降低。     

央行为什么不能将调控目标局限于物价?

文章对央行为什么不能将调控目标局限于物价问题进行了有力地阐述。