Exchange rate bifurcation in a stochastic evolutionary finance model

This paper analyzes the stability and fluctuations of the exchange rate with a speculative bubble using the methods of evolutionary finance and stochastic differential equations. It constructs a hybrid stochastic system for the financial market involving a discrete time process and a continuous time process. The discrete process models the bubble and is meant to capture the behavior of less sophisticated investors who trade infrequently. The continuous time process is a stochastic differential equation for monetary policy together with a backward stochastic equation for the exchange rate. Monetary policy is affected by the bubble and in turn affects the exchange rate as well as speculation. The bubble and exchange rate exhibit a form of bifurcation. This means the bubble and exchange rate experience fluctuations as the propensity to chase trends or switch predictors changes.     

自愿性审计师变更原因与投资者反应

本文选取2001￣2004年发生自愿性审计师变更的公司作为样本,采用事件研究法考察投资者对审计师变更公告中所披露不同变更原因的反应。研究发现,市场对于不同原因的审计师变更反应存在差异,投资者根据变更原因判定审计师变更为好消息的反应显著大于判定其为坏消息的反应。由此可知,投资者对于披露的变更原因信息具有一定的识别能力,不同类型的审计师变更会影响公司的价值。监管部门强制披露审计师变更原因有助于提高市场有效性。     

Foreign direct investment and financial markets influences: Results from the United States

This paper investigates the linkages among Foreign Direct Investment (FDI-greenfield and mergers and acquisitions (M&A)) decisions and equity market returns and volatilities. The central premise is that FDI decisions by Multinational Enterprises (MNE) are influenced, among other factors, by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is because of the events on the stock markets in general, and their volatilities, in particular, signal the vitality of the investment climate of the target country. Including capital market variables among the determinants of FDI is important for assessing the cost of capital and for evaluating direct investment and asset allocation decisions.Secondary time-series data (quarterly) were used on incoming US FDI from 1994 to 2018 along with data on independent variables such as exchange rates, inflation, market size, equity market returns, and equity market volatilities. Thus, the paper endeavors to contribute to the International Business literature by highlighting the role played of equity returns and volatilities in FDI decisions and therewith attempts to integrate finance (capital markets) with International Business/Strategic Decision making. Several different regression specifications (OLS, Fixed, and random-effects and VAR) were utilized to analyze the data, and capital market variables (stock returns and volatilities) were found to influence the location of production facilities by a multinational enterprise (MNE). In other words, the share of production capacity optimally located abroad, as well as M&A decisions, are influenced by capital market returns and volatilities.     

审计师会收取并购商誉风险溢价吗？——基于代理成本和经营风险视角

并购是企业提高竞争力的重要手段,但近期并购商誉中对未来预期的风险暴露引起资本市场震动。以2008—2018年中国A股上市公司为研究样本,实证分析并购商誉对审计费用的影响。研究结果表明：并购商誉与审计费用正相关,即审计师能够成功识别商誉风险并在审计费用上加以反应,体现出审计制度的有效性。通过作用机制检验发现,代理成本和经营风险在并购商誉对审计费用的影响中发挥了部分中介作用。进一步考虑外部监督的调节效应,发现机构投资者能调节代理成本和经营风险的中介效应。     

房地产泡沫的形成机理——基于行为经济学视角的分析

运用行为经济学相关理论,通过分析房地产市场微观主体从泡沫形成至泡沫破裂各阶段的心理和行为过程,探究了房地产泡沫形成的内在机理,并揭示了泡沫非理性的本质.最后针对房地产市场存在的非理性行为,提出应通过制度设计及借助税收杠杆等政策工具来规范房产交易、抑制过度投机,从而有效地防范和控制房价过度增长.     

Volatility smiles when information is lagged in prices

This study explores volatility smiles when stock market information is lagged, specifically in the REIT industry. A usual requirement is that REITs can only disseminate information relating to their property valuations once per year; therefore, this leads to the lagging effect. Within the context of exchange options (i.e. mergers), it seems that no study has researched on this theme. This article uses the Black & Scholes model to calculate implied volatilities and their corresponding implied options to illustrate arbitrage opportunities when exchange options emerge. The results illustrate that implied volatilities are different from non-implied volatilities. Further, arbitrage is still higher among REITs as opposed to other capital market instruments. Finally, just like other capital market instruments, REIT acquisitions generate alpha.     

