The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using so-called “direct test” approach which employs a direct measurement of inventory levels, or the “ indirect test” approach which examines the relative variation of spot and futures prices and the relative variation of negative basis to positive basis as alternative proxies for inventory levels. The rationale behind “indirect test” is based on the hypothesis that futures prices are less variable than spot prices when inventory is low, and have similar variability when inventory is high. The authors propose a “ unified “ test of the theory of storage that incorporates aspects of both direct and indirect tests in an ARMAX-asymmetric GARCH model framework.

Although bank loans themselves are somewhat illiquid because of private information, most of their cashflows are not. Recent financial innovations allow commercial loans to be liquefied via credit derivatives and actual and synthetic securitizations. The loan originating bank holds the remaining illiquid tranche containing the concentrated credit risk, private information rent and the “excess spread” that incentivize the bank to continue to monitor and service the loans. Empirically, we find that the average size of the residual tranche is about 3%, which reflects the size of the “market determined capital” necessary to support the liquefaction. The liquefaction of bank loans makes possible a banking system that restricts the guaranteed accounts to be backed by 100% reserves and the non-guaranteed deposits to be backed by liquid securitized loan tranches, while retaining the deposit-lending synergy. Such a system is perfectly safe without deposit insurance and it renders banks bankruptcy-remote without sacrificing a bank’s traditional role as a financial intermediary.

This paper documents the relations between firms' pre-offer market valuations and takeover behavior, and evaluates their consistency with the Q theory and the misvaluation theory of takeovers. We employ two valuation measures: price/book ratios and ratios of price to residual income model value. Market valuations of bidders and targets influence the means of payment chosen, the mode of acquisition, the premia paid, target hostility to the offer, the likelihood of offer success, and bidder and target announcement period stock returns. The evidence is broadly consistent with both hypotheses. The evidence for the Q hypothesis is stronger in the pre-1990 period than in the 1990-2000 period, whereas the evidence for the misvaluation hypothesis is stronger in the 1990-2000 period than in the pre-1990 period.

本文运用对称双头垄断时机选择期权博弈模型分析了经营成本对企业研发投资决策的影响。随着研发投资项目经营成本的增加，企业的投资收益下降而投资临界值上升。这使得企业即使面临竞争对手抢先进入的威胁，等待而不是立即投资仍然是最优的。经营成本对于企业的投资收益和投资临界值的影响大于项目投资成本，而且追随者企业对于经营成本更加敏感。 In this paper, we analyze the influence of operating costs on the R&D investment decision with a symmetrical duopoly real option timing game. As the operating costs increasing, the payoffs of firms decrease but investment thresholds increase, so firms prefer waiting to investing even facing the threat of preemption of the rival. We show that the investment thresholds are more sensitive to the change of the operating costs than that of the investment costs, and the operating costs have more influence on the payoffs of follower firm than that of leader firm.

We propose a new diagnostic test for linear and nonlinear time series models,using a generalized spectral approach+ Under a wide class of time series models that includes autoregressive conditional heteroskedasticity (ARCH) and autoregressive conditional duration (ACD) models, the proposed test enjoys the appealing“nuisance-parameter-free” property in the sense that model parameter estimation uncertainty has no impact on the limit distribution of the test statistic+ It is consistent against any type of pairwise serial dependence in the model standardized residuals and allows the choice of a proper lag order via data-driven methods. Moreover, the new test is asymptotically more efficient than the correlation integral?based test of Brock, Hsieh, and LeBaron (1991, Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence) and Brock, Dechert, Scheinkman, and LeBaron (1996, Econometric Reviews 15, 197?235), the well-known BDS test, against a class of plausible local alternatives (not including ARCH). A simulation study compares the finite-sample performance of the proposed test and the tests of BDS, Box and Pierce (1970, Journal of the American Statistical Association 65, 1509?1527), Ljung and Box (1978, Biometrika 65, 297?303), McLeod and Li (1983, Journal of Time Series Analysis 4, 269?273), and Li and Mak (1994, Journal of Time Series Analysis 15, 627? 636). The new test has good power against a wide variety of stochastic and chaotic alternatives to the null models for conditional mean and conditional variance. It can play a valuable role in evaluating adequacy of linear and nonlinear time series models. An empirical application to the daily S&P 500 price index highlights the merits of our approach.

