Price Bubbles in Laboratory Asset Markets with Constant Fundamental Values

We construct asset markets that are similar to those studied by Smith, Suchanek and Williams (Econometrica. 56, 1119–1151) in which bubbles and crashes tended to occur. The main difference between the markets studied here and those studied by Smith et al. is that in the markets studied here, the fundamental value of the asset is constant over the entire life of the asset. In four of the eight sessions reported here, we observe bubbles, which are prices considerably higher than fundamental values. The data suggest that the frequent payment of dividends is a major cause of bubble formation. The property that the fundamental value remains constant over the course of the trading horizon is not sufficient to eliminate the possibility of a bubble.     

Overconfidence and Bubbles in Experimental Asset Markets

This paper investigates the relationship between market overconfidence and occurrence of stock-price bubbles. Sixty participants traded stocks in 10 experimental asset markets. Markets were constructed on the basis of subjects' overconfidence: The most overconfident subjects form high overconfidence markets and the least overconfident subjects low overconfidence markets. Prices in low overconfidence markets tend to track the fundamental asset value more accurately than prices in high overconfidence markets and are significantly lower and less volatile. Additionally, we observe significantly higher bubble measures and trading volume in high overconfidence markets. Two possible explanations for these differences are analyzed: While price expectations are significantly higher in high overconfidence markets, no differences in the average degree of risk aversion were detected.     

Economic Data,Conventions, and Replication in Laboratory Asset Markets

Data extracted from naturally occurring markets and other economic environments often suffer from problems like data confounds and intercorrelations. We report results from a series of experimental markets that suggest some of the data problems can be overcome by using experimental techniques. We use predetermined (videotaped) draws to replicate results from prior research. This is contrary to the conventional wisdom in the literature, which holds that draws should be "live." Our results suggest that the price and allocation behavior of markets can be replicated using predetermined draws to initiate trading. Furthermore, the primary strength of the experimental method-control-is maintained.     

流动性约束与货币政策的资产价格效应

本文在新凯恩斯主义分析框架下,基于一个动态随机模型探讨了代理人消费流动性约束下的货币政策的资产价格效应,得到下列结论：资产价格波动通过财富效应影响代理人的消费。以利率为操作目标的最优货币政策应对股价、房价等资产价格波动做出反应,而其反应强度依赖于受流动性约束的代理人所占的比重。由于资产价格波动导致了流动性约束的时变性,最优利率规则对股价、房价等资产价格波动的最优权重也具有时变性。本文的实证分析表明,我国央行对房价和股价波动的利率调整具有时变性,以及此次金融危机爆发期间显现的这种时变性特征,与本文理论分析结果相吻合。     

流动性影响资产价格与消费价格的传导机制

对我国1998年1季度到2009年1季度的资产价格与消费价格的波动进行实证分析,发现货币供应量增加首先带来房地产价格上升,约两年后,消费价格指数开始上升,说明货币供应通过资产价格再传导到消费价格。在当前流动性再次增加的情况下,要考虑其对资产价格及通货膨胀预期的影响,并可实行分类增加信贷的政策,防止资产价格泡沫化。     

Financial Bubbles: Excess Cash,Momentum, and Incomplete Information

We report on a large number of laboratory market experiments demonstrating that a market bubble can be reduced under the following conditions: 1) a low initial liquidity level, i.e., less total cash than value of total shares, 2) deferred dividends, and 3) a bid-ask book that is open to traders. Conversely, a large bubble arises when the opposite conditions exist. The first part of the article is comprised of twenty-five experiments with varying levels of total cash endowment per share (liquidity level), payment or deferral of dividends and an open or closed bid-ask book. We find that the liquidity level has a very strong influence on the mean and maximum prices during an experiment (P < 1/10,000). These results suggest that within the framework of the classical bubble experiments (dividends distributed after each period and closed book), each dollar per share of additional cash results in a maximum price that is $1 per share higher. There is also limited statistical support for the theory that deferred dividends (which also lower the cash per share during much of the experiment) and an open book lead to a reduced bubble. The three factors taken together show a striking difference in the median magnitude of the bubble ($7.30 versus $0.22 for the maximum deviation from fundamental value). Another set of twelve experiments features a single dividend at the end of fifteen trading periods and establishes a 0.8 correlation between price and liquidity during the early periods of the experiments. As a result, calibration of prices and evolution toward equilibrium price as a function of liquidity are possible.     

