卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。     

Intranational Price Convergence and Price Stickiness: Evidence from Denmark

We show that estimates of the half‐life of deviations from the law of one price are biased when their precision is not taken into account when aggregating data for different types of goods. Using a comprehensive dataset with monthly price data for 124 homogeneous products across regions in Denmark over the period 1997–2010, we find a large positive aggregation bias. On average, we find that the half‐life is 8.4 months when taking the bias into account, compared with 28.7 months when applying the standard method. The heterogeneity in the estimated half‐life can be explained by price stickiness, distance between regions, and whether the good is traded or non‐traded.     

粮食价格预警模型与风险防范机制研究

随着我国粮食购销市场化的加速推进,影响粮食安全的各种不确定因素增多.笔者在对粮食价格运行状态的类型进行界定的基础上,构建了粮食价格预警的控制论模型,分析了粮食价格调控系统的构成.这一系统包括模型系统和专家系统两部分.模型系统又包括信息采集系统、信息分析与推断系统、风险识别系统、信息输出与警报系统、预控对策系统等.笔者还设计了三种粮食价格定量调控模型,并对构建粮食价格风险防范机制提出了建议.     

IPO定价机制选择：固定价格、拍卖与累计投标

本文进一步拓展了Biais和Faugerson-Crouzet（2002）的模型。研究发现，固定价格定价机制由于不能收集投资者关于股票的真实信息，其抑价水平往往高于拍卖（统一价格拍卖）以及累计投标定价这三种定价机制，只有在投资者拥有的私人信号全部是坏信号的情况下，三者之间的抑价水平才会一致。拍卖与累计投标的抑价水平差异取决于投资者的理性约束行为。     

The Determinants of Sticky Prices and Sticky Plans: Evidence from German Business Survey Data

So far, there is no consensus on the price adjustment determinants in the empirical literature. Analyzing a novel firm‐level business survey data set, we provide new insights on the price setting behavior of German retailers during a low inflation period. Relating the probability of both price and pricing plan adjustment to time‐ and state‐dependent variables, we find that state‐dependence is important; the macroeconomic environment as well as the firm‐specific condition significantly determines the timing of both actual price changes and pricing plan adjustments. Moreover, input cost changes are important determinants of price setting. Finally, price increases respond more strongly to cost shocks compared to price decreases.     

Resource Price,Macroeconomic Distortions,and Public Outlay: Evidence from Oil-Exporting Countries

This study examines the repercussions of oil price and macroeconomic distortions on government expenditure in 15 oil-exporting countries. Adapting the Pooled Mean Group analytical approach, the long-run findings are indicative of a blend of the Dutch disease and rent-seeking hypothesis of the resource curse theory in oil-exporting countries. These effects crucially impact on the poor growth of the real sector in these countries, needed for diversification of their revenue base. Furthermore, both resource curses account for one of the reasons why fiscal deficits in oil-exporting countries have been on the rise. The country short-run coefficient for the balance of payment, economic growth, and exchange rate also supports the Dutch disease and rent-seeking hypothesis mix found in the long run. Also, the significant negative impact of oil rents in most countries shows that oil-exporting countries have been making attempts at diversifying their income sources; this is because proceeds from oil cannot be relied upon to adequately finance growing government expenditure, due to the volatile nature of oil prices, thus suggesting also that the volatility hypothesis is valid for most oil-exporting countries in the short run.     

Impact Fees and Real Estate Prices: Evidence from 35 Chinese Cities

Local governments often charge developers impact fees to finance local public goods. This has been practiced in Chinese cities for more than two decades; however, no empirical studies have tested the effect of impact fees on real estate prices. Using a panel data set for 35 large- and medium-sized cities from 1998 to 2008, we find that impact fees lead to a significant increase in real estate prices. For a given city, an increase in impact fees by one yuan leads to an increase of about 5 yuan in the price of newly-built housing; a 1% increase in impact fees leads to an increase of 5 percentage points in the housing price index and 7 percentage points in the land price index.     

国有资产并购价格的形成机制与合谋风险防范

文章研究了公司并购价格尤其是国有企业并购价格的形成机制.首先讨论了在非合作博弈前提下,强制一次成交与多回合讨价还价的解空间;然后引入交易主持人的效用函数,分析合谋操纵下的价格扭曲及对资产出卖方的利益侵害;最后从多方面提出风险防范的改进措施.相关结论应用于国有企业的并购重组具有很强的现实意义,不但能提高交易的撮合成功率,有利于盘活国有不良资产,而且能有效防范串谋带来的不利影响,防止国有资产的非正常流失.     

