Do reductions in tick sizes influence liquidity?

On 4 December 1995, the Australian Stock Exchange reduced the minimum tick size for stocks priced below $A0.50 and stocks priced above $A10. We use this natural experiment to examine the impact of tick size reductions on liquidity. The present paper reports that although lower tick sizes generally lead to increased liquidity, this result is not universal. Stocks with larger relative tick sizes experience the greatest improvement in liquidity, while stocks with small relative tick sizes and low trading volume experience reduced liquidity. There is no change in order exposure as a result of the reduced tick sizes.     

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

We solve in closed form a parsimonious extension of the Black–Scholes–Merton model with bankruptcy where the hazard rate of bankruptcy is a negative power of the stock price. Combining a scale change and a measure change, the model dynamics is reduced to a linear stochastic differential equation whose solution is a diffusion process that plays a central role in the pricing of Asian options. The solution is in the form of a spectral expansion associated with the diffusion infinitesimal generator. The latter is closely related to the Schrödinger operator with Morse potential. Pricing formulas for both corporate bonds and stock options are obtained in closed form. Term credit spreads on corporate bonds and implied volatility skews of stock options are closely linked in this model, with parameters of the hazard rate specification controlling both the shape of the term structure of credit spreads and the slope of the implied volatility skew. Our analytical formulas are easy to implement and should prove useful to researchers and practitioners in corporate debt and equity derivatives markets.     

Detecting informed trading prior to hospitality acquisitions

Hospitality acquisition payment announcements provide a particularly interesting opportunity for exploring the effects of information asymmetry on informed trading activities in hospitality firms. The empirical results in this paper, derived from a market microstructure approach, support the presence of informed trading in the short term prior to a hospitality acquisition. For cash- or stock-financed acquisitions, while we detect no change in the bid–ask spread of acquiring firms prior to an acquisition announcement, the ask or bid depths narrow prior to an acquisition payment announcement. For mixed-financed acquisitions, the bid–ask spread for acquiring firms widens and the ask depth narrows prior to the acquisition payment announcement.     

CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1

In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the violation of the put-call parity and the fact that the components of a security can sell at a premium to the underlying security (primes and scores).     

Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches

Estimating the cost of liquidity in agricultural futures markets is challenging because bid‐ask spreads are usually not observed. Based on an ability to reflect simulated data from Roll's spread model, we assess the effectiveness of conventional and Bayesian bid‐ask spread estimators under different market conditions. Conventional serial covariance and absolute price change spread estimators appear to be biased. Hasbrouck's Bayesian estimator generates small costs of liquidity whose values depend on the correlation and noise in the data. The absolute value Bayesian estimator is precise and works well under conditions of high levels of noise and correlation usually found in agricultural futures markets. Using data from live cattle (LC) and lean hog (LH) contracts, we find similar patterns of performance that produce economically meaningful cost of liquidity differences.     

中国股市的买卖价差成分

本文基于市场微观结构理论,采用HS模型分解了上证50指数成分股票的买卖价差成分。通过对每分钟的分笔交易数据的实证分析,我们发现上海股市的交易价差约为0.065%,在不考虑交易相关时,买卖价差的指令处理成本和逆选择成本分别为29%和71%,而在考虑交易相关之后,买卖价差分解为指令处理成本、逆选择成本和指令持续成本,它们对买卖价差的贡献度分别为11%,40%和49%,而且交易反转概率低于0.5。此外,我们还发现上海股市中高价股或高交易量股票的逆选择成本最小。     

基于基带信号包络的数字AGC设计与实现

在卫星扩频通信系统中,通常采用自动增益控制(Automatic Gain Control,AGC)技 术解决大动态的信号起伏和干扰,以实现扩频信号的快速捕获和跟踪。分析了扩频接收机基 带信号数字采样门限,通过用信号包络功率值作为AGC控制信号,实现了接收基带信号大 动态范围的信号处理,完成了数字AGC自适应控制。利用扩频信号进行完全捕获后的包络信 号作为AGC信号可以有效防止信号捕获过程中多普勒频移等引起的失锁和误捕,实现 扩频接收机RF（射频）信号大动态范围的信号控制。     

扩频系统多通道相位差测量技术

论述了扩频无线电信号侦收和测向等应用领域中,在多通道天线和接收机后端采用数 字处理手段,在低信噪比下实现多通道相位差精确提取的方法。阐 述了多通道相位差提取的基本工程模型、中频信号采样处理方法、普通ASK调制信号的相位 差提取方法,以及BPSK调制的扩频信号的相位差提取方法,给出了基于MATLAB7.0.1平台的 仿真图形和结果。该技术已在工程中成功实现。     

银企关系与银行贷款定价的实证研究

本文利用世界银行的企业调查数据,对我国银企关系与银行贷款定价的相关性进行了实证研究。研究表明,企业与较多的银行建立关系以及增加银企关系深度,都有助于降低贷款利率成本;但企业与银行建立关系的时间长度对银行贷款定价没有显著影响。同时我们还发现,企业资产规模、财务风险和公司治理特征等因素对贷款定价也有显著影响。本文为银行关系理论在我国的应用提供了经验证据,揭示了银企关系的应用价值。     

Dynamical analysis of corporate bonds based on the yield spread term-quality surface

Our aim of this research is to propose a model which estimates implied relative credit reliability from the yield spread of defaultable bonds and evaluates their spread risk. We introduce “yield spread term-quality surface” (YSTQS) which is defined on the space of duration and credit reliability of the issuers, and express their yield spread. First, we review the general pricing theorem of defaultable bonds with unpredictable recovery in the no-arbitrage context based on the external hazard rates. Second, we show that the dynamics of state variables determine the shape of the YSTQS, and they drive the YSTQS if the loss-adjusted hazard rates are described by a function of them. Finally, we show an empirical analysis of our model with daily yield spread, duration, and the credit ratings of corporate bonds.