Open-Market Stock Repurchase and Stock Price Behavior When Management Values Real Investment

This paper provides a simple explanation of open‐market stock repurchases and the stock price behavior surrounding them. There is ex ante asymmetry of information with regard to the private benefits that corporate managers can attain from real investments. In our model, open‐market repurchase announcements reveal information about the managers' private benefits when real investment opportunities are unprofitable in terms of firm values. This study differs from previous studies in that we show that announcements of open‐market repurchase programs can be believable without the restriction that the announcements are commitments. Empirically, the model simultaneously predicts that a stock price will drop prior to an open‐market repurchase announcement and will rise in response to the announcement. These predictions are consistent with stylized facts.     

Energy Prices and Carbon Taxes under Uncertainty about Global Warming

This paper extends the strategic interactions between producers of fossil fuels concerned about their profits and a taxing government concerned about the consumers’ welfare for uncertainty: global warming follows an Itô -process. Stochasticity requires to differentiate between reversible and irreversible emissions in contrast to the deterministic version. The unconstrained (= reversible) case allows for a closed form solution but not the more realistic and constrained case. Nevertheless interesting analytical properties (e.g. about when to stop emissions, implicit conservation due to monopolistic supply) are derived and complemented by a numerical example.     

Asymmetric information and target firm returns

This article examines the relationship between asymmetric information and target firm returns in mergers and acquisitions (M&As). We argue that if managers possess favourable (unfavourable) asymmetric information, they will offer, ceteris paribus, a high (low) premium, affecting target firm returns accordingly. We propose several proxies of asymmetric information. The empirical evidence strongly supports our hypothesis as we find that target firm returns are significantly negatively related to asymmetric information regarding synergy gains. Our results are robust after controlling for several target and deal characteristics.     

沪市主要板块指数市场波动实证分析

GARCH—M模型通常应用于预期收益与预期风险密切相关的领域，根据金融理论股票的风险越大，其收益也就越高，故可认为股票收益的指数变动依赖于一个常数。利用GARCH—M模型和E—GARCH—M模型对沪市主要板块指数进行实证分析。结果显示沪市重要板块指数日收益率存在信息非对称效应、高风险对应高回报。     

Bidding off the wall in common value auctions

This paper examines the practice of phantom bidding in common value auctions with asymmetric information. Unlike in private value auctions it is very difficult to profit from phantom bidding even if the auctioneer observes the number of interested bidders. We find that the auctioneer is worse off submitting low bids or mixing between his participation strategies. Phantom bidding can generate higher revenues if a single bidder with a high value estimate is likely to be present at the auction. Systematic observation of an isolated high estimate requires negative correlation across bidders’ information that is atypical in a common value environment.     

信息不对称下的几个经济学实验

实验方法受到经济学界的重视,不对称信息条件下的实验方法研究具有重要现实意义。笔者探讨了若干在不对称信息条件下的经济学实验,包括名誉的作用、信号传递等重要实验,认为不对称信息下的实验的方法及其研究思路值得我国经济学者借鉴和深入研究。     

Sorry Winners

Bidders who receive both “common-value” and “private-value” signals about the value of an auction prize cannot fully infer their opponents’ information from the bidding. So bidders may overestimate the value of the prize and, subsequently, regret winning. When multiple objects are on sale, bidding in an auction provides information relevant to the other auctions, and sequential auctions are more vulnerable to overpayment and winners’ regret than are simultaneous auctions. With information inequality among bidders, the seller’s revenue is influenced by two contrasting effects. On the one hand, simultaneous auctions reduce the winner’s curse of less informed bidders and allow them to bid more aggressively. On the other hand, sequential auctions induce less informed bidders to bid more aggressively in early auctions to acquire information.      

Venture Capital Valuation,Partial Adjustment,and Underpricing: Behavioral Bias or Information Production?

Using a sample of venture capital (VC)‐backed initial public offerings (IPOs), we analyze the role played by perceived valuation changes on IPO underpricing. We find that perceived valuation change from the last pre‐IPO VC round to the IPO affects IPO underpricing in a nonlinear way. Further analysis indicates that information‐based theories, not behavioral biases, explain this nonlinearity. We also find that the previously documented partial adjustment effect and its nonlinear impact on IPO underpricing are related to the trajectory of the perceived valuation changes, which stands in stark contrast to prior evidence of the importance of behavioral biases.