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.

从1998年开始建立封闭式基金已有5年的时间，基金的绩效也已开始引起人们的关注。本文在前人的基础上进一步选择深沪两市共19只封闭式基金，对他们的绩效水平分别进行检验，并选取六只开放式基金的绩效水平进行比较。本文除采用传统的指数进行评估外，同时还引入了E-VaR模型。

A government policy aimed at the reduction of state shares in state-owned enterprises (SOE) triggered a crash in the Chinese 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 flight-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 model shows that the Chinese stock market has distinctive features of liquidity production and price discovery. The irregularities generate an inverted-S demand curve, gives rise to potential liquidity black holes, and are key features to explain the state-share paradox. This study contributes a rational panics hypothesis to the literature. The rational panics hypothesis is neither a herding model with or without behavioral assumptions, 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 theoretical modeling and policy design.