控股股东股权质押、控制权转移风险与广告投入

股权质押使控股股东面临控制权转移风险,其有动机进行市值管理。本文以2011-2019年中国A股上市公司为样本,考察股权质押情境下控股股东是否存在调整广告投入的行为。研究结果发现,控股股东进行股权质押后,公司广告投入水平显著提高,说明股权质押情境下控股股东会通过策略性地增加广告投入进行信息管理,而非通过削减广告投入进行向上盈余管理,证实广告具有短期股票回报效应;控制权转移风险较大时,控股股东股权质押对广告投入的正向影响更明显,说明股权质押情境下控股股东增加广告投入是出于缓解控制权转移风险的动机。进一步研究发现,在散户规模较大和产品直接与消费者接触的企业,广告更容易吸引投资者注意力,此时控股股东增加广告投入的动机更强,该行为短期内可以提振股价,但没有起到改善经营业绩的作用且加剧了股价波动。本文为资本市场和产品市场的联系提供了证据,且对相关部门加强上市公司广告费用监管具有一定的政策参考价值。     

Shared renewable resources and gains from trade under technology standards

Using a two‐country, two‐good model of international trade, we examine gains from trade and strategic interaction in resource management among countries that share renewable resources such as fishery stocks. Two goods are a resource good, which is the harvest of the shared stock, and some other good that may be thought of as manufactures. The productivity of the resource good depends on harvesting technology and the stock level. This paper focuses on technology standards (e.g., restrictions on fishing gears, vessels, areas, and time) over other methods for resource management because they are most commonly implemented in fisheries. Technology standards are modeled as a restriction on the harvesting technology; that is, under strict technology standards, firms exploit resources as if they are using inferior harvesting technology. We show that an opening up of trade may reduce the shared stock and cause steady‐state utility to decrease in a resource‐good importing country and increase in a resource‐good exporting country. Strikingly, when the shared stock is in jeopardy (a high demand for the harvest), steady‐state harvest is maximized after an opening up of trade by what we call multilateral resource management in this paper and both countries gain from trade.     

Optimal fishery harvesting rules under uncertainty

This paper derives the optimal fishery harvest policy in a real-option model with a stochastic logistic growth process, harvest-sensitive output price, and both fixed and variable harvesting costs. The policy specifies the harvest trigger and harvest size, while outputs from the model include the value of the fishery and the risk of extinction. The optimal policy is illustrated with data from the Pacific Halibut Fishery. For this particular case, the optimal policy recommends harvesting when the fish stock rises to about three-quarters the environmental carrying capacity, and the amount harvested should be approximately a quarter of the prevailing stock. This harvesting policy maximizes the value of the fishery, and importantly, the resulting risk of extinction is negligible. We also carry out some sensitivity analysis to see how the optimal policy (and the resulting fishery value and risk of extinction) change when the input parameters are varied, particularly the ecological parameters intrinsic growth rate and volatility of the stock, and also the economic parameters that have been ignored in previous papers (price sensitivity and fixed cost). If the optimal policy is followed, the risk of extinction will be negligible, except for very low growth rate and high volatility.     

反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究

本文利用2002年至2007年基金交易数据,从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明：我国开放式基金所投资的股票在中期内并不存在动量效应,相反存在显著的反转效应,基金的投资行为也表现出明显的负反馈交易策略;与前期股票的买入比率相比,股票的收益率以及收益率的波动对基金投资策略的影响更为明显;开放式基金前期的股票交易会加剧当期的股价波动。     

Reconciling economic and biological modeling of migratory fish stocks: Optimal management of the Atlantic salmon fishery in the Baltic Sea

The paper puts forward a model of the Atlantic salmon fishery in the Baltic Sea that integrates the salient biological and economic characteristics of migratory fish stocks. Designed to be compatible with the framework used for actual stock assessments, the model accounts for age-structured population dynamics, the seasonal harvest and competing harvesting by commercial and recreational fishermen. It is parameterized for the Simojoki River stock. The socially optimal policy for maximizing discounted net benefits from the fishery within an uncertain environment is determined using a dynamic programming approach and numerical solution method. Our results indicate that substantial economic benefits could be realized under optimal management without compromising stock sustainability.     

