中国健康险市场逆向选择和正向选择并存现象的研究

本文以中国的健康险市场为例,考察不对称信息的影响。通过考察投保人投保金额以及附加险选择和索赔情况的相关关系,论文发现事后出现索赔的投保人,事前往往会选择购买附加险,但是投保金额却相对较低。结合理论模型分析,论文认为投保人在财富、风险偏好等方面的异质性以及信息不对称的存在是导致市场同时出现逆向选择和正向选择的主要原因。     

Borrower Mobility, Adverse Selection, and Mortgage Points

This paper analyzes a simple mobility-based model of mortgage lending and uses the results to illuminate the issue of mortgage points. The model predicts the points/interest-rate trade-off observed in the market, and it also predicts that mobile borrowers choose low-points/high-rate contracts from the available menu, in conformance with conventional wisdom. These outcomes are shown to be a result of adverse selection, which arises because of the lender′s inability to distinguish the mobility characteristics of borrowers. Empirical evidence is also presented showing the presence of a points/interest-rate trade-off in the market. In addition, relying on a proxy variable, the results establish that borrowers choose contracts from this menu according to mobility. Journal of Economic Literature Classification Numbers: G21.     

卖空威胁、公司融资扩张战略与违规行为

利用中国推出融资融券业务的准自然实验机会,本文以2010—2016年中国A股上市公司为样本,使用双重差分模型研究放松卖空限制对企业违规行为的影响。研究发现,融券业务允许市场中的知情投资者挖掘企业负面信息进行卖空,形成有效的卖空威胁,从而震慑企业,显著降低其发生违规行为的概率。具体而言,卖空交易行为跟企业违规行为的严重程度正相关;卖空交易行为能显著降低企业的超额收益率;当企业有进一步融资需求或并购扩张战略需求时,卖空威胁对企业的震慑作用更为显著。研究表明,融券业务带来的卖空威胁是企业外部监管的重要机制。     

Firm Characteristics as Cross‐sectional Determinants of Adverse Selection

Abstract:   We analyze the role of firm characteristics in determining the extent of adverse selection, and therefore liquidity, in securities markets. After controlling for the effects of the well‐established determinants of adverse selection, we find evidence that a firm's ratio of plant, property, and equipment to total book assets and its status as a public utility have additional explanatory power. To the extent that these variables are reasonable proxies for the firm's transparency of assets and regulatory environment, we assert these factors contribute to the adverse selection cost of transacting for our sample of NYSE listed S&P 500 firms.     

股权再融资与盈余管理研究辨析

对已有文献进行总结,是学术创新的重要基础。股权再融资过程中的盈余管理是值得研究的问题,本文归纳近几年的文献,从研究设计、研究技术路线、研究方法、未来研究趋势等方面对此问题进行梳理,以此来探寻关于股权再融资与盈余管理问题的研究现状及未来方向。     

社会保险市场上的逆向选择与公共政策干预:国际研究动态述评

随着社会经济的进步与发展,提供社会保险日益成为现代政府的重要任务,而信息不对称带来的逆向选择这一市场失灵问题是政府提供社会保险的主要经济依据之一。由此,近年来国际学术界涌现出一大批关于社会保险市场上逆向选择与公共政策干预问题的研究文献,在将理论与数据相结合以分析公共政策的福利影响方面出现了很多研究进展。本文就尝试对这一领域的研究进行总结与分析,为国内学术研究的开展与公共经济政策的设计提供有益借鉴。     

The Effect of Decimalization on Trade Size and Adverse Selection Costs

Abstract:   We examine adverse selection costs around NYSE decimalization. Further, we analyze the relation between adverse selection costs and trade size. We find a significant increase in the percentage adverse selection cost and a reduction in dollar adverse selection cost (percentage adverse selection multiplied by the spread) following complete decimalization on the NYSE. On estimating the adverse selection components by trade size classes, we find a decline in dollar adverse selection costs in trades of all sizes, with the strongest evidence coming from medium size trades, followed by small and large size trades. One implication of our findings is that there appears to be less stealth trading following complete decimalization and less institutional trading overall.     

保险市场逆向选择的信号传递博弈研究

在保险市场中,投保人比保险人更了解自己的风险状况,保险双方之间的这种信息不对称难以避免地会产生逆向选择问题,于是在保险人混同定价的情形下,低风险投保人要承受过高的费率而受损,高风险投保人因保险成本过低而削弱控制风险的激励,导致整个市场资源配置低效甚至因逆向选择螺旋而崩溃。通过引入信号传递机制来实现保险市场的分离定价,从...     

Credit Rationing,Income Exaggeration,and Adverse Selection in the Mortgage Market

We examine the role of borrower concerns about future credit availability in mitigating the effects of adverse selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with “low‐doc” mortgages originated prior to the Great Recession was due to adverse selection on the part of borrowers who could verify income but chose not to. We provide novel evidence that these borrowers were more likely to inflate or exaggerate their income. Our analysis suggests that recent regulatory changes that have essentially eliminated the low‐doc loan product would result in credit rationing against self‐employed borrowers.     

深市买卖价差逆向选择成分的估算与分析

本文以深市150家上市公司为样本，估算买卖价差逆向选择成分，研究逆向选择成分与公司特征之间的关系，并探讨其日内变化模式。研究发现信息不对称对深市买卖价差的贡献度为39％。公司规模越大，其股票的逆向选择成分越小；逆向选择成分随着交易量水平的上升而降低；高价股的逆向选择成分比低价股低。总体而言，逆向选择成分在早市呈现“倒U”型，在午市呈现“L”型。逆向选择成分与公司特征之问的关系及逆向选择成分的日内变动模式的实证分析结果，符合信息不对称与公司特征之问的逻辑关系及信息不对称的日内变动模式。     

Is the Adverse Selection Component Really Higher on the NYSE/Amex than on the Nasdaq?

