Using a sample of 1250 companies listed in Shanghai or Shenzhen Stock exchanges for the time period from 1999 to 2010, we find that for firms with a higher level of uncertainty, the benefits of the connections and advice provided by directors outweigh the costs of the impairment in decision making related to having a large board size. In particular, the positive incremental effect of board size on Q, for firms with a higher proportion of State shares, suggests that connections provided by directors is crucial for firms to get access to greater resources and it is even more important to Stateowned than to Non-State-owned firms during the economic reform in China. Our results indicate that that both agency theory and resource dependence theory play an important role on board efficient research.

We provide empirical evidence and a theoretical explanation for the asymmetries of capital growth rate at the firm level and in the aggregate. Capital growth rate at the firm level is positively skewed, while the average capital growth rate across firms, as well as its slope, is negatively skewed. We develop a model of irreversible corporate investment that can reconcile these opposite patterns. The key to our model is that firms do not observe the true state of economy and have to infer it from noisy signals. The time-varying uncertainty in the learning process leads to variations in the option value of waiting, which causes many firms to react to bad signals arriving in good times, and few firms to react to good signals arriving in bad times. As a result, the capital growth rate at the aggregate level exhibits a negative skewness both in levels and in the slope, even though irreversibility causes positive skewness at the individual firm level.

We examine how a firm designs capital allocation and managerial compensation schemes to motivate a privately informed manager to (i) engage in innovative activity to search for, and (ii) guide the firm to invest in, a new investment project. We show that relative to the first-best, the firm allocates too little capital and provides too few incentives for the manager to expend innovative effort; the manager may violate the NPV rule by investing the allocated capital in a project with negative productivity. We provide several novel predictions that help identify firms that are likely to innovate and managers who are likely to follow the NPV rule. We also show that uncertainty and incentive pay can be positively related.

本文首先从我国货币政策规则的统计特征和调整模式验证我国的货币政策规则调整完全符合稳健性货币政策规则的三个主要特征。然后在Taylor规则框架下分别从数据不确定性、参数不确定性和状态不确定性解释了我国货币政策规则的稳健性特征。除此之外，声誉不确定性也是导致我国货币政策规则稳健性特征的主要原因之一。结论表明，不确定性（uncertainty）而非传统的风险（risk）对货币政策规则调整的影响越来越大，应当引起学术研究和监管决策的足够重视。

This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size e§ect, value premium, return momentum and short-term reversal to measure relative mispricing. I ?nd that stock returns monotonically increase in idiosyncratic risk for relatively undervalued stocks and monotonically decrease in idiosyncratic risk for relatively overvalued stocks. This phenomenon is robust to various subsamples and industries, and cannot be explained by risk factors or ?rm characteristics. Further, transaction costs, short-sale constraints and information uncertainty cannot account for the role of idiosyncratic risk. Overall, these ?ndings are consistent with the limits of arbitrage arguments and demonstrate the importance of idiosyncratic risk as an arbitrage cost.

We investigate how social capital in both the home and host countries affects foreign direct investment in high tech firms. Difference in the social capital (trustworthiness) among provinces of the host country, China, is shown to matter in foreign companies’ choice of location, ownership type, and investment in R&D. We find that the provinces in China characterized by high levels of social capital attract more foreign investment. We also find that the likelihood of foreign investors establishing joint ventures with local partners increases with the level of social capital prevailing in that area. Foreign high tech firms conduct more R&D investment and hire more R&D personnel in high-social-capital provinces. Moreover, foreign-owned firms located in high-socialcapital areas keep improving their intensity of R&D investments over time. By contrast, in lowsocial- capital areas, foreign high tech firms do not improve and actually diminish their R&D intensity over time. We further show that the social capital in the country of origin (the home country) of a foreign company also affects its investment decisions in China. Cultural difference between the home country and the host country magnifies the foreign company’s weighing of the regional social capital difference in the host country; foreign companies from higher uncertainty avoidance home country prefer to invest in regions with higher social capital in the host country; on the other hand, kinship decreases the need to deal with strangers, and thus reduces the reliance on the provincial social capital.

We investigate the role of natural culture in corporate risk-taking using measures of income variability, R&D spending, and use of long-term debt. We identify three dimensions of national culture that should influence corporate risk-taking, and we isolate the effects of country-level and firm-level variables by using a hierarchical linear modeling approach. The three specific cultural values that we study – harmony, individualism, and uncertainty avoidance-- have both direct and indirect effects on our various measures of risk-taking. These results survive when we control for firm-level and country-level characteristics.

We investigate the role of managers’ country of origin in leverage decisions using data on foreign joint ventures in China. By focusing on foreign joint ventures in a single country, we are able to hold constant the financing environment, eliminate the effects of formal institutions in the foreign managers’ home country, and consequently reveal the effects of informal institutions such as national culture on corporate finance decisions. Using cultural values of embeddedness, mastery, and uncertainty avoidance to explain country of origin effects, we find that national culture has significant explanatory power in the financial leverage decisions of foreign joint ventures in China. Country-level variation is evident in capital structure and appears to work through choices of firm characteristics, industry affiliation, ownership structure, and region of investment.

This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size effect, value premium, return momentum and short-term reversal to measure relative mispricing. I ?find that stock returns monotonically increase in idiosyncratic risk for relatively undervalued stocks and monotonically decrease in idiosyncratic risk for relatively overvalued stocks. This phenomenon is robust to various subsamples and industries, and cannot be explained by risk factors or ?rm characteristics. Further, transaction costs, short-sale constraints and information uncertainty cannot account for the role of idiosyncratic risk. Overall, these ?findings are consistent with the limits of arbitrage arguments and demonstrate the importance of idiosyncratic risk as an arbitrage cost.

Efficient portfolio is a portfolio that yields maximum expected return given a level of risk or has minimum level of risk given a level of expected return.However,the optimal portfolios seem not being as efficient as intended.Especially during financial crisis period.optimal portfolio is not an optimal investment as it does not yield maximum return given a specific level of risk,vice and versa.One possible explanion for an unimpressive performance of the seemingly efficient portfolio is incorrectness in parameter estimates called"estimation risk in parameter estimates".Five different estimating strategies are employed to explore ex post portfolio performance when estimation risk is incorporated.These strategies are traditional mean-variance(EV),Adjusted Beta(AB) approach,Capital Asset Pricing Model(CAPM),Single Index Model(SIM), and Single Index Model incorporating shrikage Bayesian factor namely Bayesian Single Index Model(BSIM).Among the five alternative strategies,shrinkage estimators incorporating the single index model outperforms other traditional portfolio selection strategies.Allowing for asset mispricing and applying Bayesian shrinkage adjusted factor to each asset's alpha,a single factor namely excess market return is adequate in alleviating estimation uncertainty. JEL：G320