2018
2017

傅承德

Fuh, C. D. and Tartakovsky, A. G. “Asymptotic Bayesian theory of quickest change de- 
tection for hidden Markov models.” IEEE Transactions on Information Theory, accepted, 2018. 摘要

In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the early 2000s by Tartakovsky and Veeravalli and recently by Tartakovsky (2017) for general stochastic models assuming a certain stability of the loglikelihood ratio process. Hidden Markov models represent a wide class of stochastic processes in a variety of applications. In this paper, we investigate the performance of the Bayesian Shiryaev change-point detection rule for hidden Markov models. We propose a set of regularity conditions under which the Shiryaev procedure is firstorder asymptotically optimal in a Bayesian context, minimizing moments of the detection delay up to certain order asymptotically as the probability of false alarm goes to zero. The developed theory for hidden Markov models is based on Markov chain representation for the likelihood ratio and r-quick convergence for Markov random walks. In addition, applying Markov nonlinear renewal theory, we present a high-order asymptotic approximation for the expected delay to detection and a first-order asymptotic approximation for the probability of false alarm of the Shiryaev detection rule. We also study asymptotic properties of another popular change detection rule, the Shiryaev– Roberts rule, and provide some interesting examples.

高华声

“从商业机密泄露法案看员工跳槽与财务操纵之间的关系”,合作者:张怀,张瑾,即将发表于《会计研究综述》。 摘要

美国商业机密泄露法案以保护企业商业机密为名限制了员工在劳动力市场上跳槽的可能性。本文发现,该法案通过后,当地企业操纵财务报表的可能性显著下降。这种现象对于以下两类企业特别明显:对高科技人才依赖很多的企业和员工流动性很大的企业。这项研究说明企业操纵财务报表的一个重要原因是为了在劳动力市场保持对员工的吸引力。

“非上市公司的董事会构成以及独立董事的作用”,合作者:何仲达,即将发表于《欧洲财务管理》。 摘要

本文研究非上市公司的董事会构成以及独立董事的作用。和上市公司相比,非上市公司有更多的独立董事,而且更加根据其监管和咨询的需要来选择独立董事。本文进一步发现非上市公司的CEO解聘和业绩的敏感度,财务报表质量,上市的可能性,上市时的估值等指标和独立董事的有正相关。这些结果都表明,由于缺乏外部监管机制,非上市公司更加依靠董事会这个内部监管机制来进行公司治理。

“萨班斯-奥克斯利法案404条款对企业创新的影响”,合作者:张瑾,即将发表于《金融数量分析杂志》(Journal of Financial and Quantitative Analysis)。 摘要

本文分析了美国萨班斯-奥克斯利法案(Sarbanes-Oxley Act)对企业创新的影响,发现这项旨在加强公司治理的法案对企业创新有很大的负面影响。此项研究帮助人们更好地理解公司治理是如何影响企业的创新行为。

汤海涵

“拥有近似稀疏性固定效应的高维动态面板数据的均匀推断”,合作者:Anders Bredahl Kock,即将发表于《计量经济理论》(Econometric Theory)。 摘要

在高维固定效应动态面板模型里,我们建立一个Lasso版本的神喻不等式。这些神喻不等式适应于动态的和外生性的回归量的参数。固定效应的神喻不等式也另外给出。接着,我们展示学者可以对模型的参数进行均匀推断和对误差带有条件异方差的渐近协方差矩证建立均匀估计量。允许条件异方差在动态模型中是重要的,因为误差的条件方差可能在时间轴上并不是一个常数,也可能和因变量有关系。另外,我们的方法允许对参数向量里一个维度在增长的高维子集作推断。我们证明由我们方法得到的置信带是渐近诚实的,并且以最优速度收敛。这个速度对于固定效应和其他参数是不同的。

王遐昕

最低工资调整如何影响中国工资:基于个税数据的证据”,合作者:彭浪川,王遐昕,何代欣,即将发表于《当代经济政策》 摘要

本文使用中国一中等规模城市2009-2013年个税数据,研究最低工资调整如何影响低收入工人的工资。本文发现的经验证据显示出一个独特的最低工资规制模式:一方面其允许工资在最低工资调整后的一段时间内低于当前法定最低工资,另一方面其又使得低于当前最低工资的工人的工资增速加快。总体上,该规制模式可能在保证低收入工人工资稳步增长的同时,缓解最低工资对就业带来的压力。


张纯信

Charles Chang, Hung-Wen Cheng, and Cheng-Der Fuh, "Ensuring More is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model," Journal of Derivatives forthcoming. 摘要

We show via asymptotic derivation and simulation that traditional methods of applying stock or options data separately to estimate GARCH models of implied volatility generate inefficient or biased estimates. Estimation error impacts risk management metrics as options deltas and gammas vary substantially depending on the method used. We resolve this dilemma by introducing an error term to the options pricing model, lending slack to the estimation process and allowing simultaneous application of stock and options data. The result is unbiased estimates that are maximally efficient and that dominate those obtained when using stock and options data separately. Finally, we demonstrate the consistency and asymptotic normality of the quasi-maximum likelihood estimator in stationary EGARCH and NAGARCH settings.

周思力

“中国反腐运动对上市公司信息披露行为的影响”,合作者:曹夏平、王雨辰,即将发表于《公司金融杂志》(Journal of Corporate Finance)。 摘要

中共中央纪律检查委员会(CCDI)主导的反腐运动受到政界人士的高度关注。本文主要把中纪委在各省巡视作为事件,根据Chen, Hong and Stein (2001)的方法,得出位于被巡视省份的上市公司在巡视期间更容易去抑制自身负面信息的披露。这种抑制负面信息的政策策略与该上市公司的政治关联和政治激励(例如国有企业或者有政治关联的非国有企业)相一致。我们还发现在中央巡视组巡视结束后的三个月内,当地国有企业继续抑制负面信息的释放,而非国有企业却不再抑制。最后我们发现良好的公司治理和外部审计的质量可以缓解公司管理层对于坏消息打压的行为。

朱蕾

Ana Albuquerque and Julie Lei Zhu, 2018, Has Section 404 of the Sarbanes-Oxley Act Discouraged Corporate Investment? New Evidence from a Natural Experiment, Harvard Law School Forum on Corporate Governance and Financial Regulation​. 摘要

Prior studies conclude that an unintended consequence of firms complying with the Sarbanes-Oxley Act is lower levels of risk-taking activities, including investment. We first show that prior studies cannot isolate the effects of SOX from other contemporaneous events. We then use the implementation requirements of SOX404 to construct a natural experiment that isolates the effects of SOX404 for a sample of small firms. We do not find a reduction in investment and other risk-taking activities for firms that had to comply with SOX404, relative to other firms. Because small firms are expected to be the most adversely affected by the regulation, our results cast doubt on the notion that SOX404 had a negative impact on larger firms.