信息误导与股价操纵收益：透视“庄家”操纵策略

20071171172ZhongguoJingjiPinglun,ISSN1536-9056,USA13*515063Jarrow19961996300010006651442066301999102520002177026.01126.31486%199220001200261211155412515652090Kyle1989Minnan&Samuelson,1989;Fishman&Hagerty,1992;Ausubel,1990*No.06300974196714Jarrow1992Bagnoli&Lipman1996Allen&Gale1992Jarrow1992Kyle1984Kumar&Seppi1992Gerard&Nanda1993Allen&Gale1992Fishman&Hagerty1990Bagnoli&Lipman1996Bagnoli&Lipman1996Benabou&Laroque199245%390%5%15positivefeedbackSleifer,2000Jarrow1992Γ={012……T}T?Ω∈{Γ∈tSt:}t?tS0TttN0{tNΓ∈t}t-1tN0β{Γ∈βtt:}12{tG}{tαΓ∈βtt:}tαt)}(,),(),();(,),(),(;()(0101ωβωβωβωαωαωαω=ω--LLttttttGSΓ∈Ω∈ω∀t,1tG·Jarrow1992ttS{)},,,(),,,,(0101βββααα--LLtttt3Γ∈tΩ∈ω),(ωαt),1(ω-αt(a)),(ωαt),1(ω-αt))(,),(),(;(01ωαωαωαω-LtttG))(,),(),(;(011ωαωαωαω--LtttG(b)),(ωαt),1(ω-αt[),(),1(ωα≤ω-αtNtttN]))(,),(),(;(01ωαωαωαω-LtttG))(,),(),(;(011ωαωαωαω--LtttG3a3b16),1(ω-αt),(ωαttN≥22Γ∈tΩ∈ω1-αttNt-1tN1t-13paperwealth)())(,),(),(),(;()()(102111ωβ+ωαωαωαωαωωα≡ω-----tttttttGWLt-1t-13)()(21ωωα=--ttpGC3t-2FGt=ω-)(2F1))(),(),(,(1111ωαωαωα-ω---+ttttGF≤2111111))(),(),(,()(----+-++--=tpttttttCGVbwawawawwa=22111111)()())(),(),(,()(------+-β+ωωα-ωαωαωα-ωωαttttttttGG211)(---β+α-ωα≤tttFF=2-βt=2-tV42-βts3t1pjj1jjj1j1j2tst1ts1t1jtsC()G{,(),(),,}G()=F----------=-=α-αωα-αα-αααωα∑L2t1t1t1t1t1t1ptst1ptsV()G(,(),(),())C()FC+-+------=αωω-αωαωαω-+β≤αω-+βst-β=stV-1fundamental2)(1w--stGF17st-β23pNpN0N0N10pN0pN«pN1αNet))(,(ωαωttGptN))](,([ωαω=ttptGNeN53tttGα∂ωαω∂))(,(0ttGNe∂0tttttptGGNeNα∂∂=α∂0=α--α-),),((12213ppNNG)0(0G)0(),),(()(),(01122132112223GNNGNNGNRTpppppα-α--α--α+α-=)0(),(021222GNNGNppp-α-=)]0(),([01222GNGNpp-α-=6),(122α-pNG)0(0G3RT00),()]0(),([1122201221213=α∂α-∂+-α-α∂∂=α∂∂ppppNGNGNGNRT712α∂∂pN01122),(α∂α-∂pNG0711α=α)1α)3180063RT0134Ω∈ω0Ω∈ω1))(,),(),(;,(0001101ωαωαωαωω-LtttG))(,),(),(;(000100ωαωαωαω-LtttG4Ohlson199541Ohlson1995Ω∈ω1)(1ωF)(0ωF))(),(),(,(01010111wawawaw---+-ttttG=)(1ωF)(0ωF420101011111))(),(),(,()(----+-++--=tpttttttCGVbwawawawwa=202010101011101)()())(),(),(,()(------+-+--ttttttttGGbwwawawawawwa201001)()()(---+-tttFFbwawwa=2-βt=2-tV5195pN)(1ωpN)(0ωpN336)0(0G1α)(02wpN)(03ωG)0(0G=ω)(03RT)),(;()(1020202αω-ωωppNGN)0()),()),((;())((0110202103021GNNGNpppα-αω-ω-α-ωω-α+)0()()),(;()(0021020202GNNGNpppω-αω-ωω=)]0()),(;()[(01020202GNGNpp-αω-ωω=0)),(;()()]0()),(;([)()(11020202010202102103=α∂αω-ω∂ω+-αω-ωα∂ω∂=α∂ω∂ppppNGNGNGNRT102)(α∂ω∂pN0110202)),(;(α∂αω-ω∂pNG011α=α)1α)245)(12ωpN)(02ωpN)),(;(11212αω-ωpNG)),(;(10202αω-ωpNG=ω)(13RT)),(;()(1121212αω-ωωppNGN)0()),()),((;())((0111