知识产品在线定制的交易成本分析及其治理机制研究

近期国内外出现了一批专注于知识产品定制交易的在线市场。虽然这些在线市场可以降低交易双方的搜索成本,但面临着由各种因素引发的高交易成本的挑战。文章从知识产品在线定制交易的特点出发,刻画了此类交易中主要的交易成本因素,构造了一个交易成本分析框架,并基于该框架讨论了可用的交易成本治理机制,最后观察了国内外三个典型的知识产品在线定制市场的交易成本治理实践。文章为知识产品在线定制的市场设计和管理提供了理论指导和实践经验。     

Numeraire portfolios and utility-based price systems under proportional transaction costs

In a discrete-time incomplete financial market with proportional transaction costs and with independent and bounded returns, we prove the existence of a consistent price system that can be written as the expectation of the discounted claim under the real-world probability measure P and not just under a martingale measure. In fact, the claim is then discounted by some specific dynamic portfolio called the numeraire portfolio as in the classical case of markets without transaction costs. For that specific numeraire, P will be a martingale measure. Naturally, the concept of a numeraire portfolio has here to be adapted to the concept of consistent price systems for markets with transaction costs. Moreover, again as in the classical case, the numeraire portfolio can be chosen as log-optimal portfolio. The same analysis works for power utility functions. However, then a change of measure is necessary. This paper applies methods from stochastic dynamic programming to finance.     

Collective rationality and functional wisdom of the crowd in far-from-rational institutional investors

The average portfolio structure of institutional investors is shown to reproduce the structure which optimally accounts for transaction costs when investment constraints are weak. Strikingly, this result emerges even though these investors are not aware of the existence of such law and despite the fact that their aims and tools are very heterogeneous. This extends the so-called wisdom of the crowd to much more complex situations in two important ways. First, wisdom of the crowd also holds for whole functions instead of a point-wise estimates. Second, this shows that in socio-economic systems, the optimal individual choice may only be found when the diversity of individual decisions is averaged out. Thus, rationality at a collective level does not need nearly rational individuals with well-aligned incentives. Finally we discuss the importance of accounting for constraints when assessing the presence of wisdom of the crowd.

     

Causes of cross-autocorrelation in security returns: Transaction costs versus information quality

We examine empirically the role of transaction costs and information quality as causes of cross-autocorrelations in security returns. Nonsynchronous trading influences are addressed by forming weekly returns based on averages of closing inside bid and ask quotations for NMS securities. Stock return volatility scaled by the bid-ask spread is employed as a proxy for transaction costs and trading volume is used as a measure of information quality. We find evidence that both transaction costs and information quality may contribute to cross-autocorrelations, but that information quality dominates transaction costs in explaining cross-autocorrelations after controlling for autocorrelation influences.     

Profit opportunities with the American put-call parity when dividends are not expected

The objective of this research is to study borrowing and lending profit opportunities with the put-call parity of American options when dividends on the stock are not expected. Studying profit opportunities embedded in the put-call parity is intriguing because of their relative simplicity. The only assumptions necessary for the parity to hold are that option markets are frictionless and generate efficient prices of puts and calls around the underlying stock price. For this reason alone (parsimony of postulates) the put-call parity is a tempting vehicle for studying option market efficiency. In this work it is shown that both synthetic lending and borrowing parities (before and after transaction costs), on average and ex post, have negative expected profits (i.e. put-call parity implied rates are inferior to the observed riskless rate). When certain trading rules are established, however, empirical evidence of substantial profit opportunities with both lending and borrowing with the American parity (even after considering transaction costs) is observed. It is also shown that these opportunities are greater for some stocks than for others. The existence of these disparities might be an indication that the pricing mechanism of the respective options is not always in sync. The duration of disequilibrium between the options market and the stock market suggests that such occurrences are not just random bursts.     

