The Informational Role of Prices*

We consider a dominant firm with a competitive fringe in order to investigate the informational role of prices. The fringe is necessary for the existence of a unique, fully revealing equilibrium, in which the price reveals the quality of the good to uninformed buyers. A higher price triggers more sales on the part of the competitive fringe, reducing both residual demand and profits. We find that a larger share of uninformed buyers increases the price and reduces the quantity sold by the dominant firm, but increases the quantity sold by the competitive fringe. This, in turn, reduces consumer surplus and welfare.     

求贤若渴：创业型IPO企业如何聘请到具有多重兼任的独立董事？

具有多重兼任的独立董事由于积累了丰富的经验和较高的声誉成为企业争相聘请的对象,但是鲜有研究创业型IPO企业如何才能聘请到这些优秀的独董、他们又为何接受具有较高不确定性的企业提供的职位。文章在整合信号理论和独董任职动机的基础上,利用创业板IPO企业的数据,对创业型IPO企业选聘独董的机制进行了实证研究。结果发现：首先,IPO企业的企业声誉、社会关系和提供给独董的薪酬可以作为传递企业合法性和任职利益的信号,能够激发独董任职的声誉动机、关系动机和经济动机,从而帮助企业吸引到具有多重兼任的独董。其次,IPO企业具有的多个信号或独董的多个动机之间存在相互替代的关系,声誉、关系和薪酬对独董的吸引和激励在一定程度上是相互替代的。最后,随着上市日期的临近,IPO企业想要聘请到具有多重兼任的独董会越发困难;而且随着时间和情境的变化,企业的各种信号对独董的吸引和激励作用也会发生一定的变化。     

Prior Information and the Market Reaction to Dividend Changes

We investigate two hypotheses regarding the information content of dividend change announcements. The first is that the importance of information signaled by a dividend change depends on the reliability of earnings forecasts existing before the dividend announcement. The second hypothesis is that the stock price reaction to dividend change announcements is related to earnings forecast error as of the time of the dividend announcement. Our results reveal that dividend increases convey more information for firms in which financial analysts least accurately predict earnings. The results also indicate that dividend increase and decrease announcements provide market participants with information which, on average, allows them to differentiate between firms on the basis of future earnings realizations. These differential information effects are shown to be robust to price, size, dividend yield, and overinvestment effects.     

人力资本定价的逆向选择问题研究

本文首先描述了人力资本定价中的逆向选择问题的产生原因及其结果。其次，通过引入人才市场，独立董事和剩余索取权分享，研究了不完全信息重复博弈，信号传递博弈和信息甄别博弈三种解决人力资本定价的逆向选择问题的方法，并从中得到了一些有益的启示。     

Wimp or tough guy: Sequential default risk and signaling with mortgages

When analyzing what to do with a currently defaulted loan, the lender must consider the impact of his foreclosure versus workout decision on the expected payoff of subsequent loans as well as on the payoff of the current loan. This is because borrowers with future loan payoff dates can observe the lender's actions and update prior information regarding the lender's toughness or wimpiness when dealing with defaulted loans. In this paper we consider the strategic interaction between a lender and multiple borrowers, where borrowers have distinct, sequentially maturing mortgage loans and where the lender has private information regarding the magnitude of his foreclosure costs. We find that a variety of strategic outcomes can occur that explain the co-existence of workout and foreclosure in the mortgage marketplace. In general, the lender's workout/foreclosure response depends on the cost of bluffing (e.g., foreclosing when workout is cheaper) versus the value of reducing expected defaults and workout concession losses on future loans (e.g., imperfect foreclosure cost information leads future borrowers to payoff the mortgage when default would have been optimal under perfect information). Given recently revised expectations regarding the depth of the real estate recession, our results may explain the move by many lenders away from granting workout concessions and toward taking a harder line when dealing with defaulting borrowers.     

现金股利信号传递效应实证分析

股票的价格往往受到一些非系统风险因素如股票的盈利公告或分配预案等等的影响。然而 ,在我国股票市场上 ,股利是否是一种有效的信号传递机制 ?在利用深圳股票市场的数据对派发现金股利的股票的市场反应作了实证检验之后 ,得出的结果表明 :目前 ,在我国股票市场上 ,现金股利不能成为有效的信号传递工具 ,不能引起公司股票价格的升高 ,投资者也不能由此获得超额收益。     

Stock Splits and Bond Yields: Isolating the Signaling Hypothesis

One explanation offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in stock price dynamics, but related securities are not subject to these other changes and therefore can be used to provide a separate assessment of the markets’ interpretation of the split. We examine corporate bond issues around stock splits and find a significant decline in the bond yield spread following stock splits, supporting the signaling hypothesis. We also confirm improvements in forecasted and realized earnings subsequent to stock splits.     

论银行信誉的建立

本文在对银行的信誉进行界定的基础上,通过一个信号传递博弈分析了银行建立信誉的方式,指出建立信誉的本质是在进行信号传递,是一种博弈策略投资,这种策略投资形成了分离的博弈均衡,不同类型的银行得以互相区别,稳健的银行能够在公众中建立良好的信誉.     

政府产业重组规划、信号博弈与企业兼并行为

文章以2009年我国腾中重工公司兼并通用公司"悍马"品牌为现实索引,为水平兼并不存在"整合效应"的负盈利资产提供两种基于信号博弈的理论解释.第一种解释基于限制性定价的思路,说明在成本信息不对称的企业进行产量竞争背景下和在一定的市场环境下,总会对应一定负盈利水平的资产,使得低成本类型企业宁愿选择收购非盈利资产,以向竞争者显示其成本类型而得益.另一种解释引入政府推进产业重组的因素,当高效重组不同成本类型企业的概率条件和资产负盈利水平满足一定条件时,存在使低成本类型企业选择收购非盈利资产,以避免在产业重组中可能被低效兼并的分离均衡.     

信号理论研究综述

为解决信息不对称引发的逆向选择问题，信号理论应运而生。这一理论主要包括信号发送理论和信号甄别理论。综观现有研究成果，目前信号理论的发展主要体现在：从两种类型的局中人拓展到多种类型的局中人；从静态研究到动态研究；前提假设不断放松；研究越来越接近现实生活的实际情况并在产业组织、金融市场和劳动力市场等领域得到广泛应用。