基于Fisher判别法的房地产上市公司ST危机预警研究

本文选取沪深两市A股房地产2009年和2010年的15家ST公司和45家非ST公司作为研究样本,在现有的29个财务指标基础上加入了8个非财务指标为研究变量,使用费舍尔(Fisher,下同)判别法建立了ST发生前两年和前三年的危机预警模型.实证结果表明,在Fisher判别法下加入非财务指标可以显著提高ST危机预警的准确率.     

上市公司财务预警问题研究——基于证券市场财务数据的研究

本文借鉴Altman财务预警研究思想,选取了A股市场58家ST公司及58家非ST公司作为研究样本,建立财务危机预警模型进行了有效性检验。结果表明：多元判别模型在上市公司财务危机出现前一年的预测准确率达到95％,并且具有提前三年预测出上市公司财务危机的能力。同时还发现,随着财务危机企业ST戴帽年的临近,财务危机企业与非财务危机企业各预警变量值间的差异明显扩大。     

基于混合粗糙集与ANN的上市公司财务危机预警研究

利用混合粗糙集ANN数据挖掘技术和相关敏感财务及非财务指标构建财务危机预警模型,对30家ST和90家非ST的A股制造业上市公司的财务数据进行实证检验。结果表明,将混合粗糙集的知识约简理论和神经网络的推理能力相结合构建的混合粗糙ANN预警模型具有较高的财务危机预测准确率和较好的实际应用价值。     

基于Fisher判别法的企业财务危机预警研究

主要介绍了使有Fisher线性模型对财务危机企业的判别方法,选取了沪深两市A股市场上2006、2007年被进行特别处理的12家ST商业公司作为财务困境公司研究样本,其中4家公司作为检验样本;选取42家非ST商业公司作为比对样本,其中9家公司作为检验样本。通过检验结果知,使用Fisher线性判别法可以对企业目前的财务状况做出基本判断。     

ST游走在爆炒与暴跌之间

再牛的股票也有被ST的可能,再熊的ST股也有逆袭的希望。 年关将至,ST股或涅槃,或堕落,抑或苟延残喘求得自保。郭氏新政虽更强调市场淘汰机制,但历史经验中ST股成妖者众,投资者依然把玩着手中的筹码,随时准备下注。也许投资ST股难称理性,但面对晃悠在2000点的A股市场,理性似乎也难变现价值。如此一搏,或有惊喜。＂恶炒＂似乎一直是ST股的标签。     

引入非财务变量的上市公司财务困境预警

本文选取沪深两市A股2010~2013年52家首次ST公司和52家从未被ST公司作为研究样本,引入盈利能力、股东获利能力、营运能力、发展能力、风险水平和偿债能力六个方面的财务变量,以及股权结构、公司治理、重大事项、人力资本4个方面的非财务变量,使用Fisher判别与Logistic回归两种方法建立ST前3年的财务困境预警模型。实证研究表明,加入非财务指标可以提高财务困境预警的准确率,且Logistic回归方法建立的预警模型的预测效果更好。     

基于遗传算法的上市公司财务危机预测规则发现研究

本文以我国沪深A股上市公司为研究对象,选取制造业公司376家,其中被特别处理的ST公司188家,与其配对的健康公司188家,使用遗传算法和财务比率建立了财务危机IF--THEN判别模型,经检验,提前3年进行危机预测平均准确率为83．89％。     

郭照相:明星企业陨落的“黑手”

<正>从2008年6月高新张铜财务问题揭露后,到9月初郭照相被警方监视居住,高新张铜股价从10元/股跌至3元/股,高新张铜成中小板首支ST股。曾是张家港明星企业的高新张铜的鲜亮外壳彻底被层层剥落。     

基于支持向量机财务预警模型的实证研究

本文结合主成分分析法和支持向量机模型,构建了一种新的上市公司财务困境预警模型,并对我国A股上市公司中80家因为“财务状况异常”而被“ST”的公司进行预测,结果表明效果理想。     

股票价格低于每股净资产的影响因素分析——来自中国A股上市公司的经验证据

破净指股票价格跌破每股净资产,是股票价格与每股净资产关系的一种极端表现。本文以1 059家A股上市公司为样本,采用修正的Ohlson模型,分组对股价破净的影响因素进行研究。结果发现:对于业绩为正的非ST企业而言,公司规模大、上市时间早、机构投资者持股比例低的国有企业容易破净;ST企业的股票价格虽下跌,但其重组捷径和壳资源改变了投资者的预期,使ST企业不破净或较少破净。     

Business cycle asymmetry and the stock market

We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomic forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.     

