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长江商学院金融研究讨论周会介绍

长江商学院金融研究讨论周会系长江商学院金融系曹教授举办的金融方面的seminar。
该seminar会定期举行,主要是在seminar上讨论一些金融类的经典paper,paper list已经转发给大家。在seminar上,学生要定期报告论文,并且积极地参与讨论。曹教授将引导大家讨论,并且对paper进行点评。另外,长江商学院会计系的刘劲教授也会参与到seminar的讨论中。seminar的气氛必将是非常热烈的。曹教授和刘教授在top journal上发表过很多文章。有兴趣的同学可以查看两位教授的主页:http://www.ckgsb.edu.cn/chinese/index.php?li=aboutus&nonem=page-faculty-CaoHuiNing 以及 http://www.anderson.ucla.edu/faculty/jing.liu/


Rational Expectations Models


1. ¨Hayek, 1945. "The Use of Knowledge in Society", September, AER, 519-530


2. Radner, 1968, "Competitive Equilibrium Under Uncertainty", Econometrica, 31-58


3. Radner, 1972, "Existence of Equilibrium of Plans, Prices and Price Expectations in a Sequence of Markets", Econometrica, 289-303


4. Grossman, S., 1976, "On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information," JF, 573-585.


5. ¨ Grossman and Stiglitz, 1980, "On the Impossibility of Informationally Efficient markets," AER 70, 393-408.


6. ¨ Hellwig, 1980, "On the Aggregation of Information in Competitive Markets," JET 477-498.


7. Cao, 2005, "On the Possibility of Informationally Efficient Markets", working paper, CKGSB


Dynamic Rational Expectation Models


Campbell and Kyle, 1993, "Smart money, noise trading and stock price behavior," RES, 1-34.

He and Wang, 1993,"Differential information and dynamic behavior of stock trading volume," RFS 919-972.

¨ Wang, 1993, "A model of intertemporal asset prices under asymmetric information," RES, 249-282.

Wang, 1994, "A Model of Competitive Trading Volume," JPE, 127-168.

¨Brennan and Cao, 1996, "Trade, Information and Derivatives", RFS, 163-208.

¨Brennan and Cao, 1997, "International Portfolio Flows", JF, 1851-1880

Veronesi, 1999, " Stock market overreaction to bad news in good times: a rational expectations equilibrium model", 875-1007.

¨ Veronesi, 2000, "How does information quality affect stock returns?", JF.

¨Brennan, Cao, Strong and Xu, 2005, "The Dynamics of International Equity Market Expectations," forthcoming at Journal of Financial Economics.

value of Information:


Diamond and Verrecchia , "Information aggregation in a noisy rational expectations economy," JFE, 221-235.

Verrecchia, (1980), "Consensus beliefs information acquisition and market information efficiency", 874-883.

Admati: "A noisy rational expectations equilibrium for multi-asset securities markets," Econometrica, 629-657.

¨ Admati and Pfleiderer, (1986), "A monopolistic market for information", JET, 400-438.

¨ Admati and Pfleiderer, (1987), "Viable allocations of information in financial markets", JET, 76-115.

¨ Admati and Pfleiderer, "Markets for information", JET, 96-103.

¨ Admati and Pfleiderer, (1990), "Direct and indirect sale of information", Econometrica, 901-928.

Daniel, Hirshleifer and Subrahmanyam, (1994), "Security analysis and trading pattern when some investors receive information before others", JF, 1665-1699.

Cao, (1999), RFS "The Effect of Derivative Assets on Endogenous Information Acquisition and Price Behavior in a Rational Expectations Equilibrium", Review of Financial Studies, 1999, 12, 131-163.

10. Cao, 2005, “A Partially Revealing Rational Expectations Equilibrium in the Presence of Nonmarketable Assets,” working paper

 


Strategic Trading in Non-competitive Models:


Walter Baghot, 1971, "The Only Game in Town,", FAJ,

¨ Kyle, Albert "Continuous Auctions and Insider Trading," Econometrica, 53, 1985, 1315-1335.

¨Back, Kerry, Henry Cao, and Greg Willard, "Imperfect Competition among Informed Traders", Journal of Finance, October 2000, v. 55, iss. 5, pp. 2117-55.

Kyle, A.S., 1989, ``Informed Speculation with Imperfect Competition,'' Review of Economic, Studies, 56, 317-356.

