Information Acquisition in Financial Markets

Previous work on information and financial markets has focused on a special set of assumptions: agents have exponential utility, and random variables are normally distributed. These assumptions are often necessary to obtain closed-form solutions. We present an example with alternative assumptions, and demonstrate that some of the conclusions from previous literature fail to hold. In particular, we show that in our example, as more agents acquire information, prices do not necessarily become more informative, and agents may have greater incentive to acquire information. Learning can therefore be a strategic complement, allowing for the possibility of multiple equilibria.     

Dual Labor Markets And Strategic Efficiency Wage *

We consider a dual labor markets model in which the primary sector requires the presence of eMiciency wage, while the secondary sector is competitive. We show that the Solow condition does not hold in a Stackelberg equilibrium where the primary sector acts as a leader and the secondary one as a follower.[J41]     

Information Acquisition and Government Interventon in Credit Markets

Market failure in the financing of risky projects is studied. Project risk includes idiosyncratic and aggregate components. Banks can investigate aggregate risk and can evaluate the idiosyncratic risk of each entrepreneur. They engage in Bertrand competition for entrepreneurs using interest rates. Information obtained by a bank on aggregate risk is fully revealed, and that on entrepreneur-specific risk is partly revealed. Banks will not investigate aggregate risk and will evaluate entrepreneurs too intensively. Efficiency can be improved by public acquisition of information on industry risk and by loan guarantees partially covering losses on projects that fail.     

信息不对称资本市场的实验研究

我们采用经济学实验研究方法构建了信息不对称的实验室资本市场,研究信息是否可以通过市场迅速传递。实验结果表明,在信息不对称的情况下,资本市场是非有效的;市场对信息的传递和价格反应是有条件的而且也是需要时间的;资本市场中的投资者并非完全理性,而是具有认知和行为偏差的普通人,存在过度自信和过度交易的情况;信息不对称还可能引起市场操纵行为,从而导致价格泡沫的形成。     

加快区域资本市场发展创新的战略思路

中国资本市场的发展对于发展市场经济所起的作用已为人们所熟知.但对于区域资本市场的发展创新及构建合理高效的区域资本市场格局等方面的认识还不很深刻和全面,因此有必要对我国区域资本市场发展创新的战略进行深入的探讨和研究.     

资本市场复杂性分析

传统的资本市场理论(CMT)在很大程度上基于公平合理的随机游动(布朗运动)或“鞅(Martingales)”,即对明天价格的期望等于今天的价格。     

Getting Shut Out of the International Capital Markets: It Doesn't Take Much*

We use a simple model of international lending to show that an emerging market borrower who might default can be shut out of international capital markets without warning. A modest haircut on obligations, for example, can shut down lending.     

The Commons with Capital Markets

We explore a dynamic commons problem and assess the welfare consequences of access to capital markets. The commons has a high intrinsic rate of return but its fruits cannot be secured by individual agents. Capital market access allows resources to be held securely and intertemporally transferred, but at a lower rate of return. In a two period model, we completely characterise symmetric consumption and extraction behaviour in four environments: under a strategic and a competitive equilibrium concept, and with and without market access. Strategic equilibria dominate competitive ones: while agents disagree over how to divide the resource, all would prefer it to be larger; the strategic concept allows them to anticipate returns to their conservation. As the number of agents becomes infinite, the strategic outcome converges to the competitive; as the number of agents falls to one, it converges to the planner’s. Market access has a positive effect on welfare owing to its consumption and extraction smoothing properties and a negative effect owing to its creation of an outside option to the commons, encouraging its depletion. A sufficient condition for autarky to dominate market access for some levels of communal endowment is that the world market discount factor exceed the subjective discount factor. Multiple equilibria may arise: these result from market access, not the equilibrium concept. The authors thank Ralph Bailey, Siddhartha Bandyopadhyay, Matthew Cole, Carl Devore, Felix Kubler, Chirantan Ganguly, Martin Jensen, Indrajit Ray, Celine Rochon, Dave Rusin, participants at the Royal Economic Society 2005 and an anonymous referee for valuable comments. They are grateful for funding under the ESRC’s World Economy and Finance programme (RES-156-25-0022).     

Price Dynamics in Repeat-Purchase Markets*

A retail market in which customers repeat purchase is modelled. When customer movement between firms is sluggish, price overshooting characterizes firms' optimal response to demand or cost shocks. Thus retail prices would be predicted to be more variable than wholesale prices, a prediction at variance with empirical evidence. Uncertainty in demand and customer imperfect information are introduced into the model to attempt to reconcile this inconsistency between theory and evidence. The introduction of demand uncertainty actually increases the magnitude of price overshooting. By contrast, the introduction of imperfect customer information reduces the variability in retail prices.     