212113121GNNGNpppα-αω-ω-α-ωω-α+)]0()),(;()[(01121212GNGNpp-αω-ωω=)(03ωRT8Ω∈ω1112)(α∂ω∂pN0111212)),(;(α∂αω-ω∂pNG010)),(;()()]0()),(;([)()(11121212011212112113=α∂αω-ω∂ω+-αω-ωα∂ω∂=α∂ω∂ppppNGNGNGNRT11ˆα=α1ˆα)),(;(11212αω-ωpNG)(12ωpN1α1ˆα20111212)),(;(α∂αω-ω∂pNG=1k112)(α∂ω∂pN=2k)),(;(11212αω-ωpNG11α)(12ωpN)),(;(11212αω-ωpNG=1110)(α+ωkG)(12ωpN=1210)(α+ωkNp)(10ωG)(10ωpN1ω145)(10ωG)(00ωG)(10ωpN)(00ωpN0))(())()((121010011102=α+ω+ω-α+ωkNkGkGkp991001021012)()(2)(ˆkGGkNpω-ω-ω-=α101k02k01ˆα0101k12k11ˆα8Jarrow1992Jarrow19921AllenGorton1993321[1].[M].2002.[2]Allen,F.&G.Gorton.(1993).Churningbubbles.ReviewofEconomicStudies,60,813-836.[3]Allen,F.&D.Gale.(1992).Stock-pricemanipulation.ReviewofFinancialStudies,5,503-529.[4]Ausubel,L.M.(1990).Insidertradinginarationalexpectationseconomy.AmericanEconomicReview,80,1022-1041.[5]Bagnoli,M.&Lipman,B.L.(1996).Stockpricemanipulationthroughtakeoverbids.TheRandJournalofEconomics,27,124-147.[5]Benabou,R.&Laroque,G.(1992).Usingprivilegedinformationtomanipulatemarket:Insiders,gurus,andcredibility.QuarterlyJournalofEconomics,107,921-958.[6]Diba,B.&Grossman,H.I.(1988).Thetheoryofrationalbubblesinstockprices.EconomicJournal,98,746-757.[7]Fishman,M.J.&Hagerty,K.M.(1990).Themandatorydisclosureoftradesandmarketliquidity.NorthwesternUniversity:WorkingPaper.[8]Gerard,B.&Nanda,V.(1993).Tradingandmanipulationaroundseasonedequityofferings.JournalofFinance,48,213-245.[9]Jarrow,R.A.(1992).Marketmanipulation,bubbles,corners,andshortsqueezes.JournalofFinancialandQuantitativeAnalysis,27,311-336.[10]Jarrow,R.(1994).Derivativesecuritymarkets,marketmanipulation,andoptionpricingtheory.JournalofFinancialandQuantitativeAnalysis,29,241-261.[11]Kumar,P.&Seppi,D.J.(1992).Futuresmanipulationwith“CashSettlement”.JournalofFinance,47,1485-1502.[12]Kyle,A.S.(1984).Atheoryoffuturesmarketmanipulations.In:Anderson,R.W.(ed.).Theindustrialorganizationoffuturesmarkets.Lexington,Mass:LexingtonBooks.[13]Kyle,A.S.(1989).Informedspeculationwithimperfectinformation.ReviewofEconomicStudies,56,317-355.[14]Minnan,L.J.&Samuelson.(1989).Informationandequilibriumwithinsidetraders.EconomicJournal,99,152-167.[15]Ohlson,J.A.(1995).Earnings,bookvalues,anddividendsinequityvaluation.ContemporaryAccountingResearch,11,661-687.[16]Shleifer,A.(2000).Inefficientmarket:Anintroductiontobehavioralfinance.OxfordUniversityPress.Falseinformationandmanipulativestockreturn:AperspectiveviewonstockmanipulatingstrategyHUANGZhi-zhongAbstract:ThispaperbasedonJarrow’smodelofcornerandshortsqueeze,impli