Spiegel, Matthew and A. Subrahmanyam "Informed Speculation and Hedging in a Noncompetitive Securities Market," Review of Financial Studies, 5, 1992, 307-329.

Chowdhry, Bhagwan and Vikram Nanda "Multimarket Trading and Market Liquidity," Review of Financial Studies, 4, 1991, 483-511.

¨ Foster, Douglas and S. Viswanathan "A Theory of the Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, 3(4), 1990, 593-624.

Cao and Ma, " Trade Disclosure and Imperfect Competition among Insiders," working paper, CKGSB.

Inventory Models


Amihud, Yakov and Haim Mendelson, "Dealership Market: Market Making with Inventory", Journal of Financial Economics, 8, 1980, 31-53.

¨ Ho, Thomas and Hans Stoll "The Dynamics of Dealer Markets Under Competition," Journal of Finance, 38, September 1983, 1053-1074.

¨ Hagerty, Kathleen "Equilibrium Bid-Ask Spreads in Markets with Multiple Assets," Review of Economic Studies, 58, April 1991, 237-257.

Spiegel, Matthew "Stock Price Volatility in a Mulitple Security Overlapping Generations Model," Review of Financial Studies, 11, 1998, 419-447.

¨ Ho, Thomas and Hans Stoll "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Journal of Financial Economics, 9, March 1981, 47-73.

¨ Hansch, Oliver, Narayan Naik, and S. Viswanathan, "Do Inventories Matter in Dealership Markets? Some Evidence From the London Stock Exchange," Journal of Finance, 53(5), October 1998, pages 1623-56.

Cao, Evans and Lyons, 2005, "Inventory Information," Forthcoming, Journal of business.

Insider Trading


Bhattacharya, Utpal and Matthew Spiegel "Insiders, Outsiders, and Market Breakdowns," Review of Financial Studies, 4, 1991, 255-282.

¨ Leland, Hayne "Insider Trading Should it be Prohibited?," Journal of Political Economy, 100, August 1992, 859-887.

Ausabel, Larry "Insider Trading in a Rational Expectations Economy," American Economic Review, 80, 1990 1022-1041.

¨ Glosten, Larry "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," Journal of Business, 62, April 1989, 211-235.

Bhattacharay, Utpal, Phil Reny, and Matthew Spiegel "Destructive Interference in an Imperfectly Competitive Multi-Security Market," Journal of Economic Theory, February 1995, 136-170.

¨ DeMarzo, Peter, Michael Fishman, and Kathleen Hagerty "The Optimal Enforcement of Insider Trading Regulations," Journal of Political Economy, 1998, 106, 602-632.

Bid-Ask Spread


¨ Glosten, Larry and Paul Milgrom "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 14, March 1985, 71-100.

¨ Affleck-Graves, John, Shantaram Hegde, and Robert Miller "Trading Mechanisms and the Components of the Bid-Ask Spread," Journal of Finance, 49, September 1994, 1471-1488.

Stoll, Hans "Inferring the Components of the Bid Ask Spread: Theory and Empirical Tests," Journal of Finance, 44, 1989, 115-134.

¨ Hasbrouck, Joel "Measuring the Information Content of Stock Trades," Journal of Finance, 46, 1991, 179-207.

¨ Huang, R. and Hans Stoll "The Components of the Bid-ask Spread: A General Approach," Review of Financial Studies, 10, 1997, 995-1034.

Madhavan, Ananth and Seymour Smidt "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, 48(5), December 1993, 1595-1628.

Easley, David and Maureen O'Hara "Price, Trade Size, and Information in Securities Markets," Journal of Financial Economics, 19(1), 1987, 69-90.

Brennan, Michael and Avidar Subrahmanyam, "Market Microstructure and asset pricing", Journal of Financial Economics, 1996, 41, 441-464

Information Disclosure


Fishman, Michael and Kathleen Hagerty "The Mandatory Disclosure of Trades and Market Liquidity," Review of Financial Studies, 8, 1995, 637-676.

Easley, David and Maureen O’Hara "Financial Analysis and Information Based Trade," Journal of Financial Markets, 1(2), August 1998, 175-202.

¨ Admati, A. and P. Pfleiderer "Forcing Firms to Talk: Financial Disclosure and Externalities," Review of Financial Studies, 13, Fall 2000, 479-520

Diamond, 1985, ``Optimal Release of Information by Firms'', Journal of Finance, 40, 1071-1094.