Credible Collusion in Spatially Separated Markets*

In an infinitely repeated game, sellers employ a trigger strategy of mutual forbearance from invasion of each other's markets, stabilized against invasion by the threat of Bertrand pricing. Contrary to conventional static models, this article shows stability for a wide range of transportation costs and present value parameters, and that increases in transportation costs tend to destabilize the collusive agreement.     

International Capital Markets and Non-Scale Growth

New growth models exhibit "scale effects," meaning that variations in the levels of key variables exert permanent influences on growth rates. Such predictions run counter to recent empirical evidence. This paper extends a general non-scale model to the open economy. With complete capital markets, only output and capital, but not consumption, retain their non-scale structure. Introducing capital market imperfections, the model is again fully non-scale. Debt subsidies are analyzed and shown to provide capital flow reversals consistent with the recent experience in East Asia.     

Foreign Capital and Urban Congestion in Emerging Markets

Traditional literature emphasizes the role of foreign capital, especially foreign direct investment (FDI) in explaining the high growth rates that many emerging economies have enjoyed during 1990s and 2000s. The present paper accepts this conventional wisdom but argues that the FDI has also created problems of urban sprawl and congestion that would not be so intense if economic development had primarily come from domestic sources. This is because the FDI is typically concentrated in urban areas that abound in manufacturing and it neglects the rural areas where agriculture predominates. The paper suggests that a small tax on foreign capital tends to mitigate the side effects of foreign investment.     

Asset Markets and Investment Decisions*

In an incomplete asset market, firms assign values to investment plans by projecting their payoffs on the span of the payoffs of marketed assets. This is a criterion that does not require firms to possess information, such as the marginal valuation of revenue across date‐events by shareholders, which is not directly observable; rather, it is based on the prices and payoffs of marketed assets. Under standard assumptions, competitive equilibria exist. However, even in the absence of nominal assets, competitive equilibrium allocations are generically indeterminate. The set of competitive equilibria is indexed by the price level at each state of the world, which has implications for the effectiveness of monetary policy.     

资本运作战略研究

据有关资料统计,1998、1999和2000年,一级市场资金认购新股收益率分别高达28％、24％和20％,大大超出了同期银行存款利率、国债利率甚至是二级市场投资收益率。     

资本市场的实验经济学方法论研究

随着金融市场理论研究和实践检验的不断发展,资本市场的许多基础理论受到了极大的挑战,与现有理论相悖的异象不断涌现。新近兴起的实验经济学为人们研究资本市场提供了一条更为有效的途径。本文分析了实验方法在资本市场研究中的利与弊,介绍了部分资本市场实验的设计过程,并应用该方法分析了风险与收益、资本市场的效率、市场泡沫的产生和破灭、CAPM理论,以及交易制度等。文章指出,在资本市场中运用实验方法进行研究,具有可控性、可比性以及可重复性等优点,为我们对于资本市场诸多理论进行检验提供了可能。在资本市场实验的设计中,我们不但需要考虑实验的各种交易制度,还需要考虑到被试人员的选择、交易资产的确定以及市场信息的设计等很多问题,只有对这些问题进行全面地考虑,才能保证实验结果的可信度,进而为我们对于各种金融理论的检验提供可能。     

内部资本市场的研究进程：一个文献综述

本文对内部资本市场在经济体系中的角色和作用机制进行了文献综述。内部资本市场在缓解外部融资约束和改善资本配置效率方面具有重要作用,不仅在美国公众公司的价值创造中扮演了很重要的角色,还有望在市场经济转型期国家实现更高的价值创造和最优配置效率,并且对产品市场竞争、国家金融发展以及资本全球化等宏观经济问题也存在重要影响。与此同时,内部资本市场也带来了经理人代理成本、大股东利益侵占和非理性行为等问题。无论如何,这两方面的经济后果都相当重要。但目前业内对内部资本市场的研究还处于早期阶段。并且存在大量争议,还需要进一步深入和扩展。     

Contestability and Sustainability in Regional Airline Markets*

Since 1979, entry into the varied South Australian air passenger market has been unrestricted. This paper analyzes what has happened during the last four years with particular reference to the theory of contestable markets. Analysis shows that new firms have entered the market, services have increased significantly, new routes have been developed and that there is no apparent difference in the structure of fares on multi-firm and single-firm (monopoly) routes.     

Tax Progression and Human Capital in Imperfect Labour Markets

Recent contributions to the theory of taxation argue that tax progression raises welfare and employment in the presence of labour market imperfections. This literature takes the endowment of workers with human capital as given. The present paper analyses the effects of tax progression in a model with endogenous human capital formation. We show that the effect of tax progression on human capital investment depends on the deductibility of the cost of human capital formation. With full deductibility, tax progression raises employment and welfare. With incomplete deductibility, in contrast, the effect of tax progression on employment and welfare may be negative.