Abstract:Household finance theory suggests that the health status of family members plays a great role in their financial asset allocation decisions. However,this has not been justified by empirical results based on micro data. The difficulty as well as controversy lies in that health status can be measured both subjectively and objectively,so the key is how it is measured. Besides,data used formerly primarily focused on the elderly so that the results are less representative since the effect of health shock on asset allocation is assumed to be different across different ages and wealth groups. This paper uses the proportion of medical costs in wealth per capital as the indicator for health. Using representative micro survey data of Chinese households,the paper finds that the effect of health shock on asset allocation is different across different ages and wealth groups. So,China should continue to improve and deepen the medical care insurance system,and treat the health problems of different of populations properly.

Abstract:This papertests the policy effect in the stock market and the impact of social interaction on policy effect. The stock market policy is divided into five categories. Based on Sina Finance and Economics Blog,variables about social interaction,investor sentiment,and social network centrality are built by making use of the technology of text mining and social network. Empirical studies show that public opinion-oriented policies have a significant positive impact on stock market returns,that securities supply-demand policies and monetary policies significantly increase stock market volatility,and that market innovation and market trading policies significantly reduce market volatility. Furthermore,as investors' interpretation of the professional policy is significantly dependent on social interaction,which can magnify the impact of securities supply-demand policy and monetary policy on the stock market and alleviate the impact of market innovation and market trading policy on the stock market. However,the effect of public opinion policy on the stock market is not influenced by social interaction.

Abstract:This paper adopts an EKOP model,VPIN model,and VWPIN model to measure the probability of informed trading( PIN) in China's stock market,and empirically examines the effect of PIN factors on asset pricing. It is found that the volume-weighted probability of informed trading( VWPIN) model based on clocktime developed in this paper combines the advantages of both classical PIN model and VPIN model. Meanwhile,the VWPIN modelcan conveniently estimate the information asymmetry over any time window during a trading day. Furthermore,the empirical results of the asset pricing suggest that PIN factor estimated by the VWPIN model is significantly and positively correlated with stock returns after controlling other pricing factors,which is consistent with the theoretical implications.

Abstract:Studies of volatility modelling and estimation usually rely on the returns information provided by the closing prices,whereas very few studies employ price ranges,which incorporate more information on intraday price movements, to model volatility. The paper extends the classical conditional autoregressive range( CARR) model and proposes a two-factor stochastic conditional range( 2 FSCR) model with Gamma distribution for price ranges. The proposed model mimics the structure of the stochastic volatility( SV) model and can capture the long-range dependence( long memory property) of volatility. The maximum likelihood estimation method based on the continuous particle filters is employed to estimate the parameters of the 2 FSCR model.Monte Carlo simulations show that the method performs well. The 2 FSCR model is tested using data on Shanghai Stock Exchange Composite Index( SSE),Shenzhen Stock Exchange Component Index( SZSE),Hong Kong Hang Seng Index( HSI) and United States Standard & Poor's 500 Index( SPX). The results show that the 2 FSCR model fits the data better than both the CARR model and the single-factor SCR model. Model diagnostics suggest that the 2 FSCR model can describe the extreme tails of the price range distribution better than the CARR and SCR models,and can capture the dynamics of the volatility( time-varying volatility,volatility clustering,and long memory property of the volatility). Using the price range and realized volatility as the benchmarks,out-of-sample predictive ability of different models,namely,the CARR,the SCR and the2 FSCR,is compared based on the rolling window scheme. The results show that the 2 FSCR model does have superior predictive accuracy compared with the CARR model and the SCR model.

Abstract:Previous studies of optimal trading strategies have neglected the exogenous institutional constraints of trading speeds. Under the weak-form efficient market hypothesis,this paper builds an investment utility maximization model for trading strategies in the presence of limits on trading speeds. Applying the maximum principle,the closed-form solutions of optimal trading strategies under different market conditions and various initial positions are derived. A further analysis of optimal trading strategies indicates that there exists an optimal initial position( i. e. opportunity capacity) which maximizes the investor's utility. Also,the investor needs to trade at the maximum speed to adjust the position with the opportunity capacity as the target at the initial stage of the investment horizon,and to liquidate the position at the final stage.

Abstract:Environmental regulation is a main driver for corporate environment strategies. Applying the deterrence theory,the mechanic of how environmental regulation plays its governance role is analyzed,and the important channel of peer effect for the deterrence of environmental regulation is testified empirically. The empirical results,derived by using the data of listed companies in 2007-2015 and adopting the Heckman model,show that government environmental regulation has adeterrent effect of increasing the environmental protection investment of the peer firms. Firm size,severity of penalty,and media reportall affect the deterrence effect of environmental regulation: the larger the penalized firm,the more severe the punishment and the larger the effect of media report,the stronger the deterrence effect on peer firms. The industrial competition can strengthen the deterrence effect. Therefore,it can be concluded that by improving the certainty,typicality and strictness of punishments,with the media coverage and competition,the deterrence of environmental regulation can be strengthened.

Abstract:This paper introduces the assumption of asymmetric utility between differentiated and non-differentiated products,and embeds it in a utility function and Cournot equilibrium model. At the same time,the isoperformance constraint condition and the constraint condition of demand price elasticity are introduced to establish and solve a nonlinear programming model,from which a cost leadership strategy theorem is deduced.Then,theorems regarding the relations between cost-utility,outputs and prices of two pure strategies are given. Further,this paper deduces the financial identification conditions for the two pure strategies,and gives an analytical proof for Palepu assumptions. Finally,a strategic premium theoremis given. The research indicates that cost leadership strategy is endogenous,and that the cost-leaders' product features lower-cost and lower-utility,higher-output,lower-price relative to the differentiator's. The results show that the ratio of the cost-leader's product price to the differentiator's is lower than the ratio of the cost-leader's product cost to the differentiator's. The results also show that the necessary-sufficient conditions of pure strategy identification are that the cost-leader features lower operating-profit-ratio and higher asset-turnover-ratio relative to the differentiator,and that the differentiator features the opposite,asis in accordance with Palepu assumptions. Finally,the results show the Porter premium condition is incorrect.

Abstract:Equity financing has become an important financing channel for enterprises to seize market share and achieve leap-forward development in market competition. The formulation of financing decisions must consider the competition behavior among enterprises in the product market. The paper constructs an equity financing model considering market competition for duopoly retailers,and investigates the mechanism of the competition for equity financing decision when one of the retailers adopts equity financing for market development.Results show that the retailer's equity financing should consider the direct and indirect effects of market competition under different retailer growths; market competition inhibits( promotes) equity financing of low-growth( high-growth) retailers. When the supplier participates in the game,the retailer's financing strategy depends on the trade-off between market competition and market development under different initial market sizes and growths.