In this study, we investigate the aggressiveness of trading by foreign investors in the Indonesian stock market. We accomplish this with the help of complete order and transaction records between May 1995 and May 2003, from the Jakarta Stock Exchange. We find that foreign investors, compared to domestic investors, exhibit aggressive trading behavior in several respects: (1) the orders submitted by foreign investors have a higher probability of being executed (filled); (2) foreign investors are more likely to submit orders to initiate trades; and (3) it takes less time for the non-initiation orders from foreign investors to be filled. We also find that the aggressive trading behavior of foreign investors does affect their trading performance, even though they do not necessarily have an information disadvantage over domestic investors. Finally, we find weak evidence to suggest that the aggressive trading may increase selling pressure on stock prices when the market is under distress.

在基于商品的金融衍生产品定价的背景下，本文建立了商品现货价格和便利收益的数学模型，并利用上海期货交易所1999 年11 月到2003 年12 月铜的周期货价格和郑州期货交易所1999 年11 月到2003 年11 月小麦的周期货价格估计分析了铜和小麦的现货价格和便利收益所遵循的随机过程。结果表明铜的现货价格服从对数正态分布，便利收益具有均值回复特性，小麦的现货价格不服从对数正态分布，便利收益不具有均值回复特性。

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.

　　这篇文章是本人学习《保险精算》课程时老师布置的作业之一，基本上是按照某种线索把原文介绍了一遍，原文题目是 Actuarial and Economic Aspects of Securitization of Risk　作者是 SAMUEL H. COX; JOSEPH R. FAIRCHILD; & HAL W. PEDERSEN，可能是这篇文章从某种角度来说有很强的可读性，所以布置此题，让学生写出简要的提纲来。以下就是本人对这篇文章写的提纲，里面掺杂着本人的主观理解，由于水平有限难免会存在些错误。如需要原文者请与本人联系，大家共同切磋。

人们对股市的研究非常之多，对股市收益率和波动率有大量的讨论，过去的一、二十年里，关注的焦点在于运用时间序列模型如ARCH和GARCH等研究波动率，并运用灵活的估计方法，如GMM等来估计参数。近年来，人们更关注于高频数据、长记忆特性、重尾和多维变量的研究。可以说，在股市研究中广泛运用了统计模型和方法，是金融、经济学与统计学的完美结合。 生存分析（Survival Analysis）的模型和方法是工程、医学和生物学等领域中一个很受关心的内容，生存分析已成为现代数理统计的一个重要分支。许多统计学家在这一领域作出了大量工作，尤其是Cox的重要贡献。 本文将生存分析方法引入对股市的分析，因为股市指数的连续上涨和下跌可以看作是一种特殊的生存过程，当股指连续上涨到头转为下跌时，可以视作上涨的“死亡”；同样当股指连续下跌到头转为上涨时，可视作下跌的“死亡”，股指就是在这两种状态下不停地进行着“生”、“死”相互转化的。 股指连续涨跌的点数可以看作是连续的生存模型，而股指连续涨跌的天数可以看作是离散的生存模型。由于篇幅的限制，本文仅考虑股指连续涨跌点数这种连续的生存模型。在这一模型里，股指连续涨跌了多少点，可以看作是一个生存过程的时间

内容摘要：中华区域经济一体化是未来两岸四地经济发展的必然结果，未来两岸可考虑实行统一货币“华币”，并使华币成为世界货币之一，这将给两岸四地带来重要大经济利益，也将进一步促进中华经济一体化进程。然实行统一货币“华币”必须改变现行人民币、港币、新台币及澳门币制度，而且将面对美元与欧元等货币的竞争。 Abstract::The economic integral of China district is an inevitable outcome of cross-straits four ground economy developing in the future.the Cross-straits can consider practice to unify the currency HB, and make HB become the one of the world currencies, and this will give cross-straits four districts important and big and economic benefits, and also will further promote the economic integral of China district .but practices to unify the currency HB must change current RenMinbi, Hong Kong dollar, NT$ and Pataca system, and will face the US$ and euro competition, etc..

IPO underpricing has been documented by many empirical papers. A lot of researchers believe this phenomenon is not isolated and happen by accident. Many theories and empirical studies have given some explanations. This paper study IPOs market in UK follow former researcher’s model. According to previous empirical studies, there are negative relation between IPOs underpricing and advisors’ reputation. But after investigating on UK’s IPOs and its underwriter (most are investment bank) during 2004 to present, I can not find strong support for this theories.

We consider the optimal intertemporal consumption and investment policy of a CARA investor who faces ¯xed and/or proportional transaction costs when trading multiple stocks. We show that when the stock returns are independent, the optimal investment policy in each stock is for the investor to keep the dollar amount invested in the stock between two constant levels and upon reaching one of these thresholds, to trade to the corresponding optimal targets. An extensive analysis of the optimal policy is conducted. This analysis reveals the signi¯cant relevance of transaction costs to the predictability and trading volume literature. We also obtain some seemingly counterintuitive results. For example, conditional on positive investment in a stock, as transaction costs increase, the average amount invested in the stock increases.

We explore the source of managerial hubris in mergers and acquisitions by examining the history of deals made by individual acquirers. We find that compared to their first deals, acquirers of second and higher-order deals experience significantly more negative announcement effects. We also find that while acquisition likelihood increases in the performance associated with previous acquisitions, previous positive performance does not curb the negative wealth effects associated with future deals. We interpret these results as consistent with self-attribution bias leading to overconfidence. We also find evidence that the market anticipates future deals based on an acquirer's acquisition history and impounds such anticipation into stock prices.

本文在Campbell and Cochrane (1998) 和 Brandt and Wang (2001)的研究基础之上利用随机贴现因子对包含习惯的效用函数中的风险厌恶进行了动态一般化分析，并探讨了动态风险厌恶、随机贴现因子、资产定价以及消费增长等因素之间的一般化关系。这种一般化关系有助于解释“股权溢价之谜”(Equity Premium Puzzle)等不合理现象的存在。本文还对模型的计量方法进行了简要的分析。 This paper will make a generalization of dynamic risk aversion on the base of habit-formed consumption-based CAPM, and thus can explain the equity premium puzzle in a general way. Different from Campbell and Cochrane (1998) and Brandt and Wang (2001) which both hypothesize the steady state, this paper supposes the unit root process of the dynamic risk aversion. Also, this paper does not suppose the relevant factors of the forming of consumption habit. So the result is a general form of the relationship between the asset pricing and dynamic risk aversion.