On Characteristics Momentum

This article investigates whether investors can benefit from information about equity style evolution. The study shows that portfolios formed by firm characteristics such as size, book-to-market, and/or dividend yield can be used to determine investment style dominance. Characteristics momentum, buying stocks with persistent in-favor characteristics and selling stocks with persistent out-of-favor characteristics, conveys valuable information about future stock returns. It is distinct and has longer-lasting effects than price or industry momentum in predicting future returns. In explaining the existence of characteristics momentum profits, this study highlights the importance of slow evolution of changes in firm characteristics. The lifecycle of investment styles can thus have predictive power for trend-chasing investors, who can potentially push up the price of stocks with an in-favor style, and depress the price of stocks with an out-of-favor style.     

International Management Strategies for a Straddling Fish Stock: A Bio-Economic Simulation Model of the Norwegian Spring-Spawning Herring Fishery

In this paper, a three-country dynamic bio-economic simulation model is presented for the spring-spawning herring fishery. The international spring-spawning herring fishery, based on potentially one of the most valuable fish stocks in the world, is currently recovering from a severe depletion of the stock and subsequent harvesting moratorium. Management of the herring fishery is complicated by its multi-nation exploitation, due to the highly migratory behaviour of the species moving between several coastal state zones (exclusive economic zones, EEZs) and the high seas (Ocean Loop). Based on extensive work invested on analysing both the biology of the herring stock and the fisheries economics around its exploitation we study here the profiles of different multi-agent management schemes, simulating catch levels, stock size and profit potentials of alternative management strategies. The stock dynamics are described by a linear discrete-time age-structured population model and the economics are presented by a rent maximising model with constant price of herring catch and different costs of harvesting and efficiency levels for the different national fleets. The simulations, carried out over several decades, show that the benefits of international co-operation far exceed the returns of a competitive open access fishery.JEL Classifications: C7, C15, Q22     

Financial Analysts,Firm Quality,and Social Responsibility

We suggest that financial analysts have an incentive to follow the stocks of socially responsible companies, because such stocks meet the growing demands and psychology of the investment community, who want to combine the usual investment goals with social responsibility. Socially responsible investors prefer to hold stocks of companies they perceive as socially responsible or of high quality. Financial analysts then help brokers' marketing efforts by supplying investors with more analysis for stocks of socially responsible or high-quality companies. Using scores from Fortune surveys on perceptions of community and environmental responsibility as a measure of social responsibility and Fortune survey measures of quality as a measure of company quality, we find evidence that stocks of socially responsible and high-quality companies are indeed followed by more financial analysts. The positive relationship among social responsibility, company quality, and analyst following remains significant even after controlling for the effects on analyst following of firm size, share price, the volatility of stock returns, and market-to-book value of equity.     

How Did It Happen?

This paper discusses the factors that led up to the stock price bubble of the 1990s. Foremost among these, it is argued, was the conventional view that stocks are the investment of choice for the long-run investor regardless of their price. This conventional view was based on a misunderstanding of academic theories developed over the past half century. Additional factors were the changing nature of US pensions which placed much more responsibility on the shoulders of the individual investor, and agency problems in investment management and the production of information about firm profitability. Finally there is some evidence that required rates of return were declining during this period.
(J.E.L.: G10 and G23).     

Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks?

