R 2 R 2, R 2,,;, CAPM CAPM,, CAPM : r j, t = a j + j r m, t + e j, t (1), r m, t,,e j, t R 2 : R 2 = 1 - s 2 ( e) s 2 ( r) = 1 - s 2 ( e) 2 s 2

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1 : R 2 R 2 3 : R 2,Roll (1988) R 2, R 2, Roll (1988),R 2, R : (1),60 % (2), R 2, R 2 : R 2 20,,,,, QFII QDII,,,,,,,,,,,,, (1)? (2),, A? (3) A,?,Roll (1988) R 2,, ; A ;A 3,, :610074, edu. edu. cn ;, ( 05JJD790023) ,, 50

2 R 2 R 2, R 2,,;, CAPM CAPM,, CAPM : r j, t = a j + j r m, t + e j, t (1), r m, t,,e j, t R 2 : R 2 = 1 - s 2 ( e) s 2 ( r) = 1 - s 2 ( e) 2 s 2 ( r m ) + s 2 ( e) 2 s 2 ( r m ) = 2 s 2 ( r m ) + s 2 ( e), s 2 s 2 ( e) ( e), 2 s 2 ( r m ) + s 2 ( e) s 2 ( e) 0, 0 < R 2 1 (2),s 2 ( e) = 0 R 2 = 1, s 2 ( e) = 0 e j, t = 0,(1) R 2 1, R 2 (2) = 1 ( ) ( ),( r j, t ) ( e j, t ),( r m, t ),,,,, R 2 1Roll (1988),R , R 2 012, R 2 1? c j I j, t, r j, t = a j + j r m, t + c j I j, t + e j, t (3) (3),R , R 2,,Roll (1988) (3), R 2 (R 2 = 01163, R 2 = ) R 2 1,: (1) ; (2) 108, CAPM : E( r i ) - r f,: r i + i = i [ E( r M ) - r f ], r f : E( r i ) = (1 - i ) r f + i E( r M ), = (1 - i ) r f + i r M + i,(1 - i ) r f = i r i = i + i r M 51

3 : R 2 :? Durnev,Morck, Yeung and Zarowin (DMYZ,2001) Roll (1988), Roll (1988), R 2, s 2 ( e),,,,roll (1988) R 2,, s 2 ( e) DMYZ(2001) ( = 2 s 2 ( r m ) + s 2 ( e) = 1 - R 2 ),,, Collins et al. (1994), ( E t ) ( E t + ) :, r t + t + r t = a + b 0 E t + b E t ++ cr t ++ u t (4) FERC b FINC R 2 r = a+ b E + t 0 t b E t+ + c r t+ + - u R 2 r = a+ b E + u t t 0 t t,,,, : FERC i, t = + i, t + k Z k + e i, t (5) k FINC i, t = + i, t + k Z k + e i, t (6) k Z k,, (R 2 ),,,( ), Roll (1988),DMYZ(2001),,? Durkey,Morck and Yeung(DMY, 2004) DMYZ(2001),,,,,,,,,,, Collins et al. (1994), cr t+ : (1), ; (2) FERC FINC, Beta ; (3) FERC FINC, 52

4 DMY(2004), DMYZ(2001),, i = ln 1 - R2 i R 2 i = ln 2, i 2 m, i = ln 2, i - ln 2 m, i Tobin s Q ( gq - h ( gq - h) 2 ) : Z k (7) gq - h ( gq - h) 2 = b+ c k Z k + u i (7) k gq - h ( gq - h) 2 = bln 2, i + b m ln 2 m, i + c k Z k + u i (8) k (8),,,,, Roll (1988),DMYZ(2001) and DMY(2004) R 2,,,DMYZ(2001) and DMY(2004) : Kelly (2005) DMYZ(2001) and DMY(2004) R 2 R 2,,,Kelly(2005), ( ) ( ) (0, ), R 2, R 2, R 2,??, () Fama (1970),, Tobin (1984),,,,,,,,,,, () : (1) ; (2), :Tobin s Q ROA ROA 53

5 : R 2,, : ;,, ( ) : (1) ; (2),,,, Roll (1988),: R 2 : (1) ;(2) DMYZ(2001) and DMY(2004) R 2,,, R 2,,, (),,R 2,,,,, R 2,,,, ;,, R 2 Kelly(2005) R 2, R 2, R 2,, R 2, R 2, R 2, R 2 Roll (1988),,Roll (1988),,,, (1),(2) R

6 R 2,Drunev et al (2004), : ln R 2 it 1 - R 2 it = i + b 1 f 1 t + + b k f kt + it (9) i,,,, Kelly(2005),,,, : () William(1986),, Chiang and Venkatesh (1988) MYY(2000) William(1986) A,,,,,,,, Demsetz and Lehk (1985) (Herfindahl) : H1 :, R 2 () Shleifer (1986),,,,,,,,: H2 :,, R 2 () Merton(1987) Kelly(2005),, ;;,,Ho and Michaely(1988), A, A, = ln[π(1 - ) ],,, QFII 55

7 : R 2 : H3a :, R 2 H3b :, R 2,R 2 (),,,,,,: H4 :, R 2 () Roll (1988) R 2 1,,DMYZ(2001) and DMY(2004) R 2,,Roll French (1986), () , WIND, , , () R , ,, , , ,1 :WIND 1, 0161,, (1) CAPM R 2, r mt,r mt 180, ,,,140,,

