It is widely accepted that paying cash dividend might mitigate agency problem between majority shareholder and minority shareholders. Some common law countries use mandatory cash dividend policy to protect minority shareholders. We provide opposite evidence in this paper. First, we find that in China’s stock market, firms with intermediate or high shareholding concentration have higher incentive to pay cash dividend. As controlling shareholders in China hold non-negotiable shares, we argue that this phenomenon is associated with non-negotiable shareholders’ incentive to retrieve cash from the firm. Second, non-negotiable shareholders generally give up subscription right in rights offering. Furthermore, firms with intermediate or high shareholding concentration increase dividend payment soon after rights offering. Giving up subscription right and using receipts from rights offering to pay cash dividend together mean that non-negotiable shareholders in firms with intermediate or high shareholding concentration sell a proportion of the shares they hold to negotiable shareholders by paying cash dividend. The average selling price is about 3 times higher than that in private negotiation. Market reacts negatively to cash dividend announcement of firms with intermediate or high shareholding concentration. Our findings show that dividend might be used as a vehicle of tunneling.

本文首先对过去几十年来实物期权方法应用研究进展进行了回顾和总结，并指出了目前在实物期权方法应用中经常出现的一些模糊概念和误用的问题。通过一些实例的分析和讨论，对现有的一些研究结论提出了质疑，指出：由于问题构模及参数定义上的差异，一些在金融期权中成立的定理，如期权价值随着波动率增加、无风险利率增大或期权期限延长时，是递增的这一规律对于实物期权的而言可能会失效。并以实物期权在企业R&D 投资项目中为例，对这一问题以及与之相关的实物期权构模和参数选择等问题进行了详细深入的讨论和分析。文章还在对Penning and Lint（1997）及Agliardi Elettra（2003）等人的结果扩展的基础上，给出了当波动率、无风险利率和期权持有成本为时变函数的条件下四种复合期权的解析解，并利用数值计算结果证实了作者的观点。 Abstract: This study first reviews the literature of real options research in the past decades, and points out the problem of obscure concepts and misuse of real option frequently appeared in the application fields. By analyzing and discussing some cases, the author put forward doubt on some research results, and indicate that because of the discrepancy of modeling and parameter definition, some theorems which true for financial options, such as the value of options will increase when the volatility and risk-free rate increase or expiration date suspension, will not true for the real options. Using the application of real options in firm’s R&D project as an example, the paper analyses and discusses the problem in detail how to applying real options from aspects of modeling, parameter estimation and sensitivity analysis correctly, etc. By extending the results of Penning and Lint (1997) as well as Agliardi Elettra (2003), a close-form solution for a generalized of the Geske formula is derived for four types compound real options: call on call, call on put, put on call, put on put in the case of time-dependent volatility and risk-free rate and option-holding cost. The author’s findings are proven by numerical results in the last.

摘要 本文研究的核心问题是：什么是企业技术，怎样进行企业技术分析，企业技术分析的意义是什么。为此，本文分析了科学技术发展的历史，分析了企业技术的形成和发展，提出了企业技术内核与企业技术外延的概念，并以制造业为例，进行了企业技术的实证分析，最后探讨了企业技术分析的应用。 Enterprise Technology SHI WEN-RUI Abstract: The paper analyzes the history of the technology and the development about the enterprise technology, builds the analysis methord about the enterprise technology. At the same time, the paper also analyzes the technology of the manufacturing industry enterprise. At the end, the paper analyzes the use of the enterprise technology.

Nonperforming loans(NPLS) is the main cause of crises of bank and financial industry. High NPLS have important influence on bank and a country. The dissertation researches behavior of commercial bank manager (constituent or principal) and Enterprise manager (agent) about NPLS. Conclusion is drawn from the paper: bank NPLS originating in cooperative game is not easier than non-cooperative game when we don’t take into account market risk and budget soft restriction.

Building upon the seminal work of Easley, Kiefer, O’Hara and Paperman (1996), we develop a framework to investigate the relationship between the behavior of uninformed investors and the time-varying informed trading activities. We allow the arrival rates for uninformed traders to follow a Markov switching process where the transition probabilities depend on market fundamentals. Informed traders may match the level of the uninformed arrival rate with certain probability so as to make better use of the camouflage provided by the uninformed transactions. Our empirical estimation of NYSE stocks shows that the uninformed transition probabilities are indeed time-varying, so is the probability of information content. The estimated probability of information content predicts the opening, median and closing spreads. There is evidence that uninformed investors exhibit momentum chasing and “noise herding” behavior. There is also a positive “market spillover” effect in the uninformed trading activities. We find that the “clustering” of trading activities by uninformed and informed traders seem to be more likely on low volume days, and the uninformed trading activities are responsible for most of the stock trading volatilities.

Investors who possess information about the value of an IPO can participate in the offering as well as trade strategically in the aftermarket. Both the bookbuilding and the fixed price IPO selling methods require more underpricing when aftermarket trading by informed investors is considered. Bookbuilding becomes especially costly, since the potential for profit in the aftermarket adversely affects investors’ bidding behavior in the premarket. Unless the underwriter building a book can target a small enough subset of the informed investors, a fixed price strategy that allocates the issue to retail investors produces higher proceeds on average, contrary to the conventional wisdom in the literature. We therefore find a benefit to limiting access to the premarket and, hence, provide an efficiency rationale for the practice by American bankers of marketing IPOs to a select group of investors.

Until recently, trading in Chinese markets was fully segmented―B-shares for foreign investors and A-shares for domestic investors. The fact that B-shares trade at a discount is a puzzle, since comparable markets overwhelmingly show premiums that are easily explained by international asset pricing models. The two most common explanations for this puzzle are that domestic investors are (i) better-informed and (ii) face lower costs of liquidity. The evidence, however, is inconclusive and relies on poor proxies. Based on as of yet unused trade and quote data, we explore direct measures of both information and liquidity using a spread decomposition model. We reject the liquidity-based explanation and find considerable support for betterinformed domestic investors. This creates an empirical basis for recent equilibrium models that rely on asymmetric information to explain China’s strong growth in spite of poor property rights.

This paper detects whether seasoned equity offering (SEO) firms manage earnings in the year before a planed issue and the inducement factors of earning management. We select 106 SEO firms during 1999 to 2001 as test sample and another 106 non-SEO firms matched at calendar year, Industry and cash from operation as control sample. Using 3 three test methods, we find that firms contemplating SEO in the following year do manage earnings particularly when their relative performances are poor. And we also find firm size, CFOs and debt ratios are important inducement factors of earning management.

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. 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.

Abstract: China is the most important emerging market awaiting for investigation by both academics and industrials. We study the profitability of long position in winner-based threshold momentum strategies after accounting for the transaction cost. We find substantial profits (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 profits 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 profits may not compete with the trading cost.