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.

We present a model in which informational economies of scope that provide a cost advantage to universal banks oering “one-stop” shopping for lending and underwriting services also enable these intermediaries to “lock in” their clients’ subsequent business. This (limited) market power of universal banks reduces their incentive, relative to that of investment banks, to undertake costly eort in underwriting their clients’ securities. The consequent reduction in firms’ likelihood of successful security issues with universal bank underwriters prevents these intermediaries from using their scope economies to completely dominate their markets. Our analysis identifies economy, intermediary, and firm characteristics that motivate either the integration or segmentation of underwriting and bank lending. Our results also have implications for financial innovation and capital market development in markets characterized by the integration of financial services. Some of our empirical implications have not been tested; others can be compared with findings in Kroszner and Rajan (1994).

A substantial literature in institutional herding examines reasons for and evidence of correlated trading across institutional investors, but little has been written about the extent to which individual investor trading is correlated or why. We document that the trading of individuals is highly correlated and surprisingly persistent. Furthermore, we find that the systematic trading of individual investors is driven by their own decisions―trades they initiated―rather than by passive reactions to institutional herding. We discuss why this correlation is unlikely to stem from the same motivations as institutional herding. Correlated trading by individual is a necessary condition for the trading biases of individual investors to affect asset prices, since the trades of any particular individual are likely to be small. The preferences for buying some stocks while selling others must be shared by many individual investors if these preferences are to affect prices. We analyze trading records for 66,465 households at a large national discount broker between January 1991 and November 1996 and 665,533 investors at a large retail broker between January 1997 and June 1999. Using a variety of empirical approaches, we document that the trading of individuals is more coordinated than one would expect by mere chance. For example, if individual investors are net buyers of a stock this month, they are likely to be net buyers of the stock next month. In additional analyses, we present four stylized facts about the trading of individual investors: (1) they buy stocks with strong past returns; (2) they also sell stocks with strong past returns, though this relation is stronger than that for buys at short horizons (one to two quarters), but weaker at long horizons (up to 12 quarters); (3) their buying is more concentrated in fewer stocks than selling; and (4)they are net buyers of stocks with unusually high trading volume.

摘要：一国经常项目赤字只有获得足够资金支持才能维持，基于此本文将美国经常项目赤字可持续性问题转化为能否稳定地获得外源性融资的问题。文章从供给和需求角度探讨了美国与东亚之间特殊融资安排的形成与稳定性问题，并用两种方法估计了美国经常项目赤字可持续的必要条件及调整的时间。本文认为国际金融体系下美元霸权和东亚国家内需不足导致了东亚国家的资金供给，美国消费主导型经济导致经常项目赤字进而引致资金的需求，供求之间能达到短期均衡。但是由于制度安排的缺陷，这种特殊的融资安排长期必然走向崩溃。届时美国赤字调整不可避免，中国应采取措施方法赤字调整带来的风险。 Abstract: The current account deficits are sustainable only if it was adequately financed. On this basis, this paper has translated the problem concerning the sustainability of current account deficits into the question of stability of outside financing. Then, our paper discuss the special financing arrangement between East Asia and US, hence after, we further discuss the necessary conditions for the “sustainability” and time to adjust deficits. This paper justified that: East Asia becomes the supplier of financing because of the dollar hegemony under the absent of international financing system and lack of inner demand, US become the demander of financing for sake of the demand-led growth. The demand and supply will reach an equilibrium in short run, but the special financing arrangement dooms to be collapsed for short institutional arrangements, the US has to adjust its currents account deficits passively.

中央银行独立性问题在现代宏观经济研究特别是货币政策研究中备受关注，其与宏观经济指标的相互作用很大程度上决定着货币政策的运行效果。就此问题，本文首先介绍了西方学者对央行独立性的不同定义及研究的理论基础，随后从理论和实证两个角度分析中央银行独立性同宏观经济运行之间的关系，最后本文得出如下结论：中央银行独立性与通货膨胀之间的关系比较明确，与其他变量之间的关系仍不能明确界定；中央银行独立性的提升确实能有效降低通货膨胀率，但是抑制通货膨胀不能单独地成为支持中央银行独立性的理论基础；是否提高中央银行独立性应该结合其与物价、就业、经济增长的关系； The Central Bank Independent (CBI) issue has drawn more attention in macroeconomic research, especially is in the monetary policy research .To a large extent, it’s interaction with macroeconomic goals (price, economic growth, employment) mutually plays a remarkable role on the effect of monetary policy. On this question, this article first introduced the western scholar’s different definition on central bank independent and the theoretical basis of it. Then, we analyses the relationship between Central Bank independence and macroscopic economic performance theoretical and empirical angle. Finally we drawn draws the following conclusions: The relations Between the Central Bank independence and the inflation is quite explicit, but we are not clear about it’s relation with other variables such as growth、employment、deficits; Increasing Central Bank independent can effectively reduce the inflation rate, but “cut down” inflation cannot alone become the support for Central Bank independence; Whether or not to enhances the Central Bank independence should take in account it’s relations with the price, the employment, the economy grows; we should care about the “stationary” of variable when dealing with time-series data, otherwise the conclusion maybe less in accuracy and credibility;

Traditional hedge of bond duration and convexity are incorrect. We derive correct hedge ratios by capturing the neglected volatility linkage between Treasury futures and cheapest-to-deliver Treasuries. Our hedge-ratio equations specify each hedge instrument’s contribution against short-term spot and forward rate exposures. Our numerical analysis indicates that traditional hedge substantially overhedges. The relative overhedge is especially large in hedging high coupon bond when the hedge horizon is long, the term structure is steep, or the cheapest-to-deliver is a high coupon Treasury. The results are robust to various maturity of bond and the cheapest-to-deliver Treasuries.