Trading Mechanisms


Glosten, Larry "Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, 49, September 1994, 1127-1161.

¨ Madhavan, A. and V. Panchapagesan "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, 13, Fall 2000, 627-658.

¨ Dow, James and Gorton, Gary "Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing," Journal of Economic Theory, 67(2), December 1995, 327-69.

¨ Ready, M. "The Specialist’s Discretion: Stopped Orders and Price Improvement," Review of Financial Studies, 12, Winter 1999, 1075-1112.

Cao, Coval and Hirshleifer, “Sidelined Investors, Trading-Generated News, and Security Returns,” Review of Financial Studies, 2002, 15, 615-648

Market Manipulation


Roland Benabou and Guy Laroque, Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility, The Quarterly Journal of Economics, Vol. 107, No. 3. (Aug., 1992), pp. 921-958.

Praveen Kumar and Duane J. Seppi, Futures Manipulation with "Cash Settlement", The Journal of Finance, Vol. 47, No. 4. (Sep., 1992), pp. 1485-1502.

¨Franklin Allen and Douglas Gale, Stock-Price Manipulation, The Review of Financial Studies, Vol. 5, No. 3. (1992), pp. 503-529

John and Narayanan, "Market Manipulation and the Role of Insider Trading Regulations,", Journal of Business, 1997, Vol. 70, No.2.

Speculative Bubbles


Harrison, J. M., and D. M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics, 93, 323-336.

Jean Tirole, On the Possibility of Speculation under Rational Expectations, Econometrica, Vol. 50, No. 5. (Sep., 1982), pp. 1163-1182.

¨Franklin Allen and Gary Gorton, Churning Bubbles, The Review of Economic Studies, Vol. 60, No. 4. (Oct., 1993), pp. 813-836.

Allen, Morris and Postlewaite, 1993, "Finite bubbles with Short Sales Constraint and Asymmetric Information", JET 61, pp. 206-229.

¨Dilip Abreu and Markus K.Brunnermeier, "Bubbles and Crashes" Econometrica (forthcoming),

Cao and Ou-Yang, "Bubbles and Panics in a Frictionless Market with Heterogeneous Expectations", working paper.

Informational Cascaces


Abhijit V. Banerjee, A Simple Model of Herd Behavior, The Quarterly Journal of Economics, Vol. 107, No. 3, Aug., 1992., pp. 797-817.

¨David S. Scharfstein and Jeremy C. Stein, Herd Behavior and Investment , The American Economic Review, Vol. 80, No. 3. (Jun., 1990), pp. 465-479.

¨Christopher Avery and Peter Zemsky, Multidimensional Uncertainty and Herd Behavior in Financial Markets, The American Economic Review, Vol. 88, No. 4. (Sep., 1998), pp. 724-748.

Jeremy Bulow and Paul Klemperer, Rational Frenzies and Crashes, The Journal of Political Economy, Vol. 102, No. 1. (Feb., 1994), pp. 1-23.

Sushil Bikhchandani, David Hirshleifer, Ivo Welch, A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades, The Journal of Political Economy, Vol. 100, No. 5. (Oct., 1992), pp. 992-1026.

Cao and Hirshleifer, working paper, 2005, Taking The Road Less Traveled By: Does Conversation Eradicate Pernicious Cascades? Working paper, CKGSB

Heterogeneous Beliefs and Asset Trading


1. Miller, E. M., 1977, Risk, uncertainty,and divergence of opinion, Journal of Finance, 32, 1151-1168.


2. Harris, M., and A. Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies, 6, 473-506.


3. Kandel, E., and N. D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, Journal of Political Economy, 103, 831-872.


4. Hong, H., and J. C. Stein, 2003, Differences of opinion, short-sales constraints, and market crashes, Review of Financial Studies, 16, 487-525.


5. Scheinkman, J., and W. Xiong, 2003, Overconfidence, short-sale constraints, and bubbles, Journal of Political Economy, 111, 1183-1219


6. Cao, Wang and Zhang, 2005, Model Uncertainty, Limited Market Participation and Asset Prices, forthcoming at Review of Financial Studies.


7. Cao and Ou-Yang (2005) “Differences of Opinion of Public Information and Speculative Trading in Stocks and Options,”

 

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