Remedies to informational asymmetries in stock marketsPDF电子书下载

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CHAPTER 1ECONOMIC ANALYSIS OF REGULATION 1

0.Introduction 1

1.What is Regulation？ 1

1.1.The Public Interest Theory 2

1.2.The Capture Theory 3

1.3.The Economic Theory of Regulation 3

1.4.Distribution of Costs and Benefits 5

1.5.Conclusions with Regard to the Theories of Regulation 6

2.Law and Finance Literature 7

3.Law and Economics 13

3.1.The Law and Economics Movement 13

3.2.The Law and Economics Methodology 16

4.Outline of the Remaining Chapters 20

CHAPTER 2 ASYMMETRIC INFORMATION AND SECURITIES REGULATION 23

0.Introduction 23

1.Asymmetric Information 23

1.1.The Market for ‘Lemons’ 23

1.2.Solutions to the Market for Lemons 25

1.3.Asymmetric Information in Financial Markets 26

2.The Scope of Securities Regulation 27

2.1.The Functions of an Exchange 28

2.2.The Goals of Securities Regulation 30

2.2.1.Market efficiency 31

a.The fair game model 32

b.Three versions of the efficient market hypothesis 33

c.The area of tension between lawyers and economists -effciency versus equal access to information 36

d.Fundamental efficiency 37

2.2.2.Liquidity 39

2.2.3.Towards a clear goal of securities regulation 40

2.3.Different Forms of Securities Regulations 42

3.Conclusion 45

CHAPTER 3 SOLUTIONS TO ASYMMETRIC INFORMATION IN STOCK MARKETS 47

0.Introduction 47

1.Signalling 48

2.Selective Disclosure 52

2.1.Economic Analysis of Selective Disclosure 52

2.2.Legal Analysis of Selective Disclosure 54

2.3.Adverse Effects of Banning Selective Disclosure 55

3.Mandatory Disclosure 56

3.1.The Impact of the Efficient Market Hypothesis on Regulating the Dissemination of Information 56

3.2.Costly Information 57

3.3.Regulation of Price Information 58

3.4.The Value-Relevancy of the Mandatory Disclosure System 59

3.4.1.The Stigler and Benston studies 59

3.4.2.Other studies on the value relevance of periodic reporting 61

3.5.Cost-Benefit Analysis of Disclosure Regulation and Private Interests 62

3.6.Evaluation of the Disclosure Regulation in Belgium 64

4.Conclusions 65

CHAPTER 4 REGULATING THE DISSEMINATION OF INFORMATION DURING THE OPENING HOURS OF STOCK MARKETS - THE USE OF TRADING SUSPENSIONS 67

0.Introduction 67

1.The Timing of the Disclosure of Price-Sensitive Information 67

2.Trading Suspensions as a Regulatory Measure 70

2.1.Other Regulatory Actions 70

2.2.Pros and Cons of Trading Suspensions 73

3.Review of Literature 75

4.Research Design 80

4.1.Data Description 80

4.2.Sample Description 80

4.3.Description of the Variables 84

4.4.Methodology 85

4.4.1.Calculating the benchmark expected return 86

4.4.2.Test statistics 88

5.Empirical Results 92

5.1.Analysis of Abnormal Returns 92

5.1.1.Complete sample 92

5.1.2.Robustness of the benchmark model 94

5.1.3.Subsamples based on news categories 95

5.1.4.Price impact over the span of the suspension period 98

5.1.5.The impact of outliers 99

5.1.6.Good news versus bad news subsamples 100

5.2.Analysis of Abnormal Trading Volume Patterns 102

5.3.Analysis of Stock Return Volatility 105

6.Conclusions 107

Appendix 4.a.News Categories 109

CHAPTER 5 REGULATING THE USE OF PRIVATE INFORMATION ON STOCK MARKETS - INSIDER TRADING 111

0.Introduction 111

1.The Traditional Perspective - Pros and Cons of Insider Trading 113

1.1.Traditional Arguments Against Insider Trading 113

1.2.Price Formation and Insider Trading 113

1.2.1.Market efficiency 114

1.2.2.Investor confidence 118

1.3.Liquidity 120

1.4.The Alleged Damage to the Insider’s Counterpart 121

1.5.Insider Trading as a Compensation Scheme 123

1.5.1.The working of insider trading as a compensation scheme 125

1.5.2.Arguments against insider trading as a compensation scheme 126

1.6.The Optimal Amount of Deterrence 131

2.Public Choice Perspective： Private Interest Versus Public Interest 133

2.1.Market Professionals 133

2.2.An Example of the Impact of Interest Groups： The Regulation in Belgium 137

3.Property Rights Perspective： Choice per Company 142

4.Conclusion 145

CHAPTER 6 DETECTING INSIDER TRADING - A CLINICAL STUDY 147

0.Introduction 147

1.The Bekaert Company 148

2.The Account of the Facts 150

3.Brief Legal Analysis of the Bekaert Case 152

4.An Economic Analysis of the Bekaert Case 153

4.1.Privileged Character of the Information 153

4.1.1.Theoretical considerations 154

4.1.2.Empirical analysis 158

4.2.Burden of Proof 161

5.Conclusions 168

CHAPTER 7 PROSECUTING INSIDER TRADING 169

0.Introduction 169

1.Modelling Criminal Behaviour 170

1.1.Traditional Expected Utility Models （EU） 170

1.2.State-Dependent Expected Utility Models （SDEU） 172

1.3.Rank-Dependent Expected Utility Models （RDEU） 174

2.The Current Enforcement of Insider Trading Regulations in Belgium 176

2.1.Parameter One - The Severity of Punishment （f） 176

2.2.Parameter Two - The Certainty of Punishment （p） 177

3.The Optimal Deterrence of the Belgian Insider Trading Regulation 181

3.1.Can the Certainty of Punishment Be Increased？ 183

3.2.Effectiveness 186

4.Conclusion 188

EPILOGUE - DID SOMETHING CHANGE AFTER ENRON？ 189

REFERENCES 193

INDEX 215

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