中国资本市场不再是一个投机性市场

在近日于深圳举办的第四届中国虚拟经济研讨会上,中国人民大学证券研究中心主任吴晓求教授以"中国资本市场进入新的发展阶段"为题作了精彩的演讲,就目前我国资本市场发展的情况和问题提出了自己的看法.     

Spot versus forward speculation and hedging: A diagrammatic exposition

It has recently been recognized that the controversial implication of the Modern Theory of Forward Exchange, that the forward rate can differ from the rate required for interest parity, no longer holds when speculators are allowed to choose between spot and forward speculation. This paper shows this result within the diagrammatic apparatus usually used to describe the Modern Theory. The paper also shows the effect of importers and exporters choosing between spot and forward hedging. It is observed that when either speculators or traders can choose between money market and forward speculation/hedging, forward rates equal interest parity rates. The diagram can be adapted to consider borrowing-lending spreads etc.     

Stock market speculation and managerial myopia

This paper extends the analysis of managerial share price concerns by allowing informed trading in the stock market. It is shown that because they decrease the manager's information advantage vis-à-vis the stock market, individual investors who trade on private information improve the efficiency of corporate investment. This improvement does, however, fall short of first-best efficiency. Moreover, a stronger managerial share-price concern increases the expected profit from informed trading. Hence, by encouraging individual investors to collect information about corporate decisions and trade on it, managerial myopia tends to automatically bring forth a partial solution to the problems that it causes.     

证券市场中的审计师变更研究

研究审计师变更的动因、信息披露、市场反应等,有助于分析特定审计服务市场的特征,并为监管部门、投资者和审计职业界提供重要的决策依据.本文分析了有关发达证券市场审计师变更文献的观点、经验发现与结论,提出了我国开展相关研究的初步想法.     

Option pricing in a lognormal securities market with discrete trading

This paper derives a call option valuation equation assuming discrete trading in securities markets where the underlying asset and market returns are bivariate lognormally distributed and investors have increasing, concave utility functions exhibiting skewness preference. Since the valuation does not require the continouus time riskfree hedging of Black and Scholes, nor the discrete time riskfree hedging of Cox, Ross and Rubinstein, market effects are introduced into the option valuation relation. The new option valuation seems to correct for the systematic mispricing of well-in and well-out of the money options by the Black and Scholes option pricing formula.     

Arbitrage-free interval and dynamic hedging in an illiquid market

This paper derives two pricing PDEs for a general European option under liquidity risk. We provide two modified hedges: one hedge replicates a short option and the other replicates a long option inclusive of liquidity costs under continuous rebalancing. We identify an arbitrage-free interval by calculating the costs of the two hedges. Unlike in a setting with infinite overall transaction costs, the overall liquidity cost in our model is proved to be finite even under continuous rebalancing. Numerical results on option pricing and the moments of hedge errors of Black–Scholes and our modified hedges are also presented.     

我国证券市场应适时推出国际板

2009年4月国务院发布<国务院关于推进上海加快发展现代服务业和先进制造业、建设国际金融中心和国际航运中心的意见>,将上海证券交易所国际板的推出提上议程.促进上海证券交易所的国际化,成为上海建设国际金融中心的重要内容.本文分析归纳了我国已经基本具备推出国际板的条件,对推出国际板的利弊进行了简要分析,提出加快推出国际板的对策性建议.     

Perfect hedging under endogenous permanent market impacts

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function, we adopt a \(g\)-expectation. In contrast to the standard framework of financial engineering, a trader is no longer a price taker as any trade has a permanent market impact via an effect on the supplier’s inventory. The P&L of a trading strategy is written as a nonlinear stochastic integral. Under this market impact model, we introduce a completeness condition under which any derivative can be perfectly replicated by a dynamic trading strategy. In the special case of a Markovian setting, the corresponding pricing and hedging can be done by solving a semilinear PDE.     

Estimating liquidity premia in the Spanish government securities market

This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, a classification of bonds into four different categories based on their degree of liquidity is proposed. Second, liquidity premia are estimated introducing liquidity parameters in the estimation of the zero-coupon yield curve. Results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). The size of this premium is relatively small. In the case of pre-benchmark bonds, the lack of liquidity does not seem to be priced. It is also shown that these pricing discrepancies are robust to the impact of taxes on bonds.     

Stock index futures hedging in the emerging Malaysian market

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and bivariate GARCH(1,1) and TGARCH models, the paper uses differing variance–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels for the full sample period as well as the three sub-periods which encompass the Asian financial crisis and introduction of new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in-sample period depending on evaluation criteria used. TGARCH based models provide better hedging performance but only in the period of higher information asymmetry following the imposition of capital controls in Malaysia. Overall, despite the structural breaks caused by the Asian financial crisis and new capital control regulations, out of sample hedging performance of dynamic GARCH models in the Malaysian emerging market is as good as the one reported for the highly developed markets in the previous literature. The findings suggest that changes in the composition of market agents caused by large scale retreat of foreign investors following the imposition of capital control regulations do not seem to have any material impact on the volatility characteristics of the Malaysian emerging market.     

