MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED

The Black-Scholes option price is increasing and convex with respect to the initial stock price. increasing with respect to volatility and instantaneous interest rate, and decreasing and convex with respect to the strike price. These results have been extended in various directions. In particular, when the underlying stock price follows a one-dimensional diffusion and interest rates are deterministic, it is well known that a European contingent claim's price written on the stock with a convex (concave. respectively) payoff function is also convex (concave) with respect to the initial stock price. This paper discusses extensions of such results under more general settings by simple arguments.     

住宅价格长期稳定上涨的理论界限

在“住宅零空关”假设下,住宅的理论租金和理论价格均由宏观经济发展水平和住宅存量共同决定。合理的住宅租金上涨率等于国民收入增长率减住宅存量增长率。合理的住宅价格增长率则等于市场贴现率减去该时点住宅理论租金与住宅理论价格之比率,超过这个界限的住宅价格上涨均被看作含有泡沫成分。     

A framework for analyzing money stock control under the Monetary Control Act

This paper analyzes the money stock effects of the Monetary Control Act (MCA) under a nonborrowed reserve (NBR) operating procedure. Prior to the passage of the MCA, policy was conducted under an interest rate operating target where reserve requirement reforms such as those introduced by the MCA had little influence on money stock variability. Under an NBR procedure however, the structure of reserve requirements may have a significant impact on monetary control. Our analysis indicates that the relative improvement in monetary control greatly depends on the degree of tightness exercised by the Federal Reserve over total reserves in an MCA regime. The tighter the control, the more significant the estimated monetary control benefits of the MCA under an NBR procedure.     

流动性视角下的非流通股定价策略分析

金融市场上的流动性对金融资产定价有重要作用。在Longstaff模型的基础上对“卖掉持有股票的权利”进行定价,可得出股票的流动性价格,进而得到非流通股的价格。通过分析可知非流通股的价格是禁售期的减函数,是流通股的增函数;股票的价格波动率越大,贷款利率与无风险利率的差越大,非流通股的价格是就越低;反之,非流通股的价格就越高。以我国股票市场的相关指数进行验证,上述结论依然成立。     

Product Regulation and Stock Prices: The Case of the US Food and Drug Administration

This study focuses on the stock market effects associated with the announcements of product approvals, denials and recalls by the US Food and Drug Administration (FDA), and the impact of product approvals on research and development expenditures (R&D) and forecasts of earnings by Value Line. When the FDA announces approvals, the shareholder wealth of affected firms increases significantly. The announcements of denials and recalls by the FDA are associated with stock price declines. The stock price impact of recalls is dependent on whether the firm voluntarily withdraws a product or if the withdrawal is mandated by the FDA. Specifically, voluntary recalls are not associated with a change in stockholder wealth, while FDA mandated recalls are associated with decreases in stock price. In addition, we find that partial product recalls have a smaller impact than total recalls. An examination of the effects on competitors' stock price reveals losses when the FDA announces an approval or a recall, but no imt for a d. An analysis of changes in risk around FDA decisions suggests that, on average, betas do not change around approvals, recalls or denials. In addition, our results suggest that announcement period stock price behavior is unrelated to risk changes except for approvals where returns are positive and significant for firms with either increasing risk or no change in risk. We also find that approvals are associated with increases in R&D and forecasts of earnings for the sample firms, with returns to stockholders upon announcement of the approval being related to the increases in R&D and short-term earnings forecasts.     

政府储备粮招标采购研究

本文认为,政府储备粮招标因标的大,投标者数量多,往往采用类似于第一价格密封拍卖方式进行,即根据每个投标者的报价,由低到高排序,并将其投标的粮食数量累加,直到累加的数量达到政府既定的采购数量为止。本文运用博弈论的招标理论,建立了一个政府储备粮招标采购模型,研究竞标企业的报价策略,模型分析了企业报价与其单位成本、竞标者数量等因素之间的关系。文章指出,企业的单位可变成本越大,竞价企业的数量越多,企业的报价越接近其单位成本。     

The forward-looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return

This paper aims to examine whether exchange rates can predict future changes in the stock market return and in the economic performance of a country. On the basis of a revision that incorporates relative stock price and rational expectation in Dornbusch's dynamic Mundell–Fleming model, I present a model that can be used for analysing the forward-looking ability of the real exchange rate. The model builds on the works of Campbell and Shiller (Journal of Political Economy, 95, 1987 and 1062), MacDonald and Taylor (IMF Staff Papers, 40, 1993 and 89) and Engel (American Economic Review, 106, 2016 and 436) which can also be converted into a forward-looking version of real exchange rate misalignment model to investigate whether the deviation of the real exchange rate from its fundamental value would contain an economically significant predictable component on forecasting the future stock price movement and the real output.     