中文摘要： 随着我国与世界各国经济往来的日益密切和国际金融的不断泛化，我国将逐渐融入国际金融市场的大环境。一些原本不为我们所熟识的金融衍生产品将逐渐影响并改变我们的经济生活。外汇按金交易作为80年代全球金融创新年代的新锐产品，首当其冲受到业内人士的普遍关注。随着中国外汇管理政策改革的进一步深化，推出衍生品交易时机已经成熟，按金交易也将应运而生。 English Abstract: With the closer relationship between China and foreign countries in the world and the further development of the international financial business, China will be gradually involved in the international financial market on a wide range. Some of the financial derivatives that we were not familiar with are going to make great influence and bring a lot changes in our economic life. As the new and great product in the world financial innovation activities, The Leveraged Foreign Exchange without no doubt will be the focus of the professional people in the banking industry and financial regulating sectors. Since the rules of the SAFE have changed a lot, the right time for the entering into foreign exchange market of financial derivatives becomes available. Thus, it is possible to remove the prohibition of The leveraged Foreign Exchange.

Soft budget constraint refers to the situation where an economic entity expects to obtain economic assistance when in financial difficulties. During the past decade, a sizable literature has accumulated explaining the causes and consequences of the soft budget constraint. Many of the theories have traced soft budget constraint on enterprises to that on banks. However, why do banks often face soft budget constraint? How to mitigate the resulting problems? In this paper, we first show that owing to their special financial structure, banks as market institutions intrinsically face hard budget constraint and nevertheless remain stable and effective. Since banks’ finance mostly comes from deposits, it is very difficult for banks to be refinanced when their investment projects are unsuccessful due to the sequential service arrangement for bank deposits. This limitation hardens the budget constraint on banks and disciplines bankers’ investment decisions. However, the advent of instantaneous-social-welfareminded modern governments, which have both the resources and the incentives to bail out failing banks, gives rise to the soft budget constraint of banks. This causes bankers’ moral hazard problems. As an institutional solution to the resulting banking instabilities, banking regulation emerged in order to restrict banks’ investment decisions. We provide historical evidence on the genesis and symptoms of, and institutional solution to the soft budget constraint of banks over the past six hundred years to support our theory. We also conduct contemporary econometric analysis to show how the lack of government commitment to a hard budget constraint gives rise to a strict banking regulation. We further explore the predictions of our theory in the paper.

Technical traders base their analysis on the premise that the patterns in market prices are assumed to recur in the future, and thus, these patterns can be used for predictive purposes. This paper tests the simplest and most popular trading rules―moving average―in the Chinese stock market. Overall, our results are similar to the ones of Brock et al. (1992) and Lo et al. (2000), providing strong support for the technical strategies. In fact, technical indicators do provide incremental information, and buy signals consistently generate higher returns than sell signals. We also find that the asymmetric phenomenon between the buy and sell signals, and we attributed it to the investors’ behaviors.

Guilin Jiqi is a pharmaceutical company listed on Shenzhen Stock Exchange from 1997. Taking into account the special institutional background of China, we thoroughly analyze possible motives for her accounting fraud in 2000. Guilin Jiqi made up the accounting profit in the semi-annual report. Interestingly, the employee shares of Guilin Jiqi began to be tradable in the open market from June. After rejecting other possibilities, we find that the most probable motive for this earnings manipulation is to help her employees, except top managers, to sell their shares at a huge profit. Our case evidence tells an interesting story regarding another form of insider trading. The management might recognize the contribution of employees by helping them to take advantage of investors fooled by inflated accounting profit. The pressure from subordinates possibly played an important role in the decision making of the management.

Stock market liberalization is a decision to allow foreign investors to purchase domestic shares. This paper is an event study on market reactions around the announcement of the Qualified Foreign Institutional Investors (QFII) scheme in China. We find no significant abnormal returns in market indices in the short-term period leading up to the announcement, negative abnormal returns in the short-term period following the announcement, and no significant abnormal returns in the long-term period thereafter. The findings do not comply with the prediction of international asset pricing models. The QFII scheme may not help much in reducing the cost of equity capital and risk premium of China companies.