我国海域使用权招标拍卖市场机制分析与完善

海域使用权招标拍卖作为国有海域资源配置的重要方式之一,是海域使用管理制度顺应市场经济发展需要的突出表现。本文从参与主体、适用范围以及市场规模方面对海域使用权招标拍卖市场机制进行了现状分析,从保留价格计算、创新招标拍卖方式、构建交易平台等方面,对现有的海域使用权招标拍卖市场交易机制进行了完善,以期丰富和发展海域使用权的招标拍卖机制,提高海域使用权的市场化配置效率。     

非污许可权交易减排机理研究——基于社会成本角度

排污权交易制度是推动节能减排的一项行之有效的政策。本文从社会成本的角度分析由初始分配市场（一级市场）和两个并行的二级市场（转让交易市场和回购交易市场）构成排污许可权交易市场体系在激励企业污染自主减排上的经济学机理。     

The substitutes condition and the lattice structure of the set of stable allocations

In the many-to-one matching model with contracts, I show that there is no restriction on preferences weaker than substitutable preferences which guarantees that the set of stable allocations is a lattice. Thus, when contracts are not substitutes, removing agents from the economy may decrease the payoffs to existing agents on both sides of the market.     

Should we worry about the decline of the public corporation? A brief survey of the economics and external effects of the stock market

In recent years, the number of listed companies has been declining in many countries across the world. This paper provides a selective survey of the literature on the real economic effects of the stock market to assess the potential effects of this decline and determine whether it is likely to continue. The leading economic role of the stock market’s primary market, in which firms raise capital by issuing new shares, is to help growing firms secure financing. We discuss providing and certifying information, coordinating investors, and easing the redeployment of capital as the means through which capital allocation can be efficiently achieved. The main economic roles of the stock market’s secondary market, the trade in existing shares, is to provide liquidity to shareholders, to aid in price discovery and to provide diversification opportunities. Positive external effects from an active stock market may arise for consumers, labor and private firms due to increased corporate investment, more socially responsible business strategies and a more positive business climate. Negative external effects on capital allocation and productivity can arise from short-termism, market mispricing, and increased cross-ownership. Local stock markets can spur innovation and foreign direct investment (FDI) and reduce the risk of early cross-border acquisitions. Given the myriad of useful economic functions the stock market performs, a future entirely absent of public companies is difficult to imagine and the decline is therefore likely at some point to come to an end. Whether we need to worry about the decline depends on the relative importance of the positive and negative external effects, a topic we feel warrants more research.     

Eliciting the socially optimal allocation from responsible agents

We consider designing a mechanism to allocate objects among agents without monetary transfers. There is a socially optimal allocation, which is commonly known by the agents but not observable by the designer. The designer possibly has information about the existence of responsible agents. A responsible agent, when indifferent between his objects at two different allocations, prefers the first allocation to the second if the first allocation is closer to the optimal allocation than the second, in the sense that all the agents who are allocated their optimal objects in the second allocation are allocated their optimal objects also in the first allocation, and there is at least one more agent in the first allocation receiving his optimal object. We show that, if the designer knows that there are at least three responsible agents, even if the identities of the responsible agents are not known, the optimal allocation can be elicited.     

A mechanism for package allocation problems with gross substitutes

We consider a package allocation problem in which a seller owns many indivisible objects and the rest of the agents, buyers, are interested in packages of these objects. Buyers’ valuations satisfy monotonicity and the gross substitutes condition (Kelso and Crawford, 1982). The aim of this paper is to analyze the following mechanism: simultaneously, each buyer requests to the seller a package by announcing how much he would pay for it; once buyers have played, the seller decides the final assignment of packages and the prices, as long as this assignment makes no buyer worse off than with his initial request. The subgame perfect equilibrium outcomes of the mechanism correspond to the Vickrey outcome (Vickrey, 1961) of the market.     

