The promotion of both market fairness and efficiency has long been a goal of securities market regulators worldwide.Accelerated digital disruption and abusive trading behaviors,such as the GameStop mania,prompt regula...The promotion of both market fairness and efficiency has long been a goal of securities market regulators worldwide.Accelerated digital disruption and abusive trading behaviors,such as the GameStop mania,prompt regulatory changes.It is unclear how this“democratization”of trading power affects market fairness as economies cope with pandemic-driven shifts in basic systems.Excessive speculation and market manipulation undermine the quality of financial markets in the sense that they cause volatil-ity and increase the pain of bubble and crash events.Thereby,they weaken public confidence in financial markets to fulfill their roles in proper capital allocation to irrigate the real economy and generate value for society.While previous studies have mostly focused on market efficiency,our study proposes a tool to improve market fairness,even under periods of stress.To encourage value generation and improve market quality,we advance a graduated Non-Value-Added Tax that we implement in an agent-based model that can realistically capture the properties of real-world financial markets.A profitable transaction is taxed at a higher rate if it does not enhance the efficiency measured by deviation from fundamentals.When an agent locks in profit not supported by fundamentals but driven by trend-following strategies,the generated profit is taxed at various rates under the Non-Value-Added Tax regime.Unlike existing financial transaction taxes,the non-value-added tax is levied on profit rather than on price or volume.We show that the proposed tax encourages profitable trades that add value to the market and discourages valueless profit-making.It significantly curtails volatility and prevents the occurrence of extreme market events,such as bubbles and crashes.展开更多
In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the ma...In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.展开更多
文摘The promotion of both market fairness and efficiency has long been a goal of securities market regulators worldwide.Accelerated digital disruption and abusive trading behaviors,such as the GameStop mania,prompt regulatory changes.It is unclear how this“democratization”of trading power affects market fairness as economies cope with pandemic-driven shifts in basic systems.Excessive speculation and market manipulation undermine the quality of financial markets in the sense that they cause volatil-ity and increase the pain of bubble and crash events.Thereby,they weaken public confidence in financial markets to fulfill their roles in proper capital allocation to irrigate the real economy and generate value for society.While previous studies have mostly focused on market efficiency,our study proposes a tool to improve market fairness,even under periods of stress.To encourage value generation and improve market quality,we advance a graduated Non-Value-Added Tax that we implement in an agent-based model that can realistically capture the properties of real-world financial markets.A profitable transaction is taxed at a higher rate if it does not enhance the efficiency measured by deviation from fundamentals.When an agent locks in profit not supported by fundamentals but driven by trend-following strategies,the generated profit is taxed at various rates under the Non-Value-Added Tax regime.Unlike existing financial transaction taxes,the non-value-added tax is levied on profit rather than on price or volume.We show that the proposed tax encourages profitable trades that add value to the market and discourages valueless profit-making.It significantly curtails volatility and prevents the occurrence of extreme market events,such as bubbles and crashes.
基金This work is supported by the 863 High-Tcch Project （No. 2004AA104340）, the National Natural Science Foundation of China （No. 60173026） and SEC E-Institute： Shanghai High Institutions Grid （No. 200301-1）.
基金research grants(P0030199 and P0038209)from the Hong Kong Polytechnic University。
文摘In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.