The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar value stocks, we find statistical support for the assertion that the presence of a speculative stock increases the volatility and diminishes the price of the value stock. In addition, the temporal minimum price of the value stock during the last phase of the experiment is lower in the presence of the speculative stock (when the trading price of the speculative asset is declining sharply). These results indicate that an overreaction in the speculative stock tends to divert investment capital away from other assets. An examination of the relative magnitude of monthly closing price changes confirm strong correlations between the Dow Jones Average and the more speculative Nasdaq index during the time period 1990 to 2001 and particularly during the two years prior to the peak in March 2000 (0.72 correlation) and the March 2000 to August 2001 decline (0.79 correlation). Supplementary experiments using independent (or legally separate) markets trading the same asset show that a higher price in one market does not lead to a higher one in the other.     

Preference for Landings’ Smoothing and Risk of Collapse in Optimal Fishery Policies: The Ibero-Atlantic Sardine Fishery

Several world fish stocks are being explored at unsustainable levels and require management plans to rebuild stock abundance. Defining a management plan is, however, a complex task that entails multidisciplinary work. In fact, while it requires solid scientific knowledge of fish stocks, the inclusion of economic and social objectives is crucial to a successful management implementation. In this paper we develop an age-structured bioeconomic model where the objective function is modified to accommodate preferences from different stakeholders. In particular, we consider important characteristics that a management plan should take into account: profit maximization, fishermen’s preference for reducing landings’ fluctuations and risk of fishery collapse. Modeling preferences for reducing landings’ fluctuations is accomplished by defining a utility function with aversion to intertemporal income fluctuations. Building upon biology literature, we model precautionary concerns by incorporating a probability of collapse that depends on current spawning biomass. We illustrate how this framework is able to assist in the analysis and design of harvest control rules applying it to the Ibero-Atlantic sardine stock.     

The behaviour of Hong Kong stock prices

The primary function of a stock market is to allocate resources to the most profitable investment opportunities. If stock prices provide accurate signals for resource allocation, firms are able to make correct production–investment decisions, and investors are able to choose the most suitable stocks for investment. These choices are only possible if the market is efficient, that is, if stock prices ‘fully reflect’ all available information.

Hong Kong is now an international financial centre. Although Hong Kong's stock market is ranked as one of the five largest in the world in terms of turnover, little research has been devoted to the behaviour of its stock prices. This is a study of the efficiency of Hong Kong's stock market. It is based upon two widely accepted statistical tests, namely, serial correlation analysis and runs tests. Data used cover the daily prices of 28 major Hong Kong stocks over a period of four years from 1977 to 1980. The evidence is mixed; it does not provide clear support for the efficient market hypothesis.     

我国股市涨跌幅限制日内效应的实证研究

本文利用我国沪市ST股和普通股的5分钟高频数据对我国股市涨跌幅限制的效应进行分析。结果表明,虽然普通股和ST股在接近涨跌幅限制时均存在趋势反转现象,但普通股10％的涨跌幅限制存在一定的磁吸效应,而ST股5％的涨跌幅限制不存在磁吸效应。这与国外其他研究以及国内基于其他方法得出的研究结论存在差异。本文的分析还说明,国内所谓涨跌幅限制的冷却效应只是股价正常的均值回复,与涨跌幅限制制度无关。     

Market Underreaction and Overreaction of Technology Stocks

Several studies have assessed stock market under- or overreaction of stocks and there is some agreement among them. However, there is much disagreement about what constitutes market underreaction or overreaction, and the conditions that cause it. The substantial variation in results among studies may be partially attributed to the types of firms that are contained in any sample. We investigate this premise by focusing on a sample of technology stocks that experienced an extreme change in stock price, along with a corresponding control sample of non-technology stocks that experienced a similar extreme change in stock price on the same day.

Based on the subsequent stock price behavior of each sample, we find a greater degree of overreaction within extreme positive changes in technology stock prices (winners) than in non-technology stock prices. In addition, we find a greater degree of underreaction within extreme negative changes in technology stock prices (losers) than in non-technology stock prices. When considering winners and losers collectively for technology and non-technology firms, it appears the market is overoptimistic when it initially revalues technology stock prices relative to non-technology stock prices.

