Many articles agreed that it is possible for speculators to manipulate stock prices. In this article, we give a dynamic model to show in detail how one type of the trade-based manipulation is realized in stock markets, especially in emerging stock markets, where manipulators have dominative information and fund over the uninformed investors. In our model, we assume that uniformed investors predict future price movement with their forecasting model, the number of uniformed investors who decide to buy stocks increases with fitting degree of the forecasting model for past price data and the model parameters. With these assumptions, manipulators take two-step strategy (pumping the price and selling stocks at higher prices), the pumping step aims to absorb uninformed investors' following by buying the stock by use of the forecasting model, and the selling step is to sell all the stock in higher prices by trying their best to control the supplies and continually attracting the uniformed investors’ following. We show that manipulators can realize their strategies and maximize their final wealth by controlling the strength of pumping and deciding the time length to sell out the stocks. Two numerical examples are also given.

银行并购是银行业变革在组织机构上的体现，这种变革的发生会对并购银行本身、相关国家及国际银行业产生深远影响。中国经过20多年的改革，银行业发生了巨变。随着经济增长回升和经济效益改善，银行业的竞争力明显提高，已初步具备了现代商业银行特征。然而，一些诸如竞争性不强、规模不经济；稳健性不够、盈利能力不强等深层次问题依然突出。通过分析，银行并购可以提升中国银行业的竞争力，解决规模不经济问题，培育大型企业集团等，是一种较为理想的改革中国银行业的途径。 It is bank’s M&A that embodies the change of banking on the organization.While inevitably exert a far-reaching effect on the banks themselves in the M&A, it will influence the relevant country and international banking. In China, the banking structure has been improved since 1978. But from the data in the paper, we can conclude that Chinese banking market structure is oligopoly and Chinese banking is inefficient. It is just the Bank’s M&A that can promote the competitive power of Chinese banking, improve the reasonable allocation of financial resources, and ensure the stability of financial system. Bank’s M&A is a comparatively ideal way to reform Chinese banking.

This is the first study that uses Merton’s (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that the FF model can explain the cross-section of equity returns.

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that timevariation in expected returns remains economically important.

We try to explain the severe under-pricing of 523 A-share IPOs in the Chinese markets from 1997 to 2001 using institutional characteristics, absolute value, and relative value of IPO. We find that relative values of IPO are critical determinants of the severe under-pricing of A-share IPOs in China. We also find that relaxing government regulation of offering price increases under-pricing, and thus conclude that the severe under-pricing of A-share IPOs in China is not caused by the government regulation of offering price. We propose a relative value theory to explain why relaxing government regulation of offering price results in higher under-pricing and find some support for the theory.

This article does not focus on any special methods or techniques for pricing a share, but concentrates on the relationship between equilibrium price(s) of a share and competitive interactions of rational investors. In this article, it attempts to establish a model combining “Bayesian Game” theory concerned on “non-cooperative games of incomplete information” and “Random Walk” theory together to illustrate process of how new equilibrium price(s) will be achieved in incomplete information when new information is released into market. Moreover, due to incomplete information structure and bargaining behaviors from rational investors for maximizing their expected utility respectively in this model, it leads to a deviation between new equilibrium price(s) and value of a share (Pareto-optimality). From this conclusion, it can be stated that rational investors’ strategies or behaviors make sense for change of share price. Furthermore, since the real market is not perfect market, so 1.when rational investors price a share, they not only need to estimate value of the share, but also should consider about beliefs and strategies from opponents; 2.if behavioral patterns among rational investors can be described by the model from process of new equilibrium price(s) achieved, change of a share price will be predicted more precisely.

Abstract：Some scholars have discussed extensively the interaction of capital structure, investment and product market behaviors. They suggest that debt leads to lower investment expenditures and weaker or stronger product market competition. They, however, look only at two of the above behaviors. This paper develops a model which examines all three behaviors and shows that debt and investment can be substitutes in a model where firms rationally take on debt. Furthermore, it is demonstrated that when firms compete with prices in the product market, an increase in debt leads to lower investment and higher prices. Key Words：Debt Investment Product Market Behavior Limited Liability Effect Credible Commitment

China’s Stock Market is the most important emerging market awaiting for investigation by both academics and industrials. We study the pro…tability of long position in winner-based threshold momentum strategies after accounting for the trans-action cost. We …nd substantial pro…ts (double to octuple the money every year) in daily threshold trading strategies when trading cost is not accounted. However, at very low level of trading cost, say 0.2%, all pro…ts disappear. We employ a model that rebalance the portfolio carefully to save the transaction cost, but the trading rules still fail to profit at a reasonable level of trading cost. Thus, the momentum pro…ts may not compete with the trading cost.

“法和金融学”（Law and Finance）是由金融学和法学交叉而形成的一门新兴学科，她是自20世纪70年代兴起的“法和经济学”（Law and Economics）的延伸。法和金融学应用经济金融理论和计量经济学方法分析和探究法律和法律制度对国家金融体系的形成、金融体系配置资源的效率、各国公司治理构架的形成及经济发展的影响。“法和金融学”有两大研究方向：一是结合法律制度来研究金融学问题，也就是以金融学为中心、同时研究涉及的法律问题，强调法律这一制度性因素对金融主体行为的影响。二是利用金融学的研究方法来研究法学问题，例如金融立法和监管的经济学分析。本文综述了“法和金融学”学派的主要观点，论文从对ＬＬＳＶ的著名论文“法律与金融”论述开始，接着论述了有关学者对金融法对公司治理、经济增长影响的相关研究；并综述了对LLSV的反对意见。最后，对“法和金融学”进行了简单的评论，并就我国开展“法和金融学”研究提出了意见。

A government policy aimed at the reduction of state shares in state-owned enterprises (SOE) triggered a crash in Chinas stock market. The sustained depression and spillover even after the policy adjustments were over constitute a puzzle the so-called state-share paradox. The empirical study finds evidence in two dimensions. First, a regime switching model with an absorbing state suggests that government policy switches the regime to liquidity black holes. Second, there is no evidence of light-to-liquidity during the crash, suggesting to model the crash as an aggregate phenomenon of the whole market. To carefully match the evidence, a theoretical model is set up within the framework of market microstructure. The state-share paradox is not a simply instance of news-driven crash. The model shows that Chinas stock market has distinctive features of liquidity production and price discovery. The irregularities of a representative liquidity supporter generate an inverted-S demand curve and give rise to potential liquidity black holes. Multiple equilibria and the resulting large drop in prices arise from supply dynamics of short-run investors, who buy the stock from the primary market liquidate their long positions in the secondary market. This study contributes a rational panics hypothesis to the literature. The rational panics hypothesis is neither an rational model with noise traders, nor a standard rational expectation model under the asymmetric information framework. It is based on homogeneous agents with incomplete information, and is consistent with the evidence of absorbing regime switching and the recent literature on state-dependent preference. Our findings have larger implications for ine¢ ciency of Chinas stock market.