分工、交易效率与双边市场的形成

基于分工和交易费用两难冲突,运用新兴古典经济学理论,解释了双边市场形成和演进的根本原因。双边市场是一种特殊的中间平台;它是交易效率改进到一定程度导致的专业化水平提高和分工深化的结果。双边市场的出现和发展也预示着市场经济演进到了更高的层次。     

Transaction Costs and the Structure of the Market: A Case Study

A bstract Drawing upon the development of fish markets in a Chinese fishery community, this paper investigates the impact of transaction costs on the institutional structure of exchange. Fish markets in this region are connected and organized into a hierarchical network. This structure of fish markets dramatically reduces the cost for geographically distanced fishermen and consumers to execute trades. However, the provision of the market itself requires entrepreneurial el forts. In this study, the market is conceptualized as a continuum of middlemen, whose entrepreneurial efforts of buying and selling make the market work. When the middleman makes profits, the market is at work. Otherwise, the market fails to emerge. Comparing the different ways of organizing fish transportation at two distinct villages, this paper shows that the choice of the market or the firm to organize fish transportation is determined by the cost of putting the market to work.     

Golden eggs versus plastic eggs: hyperbolic preferences and the persistence of debit

The popularity of debit cards is good news from a social perspective since they carry a lower transaction cost than other non-cash payment methods. Unfortunately, the reason for this consumer driven growth remains a mystery. Consumers do not benefit from any of the gains created by the low transaction costs. Rather, the incentives being offered to consumers encourage them to use credit cards despite higher transaction costs. We demonstrate that consumers may be using debit cards as a means of budgetary precommitment when preferences are hyperbolic. Using data from the 2004 Survey of Consumer Finances, we find that consumers substitute debit use for investment in illiquid assets as a method of self constraint as incomes fall.     

垂直关系、效率原则与社会福利研究

企业之间的垂直关系主要包括垂直一体化和垂直分离,具体选择哪种垂直关系,企业需要在规模经济、交易成本和提高成员激励的各种得失中进行权衡。从社会福利和产业组织政策来看,处于不同市场结构中的企业,其进行垂直一体化和垂直分离的效率后果不尽相同,由此也导致了不同的社会福利水平。     

TAXI DEREGULATION AND TRANSACTION COSTS

Deregulation of taxi markets has the potential to deliver significant benefits. However, it presents the problem of transaction costs and in particular problems linked with imperfect information and co-ordination. This article argues that the use of a centralised intermediary in deregulated taxi markets can overcome these problems so that the benefits of competition are maximised, without the need for government fare regulation.     

Testing affine term structure models in case of transaction costs

We empirically analyze the impact of transaction costs on the performance of essentially affine interest rate models. We test the implied Euler restrictions and calculate the specification error bound of Hansen and Jagannathan to measure model misspecification. Using both short-maturity and long-maturity bond return data we find, under the assumption of frictionless markets, strong evidence of misspecification of affine yield models with up to three factors. Next, we incorporate transaction costs in our tests. The results show that the evidence of misspecification of essentially affine yield models disappears in case of monthly holding periods at market size transaction costs.     

Intertemporal consumption choices,transaction costs and limited participation in financial markets: reconciling data and theory

This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation‐based explanation of the Consumption Capital Asset Pricing Model's poor empirical performance and the transaction costs‐based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non‐participation in financial markets. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4% of non‐durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating in financial markets. Copyright © 2010 John Wiley & Sons, Ltd.     

Price functionals with bid–ask spreads: an axiomatic approach

In Jouini and Kallal [Jouini, E., Kallal, H., 1995. Martinagles and arbitrage in securities markets with transaction costs. Journal of Economic Theory 66 (1) 178-197], the authors characterized the absence of arbitrage opportunities for contingent claims with cash delivery in the presence of bid–ask spreads. Other authors obtained similar results for a more general definition of the contingent claims but assuming some specific price processes and transaction costs rather than bid–ask spreads in general (see for instance, Cvitanic and Karatzas [Cvitanic, J., Karatzas, I., 1996. Hedging and portfolio optimization under transaction costs: a martinangle approach. Mathematical Finance 6, 133-166]). The main difference consists of the fact that the bid–ask ratio is constant in this last reference. This assumption does not permit to encompass situations where the prices are determined by the buying and selling limit orders or by a (resp. competitive) specialist (resp. market-makers). We derive in this paper some implications from the no-arbitrage assumption on the price functionals that generalizes all the previous results in a very general setting. Indeed, under some minimal assumptions on the price functional, we prove that the prices of the contingent claims are necessarily in some minimal interval. This result opens the way to many empirical analyses.     

Endogenous incompleteness of financial markets: The role of ambiguity and ambiguity aversion

Incompleteness of financial markets has been widely questioned in the literature, but traditional research has been mainly focused on the role of transaction costs and asymmetric information in determining such incompleteness. This paper, instead, focuses on agents’ preferences, showing that the introduction of ambiguity and ambiguity aversion may induce investors to restrict their trading to a simpler set of assets, relative to which they are less likely to make errors.     