Informal investors - A categorization,with policy implications

A number of studies concerning informal investors have been carried out over the last two decades. One main conclusion from previous research has been that the informal venture capital market is very heterogeneous, and that classifications for informal investors are needed in order to more accurately depict the informal venture capital market. In this paper we propose that the market could be divided in accordance with the informal investors' investment activity and competence. The study is based on a sample of 425 active informal investors, divided into four different categories: (1) Lotto investors; (2) Traders; (3) Analytical investors; and (4) Business angels. The empirical findings show that there are considerable differences between the four categories of informal investors; differences regarding the information sources used, the level of firm involvement, co-investing, investment horizons, and geographic preferences, to name some examples. As a consequence, each of the various informal investor types responds differently to private and public prospects or motivators. It is suggested, therefore, that the informal venture capital market could be more effectively analysed and depicted by using the proposed classifications and applying differing measures to each informal investor category.     

Mutual fund performance: The decision quality and capital magnet efficiencies

This study employs a two-stage network data envelopment analysis model to analyze the decision quality and capital magnet efficiencies of 155 mutual funds in Taiwan during the period 2007–2016. The empirical results show that fund managers improved their decision quality; however, their capital magnet efficiency declined. This study also found 10 mutual funds performing in decision quality and capital magnet efficiencies, from which practical suggestions are provided to investors. Finally, this study constructs a market competition matrix to help fund managers (and investors) improve their operating and portfolio performance, plus resource allocation.     

Aggregate volatility expectations and threshold CAPM

We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors’ expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation.     

基于EVA的中国纺织业上市公司股价泡沫分析

本文使用基于EVA的企业价值评估方法,对2006年年末以及2007年第三季末中国纺织业上市公司的股价泡沫状况进行了实证研究。通过对沪深两地纺织业上市公司的绝对泡沫以及泡沫度的计算发现,2006年年末中国纺织业上市公司的股票价格两极分化严重：大部分股票价格偏离价值形成泡沫,还有部份股票价格低于价值而被低估。而2007年第三季度末股价泡沫则非常明显,绝大部份公司股价存在泡沫。     

金融资产泡沫问题分析

本文从股市泡沫的概念出发,把泡沫分为理性泡沫和非理性泡沫,通过分析得出我国股票市场存在较多非理性泡沫,并进一步分析了我国股市泡沫的存在的表现。     

Institutional investors' attention to environmental information,trading strategies,and market impacts: Evidence from China

Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental event disclosure of listed companies and their impact on markets, aiming to reveal the mechanism of the lack of “green efficiency” in China's capital market from the perspective of institutional investors. The results show that institutional investors react to negative environmental events prior to the announcements, indicating premature information leakage in the market; in addition, their trading behaviors mitigate the immediate effect of negative environmental event announcements on stock price. After the event is disclosed, institutional investors engage in short‐term selling and long‐term buy and hold. This trading strategy undermines the irrational selling of individual investors in the event of disclosure, short‐term decline in stock price, and long‐term reversal of market overreaction. In a China context, institutional investors generally take environmental information into consideration. However, they fail to recognize the long‐term value effect of negative environmental events and instead cater to trading strategies towards market volatility.     

Capital outflow liberalization and stock market reaction in an emerging market: Experience from Greece

This paper examines the response of the Greek equities market to the liberalization of capital flows during the 1992–1994 period. While past empirical research has largely examined the effects of capital inflow liberalization in emerging markets, we focus on capital outflow liberalization. In particular, we consider changes in the regulatory environment that allow domestic investors to hold foreign risky assets. Employing a time series of daily equity returns, a wealth effect is found that is indirectly linked to the announcement of capital flow liberalization. Additionally, our results reveal a significant change in the daily return distribution before and after final implementation. The views expressed in this paper are solely those of the authors and should not be interpreted as those of their respective affiliations.     