8 2009 8, 140 R R 2, 1680 R 2 1 R 2 1 R 2 1 R 2 [ 0,012 ], 60 %R 2 011,2 R , Roll (1988) 01175, R %,60 % () R CAPM R 2 [0,1 ], Durnev,Mock and Yeung (2004) R 2 R 2 : : AR 2 it = ln R 2 it 1 - R 2 it AR 2 it = a i + b 1 jgcg it + b 2 xsg it + b 3 dydgd it + b 4 ggsj it + b 5 dszc it + b 6 noise it + it (11) a i 140,, a i, ;,, a i, Hausman,,, R 2, 4 32 %, 19 %,( ) 82 % (),, Hausman,, 013,, (10) Hausman :chi2 (11) = 34189,Prob > chi2 =

9 : R 2 : 3 AR 2 it ln( ) 1 - R 2 it jgcg xsg R 2 it Π, QFII Π, dydgd ggsj ( ) dszc Π noise :WIND : 4 11, R 2,, H1 H3b 21, jgcg xsg dydgd dszc noise , R 2 5,, Kelly (2005) (0. 756) , - (0. 000), , (0. 004) (0. 000) R 2 (0. 000), -, H3a R 2 R , :P,, H (0. 023)

10 2009 8, R 2,R 2,;, Mock et al (2000), ;, : (1),60 %(2), R 2 ;, A, A R 2 : (1),,,, A, (2),,,(3) A,,,, ;,,,,, Collins,Daniel W.,S. P. Kothari,and Judy Rayburn,1987,Firm Size and the Information Content of prices With Respect to Earnings, Journal of Accounting and Economics,9, Durnev,Art, Randall Mock, and Bernard Yeung,2004,Value2enchancing Capital Budgeting and Firm Specific Stock Return Variation, Journal of Finance,59, Eugene F. Fama,1970,Efficient Capital Markets : A Review of Theory and Empirical Work, Journal of Finance,Vol. 25, Harold Demsetz,Kenneth Lehn,1985,The Structure of Corporate Ownership : Causes and Consequences, Journal of Political Economy,93, Joseph Williams,1986,Financial Anomalies under Rational Expectations : A Theory of Annual Size and Related Effects,Working paper,new York University. Kelly,2005,Information Efficiency and Firm2Specific Return Variation,working paper,arizona State University. Keneth R. French, Richard Roll, 1986,Stock Return Variances : the Arrival of Information and the Reaction of Traders, Journal of Economics,17,5 26. Merton,R,1987,A Simple Model of Capital Market Equilibrium with Incomplete Information, Journal of Finance 42, Raymond Chiang,P. C. Venkatesh,1988,Insider Holdings and Perceptions of Information Asymmetry : A Note, Journal of Finance,43. Roll Richard,1988,R 2, Journal of Finance,43, Shileifer Andrei,1986,Implementation Cycles, Journal of Political Economy,94, Thomas S. Y. Ho,Roni Michaely,1988,Information Quality and Market Efficiency, Journal of Financial and Quantitative Analysis,23. Tobin,James,1984,On the Efficiency of the Financial System, Lloyds Banking Review,153,1 15. ( 98 ) 59

11 : 2007, 41 (1) : S27 S35. Sveikauskas, L., 1975,The Productivity of Cities, Quarterly Journal of Economics,89 (3) : Topel, R. H.,1986,Local Labor Markets, Journal of Political Economy, 94 (3), S111 S143. Spread2backwash and Market Area Effects of Urban and Regional Gro wth in China Ke Shanzi (School of Economy and Trade, Huπnan University) Abstract :Based on growth pole and central place theories, this paper proposes a spatial simultaneous equation system of non2 agricultural GDP, employment, and fixed capital growths to analyze spread2backwash and market area effects among 2169 cities and counties in China except for Tibet over period. The simultaneous equation estimates indicate that although factor inputs, production scale, human capital, and local factors are the primary determinants of non2agricultural GDP, employment, and fixed capital growths, there exist significant spatial spillovers between different hierarchical levels of cities and counties. Provincial capitals and prefecture level cities exert significant backwash effect on the neighboring lower level cities and counties, while lower level cities and counties contribute to the growth of higher level cities and cities and counties of the same hierarchical levels affect each other positively. In conclusion, the paper briefly discusses policy implications of the research findings. Key Words : Growth Pole ; Spread2backwash ; Market Area ; Urban Hierarchy ; Spatial Econometrics JEL Classification :R11, R12, P25 ( : ) ( : ) ( 59 ) Private Information Arbitrage in Chinese Stock Market : A Study Based on R 2 Feng Yongfu, Dong Yan, Yuan Zebo and Yang Renmei (School of Securities and Futures, Southwestern University of Finance and Economics) Abstract : R 2 is the proportion of variability in a data set that is accounted for by a statistical model. Roll (1988) has successfully introduced R 2 into the analysis of information problem in stock market. Afterwards, R 2 has been widely applied in various studies on financial market. However, in some cases, Roll s R 2 is misunderstood and brings controversial results. Our paper has thoroughly reviewed current literatures on R 2 and justifies that R 2 can be used as a proxy for measuring private information arbitrage activities in the stock market. In this paper, 140 out of SHSE 180 stocks have been analyzed and the results show that (1) most of them have encountered the problem of private information arbitrage. And 60 % among these stocks might experienced serious arbitrage problem. (2) Also, our panel analysis on the determinants of private information arbitrage shows that the ownership of prime shareholder, the percentage of non2tradable shares will significantly reduce R 2 and hence increase arbitrage opportunity. While institutional investors, stock market reformation, sizes of listed companies will increase R 2 and reduce arbitrage opportunity. Key Words :Private Information ; Arbitrage ; R 2 JEL Classification :C23, G12, G14 98 ( : ) ( : )

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