已上市公司股票在深沪A股市（集中交易市场）全流通或国有股减持会对A股二级市场产生巨大的冲击，这不仅直接关系到数千万投资人的切身利益，而且最终也将决定国有股减持是否能有效实现。“C股市场”的开设，可有效替代已上市公司非流通股在现有集中市场的流通，从而为投资人清除了笼罩在中国A股市场上空的已上市公司股票全流通或国有股减持的巨大阴云。

本文将Conrad和Kaul(1998)所提出的股价异常回报分解模型进行扩展，从而能够按照时间序列可预测性与横截面方差两部分对我国股市各种策略下的异常收益进行分解。结果显示我国股市存在明显的反转收益，而且分解之后，即使整体收益不显著的策略也呈现了显著的可预测性。然后再利用Jegadeesh和Titman(2001)所提出的“后持有期”检验对实证结果进一步考察，以判断股市究竟是过度反应，反应不足还是随机游走。检验结果支持过度反应假说。笔者认为，信息传递机制不完善和投资者心态不成熟是造成这种现象的主要原因。

This study estimates optimal hedge ratios using various econometric models. These models are evaluated based on the in- and out-of-sample optimal hedge ratio forecasts. Using daily data of spot and futures 1-month, 3-month, 6-month prices of aluminum and copper in the Shanghai Futures Exchange, the optimal hedge ratios are calculated from the OLS regression model, the VAR with error correction model, the bivariate GARCH model and the Exponential GARCH (EGARCH) Model. Hedging performance in terms of variance reduction of returns from four different models are also conducted. It is found that the EGARCH hedge ratio provides the largest reduction in the variance of the return portfolio, but they do not perform better than the alternatives over the out-of-sample period.

摘 要：本文通过对股市中连续双向拍卖交易机制的几个特征变量包括最佳（高）买价、最佳（低）卖价、买卖价差、成交价格、成交概率的分析揭示了连续双向拍卖交易机制下的短期价格行为，并着重探讨了其均衡性质包括成交价格所收敛到的竞争均衡及达到均衡的时间。研究结果较好的印证了双向拍卖交易机制能快速收敛到竞争均衡从而产生很高的价格发现效率的相关结论。

本文以46家在上海和深圳同时上市AB股的公司为样本，分析了公司实行双重上市前1年及其后4年的经营业绩的变化趋势以及股权结构和上市顺序对它的影响。研究表明，双重上市当年及其后4年经营业绩显著下降；股权结构和上市顺序对公司经营业绩影响明显。最后,文章提出了改善AB股公司经营业绩的对策建议。

This paper investigates Black-Scholes call and put option thetas, and derives upper- and lower-bounds for thetas as a function of underlying asset value. It is well known that the maximum time premium of an option occurs when the value of the underlying asset equals the exercise price. However, we show that the maximum option theta does not occur at that point, but instead occurs when the underlying asset’s value is somewhat above the exercise price. We also show that option theta is not monotonic in any of the parameters in the Black-Scholes option-pricing model, including time to maturity. Finally, we explain why the implications of these findings are especially important for trading and hedging strategies that are affected by the decay in an option’s time premium.

本文选取了较为稳健的数据考察我国股市增发中的市场反应，并根据大盘走势对市场反应作进一步分析；然后对有可能影响市场反应的因素进行检验。结果发现，市场对增发有负面反应，但是在大盘上涨阶段市场反应更为平缓，这说明投资者情绪对市场反应有一定的影响；在不同的事件日，市场对不同因素的反应有所变化，但对于一些因素，我们只得到了较为模糊的结论，这应该归因于我国股市特有的制度因素。

本文在一般息票剥离法（bootstrap method）的基础上进行了尝试性扩展：采用三次样条插值方法，以便可以对任意可得到的国债报价数据进行即期收益率曲线估计。同时利用数学软件Maple对插值方程和收益率曲线节点的非线性联立方程进行了求解。最后，利用该方法以2004年1月9日上海证券交易所的18个国债报价数据（全价）为样本，估计出了我国的国债收益率曲线，然后又根据估计出的国债收益率曲线对010311国债进行了定价，并和当日实际报价进行了比较分析。

This study employs a non-parametric approach to investigate the volatility risk premium in the major over-the-counter currency option markets. Using a large database of daily quotes on delta neutral straddle in four major currencies ? the British Pound, the Euro, the Japanese Yen, and the Swiss Franc ? we find that volatility risk is priced in all four currencies across different option maturities and the volatility risk premium is negative. The volatility risk premium has a term structure where the premium decreases in maturity. We also find evidence that jump risk may be priced in the currency option market.

This paper is a critical survey of models designed for pricing xed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specication of dynamic term structure models and their empirical t to historical changes in the shapes of yield curves. We begin by overviewing the dynamic term structure models that have been t to treasury or swap yield curves and in which the risk factors follow diusions, jump-diusion, or have \switching regimes." Then the goodness-of-ts of these models are assessed relative to their abilities to: (i) match linear projections of changes in yields onto the slope of the yield curve; (ii) match the persistence of conditional volatilities, and the shapes of term structures of unconditional volatilities, of yields; and (iii) to reliably price caps, swaptions, and other xed-income derivatives. For the case of defaultable securities we explore the relative ts to historical yield spreads.