Is corporate governance important for regulated firms’ shareholders?: Evidence from Japanese mergers and acquisitions

This paper compares the reaction of bidders’ stock prices to acquisition announcements by regulated non-financial firms, banks, and unregulated companies in Japan. Results suggest that regulated non-financial firms do not experience a significant stock price response at merger and acquisition (M&A) announcements, although banks’ and unregulated firms’ M&A announcements are regarded favorably by the stock market. Furthermore, the effect of stock option usage and strict boards on the stock price response is weak for regulated non-financial bidders. The results provide additional evidence that regulation results in managerial decisions’ having less influence on shareholder wealth and thereby changes the firm's optimal governance structure. In contrast, the results provide no clear evidence that, for bank bidders, there is a significantly stronger or weaker relationship between governance and the stock price response to an M&A announcement than that of unregulated firms or regulated non-financial firms. The result does not support the view that regulatory monitoring weakens the effect of ordinary governance mechanisms.     

The impact of the US stock market opening on price discovery of government bond futures

We examine price discovery in sequential markets for the 10-year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US stock market. Order flows in the bond futures markets are more informative for permanent price changes in the 30-min period after the US stock market opens. A placebo test using US statutory holidays confirms our findings. A cross-market analysis suggests that the increased price discovery in the bond futures is related to returns and net order flows of the US stock market.     

Does People's Bank of China communication matter? Evidence from stock market reaction

This paper tests whether the communication of the People's Bank of China affects market expectations and matters as a monetary policy tool. For that purpose, we first rely on a computational linguistic tool to measure the tone of PBC speeches and second, we use a high frequency methodology to estimate the effect of tone on stock price. Our results show that positive changes of the tone affect positively stock price in the Shanghai and the Shenzhen stocks markets. Additional extensions show that PBC communication still has a positive and significant impact on stock price even when controlling for all the monetary policy instruments implemented by the central bank, but that this impact is not persistent over time. One potential channel through which PBC tone affects stock prices is the risk-based channel of monetary policy.     

The impact of media coverage on IPO stock performance

This study uses signaling theory to examine the role of media coverage on IPO stock performance. Specifically, it investigates how coverage in credible financial media and the tone of media coverage about an IPO firm before and after its listing influence its stock performance. Results show that coverage in credible financial media about an IPO firm significantly impacts its stock price. Additionally, the findings show that uncertainty in the tone of media coverage about an IPO firm adversely influences its stock price. Overall, these findings contribute to signaling theory by addressing the impact of uncertain signals on investor behavior. Moreover, the findings reported in this study also contribute to the growing organizational literature on media by emphasizing the need for scholars to examine the content of media coverage, and specifically the role of uncertain media coverage, on firm-level variables.     

The grain trade and the failure of international control

In common with international agricultural trade in general the grain trade has remained immune to pressure for liberalization, and equally immune to suggestions of international management in the form of reserve stock holding, price floors and ceilings, or a full scale commodity agreement. What are the reasons for failure of such attempts in the past? Is there still a chance for GATT at least to minimize the adverse effects, especially on developing countries, of the present inefficient trading system?     

关于股权流通对价会计处理问题的探讨

股权流通对价在现有的会计制度下很难找到合理的处理方法。目前对股权分置,改革非流通股股东支付的股权流通对价的会计处理,应坚持股权流通对价、不让上市公司的所有者权益受损并与股权流通对价会计核算相一致的原则,在“长期股权投资”科目下增设“股权流通对价”明细科目,用来专门核算股权分置改革支付的股权流通对价的增减变化。     

Does internationalization make a difference? Stock market reaction to announcements of international top executive appointments

In recent years, there has been an increasing scholarly and practical interest in the internationalization of top management teams. It is argued that international firms need international top managers to meet the challenges arising from operating across borders. However, the few existing studies that focus on the link between top managers’ internationalization and firm performance yield inconclusive results. Thus, it is an open question if and to what extent international firms can benefit from international top managers. Drawing on upper-echelons theory, resource-dependence theory, and signaling theory, this paper examines how the stock market reacts to the appointment of an international top manager. Our empirical study of German firms employs an event study to analyze the direct impact of internationalization on a firm's stock price. Piecewise regression analysis reveals that a top manager's internationalization needs to exceed a certain threshold before investors incorporate this individual characteristic into their investment decisions. Furthermore, our analysis shows an inverted U-shaped relationship between internationalization and abnormal returns, suggesting that internationalization may have both positive and negative effects on a firm's stock price. We present several explanations for our empirical findings and discuss future research directions.     