内容提要：本文在介绍泰勒规则产生、内涵、发展的基础上，利用Lawrence模型将汇率因素引入，构建了开放经济条件下的前瞻性泰勒规则。实证结果表明：泰勒规则能够为中国货币政策提供一个很好的参照系；相对于物价稳定目标，央行更关注经济增长；将微观主体的预期和汇率因素引入到货币政策时，央行对利率的敏感性增强；继续推动利率和汇率体制改革能更有效地提高泰勒规则的解释力；“前瞻性泰勒规则”能提高中国货币政策透明度； Abstract: This paper introduce the origination、connotation and development of Taylor’s rule. On this basis, we then contrast the forward looking Taylor’s rule in an open economy by employing a model from Lawrence (1999).The empirical analysis indicates that: Taylor’s rule provides us a frame of reference in policy making; Central bank prefer “economic growth” to “price stability”; when considering the effect of public expectation and exchange rate, central bank pay more attention to price stability; exchange rate and interest rate regime reformation would increase the explanation of Taylor’s rule; the forward looking Taylor’s rule could enhance the transparency of monetary policy.

摘要：新疆德隆集团是中国西部最大的民营企业集团，自从涉足资本证券市场以来，一直以其出色的经营业绩和成功的资本运营模式雄称深沪股市。通过买壳上市，德隆在资本市场上筹措巨额资金，并以资本运作为杠杆，层层并购，迅速取得产业整合的控制权和操作权，因而其资本运作模式被誉为“后巴菲特模式”。几年来，德隆成功收购了新疆屯河、合金股份、湘火炬等企业，在中国股市形成了德隆系，奠定了其产业基础。打造了中国资本王国的神话。本文采用财务分析、二级市场表现及累计超额收益率（CAR）来考察这三家上市股市的并购绩效，从而既考虑了绩效产生所需的时间因素，又兼顾了并购在证券市场中的短期效应。研究表明，这三家企业在被德隆收购后均获得骄人的业绩：财务指标逐年上升，三家2002年主营业务收入分别较并购前上升了1354%，1787%和5306%；股价神奇飙升。究其原因是德隆成功地发挥了其自身核心竞争力――“整合力”，因此德隆的产业整合经营理念，为新疆乃至中国的产业结构调整提供了新思路，标志着投资理念的一次阶段性飞跃。 Abstract: XinJiang D’Long Group, the biggest private agglomeration in western China, acquits itself well in stock market depending on the excellent operating performance and successful capital-operating mode. Through buying “shell”(listed corporate) to go public, D’Long raises money in capital market and acquisitions step by step. Soon, it gets control and operating power of industrial integration. The capital operation mode is also called “Post-Buffett Mode”. Over the years, D’Long merges XinJiang TunHe, ShenYang HeJin, Xiang HuoJu, forming the D’Long Series and creating the legend of capital kingdom. Using accounting study, stock price and Cumulative Abnormal Return (CAR) respectively, the paper analyzes the M&A effects of the three corporate and finds their excellent performance. And all these results can be attributed to D’Long’s great power of integration. Therefore, D’Long’s idea of industrial integration provides a new train of thought for adjusting the industry structure of XinJiang, and even the whole China.

Stock price manipulations may be an important clue for us to understand many unique phenomena related to Chinese stock market, but we can hardly find any literature like this due to the difficulty to measure manipulation. We chosen a manipulated sample consisted of 44 stocks which was penalized by security regulation authorities for manipulation and 30 stocks whose price declining 10% or more in at least 3 successive trading days which may be caused by the manipulator’s running-out-of-fund. We documented that the manipulated stocks have significantly higher shares per account, concentration ratio, tradable shares ratio, turnover ratio, and significantly lower number of tradable shares related to non-manipulated ones, manipulated stocks in Shanghai Security Exchange have significantly higher level of larger shareholder’s percentage, but in Shenzhen Security Exchange we found the reversal. Our empirical findings suggest that we can use such variables as proxies to measure the possible stock price manipulation in Chinese stock market. Furthermore, our empirical research about the relationship between the characteristics of manipulated stocks and the stock price movement revealed that the sub-sample with higher shares per account or concentration ratio prior to the price reached its maximum also have higher level of return, averaged annual return and averaged annual abnormal return, and after the price reached it’s maximum, shares per account and concentration ratio decline significantly

We examine the dynamic relation between return and volume of individual stocks in Russia and other emerging markets. In a simple model in which investors trade to share risk or speculate on private information, Llorente, Michaely, Saar, and Wang (2001) show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by private information trades tend to continue themselves. We apply this theoretical framework to analyze the relation between daily volume and first-order return autocorrelation for individual stocks traded in Russia and other emerging markets. We find strong evidence of return continuation following high volume days, suggesting the presence of private information trading in emerging markets. Using corporate announcement data from Russia, we discover that the private information trading is especially strong around major corporate event dates. In addition, we find stocks in countries that enforce insider-trading law and provide better investor protection exhibit less private information trading. These results suggest a possible measure of “information asymmetry” for ranking emerging market stocks.