拉斯维加斯9888

标题：Regulatory cycles and Financial Market Cycles

汇报人：Bo Sun, Guanghua School of Management, Peking University

功夫：May 16, 2013 10:00---11:30

地址：Room 217, Guanghua Building #2

Abstract

Regulatory investigations play an important role in shaping information structurein the financial markets through two channels: one the one hand, investigations detect financial manipulation and reveal hidden negative information; on the other hand, regulatory investigations impose adverse consequences for executives involved in manipulation, and deter managerial incentives to manipulate ex-ante. Moreover, regulatory behavior varies over time, depending on the aggregate state of the economy, possibly due to varying difficulties in detecting frauds or a varying dominance in the tug-of-war between political pressure to act and corporate lobbying to deregulate. We propose a model to study the implications of cyclical regulatory intensities for stock market dynamics. Consistent with empirical observations, the model finds (1) gradual booms and sudden crashes in the financial markets; (2) increased crash risk; (3) countercyclical stock volatilities; (4) increased correlation among stocks during economic downturns.