Auction failures and the market for auction rate securities

The market for auction rate securities (ARS) made headlines during the second week of February 2008 when auctions at which the bonds’ interest rates reset experienced a wave of “failures.” Contrary to headlines that attribute the failures to a “frozen” market or investors’ “irrationality,” we find that (1) even at their height, less than 50% of ARS experienced auction failures, (2) the likelihood of auction failure was directly related to the level of the bonds’ “maximum auction rates,” (3) the implied market clearing yields of bonds with failed auctions were significantly above their maximum auction rates, and (4) ARS yields were generally higher than yields of various cash equivalent investment alternatives. We infer that investors priced the possibility of auctions failures into ARS yields and rationally declined to bid for bonds for which required market yields exceeded their maximum auction rates.     

Advantageous innovation and imitation in the underwriting market for corporate securities

Investment banks that develop new corporate securities systematically lead the new underwriting market despite being imitated early by equally competitive rivals. We study how innovators and imitators set underwriting fees in order to identify empirically the source of this advantage. Using data of innovative securities since 1985, we do find that innovators set systematically higher fees than imitators. This premium decreases as more issues occur, and faster for later generation products. Imitation is also quicker for later generations. This evidence supports the hypothesis that the innovator has superior skills in structuring any given issue of the new security.     

Option pricing in a lognormal securities market with discrete trading: A comment

In a recent paper Lee et al. derive a pricing formula which is significantly different from that of Black and Scholes. Their derivation is inconsistent due to their failure to recognize that the rate of return of an option written on an asset whose rate of return is lognormally distributed will not be lognormally distributed.     

Dealer behavior in the specials market for US Treasury securities

We assess dealer behavior in the specials market for US Treasury securities by comparing dealer participation in the Federal Reserve's securities loan auctions with prices in the private market. Dealer behavior is generally consistent with the law of one price and apparent violations can largely be explained by institutional differences between the private market and the Fed's program. However, for auctions that are effectively noncompetitive, dealers regularly pass up true arbitrage opportunities and frequently overpay to borrow securities. Dealers apparently do not realize that certain auctions are noncompetitive, even though the information needed to discern this fact is publicly available in advance.     

证券市场信息披露中注册会计师的法律责任

当前弥漫我国证券市场的虚假信息强烈冲击着注册会计师行业的可信度和社会地位,广大投资者通过起诉注册会计师来保护自身利益成为一种趋势,而注册会计师法律责任问题也对现行相关法律法规提出了新的挑战.本文集中讨论了虚假报告界定的法律标准、民事责任性质、归责原则及举证责任设置、虚假报告的鉴定制度等部分问题,并提出了对虚假报告的鉴定可以考虑建立独立的审计鉴定人名册制度和具体案件的鉴定人随机选任制度.     

Optimal hedging in an extended binomial market under transaction costs

We develop an approach to optimal hedging of a contingent claim under proportional transaction costs in a discrete time financial market model which extends the binomial market model with transaction costs. Our model relaxes the binomial assumption on the stock price ratios to the case where the stock price ratio distribution has bounded support. Non-self-financing hedging strategies are studied to construct an optimal hedge for an investor who takes a short position in a European contingent claim settled by delivery. We develop the theoretical basis for our optimal hedging approach, extending results obtained in our previous work. Specifically, we derive a no-arbitrage option price interval and establish properties of the non-self-financing strategies and their residuals. Based on the theoretical foundation, we develop a computational algorithm for optimizing an investor relevant criterion over the set of admissible non-self-financing hedging strategies. We demonstrate the applicability of our approach using both simulated data and real market data.     

Stock market signals and consequences of securities class actions lawsuits: a microstructure perspective

Review of Quantitative Finance and Accounting - We perform a microstructure analysis of trading activities pre- and post-class period end-dates of securities class action lawsuits. We posit that...     

Single-stock futures: Evidence from the Indian securities market

Although single-stock futures (SSFs) are useful multi-purpose stock derivatives, they have not received much attention in developed markets. We analyze SSFs in the Indian market to understand their contribution in price leadership. The findings indicate that trades in the stock market contribute more to price discovery than trades in the SSF market (72% and 28%, respectively), while quotes in the SSF market are more price innovative than quotes in the stock market (39% and 61%, respectively). Our analysis suggests that while stock and SSF trade returns have predictive ability for each other, in the case of quotes, only SSF quotes have predictive ability for stock and SSF returns.     

Quote-based competition,market share,and execution quality in NASDAQ-listed securities

We show that competitive quotes help increase dealer market share on NASDAQ, despite the fact that a large proportion of order flow is preferenced. We find that decimal pricing and the introduction of new trading platforms such as SuperSOES and SuperMontage have significantly changed the effect of quote aggressiveness on dealer market share. In particular, decimal pricing reduces (increases) the price (size) elasticity, SuperSOES increases the size elasticity, and SuperMontage increases both the size and price elasticity of dealer market share. We also show that market centers provide greater price improvements and faster executions when they post competitive quotes.     

The influence of product market dynamics on a firm's cash holdings and hedging behavior

Prior work suggests that if a firm shares a larger proportion of its growth opportunities with rivals, an inability to fully invest in these opportunities leads to predatory behavior on the part of rivals and losses in market share. We examine whether firms manage this predation risk. We find inter- and intra-industry evidence that the extent of the interdependence of a firm's investment opportunities with rivals is positively associated with its use of derivatives and the size of its cash holdings. Moreover, an analysis of investment behavior provides evidence that if this interdependence is high, the management of predation risk provides strategic benefits. Our results indicate that predation risk is an important determinant of corporate financial policy choices and investment behavior.