Why do popular mechanisms lack efficiency in random environments?

We consider the problem of randomly assigning n indivisible objects to n agents. Recent research introduced a promising mechanism, the probabilistic serial that has superior efficiency properties than the most common real-life mechanism random priority. On the other hand, mechanisms based on Gale's celebrated top trading cycles method have long dominated the indivisible goods literature (with the exception of the present context) thanks to their outstanding efficiency features. We present an equivalence result between the three kinds of mechanisms, that may help better understand why efficiency differences among popular mechanisms might arise in random environments. This result also suggests that the probabilistic serial and the random priority mechanisms can be viewed as two top trading cycles based mechanisms that essentially differ in the initial conditions of the market before trading starts.     

Optimal management of a flammable forest providing timber and carbon sequestration benefits: an Australian case study*

In deciding to keep or fell a forest stand given its age, the risk of loss of timber through wildfire is an important consideration. If trees also have value from sequestration of carbon, another effect of fire is the unplanned loss of stored carbon. Factors affecting the decision to keep or fell trees, and how much to spend on fire protection, are investigated using stochastic dynamic programming, using carbon sequestration in stands of mountain ash in Victoria as a case study. The effect of treating sawlogs as a permanent carbon sink after harvesting is explored.     

Trading Activity,Trade Costs and Informed Trading for Acquisition Targets and Acquirers

Abstract

Microstructure effects of tender offer acquisitions on targets and acquirers differentiated by listing venue and payment method are examined. Trading activity increases more for targets than for acquirers upon offer announcement. Investors are more likely to sell targets upon announcement using direct market orders against ask limit orders for cash payment offers. While target liquidity improves as spread costs fall and quoted depths increase, acquirer liquidity falls continuously to successful offer completion. Due to increased trading differences, temporary trade costs fall more for targets than for acquirers. Permanent trade costs decline over the tender offer cycle for both parties, and especially for targets for cash tender offers and for acquirers for shares tender offers. The probability of informed trading declines (remains constant) for targets (acquirers) because increased trading intensity is greater (the same) for uninformed versus informed traders. As expected, abnormal returns and changes in own-firm permanent return volatility are negatively (but weakly) and positively (and strongly) related, respectively, to changes in information asymmetry upon announcement.     

碳税情景下企业碳减排技术创新的响应机理与系统仿真

在目前中国尚未正式开征碳税的背景下,基于多主体系统仿真对不同碳税情景下企业的碳减排技术创新响应机理进行了模拟分析。结果表明:目前110元/吨的碳税税率尚不能明显改变企业的传统技术创新行为,当碳税税率上升到128元/吨后企业才逐步进行碳减排技术创新,当碳税税率达到285元/吨后所有企业皆进行碳减排技术创新。     

Endogenous market power in an emissions trading scheme with auctioning

This paper contributes to the literature on market power in emissions permits markets, modeling an emissions trading scheme in which polluters differ with respect to their marginal abatement costs at the business-as-usual emissions. The polluters play a two-stage static complete information game in which their market power arises endogenously from their characteristics. In the first stage all polluters bid in an auction for the distribution of the fixed supply of permits issued by the regulator, and in the second stage they trade these permits in a secondary market. For compliance, they can also engage in abatement activity at a quadratic cost. Under the assumptions of the model, in equilibrium all polluters are successful in the auction. In the secondary market the low-cost emitters are net sellers and the high-cost emitters are net buyers. Moreover, the high-cost emitters are worse off as a result of the strategic behavior. In addition, the secondary market price is unambiguously above the auction clearing price. I find that the aggregate compliance cost when polluters act strategically increases in the heterogeneity of their marginal abatement costs at the business-as-usual emissions, but there exists a threshold of the fixed supply of permits above which strategic behavior is compliance cost-saving for the polluters. Finally, for a low enough variance of the marginal abatement cost at the business-as-usual emissions, strategic behavior is compliance cost-saving for the polluters, regardless of the level of the available supply of permits.     

Optimal portfolio selection in nonlinear arbitrage spreads

This paper analytically solves the portfolio optimization problem of an investor faced with a risky arbitrage opportunity (e.g. relative mispricing in equity pairs). Unlike the extant literature, which typically models mispricings through the Ornstein–Uhlenbeck (OU) process, we introduce a nonlinear generalization of OU which jointly captures several important risk factors inherent in arbitrage trading. While these factors are absent from the standard OU, we show that considering them yields several new insights into the behavior of rational arbitrageurs: Firstly, arbitrageurs recognizing these risk factors exhibit a diminishing propensity to exploit large mispricings. Secondly, optimal investment behavior in light of these risk factors precipitates the gradual unwinding of losing trades far sooner than is entailed in existing approaches including OU. Finally, an empirical application to daily FTSE100 pairs data shows that incorporating these risks renders our model's risk-management capabilities superior to both OU and a simple threshold strategy popular in the literature. These observations are useful in understanding the role of arbitrageurs in enforcing price efficiency.     

论突发事件对中小投资者交易行为的影响

在风云变幻的投资市场环境下,风险被突发事件引爆、传播和放大的过程具有自我驱动、自我增强和自我加速的特性,会造成一系列的严重后果。对突发事件产生的原因、事态发展和对中小投资者交易行为产生的影响进行分析,结合金融、法律、心理等多方面知识,旨在提高中小投资者的操作技巧和获利能力,维护市场稳定发展和培养成熟投资者。     

排污权交易下对企业激励机制的分析

在法律严明且具有良好执行力的情况下,通过法律对排污权的严格界定并对排污权进行维护,产权能够对排污企业产生良好的激励作用。而在法律不完善或缺乏执行力的情况下,在初始排污权分配和政府的监管环节中,很容易形成排污企业与政府有关部门的共同利益,从而产生寻租行为。要建立和完善排污权交易市场首先要完善相关法律,同时加强第三方监管,加强舆论监督,建立完善的信息公开机制,避免寻租行为的发生。     

文化产权交易所的交易模式创新分析——以泰山文化艺术品交易所为例

文化产权交易所应如何进行业务创新,既能充分发挥对于文化产业投融资的支持作用,又能使自身获取充沛的经营现金流、实现持续发展,是理论研究和行业实践所需亟待解决的问题。泰山文交所艺术品股票式"份额化"交易存在的显著问题是:价值来源与场内艺术品退出问题、过度投机问题以及政策风险问题;其经验教训是:金融创新不能脱离艺术品的本质属性与艺术品产业链而独立存在、脱离艺术品产业链的简单手续费模式是难以持久的、要注重在运营模式中建立"防火墙"与风险隔离机制。为了提高交易流动性,在我国现有的法律框架内,文章提出一种将拍卖与电子交易结合的创新交易模式。     

政府主导型低碳旅游发展战略论析

实施政府主导型低碳旅游发展战略,不仅能减少由于市场失灵带来的负面效应,更重要的是能优化配置旅游资源,进而推动低碳旅游有序发展。在分析政府主导低碳旅游发展内涵和必要性的基础上,提出政府主导低碳旅游发展的对策。