We investigate the optimal dynamic consumption, housing and portfolio decisions for an investor who receives stochastic labor income and acquires housing services from either renting or owning a house. We find that the investor prefers owning to renting to take advantage of lower owning cost when not liquidity?constrained. More important, when indi®erent between owning and renting, the homeowner holds a higher equity proportion in his liquid financial portfolio (bond and stock), yet a lower equity proportion in his total financial wealth (stock, bond and home equity) than the renter. Further, having the opportunity to own a house tilts a renter’s portfolio towards safe asset, while being able to rent housing services induces a homeowner to increase his stock holding. Denying investors access to either the house owning or rental market can lead to large welfare costs. Empirical evidence from the 1998 Survey of Consumer Finance data is broadly consistent with our theoretical predictions.

This article will give an overview of China’s bond market development, its achievements and the future prospects of China’s bond fund market. Furthermore, it will provide some concrete suggestions on how to improve bond market liquidity based on my experience running China’s first bond fund.

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.

Motivated by the behavior of internet stock prices in 1998-2000, we present a continuous time equilibrium model of bubbles where overconfidence generates disagreements among agents regarding asset fundamentals. With shortsale constraints, an asset owner has an option to sell the asset to other agents who have more optimistic beliefs. This re-sale option has a recursive structure, that is, a buyer of the asset gets the option to resell it. This causes a significant bubble component in asset prices even when small dierences of beliefs are sucient to generate a trade. The model generates prices that are above fundamentals, excessive trading, excess volatility, and predictable returns. However, our analysis shows that while Tobin’s tax can substantially reduce speculative trading when transaction costs are small, it has only a limited impact on the size of the bubble or on price volatility. We give an example where the price of a subsidiary is larger than its parent firm. Finally, we show how overconfidence can justify the use of corporate strategies that would not be rewarding in a “rational” environment.

This paper provides evidence on the significant impact of illiquidity or non-marketability on security valuation. A typical listed company in China has several types of share outstanding: (i) common shares that are only tradable on stock exchanges, (ii) restricted institutional shares (RIS) that are not tradable and can only be transferred privately or through irregularly scheduled auctions, and (iii) state shares that are only transferable privately. These types of share are identical in every aspect, except that market regulations make state and RIS shares almost totally illiquid. Our analysis focuses on the price differences between RIS and common shares of the same company, using both auction and private-transfer transactions for RIS shares. Among our findings, the average discount for RIS shares relative to their floating counterpart is 77.93% and 85.59%, respectively based on auction and private transfers. The price for illiquidity is thus high, significantly raising the cost of equity capital. This illiquidity discount increases with both the floating shares’ volatility and the firm’s debt/equity ratio, but decreases with firm size, return on equity, and book/price and earnings/price ratios (based on the floating share price). However, RIS share price can either increase or decrease with the quantity being transacted, depending on whether it is through a private placement or an auction.

个人理财服务是国外商业银行中相当成熟的一项服务,而在我国才刚刚起步。本文主要从理财服务质量入手，分析影响服务质量的关键因素，揭示各个因素在服务交付过程不同阶段所起的作用并提出相应的服务营销建议，最后指出今后的研究方向。 Personal financing is a well-developed service in western commercial banks; however, it is still an emerging and immature service in China. With the beginning of the service quality analysis in personnel financing services, this article refines the critical factors effecting customer satisfaction, analyzes the different roles of these factors in different stage of service-delivery process, and finally proposes the conclusions and the direction of the future research.

Although the Asian Financial Crisis (AFC) has been over for many years, the influences of the AFC remain effect the world economy for quite severely. So it is worthy for both the governors and academic to study the lessons from the AFC and then find out some measures to avoid the happening of the crisis. This paper first analyze the causes of the financial crisis and the causes of the AFC, points out the impacts of China, which is the largest transition country in the world and has the situation similar with these Asian countries. This paper also point out some of the measures China can implement to accelerate the restructuring of the banking system.

We propose two nonparametric transition density-based speciÞcation tests for continuous-time models. Unlike the marginal density used in the literature, the transition density can capture the full dynamics of a continuous-time process. To address the concerns of the Þnite sample perfor- mance of nonparametric methods in the literature, we introduce an appropriate data transfor- mation and correct the boundary bias of kernel estimators. As a result, our tests are robust to persistent dependence in data and provide reliable inferences for sample sizes often encountered in empirical Þnance. Simulation studies show that even for data with highly persistent depen- dence, our tests have reasonable size and good power against a variety of alternatives in Þnite samples. Besides one-factor diffusion models, our tests can be applied to a broad class of dynamic models, including discrete-time dynamic models, time-inhomogeneous diffusion models, stochas- tic volatility models, jump-diffusion models, and multi-factor diffusion models. When applied to Eurodollar interest rates, our tests overwhelmingly reject a variety of popular one-factor diffusion models. We Þnd that introducing nonlinear drift does not signiÞcantly improve the goodness of Þt, and the main reason for the rejection of one-factor diffusion models is the violation of the Markov assumption. Some popular non-Markovian models with GARCH, regime switching and jumps perform signiÞcantly better than one-factor diffusion models, but they are still far from being adequate to fully capture the interest rate dynamics. Our study shows that, contrary to the general perception in the literature, nonparametric methods are a reliable and powerful tool for analyzing Þnancial data.

This paper examines both the time series and cross-country patterns in the development of stock markets around the world. It adopts a flexible modeling framework that allows for the breakdown of changes in equity market capitalization into changes in macroeconomic and financial fundamentals, shifts in valuation technology and market sentiment, and improvement in valuation efficiency. Using panel data on 32 countries, I show that for developed countries, the size of their equity markets is positively related to the correlation of these markets with the global portfolio, and is negatively related to government consumption. For developing countries, the level of financial intermediary development and openness to trade are found to be conducive to the development of local equity markets. For given levels of market fundamentals, developed countries with greater economic freedom and stronger shareholder protections are associated with more highly valued equity markets, while the French or German civil law countries and countries with insider trading legislation tend to have relatively poorly valued equity markets. For developing countries, ceteris paribus, high quality of accounting standards is found to be associated with higher valuation of their equity markets. I find that only equities in emerging markets become more highly valued, indicating an improvement in valuation efficiency over time. Australia, Canada, the United States, Hong Kong, and Singapore have the most highly valued equity markets in the developed world, while Malaysia has the mostly highly valued equity market in the developing world. It appears that favorable shifts in valuation technology and market sentiment contribute the lion’s share of the growth of global equity markets.

Abstract The paper take notes for “Equilibrium Points in N-person Games” and draw the conclusion that the Asset-pricing-model should reflect the investors’ strategies and payoff functions, and then we give the rudiment of the model.