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.

The paper analyses monetary policy transmission mechanism in Nigeria. Vector auto-regression model is estimated for the pre-reform and post-reform periods. Variance decompositions and impulse response functions are examined to see whether there are any changes observed in the monetary transmission mechanism after the reforms. Different systems are estimated in each period using alternate variables as measures of monetary policy shocks. When compared results from the two estimation periods, we noted that both the responsiveness of prices and output to policy shocks and the magnitude of their forecast error variance decompositions, explained by these variables, have increased since the reforms. There is evidence of the bank-lending channel both before and after the reforms. Of the mechanisms estimated, the exchange rate and lending mechanisms seem to be the most important mechanisms for transmission of policy shocks to both prices and output during the post-reform period.

A strategic foundation for rational expectations equilibrium is provided by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bid functions which is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double auction equilibrium is almost efficient and almost fully aggregates the agents’ information.

The pairs (or repeat) transactions index model is the most widely used method for constructing housing market index and for estimating individual house prices. However, this model is unable to provide price level information on the housing market and encounters several statistical problems when individual houses have more than two transactions. In order to overcome the shortcomings of pairs transactions model, we propose a multi transactions model with the panel data approach to estimate market index and to predict house prices. The empirical results based on 5,000 houses in Howard County Maryland demonstrate that the proposed multi transactions model: (1) can provide price level information on the housing market; (2) produces market index with smaller standard errors; (3) is more robust in terms of difference between the sub-sample estimate and full sample estimate; (4) has smaller index revision volatilities; and (5) performs better in the out-of-sample test on the prediction of individual house prices. Thus, the multi transactions model is recommended for constructing housing market index and assessing individual house prices.

中国证券市场是一个特殊的证券市场，在这个市场中，政府、上市公司、投资者等各利益集团入市都有其自己特定的目的。本文基于对各利益集团入市的目的的分析，构造出了各利益集团间的博弈模型，分析了各利益集团之间的冲突和对抗。 Abstract: The Chinese stock market is a special stock market, so that in this market, and each interest group of government, listed company, investor...etc. Appear on market to all have the particular purpose of its oneself. This text primarily pass the right each interest group the purpose that appear on market, and construct out the game of each interest group the model, from but analyzed the game between each interest group clash with resist.