Patterns and Determinants of Price Changes: Analysing Individual Consumer Prices in Austria

Abstract. We provide empirical evidence on the degree and characteristics of price stickiness in Austria by estimating the average frequency of price changes and the duration of price spells from a large dataset of individual price records collected for the computation of the Austrian consumer price index. The mean (median) duration of price spells in Austria amounts to 14 (11) months, but there is considerable heterogeneity across sectors and products. We find that price increases occur only slightly more often than price decreases. For both directions, the average magnitude of price changes is quite large (11% and 14%, respectively). The introduction of the euro cash in January 2002 led to more frequent but, on average, smaller price adjustments than usual. Estimating the probability of a price change in a panel probit model, we find a small but positive effect of the price spell duration on the incidence of price changes. Furthermore, product‐specific inflation, the size and the sign of the last price change and the period of the euro introduction significantly affect the probability of a price change.     

Pricing to Market of German Exporters: Evidence from Panel Data

This paper investigates pricediscrimination of German exporters across differentforeign markets. We examine the degree of pass-throughof exchange rate fluctuations in the pricing of 70export items. The model is estimated using panel dataon export unit values. Parameter estimation relies onGMM first difference, fixed effects, LAD, OLS firstdifference, and the random coefficients model. Themain results for 70 manufactured goods and 15destination countries between 1990–1994 are: Thedegree of pricing to market differs among destinationsand products. Highest pricing to market is observedfor U.S., Japan, Italy and Spain. Pricing to market ismore prevalent in exports of chemicals and fertilisersthan in machinery products.     

非理性股价与企业投资行为：来自中国上市公司的经验证据

股票价格的非理性变化是否会对资本配制产生重要影响呢?本文试图从实证的角度回答这一问题。利用一个面板VAR模型,我们发现,对于高流通股比例的企业,与基本因素相正交的Tobin's Q冲击对投资有显著影响。但是,方差分解显示,投资波动中可由Tobin's Q解释的比例很低。这些证据意味着,非理性的股价变化虽然会对真实投资产生影响,但其作用相当有限。结果还显示,股价的非理性变化主要通过迎合渠道,而非股本融资渠道影响投资。     

物价稳定与房价：货币政策视角

住房价格变化是货币政策需要关注的重要指标。本文在梳理现有文献的基础上,研究了物价稳定与房价变动的关系,发现房价是物价变动的重要原因,而M1和贷款利率是房价变动的格兰杰原因。通过进一步建立结构性VAR模型,我们发现房价受到贷款利率影响最大,而物价受到货币供应量的影响最大。针对房价与物价变动的三个场景可以采取不同的货币政策操作：1、房价过快增长,物价保持稳定。此时为了避免房价对未来物价的冲击,又不影响到当前物价的稳定,可以提高贷款利率,并保持相对宽松的货币供给以对冲房价下跌对物价的不利影响,达到抑制房价而不影响物价的效果。2、房价和物价双双过快增长。此时,应调整贷款利率、准备金率和货币供应量,三管齐下加以治理。3、物价过快增长,而房价较为稳定。为了避免打压房价,可以不调整贷款利率、准备金率,仅控制货币供应量。     

Heroin Consumption,Prices and Addiction: Evidence from Self‐reported Panel Data*

Estimation models of drug demand should encompass the aspect of addiction. Here, we consider two static panel data regression models and two cross‐section models with lags or leads in drug consumption as additional regressors. Heroin injectors attending a needle exchange service in Oslo were interviewed twice, with a one‐year interval. Despite our relatively small sample, we obtain statistically significant price and income responses for nearly all of the models and specifications applied. The sample is split by dealing status, with dealers obtaining price elasticities in the range of [?0.15, ?1.51] and non‐dealers [?0.71, ?1.69]. Somewhat surprisingly, the estimates of the variance of the latent individual‐specific variable are rather low in the panel data models, although higher for non‐dealers than for dealers.     

Entry Deterrence and Entry Accommodation Strategies of a Multiproduct Firm Regulated with Dynamic Price Cap

In this paper we study the way a multiproduct firm, regulated through a dynamic price cap, can develop a price strategy that uses the regulatory policy to deter entry. We consider a firm that initially operates as a monopolist in two markets but faces potential entry in one of the markets. We conclude that the regulated firm can have the incentive to block the entry. This strategy leads to the reduction of the price in both markets. However, the final effect of the entry deterrence strategy on total consumer surplus is not always positive.     

Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period

In this paper, we empirically examine the extent to which product downsizing occurred during the deflationary period in Japan, as well as the effects of product downsizing on prices and quantities sold. Using scanner data on prices and quantities for all products sold at about 200 supermarkets over the last 10 years, we find that about one third of product replacements were accompanied by a size/weight reduction. We also find that a 1‐percentage point larger size/weight reduction is associated with a 0.45‐percentage point larger price decline, resulting in an effective price increase. Finally, we show that the quantities sold decline with product downsizing, and that the responsiveness of the quantity sold to size/weight changes is almost the same as the price elasticity, indicating that consumers are as sensitive to size/weight changes as they are to price changes. Our results suggest that the Japanese consumer price index may be downwardly biased rather than upwardly biased.     

溢出效应、价格规制与企业投资激励——以电信产业“共建共享”政策为视角

电信运营商不愿参与"共建共享"缘于这项政策可能会降低产品差异化程度,加剧竞争。文章基于三阶段轮辐模型,从福利经济学角度考察无规制和存在接入价格规制情形下的最优投资水平发现,如果企业为争夺老用户竞争,溢出效应不仅会降低投资厂商与接入厂商之间的差异化,而且会导致厂商投资更加偏离社会最优投资水平;如果企业定位于拓展新用户,溢出效应反而可以提高全行业的经济效益,同时使得更多消费者享受到电信服务。但是,为消除市场失灵带来的投资偏离而采取价格规制政策会进一步扭曲厂商投资的激励。基于此,文章认为在电信用户迅速增长的今天,政府应出台更多"共建共享"的配套政策促进企业投资。     

Quality and Welfare in a Mixed Duopoly with Regulated Prices: The Case of a Public and a Private Hospital

Abstract. Hospital markets are often characterized by price regulation and the existence of different ownership types. Using a Hotelling framework, this paper analyses the effect of heterogeneous objectives of hospitals on quality differentiation, profits and overall welfare in a price‐regulated duopoly with exogenous symmetric locations. In contrast to other studies on mixed duopolies, this paper shows that, in this framework, privatization of the public hospital may increase overall welfare. This holds if the public hospital is similar to the private hospital or less efficient and competition is low. The main driving force is the single‐regulated price which induces under‐provision (over‐provision) of quality of the more (less) efficient hospital compared with the first best. However, if the public hospital is sufficiently more efficient and competition is fierce, a mixed duopoly outperforms both a private and a public duopoly due to an equilibrium price below (above) the price of the private (public) duopoly. This medium price discourages over‐provision of quality of the less efficient hospital and – together with the non‐profit objective – encourages an increase in quality of the more efficient public hospital.     

Non‐Linear Pricing and Price Indexes: Evidence and Implications from Scanner Data

Non‐linear pricing, the fact that prices do not necessarily change in proportion to size, is a ubiquitous phenomenon. However, it has been neither particularly well understood nor well measured. Non‐linear pricing is of practical importance for statistical agencies who, in constructing price indexes, are often required to compare the relative price of a product‐variety of two different sizes. It is usually assumed that prices change one‐for‐one with package and pack size (e.g. a 1‐liter cola costs half as much as a 2‐liter bottle). We question the wisdom of such an assumption and outline a model to flexibly estimate the price‐size function. Applying our model to a large U.S. scanner dataset for carbonated beverages, at a disaggregated level, we find very significant discounts for larger‐sized products. This highlights the need to pursue methods such as those advocated in this paper.     

House Prices,Wealth and Consumption: New Evidence from Australia and Canada

Over the past two decades, a number of countries have experienced appreciation in house prices at the same time that aggregate consumption has increased. This paper tests alternative hypotheses for this phenomenon by using repeated household surveys from Australia and Canada to identify the transmission mechanism that links consumption and household wealth. The empirical analysis suggests that neither a direct wealth effect nor a common causal factor likely accounts for the observed correlation between wealth and consumption in these two countries. Rather, indirect factors such as collateral effects arising from relaxation of credit constraints are a more likely explanation.     

政府审计的外部治理效应:基于股价崩盘风险的研究

作为一项强有力的政府监管措施,政府审计的作用及有效性是一个重要的研究话题.文章利用2009-2015年审计署实施的中央企业审计事件,从公司股价崩盘风险角度,采用双重差分模型研究了政府审计的外部治理效应.研究发现,在政府审计实施后,被审计公司的股价崩盘风险显著下降.在一系列稳健性检验之后,上述结果依然存在.进一步研究表明,政府审计通过促使被审计公司及时披露负面信息,缓解了公司股价崩盘风险;此外,政府审计越频繁,其缓解股价崩盘风险的作用越强,而且政府审计还存在溢出效应,未被审计中央企业在审计事件发生后的股价崩盘风险也出现下降.文章对于评估和完善中国政府监管具有重要的理论与实践意义.