Liquidity,exchange listing,and common stock performance

The liquidity of securities—the relationship between volume of trading and changes in market price—has won increasing recognition as an element of investment strategy in recent years. Relatively high liquidity is deemed to be a desirable characteristic of a stock, especially for the institutional investor, who typically trades in large volume. Thus, firms can generally be expected to seek means of enhancing the liquidity of their shares. One of the supposed means of accomplishing this is by listing one's stock on a national securities exchange. This paper examines the relationship of common stock liquidity to both exchange listing and price behavior during major up and down movements in the market. Our conceptual and empirical analyses indicate that liquidity is linked to price behavior; and we suggest that the view held by at least some corporate officers—that exchange listing increases liquidity—may be erroneous. More specifically, it appears that when the amount of firm capitalization is taken into account, exchange listing does not result in greater stock liquidity.     

International reserves and the global financial crisis

This study examines whether pre-crisis international reserve accumulations, as well as exchange rate and reserve policy decisions made during the global financial crisis, can help to explain cross-country differences in post-crisis economic performance. Our approach focuses not only on the total stock of official reserves held by countries, but also on the decisions by governments to purchase or sell reserve assets during the crisis period. We introduce new data made available through the IMF Special Data Dissemination Standard (SDDS) Reserve Template, which allow us to distinguish interest income and valuation changes in the stock of official reserves from the actively managed component of reserves. We use this novel data to gage how (and whether) reserve accumulation policies influenced the economic and financial performance of countries during and after the global crisis. Our findings support the view that higher reserve accumulations prior to the crisis are associated with higher post-crisis GDP growth.     

Replacement versus Historical Cost Profit Rates: What is the Difference? When Does it Matter?

This paper explains the Bureau of Economic Analysis methodology for computing historical cost and replacement cost measures of the net stock of capital in the US economy. It is demonstrated that there exists a threshold rate of inflation in the price of capital goods that keeps the percentage difference between the two capital stock measures constant. Hence, over periods when average inflation in the price index for capital goods is equal to the threshold value, historical cost and replacement cost profit rates would show equal percentage changes; an example of such a period for the US economy is 1946–2010.     

房价上涨、通货膨胀与货币政策的选择

在房价上涨助推通货膨胀理论分析的基础上,采取VAR和条件均值模型对房价上涨是否助长了通货膨胀以及货币政策的切入时机进行实证分析。结果显示,房价上涨通过影响总需求对通货膨胀有正向推动作用,房价上涨超过5%的6个月后存款准备金率上调,超过10%的12个月后利率上调。对此,提出积极调控房价并适时调整货币政策的建议。     

PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

We consider a financial market with one bond and one stock. The dynamics of the stock price process allow jumps which occur according to a Markov-modulated Poisson process. We assume that there is an investor who is only able to observe the stock price process and not the driving Markov chain. The investor's aim is to maximize the expected utility of terminal wealth. Using a classical result from filter theory it is possible to reduce this problem with partial observation to one with complete observation. With the help of a generalized Hamilton–Jacobi–Bellman equation where we replace the derivative by Clarke's generalized gradient, we identify an optimal portfolio strategy. Finally, we discuss some special cases of this model and prove several properties of the optimal portfolio strategy. In particular, we derive bounds and discuss the influence of uncertainty on the optimal portfolio strategy.     

CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL

We consider an American put option on a dividend-paying stock whose volatility is a function of the stock value. Near the maturity of this option, an expansion of the critical stock price is given. If the stock dividend rate is greater than the market interest rate, the payoff function is smooth near the limit of the critical price. We deduce an expansion of the critical price near maturity from an expansion of the value function of an optimal stopping problem. It turns out that the behavior of the critical price is parabolic. In the other case, we are in a less regular situation and an extra logarithmic factor appears. To prove this result, we show that the American and European critical prices have the same first-order behavior near maturity. Finally, in order to get an expansion of the European critical price, we use a parity formula for exchanging the strike price and the spot price in the value functions of European puts.