Liquidity risk and arbitrage pricing theory

Classical theories of financial markets assume an infinitely liquid market and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs. We extend the classical approach by formulating a new model that takes into account illiquidities. Our approach hypothesizes a stochastic supply curve for a securitys price as a function of trade size. This leads to a new definition of a self-financing trading strategy, additional restrictions on hedging strategies, and some interesting mathematical issues.Received: 1 November 2003, Mathematics Subject Classification: 60G44, 60H05, 90A09JEL Classification: G11, G12, G13Umut Çetin: This work was performed while Dr. Çetin was at the Center for Applied Mathematics, Cornell UniversityPhilip Protter: Supported in part by NSF grant DMS-0202958 and NSA grant MDA-904-03-1-0092 The authors wish to thank M. Warachka and Kiseop Lee for helpful comments, as well as the anonymous referee and Associate Editor for numerous helpful suggestions, which have made this a much improved paper.     

黑龙江省科技进步与经济发展

黑龙江省要不断增强经济竞争力,强化科技第一生产力战略地位和作用,其积极措施是:研究与开发增长模型-创新与边干边学增长模型并举;高技术-中技术开发与引用并重;职业教育-职业培训并行.     

《新疆地方史》教学改革刍议

从教学改革的角度,利用实践教学的手法,阐述学习<新疆地方史>这门课的重要性,应用历史事实说明新疆自古以来就是中国神圣而不可分割的一部分,从而使学生树立正确的马克思主义民族观、历史观、宗教观、文化观.     

日本经济转型为何陷入重重危机

20世纪90年代开始的日本经济衰退，让日本经济体制上的弱点暴露无疑。日本人一直想走出经济停滞不前的怪圈，但结果是屡战屡败，因此不得不从深层次上分析其失败的原因。现在日本已在全面谋求经济转型、对外开放，但日本的保守势力太强，而且无处不在。对外开放就像日本人心中的一个“死结”。日本人希望自己的经济高速发展，却不愿意对全球开放市场，也不愿放弃习惯的思维模式，因此错过了经济发展良机。     

中小出口企业不可忽视贸易壁垒新动向

随着关税壁垒以及许可证、配额等传统非关税壁垒的门槛逐步降低,形形色色的新贸易壁垒逐渐升级,SA8000社会责任标准就是一个典型的例子,并且已对我国农产品和劳动密集型企业的外贸出口产生了影响。所以,尽快认识贸易壁垒新动向,了解其特征和发展趋势,对我国众多劳动密集型中小企业的外贸业务发展有着重要的意义。     

江苏省区域高新技术创业环境与规模的综合评价

本文拟对区域高新技术创业环境与规模作出定量分析,在构建的评价指标体系基础上,利用因子分析法和SPSS10 0软件,对江苏省十三个省辖市进行实证分析,算出主因子得分和总指标得分,并对计算结果进行综合分析,最后对这些地区的高新技术创业环境与规模的发展战略提出一些对策。     

企业本质的一个全新阐释--企业知识理论研究

首先分析了企业知识理论产生的渊源,然后在对企业知识特性分析的基础上,运用企业知识理论对企业本质进行重新阐释。     

我国上市公司治理中的审计委员会与监事会

审计委员会和监事会是两种不同治理模式下的监督机构,我国的公司一直都设立监事会这一监督模式,但2002年1月,中国证监会颁布的《上市公司治理准则》中提到,应该在上市公司设立审计委员会制度。究竟是何原因导致证监会在目前上市公司设有监事会的基础上,还要设立审计委员会这一     

跨国公司在华并购与隐性垄断

在当前全球化浪潮中,跨国并购已成为跨国投资的主要方式,更是我国今后引资的重要趋势。然而这种不同性质的多种资本主体并存于中国市场的特质将直接决定彼此的生存空间和获利机会,并最终决定投资的绩效和宏观经济稳定性。分析跨国公司进入中国市场的方式和在中国市场上进行竞争的手段,并从品牌、技术和币场占有率三个方面考察跨国并购对我国市场结构的影响,可以得出已经形成隐性垄断的结论,相应地从企业和政府两个层面提出对跨国并购实施竞争规制的应对策略。     

International capital market integration: Implications for convergence, growth, and welfare

This paper studies the effects of international capital market integration on welfare and the speed of adjustment in a two-region endogenous growth model. Monopolistic firms undertake research and development (R&D) to improve their productivity level. National and international knowledge spillovers affect the returns to R&D. The two countries differ with respect to the initial productivity level and R&D capability (which is a proxy for human capital and structural policies). Long-run productivity gaps are determined by the difference in R&D capability. Over time, there is conditional convergence in productivity levels. The speed of convergence is larger with integrated international capital markets than without. Long-run gaps in consumption levels are larger in the former situation than in the latter. Capital market integration harms (benefits) the leading (lagging) region if domestic spillovers are more important than international spillovers and differences in R&D capabilities are small.The authors research is supported by the Royal Netherlands Academy of Arts and Sciences. He thanks Lucas Bretschger, Theo van de Klundert, and Richard Nahuis, Thomas Steger, and Helmut Wagner for comments on an earlier version.