Sunk Costs, Contestability, and the Latent Contract Market

The idea that an industry with sunk costs may be contestable even in the absence of long-term contracts has received little attention informal economic theory yet is sometimes popular among practitioners. This paper formally illustrates the argument. In an infinitely repeated game, there exists a class of contestable outcomes in which the monopolist sells only on the spot market and charges low prices along the equilibrium path to prevent customers from resorting to long-term contracts. The crucial test for contestability is the level of transaction costs in the latent contract market.     

Influence costs and hierarchy

In an internal capital market, individual departments may compete for a share of the firm’s budget by engaging in wasteful influence activities. We show that firms with more levels of hierarchy may experience lower influence costs than less hierarchical firms, even though the former provide more opportunities for exerting influence. The unique influence-cost minimizing hierarchy is strongly asymmetric. With a linear production technology this is also the optimal hierarchy. If individual departments have different productivities, however, and the production technology exhibits decreasing returns to scale, a symmetric hierarchy that does not minimize influence costs may be optimal.Received: July 2004, Accepted: October 2004, JEL Classification: D74, G31, G34We thank Martin Hellwig, seminar participants at the University of Mannheim, and an anonymous referee for helpful comments, and Kai Konrad for handling the editorial tasks on this paper. Financial support from Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 504 (Inderst and Müller) and the Bank of Sweden Tercentenary Foundation (Wärneryd) is gratefully acknowledged.     

Real Options, International Entry Mode Choice and Performance

abstract    Recent scholarship suggests that combining insights from real option theory with transaction cost economics may improve decision-making models. In response to this suggestion we develop and test a model of international entry mode choice that draws from both perspectives. Examining samples of Dutch and Greek firms entering Central and Eastern European markets, we found that adding real option variables to a transaction cost model significantly improved its explanatory power. Additionally, firms that used the combined real option/transaction cost predicted choices had significantly higher levels of subsidiary performance satisfaction than firms that did not. Our results suggest that effective managerial decision-making may involve more than mere transaction cost minimization considerations; real option value creation insights also appear to influence the success of decision outcomes.     

The Fable of Land Reform: Leases and Credit Markets in Occupied Japan

Development officials and scholars routinely argue that land reform can raise productivity. It may not always do so, they write, but it can—and during 1947–1950 in Japan it did. Land reform may sometimes raise productivity, but it did not raise it in Japan. The claim that it did is a fable, a tale people tell and re‐tell only because they wish it were true. A lease is a credit transaction—a way for local elites (tied to local information networks in ways that banks can never be) to extend funds to farmers. Elites could lend money directly, but would need to create a security interest to protect their loans. Doing so requires legal procedures, however, and most local elites in prewar Japan lacked the university education necessary to manipulate those procedures. By contrast, a lease lets local elites protect their funds simply by retaining the right to evict tenants who fail to pay. As such, it represents a way for investors and farmers jointly to economize on credit market costs. The Japanese land reform program effectively banned this transaction‐cost economizing credit‐market strategy, expropriated the wealth of the investors who used it—and cut the rate of growth in agricultural productivity.     

Revisiting agency and transaction costs theory predictions on vertical financial ownership and contracting: electronic integration as an organizational form choice

This paper provides an organizational economics foundation to guide managers in matching the comparatively more efficient organizational mode with transactional characteristics such as: (1) the degree of (human capital) asset specificity involved in the transaction, (2) the degree of uncertainty surrounding the transaction, and (3) the number of trading partners (suppliers and buyers) in the vertical supply chain. The key role of technology, and more specifically the e‐business infrastructure and its effects on organizational mode choice, is highlighted. The main results from this analysis suggest that changes in information technology are changing the nature of transaction costs leading to more efficient management through an electronic integration solution thus favoring contracting and outsourcing than would have been technologically possible when Williamson's Markets and Hierarchies (Markets and Hierarchies: Analysis and Antitrust Implications. Free Press: New York, 1975) was published. It is emphasized that the transaction cost economics principles are durable but that the breathless advances in information technology, especially in the past decade, have comparatively favored lower transaction costs of markets over hierarchies. Copyright © 2006 John Wiley & Sons, Ltd.