The Relationship between Firm-Specific Return Variation and Price Informativeness:Some Cross-Sectional Evidence

The progressive removal of short-selling constraints in the Chinese stock market provides us with a natural experiment to investigate the relationship between firm-specific return variation(FSRV)and price informativeness.Based on the empirical finding that idiosyncratic volatility is a satisfied proxy for FSRV when the information environment for individual firms improves,we mainly find that the FSRV is negatively related to price informativeness.This negative relationship is robust to alternative model specifications,alternative proxies for price informativeness,and alternative estimation windows.Generally speaking,our results complement the extant literature on the mixed relationships between FSRV and price informativeness by providing cross-sectional evidence.

HOW DOES THE RETAILER MAKE PRICING DECISION WHEN CONSUMERS HAVE JUSTICE REFERENCE PRICE

A series of studies demonstrate that consumers have fairness judgments about the retailer＇s price which will impact their shopping decisions. Thus, it is necessary for the retailer to take consumers＇ fairness concerns into account when setting his pricing policies. We assume that when the retailer＇s price is lower than a consumer＇s justice reference price, the consumer is likely to sense a positive price unfairness that will lead to increased consumer utility, and when the retailer＇s price is higher than a consumer＇s justice reference price, the consumer is likely to sense a negative price unfairness-that will have a negative effect on consumer utility. According to the information conditions of the consumers＇ justice reference price, the retailer should consider three situations： certain information, random information and partial information. In all situations, we show that the retailer has a unique optimal pricing strategy. Finally, through numerical examples, we find that our distribution-free policies perform almost the same as the results under the distributions that maximize the entropy. Our results reveal that it is important for the retailer to consider consumers＇ fairness concerns, otherwise he may suffer losses when Pc is very small.

Housing price dispersion in the presale market

Sale before completion(i.e.presale)is a common practice that real estate developers use to sell residential units.Since presale buyers are unable to inspect uncompleted units,developers may take advantage of asymmetric information and release information about quality to the market selectively.The search theory also suggests that incomplete pricing information,especially for new products,will induce a less competitive market that is characterised by dispersed presale prices.Would price dispersion be reduced if developers were required to provide more quality and pricing information?In this study,we argue that this is not necessarily the case.We conduct a natural experiment using a new information disclosure ordinance governing first-hand residential sales in the Hong Kong SAR,China.We find that the ordinance reduced the price dispersion of presale units with asymmetric information about property quality,but increased their price dispersion when limited pricing information(e.g.thin trading volume)was available in the neighbourhood.As a critical test,we further show that the ordinance increased price dispersion even more after the units were completed.This suggests that the ordinance has indeed made presale pricing more difficult because developers are no longer allowed to use different strategies to test market demand.

Identifying Influencing Factors for Data Transactions:A Case Study from Shanghai Data Exchange

In the age of artificial intelligence,firms'internal data are increasingly valuable when merged with each other for inter-firm analysis and predictions.However,the inter-firm data transactions represent a novel challenge on pricing due to the complex nature of data,such as quality information asymmetry,lack of pricing standards,and the negligible marginal cost.This paper conducts a case study at Shanghai Data Exchange to explore the factors that can facilitate the data transactions between buyers and providers.We use interview transcripts from 18 participating firms to construct our three theoretical dimensions:increasing the perceived value,mitigating the cost,and improving the market design.We then browse through 18 factors to assess their value for further improvements.The managerial implications are also discussed.

Toward energy finance market transition:Does China's oil futures shake up global spots market?

China is breaking through the petrodollar system,establishing RMB-dominating crude oil futures market.The country is achieving a milestone in its transition to energy finance market internationalization.This study explores the price leadership of China's crude oil futures and identifies its price co-movement to uncover whether it truly shakes up the global oil spots market.First,we find that for oil spots under different gravities,China's oil futures is only a net price information receiver from light-,medium-,and heavy-gravity oil spots,but it has a relatively stronger price co-movement with these three spots.Second,for oil spots under different sulfur contents,China's oil futures still has weak price leadership in sweet,neutral,and sour oil spots,but it has strong co-movement with them.Third,for oil spots under different geographical origins,China's oil futures shows price leadership in East Asian and Australian oil spots at the medium-and longrun time scales and strong price co-movement with East Asian,Middle Eastern,Latin American and Australian oil spots.China's oil futures may not have good price leadership in global spots market,but it features favorable price co-movement.