This paper investigate the distribution of daily return of Shenzhen Stock Sub-index using data analysis techniques and model fitting. Stable laws are fitted to empirical distributions using characteristic transformation estimation method. Empirical evidence supports the stable hypothesis the distribution has tails much heavier and more peak around to the center than Gaussian counterparts. Key Words: Shenzhen Sub-Index, Stable distribution, Characteristic transformation

The seminal works of Jensen and Meckling (1976) and Myers (1977) highlight the conflicts of interest between the owners, managers, and debt holders of the firm and discuss the risk-shifting behavior of the managers assumed for our purpose to be the“firm” in detriment of their debt holders. Although a considerable amount of research has been undertaken on this topic, much less studies are devoted to endogenizing risk choices in the presence of financial guarantees and in the context of corporate project financing. A firm risk’s appetite increases when it has a guarantee contract on its debt, which creates a conflict between the firm and the guarantee provider. Addressing formally this moral hazard issue, we propose an equilibrium model in which the borrowing firm and the guarantee provider pre-commit themselves to conscripted risk levels at the signature of the loan guarantee contract. We show if the borrowing firm and the guarantor precommit, the equilibrium risk level is lower than the one the firm will choose unilaterally. For short (long) maturity debts, both parties gain by agreeing on a high (low) risk project when the firm shareholders have a big equity stake in the new project. We also study the trade-off between the borrowing firm’s capital structure and its risk level. The optimal risk level of the firm is entirely determined by its ex-post capital structure.

摘要: 本文系统考察了1998～2000年中国A股上市亏损公司的扭亏行为，结果发现关联交易活动和重组活动是亏损上市公司扭亏的主要手段，而西方企业盈余管理的主要手段--操控性应计利润--对我国亏损公司的扭亏作用十分有限，主要被未扭亏公司用来做大亏损。另外，我们还发现财政补贴不是亏损公司扭亏为盈的主要手段，2001年12月4日出台的取消PT政策加速了连续亏损公司的扭亏步伐。 An Empirical Analysis on the Profit Turning Behavior of the A-Share Loss Firms Abstract: This paper examines the profit turning behavior of the loss firms in China’s A share market for the period of 1998 to 2000. We find that, to turn profit, loss firms mainly rely on related-party transactions and restructuring rather than on manipulation of accruals, the main methods of earnings management reported in the Western literature. However, the loss firms failed to turn profit do intend to take a big bath by increasing the loss amount. The empirical results also show that the fiscal subsidy plays no significant role in the profit turning of the loss firms and the suspension of PT system put additional pressure on the loss firms.

摘要：本文主要研究了2002－03年1月间深成指调整的价格效应和成交量效应，结果表明加入(剔除)股票在调整日有显著的正(负)异常报酬，成交量上升。加入股票的价格经历了永久的上升，剔除股票的价格则回复到了先前的水平。但在1997、1999年的两次调整中并没有观察到类似的现象，这可能与我国投资基金迅速发展有关，股指调整导致基金增持加入股票和减持剔除股票。另外，加入(剔除)股票在调整日后成交量显著的下降(上升)。上述现象可能的原因是成份股和非成份股有无相近替代品的不对称性。 Changes in the Shenzhen composition index Abstract: This study mainly investigates the price and volume effects of changes in the Shenzhen composition index from 2002 to January 2003.On average,Price increases significantly in the event day for stock added with partial post-event reversal; while price decreases significantly in the event day with full post-event reversal for stock deleted. Trading volume both increases significantly in the event day.but we haven’t see the same phenomena in the index changes of 1997 and 1999 ,it maybe due to the development of investment fund. Furthermore,Long-term trading volume drops(rises) significantly for stocks added(deleted). These evidences maybe due to the asymmetry between ineex stocks and non-index stocks that have substitute.

本文通过两个模型分析了在不存在保荐人和存在保荐人的情况下，证监会的事后惩罚力度与上市公司作假行为之间的关系。我们的分析发现，公司的作假行为与证监会事后的处罚力度、事后被市场发现的概率呈反向关系，而与公司发行的流通股的比例、公司上市的预期收益呈正向关系。保荐人与企业的合谋行为与证监会事前的监督力度、事后的处罚力度和事后被市场发现的概率呈反向关系，而与公司发行的流通股的比例、公司上市的预期收益呈正向关系。 Abstract: This article builds two models to show the relationship between ex post regulatory punishment and the forgery of listed companies. We show that the more severe the ex post regulatory punishment, the less forgery of listed companies, and the larger the probability of the forgery to be found by market, the less forgery, the larger the share of out equity, the more forgery, and that the more expected returns by forging, the more forgery, too. The probability that the advisor to collude with the forgery company is also affected by the severeness of the regulatory punishment, the probability of the forgery to be found by market, the share of out equity and the expected returns by forging. Ex ante supervision to advisor by regulatory agency is good to reduce the probability of the collusion between advisor and the forgery companies.