Learning and stability of the Bayesian–Walrasian equilibrium

Under the Bayesian–Walrasian Equilibrium (BWE) (see Balder and Yannelis, 2009), agents form price estimates based on their own private information, and in terms of those prices they can formulate estimated budget sets. Then, based on his/her own private information, each agent maximizes interim expected utility subject to his/her own estimated budget set. From the imprecision due to the price estimation it follows that the resulting equilibrium allocation may not clear the markets for every state of nature, i.e., exact feasibility of allocations may not occur. This paper shows that if the economy is repeated from period to period and agents refine their private information by observing the past BWE, then in the limit all agents will obtain the same information and market clearing will be reached. The converse is also true. The analysis provides a new way of looking at the asymmetric equilibrium which has a statistical foundation.     

Value and liquidity under changing market conditions

Papers studying the liquidity of a market tend to focus on decisions involving the trade-off between the selling price and the time-till-sale for a given set of market conditions. This paper characterizes market conditions using a price-probability locus; a change in market conditions is some combination of changes in the level and/or slope of this locus. I show how the effect of either type of change on price and on the probability-of-sale can be decomposed into those commonly associated with an increase in the value and those which involve a substitution between price and probability. Two adding-up conditions restrict the set of possible predictions. Though the discussion focusses on real estate market, where scarcity is rationed by a mechanism which combines search and bargaining, the same ideas apply to markets with other types of selling mechanisms.     

Financial market equilibria with cumulative prospect theory

The paper first shows that financial market equilibria need not to exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. This is due to the boundary behavior of the cumulative prospect theory value function, which might cause an infinite short-selling problem. But even when a non-negativity constraint on final wealth is added, non-existence can occur due to the non-convexity of CPT preferences, which might cause discontinuities in the agents’ demand functions. This latter observation also implies that concavification arguments which has been used in portfolio allocation problems with CPT preferences do not apply to our general equilibrium setting with finite many agents. Existence of equilibria is established when non-negativity constraints on final wealth are imposed and there is a continuum of agents in the market. However, if the original prospect theory is used instead of cumulative prospect theory, then other discontinuity problems can cause non-existence of market equilibria even in this case.     

Allocation inequality in cost sharing problem

This paper considers the problem of cost sharing, in which a coalition of agents, each endowed with an input, shares the output cost incurred from the total inputs of the coalition. Two allocations—average cost pricing and the Shapley value—are arguably the two most widely studied solution concepts to this problem. It is well known in the literature that the two allocations can be respectively characterized by different sets of axioms and they share many properties that are deemed reasonable. We seek to bridge the two allocations from a different angle–allocation inequality. We use the partial order: Lorenz order (or majorization) to characterize allocation inequality and we derive simple conditions under which one allocation Lorenz dominates (or is majorized by) the other. Examples are given to show that the two allocations are not always comparable by Lorenz order. Our proof, built on solving minimization problems of certain Schur-convex or Schur-concave objective functions over input vectors, may be of independent interest.     

基金股票仓位与A股市场走势相关性研究

在划分股市牛熊周期的基础上,采用VECM模型和VAR方法对基金股票仓位变动与股票市场走势之间关系进行研究,结果表明基金股票仓位与股票市场收益率二者之间的关系存在着显著性和非稳定性,即基金作为主要机构投资者对股票市场的走势具有重要影响作用,而在股市的各个不同阶段,基金持仓比例的波动与A股指数收益率二者之间的关系各不相同。     

Portfolio selection in thinly traded environments—a case study

This paper proposes a flexible technique for selecting portfolios in an environment which includes thinly traded shares. The proposal uses the Capital Asset Pricing Model with a thinly traded beta estimator to generate the expected return input. This technique has the advantage of being applicable when the opportunity set includes well-traded securities, as the beta estimator converges to the ordinary least squares beta for well traded shares. In addition, it allows portfolio estimation to be carried out under a range of expected market performance scenarios. An empirical study on the Johannesburg Stock Exchange over the period 1974–85 indicates that the proposed method is superior to traditional techniques.     

Generalized coalitions and bargaining sets

We introduce new notions of bargaining set for mixed economies which rest on the idea of generalized coalitions (Aubin, 1979) to define objections and counter-objections. We show that the bargaining set defined through generalized coalitions coincides with competitive allocations under assumptions which are weak and natural in the mixed market literature. As a further result, we identify some additional properties that a generalized coalition must satisfy to object an allocation.     

