本文通过行业、规模、负债和成长能力的配对，建立起32家上证50成份股上市公司的控制样本，然后运用合理的计量方法，首次估计出符合我国股市微观结构的噪声交易高频时间序列，在此基础上深入分析噪声交易与信息不对称、流动性、波动性和有效性等市场质量指标之间的经验关系，发现：我国股市私人信息具有较高的相关性和持久性；噪声交易提高了交投活跃程度，同时却扩大了执行成本和价格波动幅度；噪声交易与信息不对称的关系不大；噪声交易使实际价差缩小，进而削弱了市场有效性。由此可见，噪声交易是一把“双刃剑”，只有继续改革价格形成机制、增强价值投资力量、引导长期资金入市、完善信息披露制度并强化交易监控，才能进一步提高我国股市的质量。

Using data for 1203 publicly listed fi rms in China during 1999–2002, this paper empirically investigates whether and to what extent state control affects managerial incentives, including managerial compensation and CEO turnover. The paper fi nds that CEO turnover is negatively related to both current and lagged fi rm performance as measured by ROA and RPE (Relative Performance Evaluation) for non-state-controlled fi rms, while insensitive to performance measures for statecontrolled fi rms. In addition, CEO compensation is positively related to fi rm performance, but state wnership and control weaken this positive relation. Moreover, state control reduces the effectiveness of internal governance mechanisms such as the board of directors and supervisory committee. Overall, empirical results in the paper indicate that state ownership and control weaken managerial incentives and internal monitoring among publicly listed fi rms in China.

Recent theoretical studies show that trade-based stock price manipulation is a possible source of the momentum effect. This paper proposes three sets of testable hypotheses and provides empirical evidence for a manipulation-based explanation of momentum. Using weekly data on 14 CITIC industries in the Shanghai A-share market from 1997 to 2006, our analysis of industry momentum shows that cumulative returns fi rst increase then decrease across holding periolds, and the returns monotonically decrease across formation periods. This return pattern is consistent with a so-called "pump and dump scheme, where momentum is created by manipulators and chased by speculators. We attribute the source of momentum to the positive own-autocorrelation, which dominates the cross-autocorrelation effect of industry returns. We also fi nd that momentum profi ts are higher in the bull than in bear market, and most of the profi ts come from the gains of winning industries rather than the losses of losing industries. These empirical results, when related to some welldocumented behavioral biases of Chinese speculators, tell us a possible stock-market manipulation story of momentum.