Do subjective expectations explain asset pricing puzzles?

The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-defined expected utility, finite moment generating function of the predictive distribution of consumption growth, and tractable expressions for equity premium and risk-free return. Our quantitative analysis reveals that explaining the historical equity premium and risk-free return, in the context of subjective expectations, requires implausible levels of structural uncertainty. Furthermore, these implausible prior beliefs result in consumption disaster probabilities that virtually coincide with those implied by more realistic priors. At the same time, the two sets of prior beliefs have diametrically opposite asset pricing implications.     

企业多元化战略实施的职业经理人激励研究——基于多任务委托代理理论

摘要本文运用Holmstrom—Milgrom的多任务委托代理理论，提出假设，并建立企业多元化战略实施的职业经理人激励模型。依据模型给出了信息对称和非对称条件下的多元化战略职业经理人激励措施。并对多元化战略实施的激励措施的设计提出了对策建议。     

开放源代码组织的激励机制及成功要素

本文分别从内容激励和过程激励两方面分析了开发源代码组织的激励机制,并提出开放源代码组织成功必须具备的三个因素:模块化开发和自治式管理模式、有效的信号发布机制和保护产品的共有知识产权不被私人侵犯。     

Stock selection using a multi-factor model - empirical evidence from the French stock market

Using a Barra-type factor model, we have attempted to determine whether it is possible to beat the benchmark by taking advantage of anomalies established in the financial empirical literature. More specifically we have built an equity premium model based on three sets of factors (accounting variables, stock market characteristics and sector indicators) using a Bayesian method corrected for heteroscedasticity to estimate risk premiums, a technique that takes agents' learning into account. The results are encouraging: first, the factors that carried most weight on the equity premiums corroborated the results of empirical studies described in the financial literature, secondly, the portfolios constructed from our methodology and simulated outside our sample, returned higher performance than the benchmark and rewarded the supplement of volatility.     

China's Financial Development

At the China Development Forum in Beijing, March 2002, I was asked to be discussant to Governor Dai Xianlong, but his paper, as in most cases, was not made available beforehand, so my own comments had to be made independently. Following that event, I can now remark on the Forum as well as reproducing my discussant paper. In this latter, I emphasize the importance of developing professional skills, greater competition and the application, through regulation, of appropriate incentives for the continued improvement of China's financial system.     

Financing R&D in mature companies: An empirical analysis

We study financing patterns of publicly traded R&D-intensive manufacturing firms in Israel. We further characterize R&D-intensive firms by size, physical capital intensity, and whether they issued stocks in the United States, asking whether these features are associated with particular financing patterns. To address these issues, we present, for the first time, adjusted flow of funds charts that treat R&D expenses as a capital outlay (rather than an operating cost that reduces profits, as standard accounting principles prescribe). We also address the question of how R&D inputs should be measured - using R&D expenses or R&D personnel. We construct both expenditure- and personnel-based R&D measures for each firm in our sample, and investigate to what extent these measures are mutually consistent.     

ENVY-FREENESS AND DISTRIBUTIVE JUSTICE: A REPLY TO KOLM'S COMMENT

Abstract. This reply takes up specific points raised by Professor Kolm over which there persists some disagreement between us. It offers a rather broad, philosophically oriented discussion of the issues. I explain why I think Kolm is right in preferring the term 'equity'to that of 'envy-freeness,'but I express moral doubts concerning the interpretation proposed by Kolm of equity as a criterion of equal liberty. On this basis, I then defend my own specific interpretation of equity as a welfarist-egalitarian criterion, and express some reluctance as to the alleged 'moral irrelevance'of individual preferences in the theory of equity. I also briefly discuss the conceptual role played by counterfactuals and try to mitigate somewhat Kolm's critique of the use of axioms involving 'imaginary' situations.     

A Bayesian framework for combining valuation estimates

Discounted cash flow, method of comparables, and fundamental analysis typically yield discrepant valuation estimates. Moreover, the valuation estimates typically disagree with market price. Can one form a superior valuation estimate by averaging over the individual estimates, including market price? This article suggests a Bayesian framework for combining two or more estimates into a superior valuation estimate. The framework justifies the common practice of averaging over several estimates to arrive at a final point estimate.     

双重委托代理理论与股权集中型公司治理最优化研究综述

基于双重委托代理理论模型构建的股权集中型公司治理最优化研究,试图基于双重委托代理理论模型的构建而确立一种股权集中型公司治理问题的一般分析框架,希冀解析基于一定公司治理环境及其变迁的公司治理最优化特别是股权集中型公司治理最优化这一问题的理论涵义与实践要旨,其对于丰富公司治理理论与促进公司治理实践的重要意义不言而喻.本文由此出发,对既有相关研究进行了述评,并有基于此,就基于双重委托代理理论模型构建的股权集中型公司治理最优化研究的主要内容与关键问题进行了阐述.     

企业经营行为短期化的"桎梏"审视

现代企业的一个显著特征是所有权与经营权的分离,这种私有产权的分离和让渡使公司从指导对生产活动和技能的大规模专门化中获取了收益,但收益增加的同时也产生了一种特殊成本--代理成本。代理成本是由一系列代理问题所引起的企业实际收益与预期的偏差,因而代理问题成为公司治理的主要问题。本文讨论的经营行为短期化是代理问题的重要表现,直接影响到企业的长远发展,也被认为是公司制企业发展最为完善的美国各大企业近年来竞争力减弱的重要原因之一。