Early-stage ?rms usually have a single large Research and Development (R&D) project that requires multi-stage investment. Firms? volatility can dramatically change due to the evolvement of R&D e¤orts and stage clearing. First, the success (failure) of R&D e¤orts within each stage (jump risk) decreases (increases) the un- certainty (i.e. volatility) level of the ?rms?future returns ?"jump e¤ect". Second, at the end of each stage, ?rms decide whether to continue next stage investment upon re-evaluating the project prospect conditional on the resolution of technical uncertainty and other information; as ?rms survive each investment stage and are becoming mature, the uncertainty level of their future returns should eventually decrease in later investment stages that lead to maturity ?"stage-clearing e¤ect". Ignoring these e¤ects results in incorrect estimation of ?rms?future volatility, an important element for early-stage ?rm valuation. In this paper, I develop a gener- alized Markov-Switching EARCH methodology for early-stage ?rms with discrete stage-clearing and jumps. My methodology can identify structural changes in the idiosyncratic volatility and also explore the relation between price changes and future volatility. Using a hand-collected dataset of early-stage biotech ?rms, I con?rmed the existence of the "stage-clearing e¤ect" and the "jump e¤ect". In the second part of my paper, I model early-stage ?rms as sequences of nested call options with jumps that lead to mature ?rms. "Jump e¤ect" arises because the early-stage ?rms are modeled as compound call options with jumps on the underly- ing cash ?ows, the volatility of the early-stage ?rms at each stage is determined by the compound call option elasticity to the underlying cash ?ows. If the downside (upside) jump happens, the value of the underlying cash ?ows decreases (increases), which makes the compound call option elasticity go up (down). As a result, the compound call option becomes riskier (less risky). "Stage-clearing e¤ect" arises because as ?rms exercise their option to continue investment, the new options that ?rms enter into will eventually become a less risky option.

Theoretical models predict that the value of a real option should be increasing in the volatility of the underlying asset. Thus, if real options are economically important, then firm values should be positively related to volatility. Consistent with this prediction, we find evidence that stock returns are contemporaneously positively correlated with changes in volatility. Moreover, this positive relation is stronger for firms that are more likely to have more real options and for firms with more irreversible investment opportunities. Most importantly, we find that the sensitivity of firm values to changes in volatility declines significantly after firms exercise their real options. These results indicate that real options constitute an economically meaningful component of firm values.

We find that firms that timed their external financing more in the past (i.e., that issued more capital when market conditions were good) have a lower expected cost of equity than those that timed their issuance less. This result is economically significant, and holds for numerous specifications. The benefits of market-timing activity are more pronounced for equity than for debt. These findings are consistent with the hypothesis that the gains from future market-timing activity are priced by current investors, and suggest that investors in the secondary market believe in the ability of firms to successfully time the market. We also find that the benefits of timing activity are enhanced for firms with a higher fraction of shares held by dedicated long-term investors, and are reduced for firms with shareholders that are more likely to time their own trades.

由于管理者与股东的目标函数不一致，当公司存在自由现金流量时，管理者可能会：或超额在职消费、或过度投资、或闲置。因管理者为己谋私利的机会主义行为所造成的股东财富的损失，就是自由现金流量的代理成本。根据美国财务学家Jensen的思想，参考现有研究，本文设计了自由现金流量的度量方法，利用我国775家上市公司的面板数据进行实证检验，结果表明，闲置资金、过度投资和随意性支出都显著地与自由现金流量正相关。自由现金流量越多，就意味着代理成本越高，自由现金流量可以作为代理成本的表征变量，自由现金流量必须予以控制。

为揭示证券投资基金行为对市场质量的影响，论文从市场微观结构的视角出发，利用沪市证券投资基金的交易账户，重点研究证券投资基金的投资仓位变化对市场质量（流动性、波动性和信息冲击度等）的冲击效应。在研究过程中，利用2007年基金交易数据和市场运行数据，构建流动性三维指标（宽度、深度和即时性）、GARCH模型拟合的异质波动率指标、以及即期冲击和持久性信息冲击指标，利用横截面模型分析基金交易行为对价格的冲击和交易的私人信息。实证结果表明，基金投资行为受到市场情绪和正反馈效应的推动，导致证券投资基金非理性特征突出。无论市场上涨抑或是下跌、基金增仓抑或是减仓，基金参与程度越高、增仓幅度越大，其对市场的流动性冲击成本越大，尤其在“2.27”、“5.30”暴跌期间。在波动性冲击上，基金显著性加仓行为带来较大的异质波动性，但基金作为机构投资者在牛市调整阶段可以起到部分维稳作用。

2003年12月8日，沪深证券交易所提供的报价实时行情由三档价格增加为五档价格，电子订单簿向交易者提供的信息增多标志着市场透明度的提高。本文对沪深两市总共54只封闭式基金进行了实证研究，发现报价透明度的增大以后，买卖价差、市场深度和成交量等多个指标均有所变差，市场流动性显著降低，价格波动上升，而投资者的总体交易成本也略有升高，而大额订单交易者的交易成本却有较大幅度的显著上升，另外发现初始发行规模是导致基金个体间交易成本差异的原因之一。

社会责任投资（SRI）已经成为发达资本市场的主流，而我国资本市场在这个方面还处于萌芽阶段。为考察我国资本市场对SRI引入的反应，本文借助泰达环保指数的发布，利用事件研究方法考察指数样本公司在事件窗口期的股价反应，以此测度我国资本市场对环保这一SRI非财务因素的认可程度，实证结果显示在事件窗口期样本公司股价存在正的反应，尤其是沪市公司和清洁生产技术和清洁产品类反应明显。这表明我国未来SRI业的发展大有可为，并在文章最后提出了相应的政策建议。

In this paper we use the new developed Markov Switching Unit Root test to examine the status of real and financial integration of China, Japan, the European Union, and the United States based on the empirical validity of real interest parity, uncovered interest parity, and relative purchasing power parity. We found strong evidence in favour of those parity conditions and hence concluded that real and financial integration between China and other four countries was well established.

本文总结国内外商业银行绩效考评的发展历程，对比分析工商银行、中国银行、建设银行等国内商业银行绩效考评的现状，深人分析国内商业银行绩效考评体系存在的主要问题及制约因素，在此基础上，对商业银行绩效考评体系提出切实可行的改进建议。

历史成本与公允价值的提出和运用皆有其历史背景、理论基础和现实条件，本文通过结合受托责任观和决策有用观、可靠性和相关性、成本计量和价值计量、损益表观和资产负债表观、会计收益和经济收益等重要概念对历史成本和公允价值这两种计量属性进行了对比分析，以求在对比中深化对历史成本和公允价值的理解。