流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究

流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性、规模和价值效应都是资产定价的因素     

量化宽松、流动性溢出与新兴市场通货膨胀

全球金融危机愈演愈烈,各国政府使出浑身解数以刺激经济回暖,随着短期利率接近于零,常规货币政策几近失效之时,美、英等发达国家试图通过量化宽松货币政策的实施刺激国内私人部门消费和投资的增长。当国内实体经济无法容纳这部分过剩的流动性时,必然导致流动性溢出,大量国际资本涌入大宗商品市场和新兴市场,催生资产泡沫,给新兴市场国家造成通胀的压力。本文通过新近发展的面板VAR模型分析了量化宽松政策的流动性溢出效应及其对金砖国家物价的影响。     

Aging, Asset Markets, and Asset Returns: A View From Europe to Asia

The extent of the demographic changes is dramatic especially in some Asian and European countries. This paper investigates the effect of aging on global asset markets and asset returns, focusing on markets for productive capital, and especially on interactions between European and Asian economic development. Aging has complex effects on the markets for real capital. If elderly people save less than younger people, interest rates will increase. At the same time, however, the younger generation becomes smaller, which reduces the demand for new investment. The equilibrium effect is thus uncertain. Our multicountry computational equilibrium model delivers a subtle picture: there will be some decline in the return from productive capital, but it is relatively small. We find noticeable interaction effects between labor market and pension reforms in Europe on the one hand, and the demographic and economic developments in Asia, especially India and China, on the other hand.     

Liquidity, Trading Size, and the Co-existence of Dealership and Auction Markets

This paper analyses the co-existence of two markets for the same shares, a quote-driven market and an order-driven market, as observed for example for the trading of continental shares on the London SEAQ International. The focus is on the trade-off between the uncertain execution price faced by investors on an auction market and the implicit transaction cost represented by the spread in a dealer market. We obtain that those investors who desire to make large trades will prefer to trade with the dealer, while trades of smaller size will be carried out on the auction market. Moreover, we explicitly investigate the interrelations between the two markets showing that the pricing policy followed by a dealer depends on the conditions prevailing on the auction market.
(J.E.L: G10, D40)     

动量和反转投资策略在我国股市中的实证分析

本文采用沪深两市1995年前上市的股票作为样本,发现我国股市中也存在明显的动量和反转盈利,且两种效应的强弱与大盘走势相关,当市场为牛市特征时,动量效应明显强于反转效应;当市场为熊市特征时,则反之.经典的CAPM模型无法解释动量和反转盈利的来源,检验表明投资者对不同类型信息的不同反应方式,可以很好解释我国股市中的动量和反转盈利,利用上述检验结果还可以解释我国股市中许多有趣的特征.     

Asset Bubbles, Leverage and 'Lifeboats': Elements of the East Asian Crisis

Collapsing credit markets have been blamed for the depth and persistence of the Great Depression in the United States. Could similar mechanisms have played a role in ending the East Asian economic miracle – and in creating fragility in global financial markets? After a brief account of the nature of the East Asian crises of 1997/8, we use the framework of highly-leveraged, fully-collaterised firms due to Kiyotaki and Moore (1997) to explore the impact of a credit crunch. The paper emphasises the fragility of equilibrium and how rapidly boom can turn to bust.     

