This paper develops an integrated model of asset pricing and moral hazard. In particular, we combine a version of the Capital Asset Pricing Model (CAPM) with a multi-agent moral hazard model. The excess dollar returns for risky stocks, optimal contracts for managers (agents) that involve relative performance, and equilibrium stock prices are explicitly characterized. We show that the CAPM linear relation in terms of the expected dollar returns still holds in the presence of moral hazard and that our  is given by the ratio of the covariance between a firm’s stock return and the market return over the variance of the market return, with both returns adjusted for the compensation to the managers. The equilibrium price of a stock decreases with its idiosyncratic risk, but the expected excess dollar return of the stock is independent of it. Consequently, the risk premium, which is defined as the ratio of the excess return to the stock price, increases with idiosyncratic risk. We also show that the risk aversion of the principal in our model leads to less emphasis on relative performance evaluation than in a model with a risk-neutral principal. This result may shed light on why the empirical evidence for relative performance evaluation is mixed, even though the theoretical prediction based on a risk-neutral principal strongly supports it. In addition, we show that if the manager of a firm is compensated based solely on his own performance, then the expected dollar return of the firm increases with its idiosyncratic risk. This exercise illustrates that, in the presence of moral hazard, contracting plays a key role in the determination of the expected return of a stock. Furthermore, we show that under certain conditions, the equilibrium contract is a linear combination of the stock price and the level of the market portfolio.

In this paper we study how a firm’s capital structure choice affects informed trading of its securities in the secondary markets and consequently, the information efficiency of its security prices. We identify two new factors as the potential determinants of the firm’s optimal capital structure policy: the liquidity premium caused by informed trading and, perhaps more importantly, the improved operating efficiency due to information revelation from its security prices. We show that, from these two perspectives, the optimal debt level is achieved at the point where there is no informed trading in the bond market and the informed traders are just about to trade in the bond market. Thus, the cost of debt financing differs in nature from that of the existing models. This has very different implications for the significance of the cost of debt financing and for financial system design. Our model can also explain the relative trading volumes in debt and equity markets.

This paper provides an in-depth analysis of the Hansen-Jagannathan (HJ) distance, which is a measure that is widely used for diagnosis of asset pricing models, and also as a tool for model selection. In the mean and standard deviation space of portfolio returns, we provide a geometric interpretation of the HJ-distance. In relation to the traditional regression approach of testing asset pricing models, we show that the HJ-distance is a scaled version of the aggregate pricing errors, and it is closely related to Shanken’s (1985) cross-sectional regression test (CSRT) statistic, with the only major dierence in how the zero-beta rate is estimated. For the statistical properties, we provide the exact distribution of the sample HJ-distance and also a simple numerical procedure for computing its distribution function. In addition, we propose a new test of equality of HJ-distance for two nested models. Simulation evidence shows that the asymptotic distribution for sample HJ-distance is grossly inappropriate for typical number of test assets and time series observations, making the small sample analysis empirically relevant.

Most existing empirical studies on affine term structure models have primarily focused on in-sample Þt of historical bond yields and ignored out-of-sample forecast of future bond yields. Using an omnibus nonparametric procedure for density forecast evaluation developed in this paper, we provide probably the first comprehensive empirical analysis of the out-of-sample performance of affine term structure models in forecasting the joint conditional probability density of bond yields. We show that although it is difficult to forecast the conditional mean of bond yields, some affine models have good forecasts of the joint conditional density of bond yields and they significantly outperform simple random walk models in density forecast. Our analysis demonstrates the great potential of affine models for financial risk management in fixed-income markets.

We extend the research of Michael Frenkel and christiane Nickel (2001) and present a modified Dornbusch overshoot model to study the impacts of different control degree of different capital on price-exchange rate system with a microstructure in foreign exchange market in the steady state. It is found that the impact on the stability of price-exchange rate system is an alternative choice between saddle stability and entire stability.

We demonstrate that limited participation can arise endogenously in the presence of model uncertainty. Our model generates novel predictions on how limited participation relates to equity premium and diversification discount. When the dispersion in investors?model uncertainty is small, full participation prevails in equilibrium. In this case, equity premium is unrelated to model uncertainty dispersion and a conglomerate trades at a price equal to the sum of its single segment counterparts. When model uncertainty dispersion is large, however, investors with relatively high uncertainty optimally choose to stay sidelined in equilibrium. In this case, equity premium can decrease with model uncertainty dispersion. This is in sharp contrast to the understanding in the existing literature that limited participation leads to higher equity premium. Moreover, when limited participation occurs, a conglomerate trades at a discount relative to its single segment counterparts. The discount increases in model uncertainty dispersion and is positively related to the proportion of investors not participating in the markets.

On the basis of analyzing the relative literatures，from the view of the origin of venture capital，the thesis summarizes the main theories and methods about the research of high-tech venture capital recently．Next，it summarizes progress of high-tech venture capital research，and points out some shortcomings of high-tech venture capital research in our country．Finally，it expounds some future directions on high-tech venture capital．

摘 要 会计信息失真问题，现已成为我国会计界、经济界乃至我国政府面临的重大课题。它不仅影响到与企业有利益关系的投资者、债权人等群体的经济利益，而且影响到整个国家的经济秩序和社会秩序，为了探究失真的真正动因，本文从多层次多角度进行了论证。 本文先从会计信息的定义入手，对会计信息的界定作出了精辟的阐述，继而对失真作了逐级的分解，得出失真的标准。 然后用实证分析的方法从证券市场及国企等不同方面具体分析会计信息失真的深层次根源，并列举了两个案例进行佐证。 最后以纳什比衡的博奕理论结尾，再度从理论上和实际上总结出失真的根源。 ABSTRACT Accounting Information on Fraud is an important problem that our accounting field and economic field and our government must to face.Not only investors and creditors that are associated with enterprise’s advantages and disadvantages,but also all of the country’s economic order and public order are effected.In order to look into the real causes on Fraud ,this paper will expand and prove in many ways. At first I’ll discuss the meaning of on Accounting Information on Fraud.Then to resolve step by step and to obtain a standard on Fraud. Secondary,using cause study method to test in depth the origin that the security market’s and state enterprise’s Accounting Information on Fraud.And list two cases to proof. In the end,I’ll use John Nash’s the game theory on Fraud to summarize the origin on Fraud from the actual situation and theoretical again.

We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large “no-trade” regions for each agent’s optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyers and sellers, and other aspects of market microstructure.

Under the vested supervising system in China, this paper dissected the availability surveillance system from the surveillance environments, elements, institution and technology. According to Basel committee on baking supervision’s precondition, The author pondered these questions with economic thought, discussed the path and choice creating an availability supervision system of the Chinese commercial banks, to promote the banking supervising project scientific and harmonious going ahead.