Pricing Political Rallies

Why are political rallies free to attend? Fundraising is a central campaign activity and a perennial correlate of political victory. We argue that politicians set a zero price for rallies in order to reap a non‐pecuniary benefit: political support. An ‘allocation by waiting’ scheme selects those attendees with a lower opportunity cost of time relative to a standard ‘allocation by price’ scheme. Transactions costs mitigate Coasean bargaining by removing the secondary market, thereby altering the composition of the average rally crowd. This mechanism allows politicians to facilitate exchange with ‘general interests’: citizens who do not engage in rent seeking due to collective action costs but still stand to gain from redistributive policies.     

Evolution of heterogeneous beliefs and asset overvaluation

I analyze a model in which different agents have different non-rational expectations about the future price and cash flows of a risky asset. The beliefs in the society evolve according to a very general class of evolution functions that are monotone; that is if one type has increased its share in the population then all types with higher profit should also have increased their shares. I show that the price of the risky asset converges to the risk-neutral fundamental price even though all agents in the economy are risk-averse. The risky asset thus becomes overvalued as compared to the equilibrium with rational expectations. The overvaluation is a result of the evolution of beliefs and does not rely on such asymmetric assumptions as short-sale constraints or optimistic bias.     

Centralized allocation in multiple markets

We provide a characterization result for the problem of centralized allocation of indivisible objects in multiple markets. Each market may be interpreted either as a different type of object or as a different period. We show that every allocation rule that is strategy-proof, Pareto-efficient and nonbossy is a sequential dictatorship. The result holds for an arbitrary number of agents and for any preference domain that contains the class of lexicographical preferences.     

Estimation of market power in the presence of firm level inefficiencies

“The quiet life hypothesis” (QLH) by Hicks (1935) argues that, due to management’s subjective cost of reaching optimal profits, firms use their market power to allow inefficient allocation of resources. Increasing competitive pressure is therefore likely to force management to work harder to reach optimal profits. Another hypothesis, which also relates market power to efficiency is “the efficient structure hypothesis” (ESH) by Demsetz (1973). ESH argues that firms with superior efficiencies or technologies have lower costs and therefore higher profits. These firms are assumed to gain larger market shares which lead to higher concentration. Ignoring the efficiency levels of the firms in a market power model might cause both estimation and interpretation problems. Unfortunately, the literature on market power measurement largely ignores this relationship. In the context of a dynamic setting, we estimate the market power of US airlines in two city-pairs by both allowing inefficiencies of the firms and not allowing inefficiencies of the firms. Using industry level cost data, we estimate the cost function parameters and time-varying efficiencies. An instrumental variables version of the square root Kalman filter is used to estimate time-varying conduct parameters.     

Structural change accounting with labor market distortions

This paper quantifies the relative importance of sectoral productivity and labor market distortions for structural change in the U.S., India, Mexico and Brazil between 1960 and 2005. I use census data to compute human capital by sector and infer labor market distortions as sectoral gaps in wage per unit of human capital. I incorporate these distortions into a model of structural change, and calibrate the model to reproduce the time paths of sectoral shares of labor and value added for each country. Counterfactuals reveal that (1) TFP growth in agriculture drives most of the decline in its share of labor; (2) the role of labor market distortions is limited.     

Free Agency and the Allocation of Labor in Major League Baseball

In this paper we examine the allocation of labor under free agency by developing and testing a model to predict the migration of free agents. Data for individual players are used in a logit model that estimates the probability that a free agent will change teams as a function of several independent variables. Along with other authors, we find that free agents tend to migrate to big cities. In addition, we find evidence that the allocation of labor may be different under free agency than under the reserve clause and suggest a reason why Coase's theorem may not be applicable to this labor market.     

双重上市股票更有投资价值吗？——基于H+A股与A股的对比分析…朱宏泉，应潇潇

通过对比先在H股上市、后回到A股上市的股票（简记为H+A股）与仅在A股上市的股票上市首日收益率、上市后短期和长期收益的差异,探讨两类股票的投资价值。结果显示：相较于A股股票,H+A股上市首日收益更高,但上市后的短期收益和长期收益更低。究其原因,H+A股更高的上市首日收益与其发行定价低相关,短期和长期市场收益低既与公司的业绩不好相关,也与投资者的不认可相关,表明相较于仅在A股上市的股票,H+A股更不具备投资价值。