Information Diffusion and Overreaction: Evidence from the Chinese Stock Market

This paper empirically examines the relation between overreaction and the speed of information diffusion in the Chinese stock market. Industry-adjusted firm size and residual analyst coverage are used to proxy the speed of information diffusion. We document strong evidence that the profitability of a monthly contrarian strategy decreases with industry-adjusted firm size or residual analyst coverage. Moreover, the profitability of contrarian strategies survives for a longer horizon for stocks with slower information diffusion than for those with faster information diffusion. This result holds true even if risk, bid-ask spread, lead-lag effect, inventory costs, and limits to arbitrage are properly accounted for. Our findings suggest that information environment and information diffusion determine the extent of overreaction.     

ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS

In this paper we give upper bounds for both the Value at Risk   VaR _α,  0 < α < 1  , and for ruin probabilities associated with the supremum of a process driven by a Brownian motion and a compound Poisson process. We obtain lower bounds for the same Value at Risk, and for different cases we discuss the behavior of the bounds for small α. We prove our bounds are "asymptotically" optimal, as α tends to zero. The ruin probabilities obtained are related to other bounds found in recent literature.     

OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP‐DIFFUSION PROCESS

We consider a model in which a firm faces two types of liquidity risks: a Brownian risk and a Poisson risk. The firm chooses a dividend policy to maximize shareholder value. We characterize the optimal firm value and we show that the optimal dividend policy is a barrier strategy: the firm keeps cash inside when the cash reserves level is less than a critical threshold and pays cash in excess of this threshold. We also analyze the problem of insurance against the Poisson risk. We find that it is optimal for the firm to buy full insurance when its cash reserves are above a critical threshold and not to insure otherwise.     

Proportional Odds Models with High‐Dimensional Data Structure

The proportional odds model is the most widely used model when the response has ordered categories. In the case of high‐dimensional predictor structure, the common maximum likelihood approach typically fails when all predictors are included. A boosting technique pomBoost is proposed to fit the model by implicitly selecting the influential predictors. The approach distinguishes between metric and categorical predictors. In the case of categorical predictors, where each predictor relates to a set of parameters, the objective is to select simultaneously all the associated parameters. In addition, the approach distinguishes between nominal and ordinal predictors. In the case of ordinal predictors, the proposed technique uses the ordering of the ordinal predictors by penalizing the difference between the parameters of adjacent categories. The technique has also a provision to consider some mandatory predictors (if any) that must be part of the final sparse model. The performance of the proposed boosting algorithm is evaluated in a simulation study and applications with respect to mean squared error and prediction error. Hit rates and false alarm rates are used to judge the performance of pomBoost for selection of the relevant predictors.     

市场导向型产业集群模式下的技术扩散机制探讨

目前我国存在的产业集群可以分为市场导向型、政府扶持型以及计划型三种模式。市场导向型产业集群广泛分布于我国经济比较发达的“长三角”及“珠三角”等地区。本文重点对市场主导型产业集群进行论述,找出市场导向型产业集群模式下技术扩散的制约要素,并在此基础上,对市场导向型产业集群模式下的技术扩散进行机制设计。     

港口物流化发展的现实意义分析——以广州港南沙港区为例

南沙港区是广州港外移发展大型深水港区的战略举措,是广州城市和产业空间格局南拓的前沿和支撑点。本文深刻剖析南沙港区物流化经营的现实意义即迫切性和现有条件,以促进其更加健康、快速地发展。     

Lookback options and diffusion hitting times: A spectral expansion approach

Lookback options have payoffs dependent on the maximum and/or minimum of the underlying price attained during the options lifetime. Based on the relationship between diffusion maximum and minimum and hitting times and the spectral decomposition of diffusion hitting times, this paper gives an analytical characterization of lookback option prices in terms of spectral expansions. In particular, analytical solutions for lookback options under the constant elasticity of variance (CEV) diffusion are obtained.Received: 1 October 2003, Mathematics Subject Classification: 60J35, 60J60, 60G70JEL Classification: G13The author thanks Phelim Boyle for bringing the problem of pricing lookback options under the CEV process to his attention and for useful discussions and Viatcheslav Gorovoi for computational assistance. This research was supported by the U.S. National Science Foundation under grants DMI-0200429 and DMS-0223354.     

网络外部性与软件产业技术扩散

对我国软件产业而言,缺乏核心技术是制约发展的瓶颈问题,而技术扩散是解决软件产业技术落后的主要方法。本文从网络外部性的角度入手,分析了软件产业网络外部性的特点、网络外部性对软件产业的影响、以及在网络外部性下形成的不同市场结构,并以“结构一行为一绩效”的产业组织分析范式为基础,研究了不同市场结构下软件产业的技术扩散行为。