Technovation and the informal investor

Technovation is a creative process in financial as well as technical terms. Inventors, entrepreneurs, and venture capital are the key ingredients in the technovation process. The key financial concepts include venture capital risk/reward trade-offs, discounted cash flow evaluation of income producing assets, and the risk-bearing role of entrepreneurs and venture investors. This paper discusses and illustrates the economic creativity of successful technovation, and explores the division of rewards between inventor/entrepreneurs and venture investors. Capital market gaps affecting the financing of emerging, technology-based ventures are identified. The paper concludes with a discussion of current research in-to the role of informal investors (essentially financially sophisticated individuals of means) as a source of risk capital for inventors and entrepreneurs.     

The impact of individual and institutional investor sentiment on the market price of risk

We examine the effect of individual and institutional investor sentiment on the market price of risk derived from DJIA and S&P500 index returns. Consistent with behavioral asset pricing models, we find significant positive response of rational sentiment suggesting greater incentive for rational investors to engage in arbitrage when the compensation for taking risk is greater. Further, an increase in irrational optimism leads to a significant downward movement, but an increase in rational sentiment does not lead to a significant change market price of risk. These results are robust for both market indexes, DJIA and S&P500 and for both individual and institutional investor sentiment.     

Value relevance and the dot-com bubble of the 1990s

During the dot-com bubble of the 1990s, equity market valuation was a popular topic for investors, financial analysts and academics. Some questioned whether traditional accounting and financial information had lost its value relevance, as stocks traded at multiples of earnings well in excess of historic levels, leading Alan Greenspan to caution against “irrational exuberance.” This study examines the relation between market valuation and traditional accounting/financial information before, during and after the bubble. We confirm previous research that documents a decline in the relation between market value and traditional accounting information leading up to the bubble period. However, we also document that after the collapse of the bubble in 2000 this trend reverses. We also examine two related metrics that may provide a rational explanation for this phenomenon, including the quality of earnings, and the aggressiveness of financial analysts’ forecasts, finding some support that earnings quality may contribute to the changes in value relevance, but not the aggressiveness of analyst forecasts.     

房地产市场泡沫的金融支持以及演化风险分析

本文从房地产行业价格形成的交易模型入手,分别分析了没有金融支持和有金融支持的市场均衡过程,研究了金融支持对房地产市场泡沫形成的推动作用。进而探讨了房地产市场泡沫化带来的金融风险,并在此基础上提出了遏制房地产市场泡沫的政策建议。     

Retail investors’ trading and stock market liquidity

The paper investigates the relation between retail investors’ participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors’ trading and stock market liquidity. Examination of the determinants of retail investors’ trading reveals that, on average, retail investors with more diversified trading activity tend to trade when liquidity is higher, the frequency of their arrival to the market is not affected by the level of liquidity, and retail investors are willing to trade at a lower liquidity level as sellers than as buyers. Moreover, retail investors’ trading does not create price noise at the aggregate market level. Overall, the evidence suggests that retail investors contribute to market quality.     

中国房价是否存在泡沫——基于省际面板数据的协整分析

本文在理性预期的框架下,从现值模型出发,得到了房地产价格与收入的关系式。如果房地产价格与收入是非平稳过程,只有当房地产价格与收入呈协整关系时,才没有房地产泡沫,否则将出现房地产泡沫。本文对我国31个省、市和自治区1999-2008年的面板数据进行分析,发现商品房销售价格与城镇居民可支配收入皆为一阶单整过程,并且两者存在协整关系,从而得知,从全国范围来言,我国房地产市场并不存在泡沫;进一步按东、中、西部分析,发现中西部地区房地产市场也不存在泡沫,但东部地区房地产市场存在泡沫。     

Mispricing in the odd lots market in Brazil

We study the case of mispricing in the odd lots equity market in Brazil. Contrary to expectation, odd lot investors are paying higher prices than round lot investors. The pricing difference between markets is affected by market returns, volatility and spreads. Our main hypothesis is that; once the assets traded in the odd lot market are more illiquid than their counterparts, the mispricing is driven by liquidity factors. Additionally, we show that the mispricing yields an arbitrage opportunity that is not being traded away in the Brazilian market. Therefore, we propose regulators to review the market design for odd lots in Brazil. We argue that reducing the minimal trading unit in the round lots market would benefit investors.