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Roles of Securities Houses for Market Incompleteness and Asset Pricing

证券公司在市场不完全性和资产定价中的作用

基本信息

批准号：
10630089
负责人：
TANIGAWA Yasuhiko
金额：
$ 2.11万
依托单位：
Osaka University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1998
资助国家：
日本
起止时间：
1998 至 2000
项目状态：
已结题

项目摘要

After the demolition of obligatory trades at the designated exchanges in December 1998, traders became to use other places for securities trading than the floor at the Tokyo Stock Exchange, such as off-the-hour trades at the TSE and off-the-exchange trades. This is primarily because of the regulatory change that made it possible to provide alternative places to trade, but it is evidence that many agents started to search the way to utilize this opportunity. A competition for trading places began. I summarized welfare implications of this movement in "Competition among exchanges as a place for trade and its welfare implications, " in Investment 2000.The TSE is a purely order-driven market, where the only source of the liquidity is the limit orders on the book. When a trader chooses a type of orders, either market or limit, she compares price gain the limit order provides with a possibility that it might not be executed within a day. With preliminary tick-by-tick data of December 1998, I estimated the execution probabilities of limit orders, and reported the results in a discussion paper, "Execution Probabilities of Limit Orders."Most of traded financial securities are those issued by corporations. Holders are entitled to have some rights to control the firm, as well as some claims in cash flows of it. It is a concern of market participants what kind of securities corporate managers decide to circulate publicly, and what kinds of services financial intermediaries provide. I review these points in the fifth chapter "Corporate Governance" of the book, Advances in Financial Analysis 2000, and in an article "Recent Development of Theories of Firms, " published in Gendai Fainansu 1999. These are necessary ingredients to study how a trading place is supplied, because this determines the characteristics of the securities traded.

自1998年12月指定交易所的强制性交易被取消后，交易员开始使用东京证券交易所大厅以外的其他地方进行证券交易，例如东京证券交易所的非工作时间交易和场外交易。这主要是因为监管改革使提供替代交易场所成为可能，但这证明许多代理人开始寻找利用这一机会的方法。一场交易名额的竞争开始了。我在《投资2000》的《交易所之间作为交易场所的竞争及其福利影响》一文中总结了这一运动对福利的影响。东京证交所是一个纯粹由订单驱动的市场，其中流动性的唯一来源是账面上的限价订单。当交易员选择一种类型的订单时，无论是市场指令还是限价指令，她都会将限价指令提供的价格收益与其可能在一天内无法执行的可能性进行比较。根据1998年12月的初步数据，我估计了限价指令的执行概率，并在一篇名为《限价指令的执行概率》的讨论文件中报告了结果。大多数交易的金融证券是由公司发行的。持有者对公司有一定的控制权，对公司的现金流也有一定的索取权。市场参与者关心的是，什么样的证券公司经理决定公开发行，金融中介机构提供什么样的服务。我在“2000年财务分析进展”一书的第五章“公司治理”和“企业理论的最新发展”一文中对这些观点进行了回顾。这些都是研究如何提供交易场所的必要因素，因为这决定了交易的证券的特征。