Investors who possess information about the value of an IPO can participate in the offering as well as trade strategically in the aftermarket. Both the bookbuilding and the fixed price IPO selling methods require more underpricing when aftermarket trading by informed investors is considered. Bookbuilding becomes especially costly, since the potential for profit in the aftermarket adversely affects investors’ bidding behavior in the premarket. Unless the underwriter building a book can target a small enough subset of the informed investors, a fixed price strategy that allocates the issue to retail investors produces higher proceeds on average, contrary to the conventional wisdom in the literature. We therefore find a benefit to limiting access to the premarket and, hence, provide an efficiency rationale for the practice by American bankers of marketing IPOs to a select group of investors.

基于基金投资者可能关切的问题，本文采用文献回顾与评论的方式，并尽可能的结合国内的实况，对基金经理的角色和影响进行了一系列的探讨。藉由分辨哪些认知可能只是成见，而哪些看法有实证的支持，并提出可以进一步研究的方向，希望对基金投资者的选择投资对象，以及学术界的研究工作，能有所帮助。

Until recently, trading in Chinese markets was fully segmented―B-shares for foreign investors and A-shares for domestic investors. The fact that B-shares trade at a discount is a puzzle, since comparable markets overwhelmingly show premiums that are easily explained by international asset pricing models. The two most common explanations for this puzzle are that domestic investors are (i) better-informed and (ii) face lower costs of liquidity. The evidence, however, is inconclusive and relies on poor proxies. Based on as of yet unused trade and quote data, we explore direct measures of both information and liquidity using a spread decomposition model. We reject the liquidity-based explanation and find considerable support for betterinformed domestic investors. This creates an empirical basis for recent equilibrium models that rely on asymmetric information to explain China’s strong growth in spite of poor property rights.

内容提要： 　　本文一改将货币供应量作为货币政策体系唯一重要中介目标的传统观点，提出了构建一个同时将货币流通速度和货币供应量两者都作为中介目标的货币政策体系的观点。文章围绕这一论题，研究了货币政策中介目标的理论基础及其在货币政策体系中所应承载的功能，分析了货币流通速度长期没有得到经济理论界重视的经济背景，论证了改革开放来货币流通速度逐年下降但幅度逐渐减缓的经济规律并籍此得出了未来10年货币流通速度将实现由负增长向正增长转折性变化的结论。论文通过上述从理论到现实，从历史背景到未来趋势、从数据到图表的分析论述，较好地从理论和经济发展角度解决了货币流通速度在货币政策体系中的定位问题。 学术价值： 　　传统货币政策正在面临着经济体制转轨、经济增长方式转变的历史性挑战。论文构建的以货币流通速度为中介目标的货币政策体系及其据此提出的稳定货币供应量、加快经济货币化进程、加大企业改革和扭亏减困力度、促进消费热点形成等政策取向，对于治理通货膨胀与通货紧缩、保证国民经济持续稳定增长、完善市场经济体制等具有重大的理论价值和现实意义。 　　论文曾获九江市九五社会科学优秀成果奖。

The author analyzes the trading activities and the risk management practice at major U.S. banks. Till now, the trading revenues are still important for the major U.S. banks. Value-at-risk and stress testing seem to be the most commonly used approach for managing the market risk in trading activities.

本文提出，企业资本运营本质上是资本所有者或资本控制者实施的企业微观生产关系调整，旨在为相关当事人谋求利益。与资本运营密切相关的理论主要包括：企业融资周期理论、五级资本价值增值理论和基于价值增值的投资银行理论。在企业生命周期的不同阶段中客观存在着多样化的融资需求，这就要求建立一个多层次的资本市场体系，在多层次的资本市场体系中客观存在着五级资本价值增值规律，投资银行从事的全部资本运营业务都是围绕这个五级资本价值增值链展开的。

运用鞅方法与不动点理论，对金融市场交易价格波动进行非线性动态规划，遵循金融市场交易价格波动跟踪策略，实现学习进化金融市场风险跟踪和预测。

Abstract: It is negative risk if there is a good chance of coming out better than our reference level. This paper proposes a general risk measure: bilateral partial moment, where downside risk is supplemented with the "upside potential". Variance, mean absolute deviation, semi-variance and other downside risk definition are all incorporated in this framework. The portfolio selection problems in this general class of risk model are discussed. The portfolio optimization provides the flexibility for the selection of an appropriate target return and the weightiness of upside potentials.

This paper detects whether seasoned equity offering (SEO) firms manage earnings in the year before a planed issue and the inducement factors of earning management. We select 106 SEO firms during 1999 to 2001 as test sample and another 106 non-SEO firms matched at calendar year, Industry and cash from operation as control sample. Using 3 three test methods, we find that firms contemplating SEO in the following year do manage earnings particularly when their relative performances are poor. And we also find firm size, CFOs and debt ratios are important inducement factors of earning management.

本文将Conrad和Kaul(1998)的股价异常回报分解模型进行扩展，从而能够将各种投资策略的异常回报按照时间序列可预测性与横截面方差进行分解。结果显示中国股市存在明显的时间序列可预测性，且分解之后，即使整体收益不显著的策略也呈现了显著的可预测性。然后再利用Jegadeesh和Titman(2001)所提出的“后持有期”检验对结果进一步考察，以判断股市究竟是过度反应，反应不足还是随机游走。检验结果支持过度反应假说。