The degree of under- or overreaction of technology stocks varies within the sample of technology stocks, and is conditioned on firm-specific characteristics. Overall, our results suggest that technology stocks exhibit unique stock price behavior subsequent to an extreme change in price, and that this unique behavior can even vary among technology firms according to firm-specific characteristics.     

Are Oil Price News Headlines Statistically and Economically Significant for Investors?

While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns.     

Home Bias in International Stock Return Expectations

Despite the advantages of international portfolio diversification, actual equity portfolio holdings reveal a strong bias towards domestic stocks. One hypothesis is that this bias can be explained by stock return expectations expressed in probability judgments. To test that hypothesis and to analyze the underlying effects that might cause distortions in investors' expectations, we conducted a cross country study in Germany and the U.S. comparing participants' judgments about an identical set of German and U.S. stocks.

Results show that both test groups feel more competent about domestic stocks. The asymmetric perception of competence is connected with an asymmetric assessment of probabilities. For both test groups subjective probability distributions of stock returns are significantly less dispersed and more optimistic for stocks associated with high competence levels than for stocks associated with low competence levels.     

Parameter Uncertainty in CGE Modeling of the Environmental Impacts of Economic Policies

Political and economic factors usually determine the harvest sharesallotted to heterogeneous fisher groups harvesting upon the same fishstock. Given that the fishers harvest upon different segments of a fishstock with, for instance, cannibalistic tendencies, the shares allottedmay have considerable effect upon the well-being of the stock and theeconomics of the fishery. This paper analyses an existing allocationrule defining harvest shares allotted to two vessel groups (trawlers andcoastal vessels) in the Norwegian cod fishery. We apply a model with twointeracting age groups within a single fish stock, where the interactionhas both biological and economic implications. Requiring a first bestapproach to an optimal stock size results in no harvest in the firstyears studied. In order to ensure harvest amounts close to the historicharvest, we design a second best model giving optimal biological sharesin the build-up phase of the stock, and bioeconomic optimal shares atthe optimum fish stock level. The second best model recommends that foran increasing stock size the trawlers should obtain decreasing shares.We find that the actual allocation rule functions in a manner oppositeto the second best model, since this rule allocates an increasing shareto the trawlers for an increasing stock size.     

Capital account liberalization and dynamic price discovery: evidence from Chinese cross-listed stocks

We analyse the effects of a recent financial reform (Shanghai-Hong Kong Stock Connect) that enables cross-market investment between Hong Kong and Shanghai stock exchanges. Using a VECM, we find that the reform announcement considerably narrows the equilibrium level of price disparity and strengthens the price comovement of shares that are cross-listed in both markets. The estimated equilibrium relationship is in support of the relative law of one price. We find that both markets adjust in response to a disequilibrium in price disparity, leading to a sizeable error correction activity. The Shanghai market contributes to approximately two-thirds of the price discovery process. Competition and informativeness of trading affect the relative role of price discovery in each market. Finally, the reform implementation reinforces the long-run cointegration relationship and strengthens the short-run price comovements of cross-listed stocks despite the widening price disparity during the period.     

The Availability Heuristic and Reversals Following Large Stock Price Changes

The author explores the effect of the availability heuristic on large daily stock price changes and on subsequent stock returns. He hypothesizes that if a major positive (negative) stock price move takes place on a day when the stock market index rises (falls), then its magnitude may be amplified by the availability of positive (negative) investment outcomes. In both cases, the availability heuristic may cause price overreaction to the initial company-specific shock, resulting in subsequent price reversal. In line with the hypothesis, the author documents that both positive and negative large price moves accompanied by the same-sign contemporaneous daily market returns are followed by significant reversals on the next 2 trading days and over 5- and 20-day intervals following the event, the magnitude of the reversals increasing over longer postevent windows, while large stock price changes taking place on the days when the market index moves in the opposite direction are followed by nonsignificant price drifts. The results remain robust after accounting for additional company (size, beta, historical volatility) and event-specific (stock's return and trading volume on the event day) factors, and are stronger for small and volatile stocks.