Affleck–Graves, Hegde and Miller (1994) find that the adverse selection component of the bid–ask spread is higher for NYSE and Amex stocks than for Nasdaq stocks. Using the model of Huang and Stoll (1997), we revisit their study and find the opposite to be true – the adverse selection component is actually higher for Nasdaq stocks than for NYSE and Amex stocks. The economic magnitude of this additional adverse selection cost is very significant. Our results have important implications for the understanding of information production in dealer versus auction markets, and the costs of trading on such markets.     

Equilibrium in Competitive Insurance Markets Under Adverse Selection and Yaari's Dual Theory of Risk

Under Yaari's dual theory of risk, we determine the equilibrium separating contracts for high and low risks in a competitive insurance market, in which risks are defined only by their expected losses, that is, a high risk is a risk that has a greater expected loss than a low risk. Also, we determine the pooling equilibrium contract when insurers are assumed non-myopic. Expected utility theory generally predicts that optimal insurance indemnity payments are nonlinear functions of the underlying loss due to the nonlinearity of agents' utility functions. Under Yaari's dual theory, we show that under mild technical conditions the indemnity payment is a piecewise linear function of the loss, a common property of insurance coverages.     

Mortgage prepayment with an uncertain holding period

A discrete-time-option pricing model is developed to value a mortgage and its embedded prepayment option when the effective life of the mortgage is a random variable with a probability distribution of known parameters. The model can be applied when the borrower's ex ante expectation of his tenure follows any probability distribution bounded to the left at zero. The Gamma distribution is used to illustrate the model.The pricing model is further applied to determine the conditions under which financially motivated prepayment is optimal. The results show that the certainty model understates the Interest Rate Differential needed to justify prepayment (IRD) for short Expected Holding Period (EHP) borrowers and overstates the IRD for long EHP borrowers. When the EHP is relatively long, the certainty model provides relatively good estimates of IRD during the beginning years of the mortgage life. Under most other conditions, the estimates of the certainty holding period model are biased.     

Competing Risks of Mortgage Termination: Who Refinances,Who Moves,and Who Defaults?

The Journal of Real Estate Finance and Economics - Why, when, and who terminates their mortgages? The primary reasons for mortgage termination are refinancing, selling of the property, and default....     

The changing fortunes of FHA's Mutual Mortgage Insurance Fund and the legislative response

The 1980s was a bad decade for FHA's Mutual Mortgage Insurance (MMI) program, the mainstay of FHA's single family mortgage insurance. While the MMI Fund is required by statute to be actuarially sound, the Fund lost close to $6 billion dollars, and its economic value declined from 5.3 percent of insurance in-force to under one percent. This study documents the decline in the soundness of the MMI Fund in the 1980s and describes the legislation enacted in October 1990 to shore up the Fund.     

Adverse selection, volume and transactions around dividend announcements in a continuous auction system

We show that liquidity providers do not significantly respond to changes in information asymmetry risks, at least when we analyse their trading behaviour around dividend announcements of a representative sample of stocks in a continuous auction trading mechanism. the implicit bid-ask spread does not seem to change beyond what is normally conveyed through an increased number of transactions. We also document that the information in the trading behaviour of investors is primarily contained in the number of daily transactions.     

逆向选择、系统性风险与政策性农业保险可持续发展

本文介绍了政策性农业保险在发达国家的成功经验和我国的发展状况,对政府补贴情境下的农业保险市场均衡模型进行了研究,并得到了市场均衡条件下的免赔率方程。利用上述市场均衡模型,针对农业保险市场普遍存在的系统性风险、逆向选择和道德风险问题,从统一的政策性农业保险公司、多层次再保险体系建设等方面阐述了政策性农业保险体系的可持续发展策略。     

Credit Counseling and Mortgage Termination by Low-Income Households

Published research on credit counseling and mortgage termination is surprisingly scarce, despite substantial growth in this industry. While the purpose of counseling is to assist low-income borrowers to improve their handling of debt and thereby reduce default, counseling may also improve the borrowers understanding of their financial position and thus induce optimal mortgage termination. Using a competing-risks framework, we study the effects on default and prepayment of a counseling program implemented in several Midwest states. We find weak evidence of that the default hazard was lower for graduates of the counseling program, but that their default behavior was more optimal. The prepayment hazard was higher for counseled borrowers, but their prepayment behavior was not more optimal. Overall, counseling seems to affect the lenders profits, but the net effect should be evaluated both in terms of prepayment and default.     

Optimal Mortgage Refinancing: A Closed‐Form Solution

We derive the first closed‐form optimal refinancing rule: refinance when the current mortgage interest rate falls below the original rate by at least In this formula W(.) is (the principal branch of) the Lambert W‐function, where ρ is the real discount rate, λ is the expected real rate of exogenous mortgage repayment, σ is the standard deviation of the mortgage rate, is the ratio of the tax‐adjusted refinancing cost and the remaining mortgage value, and τ is the marginal tax rate. This expression is derived by solving a tractable class of refinancing problems. Our quantitative results closely match those reported by researchers using numerical methods.     

城乡居民医保逆选择的破解——一个基于不同人口年龄需求的设计

逆选择困扰了我国城乡居民医保事业的可持续发展.在原有的大病和重病保障之外,基于不同人口年龄需求设计一个有条件、有限度和有年龄差别的特殊医保待遇方案,让参保者在没有享受到大病重病医保待遇的情况下,也可获得一些与年龄相称的医保待遇.这一设计除了能增加参保的弹性,让各年龄群体都自愿积极参保,还可增强居民的健康意识,提高居民的健康水平,减少居民和医保的医药开支.此外,它还能促进基层医疗服务业的发展.