In this article we offer an explanation for price differentials between A and H shares based on the conventional asset pricing theory. We find that the risk premiums associated with the Hong Kong and Mainland Chinese Markets in a two-factor model successfully explain the cross section of returns on the A and H shares. We show that discounts on H shares relative to A shares are highly related to the contemporaneous discounts of H-share local market index relative to A-share local market index, as well as the spread of Hong Kong savings interest rate to Mainland China. The evidence suggests that the risk premiums associated with the segmented A- and H-share markets exert crucial impacts on the price differentials between the two classes of shares. The results thereby indicate that the movements of price discounts of H shares owned by non-Mainland investors in the Chinese stock markets is in accord with the rationality of Chinese investors.

We analyze a general equilibrium exchange economy with a continuum of agents who have ``catching up with the Joneses'' preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic re-distribution of wealth among the agents leads to countercyclical time variation in the Sharpe ratio of stock returns. We show that the level of stock prices is negatively related to both the conditional return volatility and the risk premium, as observed empirically. Therefore, our model also produces the correct sign for the slope coefficients in long-horizon predictive regressions. For comparison, otherwise similar representative agent economies with the same type of preferences exhibit counter-factual behavior of conditional moments of returns, i.e., a constant Sharpe ratio and procyclical risk premium and return volatility.

本文通过分析德国法兰克福证券交易所(Deutsche Boerse)电子证券交易平台Xetra的拍卖市场定价和交易数量分配准则，第一次规范地提出了这一拍卖市场定价和交易数量分配的理论模型，并对其相应的经济特性作出分析。我们发现，Xetra拍卖市场价格并非传统经济学意义上的市场均衡价格(market equilibrium price)；根据其市场定价模型，在市场非均衡(market disequilibrium)情况下仍存在市场交易价格。同时我们发现，从市场均衡(market equilibrium)的角度看，现有的拍卖市场定价模式仍存在可以进一步改良的空间。另外，我们发现Xetra拍卖市场的交易数量分配模型亦非传统经济学中的均衡市场分配机制，而应归属于市场定量配给模型(rationing theory)。这一发现是对传统经济学中均衡市场分配机制的一个相互补充，同时也指出了证券交易市场微观结构的进一步研究方向。 从实际应用的角度来看，本文通过对德国电子证券交易系统进行的实证和规范化分析，为我国设计切合本国实际情况的电子证券市场交易机制提供有价值的参考。

Optimal Timing and Optimal Intensity of Real Estate Development Abstract The traditional real option approach treat firms as price taker and at the same time the firm is assumed to have monopoly power because no competition or future competitive entry is not considered in most of the real option literature. In this article we assume the real estate developer has monopoly power in a real estate submarket, given the nature of real estate market. The developer makes the timing decision as well as the intensity decision at the same time. We model the developer decision in the framework of the real option and derived the optimal timing and optimal intensity of real estate development of a certain real estate project. Our Result shows that not only the uncertainty but also the low rent sensitivity of housing demand will lead to defer of real estate development. And both the timing decision and intensity decision are sensitive to the demand factors besides the uncertainty effect.

Firms, which trade in today’s open economy often involved multi-currency transactions, will have their stock returns influenced by traded transaction currencies variations. Frequently, these firms also use derivatives for either active (hedging and speculative) or passive (hedging) currency risk management. It is therefore nontrivial to analyse empirically for these firms the relationship between stock return, currency risk exposure, and the motive of their derivatives use. This paper aims to test the relationships, via a two-factor market return model, which is based on the Arbitrage Pricing Theory (Ross, 1976). Descriptive and Inferential statistical tests are implemented on published accounting data (cross sectional and time series) for 69 Australian listed firms excluding non-financial institutions. Statistical test results reveal that there is a weak positive relationship between stock return and currency risk exposure level. The test results also suggest a negative relationship between the currency risk level and the motive (either hedging, speculative or both) of derivatives use. These findings are consistent with the modern finance theory.