流动性、股票定价及时变性：来自我国沪深股市的经验证据

本文在经流动性风险调整的资产定价模型的基础上,通过引进四个工具变量,构建了一个检验模型,于时间序列上对中国股票市场进行了实证分析。实证结果显示：我国的股市流动性单位风险溢价于时间序列上存在显著的时变性。从而证实了投资者之内生流动性风险对股票收益率之影响效应,进而揭示了一个货币供给量影响股市的一个作用机制,即股票价格的涨跌由于流动性水平的不同和由前者导致的流动性风险溢价要求的不同而受到影响。     

房地产市场理性泡沫分析

在目前我国居民消费平淡、投资渠道有限的情况下 ,发展房地产业 ,拉动内需 ,带动经济整体增长显然有着重要的意义 ,但促进地产市场健康发展的同时也要防止房地产过热 ,尤其是要防止出现严重的地产泡沫。本文以这一迫切的现实问题为导向 ,在回顾和借鉴有关经济“泡沫”的基本理论的基础上 ,构造了一个房地产市场的局部均衡模型 ,给出了地产均衡价格中理性泡沫产生和存在的条件 ,以及导致泡沫破灭的相应条件。在理论上我们的模型为行为人预期、银行信贷以及政府政策在地产泡沫形成中的重要作用提供了一个简明、统一的分析框架。模型的基本结论对历史上几次著名的房地产泡沫也有较强的解释力。在理论和实例分析的基础上 ,文章的最后给出了目前我国房地产市场是否存在泡沫的基本判断 ,以及如何进行宏观调控的几点建议。     

High-Frequency Trading,Liquidity Withdrawal,and the Breakdown of Conventions in Foreign Exchange Markets

Conventions, or “that the existing state of affairs will continue indefinitely, except in so far as we have specific reasons to expect a change” (Keynes 1936), play a central role in over-the-counter markets. For instance, by allowing expectations about the future to become more harmonized and orderly, they act as stabilizers for the provision of liquidity. Conventions might, of course, change at any time. Nonetheless, by being attached to the daily trading routine and/or integrated within the institutional structure, the confidence in their relevance and validity can be long-lasting. In the foreign exchange market, in particular, where prices are quoted to end-users on demand, market-making banks rely on a convention to quote prices to each other to maintain liquidity. However, the rise of algorithmic and high-frequency trading poses a practical as well as a theoretical challenge to such conventions. By reacting ultra-fast to new information, including to new limit orders submitted by others, markets largely populated with algorithmic traders have become susceptible to a withdrawal of liquidity at an unprecedented speed and scale. Using a high-frequency dataset provided by Electronic Broking Services (EBS), we investigate the process of liquidity withdrawal from the foreign exchange spot market. By doing so, we consider the crowding out of conventions associated with liquidity provision, traditionally upheld through mutual understanding among financial institutions – in other words, reciprocity and trust among humans.     

沪市“风格惯性”与“价格惯性”比较之实证研究

本文以1997～2003年沪市261支A股为样本．实证对比了＂风格惯性策略”和“价格惯性策略”的盈利性。结果表明．在我国股市上运用传统的价格惯性策略不能获利，而运用“风格惯性策略”，特别是买入过去6、9、12个月内收益最高的赢家组合．则能够获利。本文从行为金融学角度对这一现象作了理论分析。     

Conspiracies and Secret Discounts in Laboratory Markets

This paper uses laboratory methods to evaluate whether price-fixing conspiracies break down in the presence of opportunities to offer secret discounts. The primary treatment difference is whether or not buyer-specific discounts from the posted list price are permitted. In standard posted-offer markets, conspiring sellers almost uniformly find and maintain near-monopoly prices. But when the possibility of offering secret discounts is introd uced, sellers find sustaining collusive agreements much more difficult, and transactions prices tend to fall toward competitive levels. Secret discounts yield competitive outcomes less consistently, however, when sellers are provided ex post information about sales quantities     

我国资产管理市场的主要问题与对策

近年来资产管理成为我国资本市场上的一个热门话题。本文所说的“资产管理”是指资产拥有者出于保值、增值或其他目的,而将其资产交由他人进行管理的行为。与资产拥有者的自我管理不同,这是一种建立在委托基础上的外部财产管理安排。我国金融改革中新生的四大金融资产管理公司进行的“资产管理”,是自行处置所购买的银行不良资产,因此,不属于本文所考察的资产管理范围。 由于持续的体制改革和快速的经济发展,我国社会财