我国投资基金选股与择时能力的实证研究

文章选择了比较成熟的单因素T-M模型和H-M模型,对2004年1月1日～2007年11月31日间194个交易周的10只基金进行业绩评价,考察证券投资基金是否在我国这种弱式有效的市场上表现出良好的选股与择时能力。结果表明,除个别基金外,我国基金整体不具备择时能力,虽具有一定的选股能力,但表现并不显著。     

Country risk and stock market volatility,predictability, and diversification in the Middle East and Africa

With globalization, an understanding of country risk (political risk (PR), financial risk (FR), and economic risk (ER)) and its impact on stock market return volatility and predictability is important for evaluating direct investment and country selection decisions in globally and regionally diversified portfolios. This paper examines these issues in the context of the Middle East and Africa (MEAF) and analyzes 10 stock markets in the region over the period 1984–1999. After examining volatility and predictability, this paper explains how portfolios of stocks can be formed from these countries in order to achieve mean–variance efficient portfolios. This paper generally finds that country political, financial and economic risks significantly determine stock volatility and predictability. The diversification exercise shows that an international investor can still benefit by diversifying into the stock markets of Middle East and African countries.     

证券投资组合风险管理的波动状态转移分析

运用马尔科夫区制转移模型对我国股票型开放式基金收益率波动进行了风险评估和短期预测。采用晨星评级净值收益率前10只股票型基金跨期四年共816日交易数据,进行风险价值计量;并将计量结果与市场贝塔系数模型进行比较分析。通过失败比例测试证实了波动状态转移风险控制模型的风险度量与控制能力显著优于市场贝塔系数模型,丰富与提升了资本资产定价理论的内涵,一定程度上提高了我国投资组合风险波动的控制、拟合和预测的精确性。     

The relationship between information technology capability,inventory efficiency,and shareholder wealth: A firm-level empirical analysis

Inventories represent an important strategic resource for firms, with implications for shareholder wealth. As such, firms expend considerable effort in managing their inventories efficiently. Among other factors, information technology (IT) capability can play an important role in enabling inventory efficiency and financial performance. However, insight into the chain-of-effects linking IT capability, inventory efficiency, and stock market returns and risk remains limited. In this paper, we provide a conceptual model outlining the relationships between these constructs. Next, we evaluate the model using secondary information on firms from multiple industries across the 10-year time period of 2000–2009. Our analysis confirms that firms’ IT capability plays a significant role in enhancing their inventory efficiency, which, in turn, is observed to increase stock market returns. Our results also reveal that firms’ IT capability directly reduces their stock market risk and enhances their stock market returns. Taken together, these findings, along with the conceptual model that we advance, have important research and managerial implications.     

Determining hedges and safe havens for stocks using interval analysis

We examine whether hedging and safe haven assets exist against stocks when market high and low prices evaluate asset prices. Using interval-based estimations, this paper finds that 10-year government bonds, the U.S. dollar, and gold served as weak hedging and/or safe haven assets for the stock market losses over the 2002–2019 period. We also provide evidence of the USD’s and gold’s hedging ability against the stock market volatility and of volatility transmission between assets, and highlight the importance of considering volatility.     

股票价值分布曲线及其应用

基于股票价值的不确定性,我们可以建立股票价值的分布曲线。通过股票价值分布曲线,不仅可以明晰股票价格的决定机制,推导出股票市场的供给、需求曲线,而且还可以解释许多股票市场现象和问题,如:小盘高价大盘低价现象、价格操纵等问题。     

模拟股指期货价格与现货价格关系研究

本文的研究对象是以沪深300指数为标的的股指期货与现货指数价格之间的关系。2005年正式发布的沪深300指数,并于2006年正式成立了中国金融交易所,推出了沪深300股指期货的模拟交易。本文主要利用Granger因果检验和协整理论实证分析股指期货和现货指数价格的相互引导关系,并用脉冲响应函数度量相互影响的大小。通过沪深300股指期货与指数的实证分析,得出结论:在2008年10月至2009年5月的这段时间内,模拟股指期货价格与现货价格之间互为Granger原因,但股指期货对现货的影响要大一些,股指期货的价格引导现货价格。另外,协整检验表明,模拟股指期货价格与现货价格之间存在长期的协整关系。     

股指期货对股票市场定价效率的影响

股指期货的推出,能够大大提高股票市场的定价效率。在动态非均衡市场上,股指期货的价格形成集中并传递大量信息。这些信息通过股指期货市场与股票市场间的套利机制及时传递到股票市场,增加相关股票组合价格的信息含量,引导和发现现货价格,从而提高股市的定价效率。     

Individual stock sentiment beta and stock returns

Using the data in Chinese stock market, we measure the individual stock sentiment beta, which is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. We demonstrate that stocks in the highest individual stock sentiment beta portfolio have significantly higher excess returns, CAPM alpha, Fama-French three-factor alpha and Fama-French five-factor alpha. Besides, we find that the high individual stock sentiment beta stocks are smaller, younger, more volatile stocks with higher price and higher market beta. After controlling for firm characteristic, the returns of High-Low individual stock sentiment beta portfolios are still significantly positive. Moreover, we show the effect of the individual stock sentiment beta on stock returns is positive and significant in different stock markets, in different sample periods, and in bull and bear market. Besides, the results of the Bayes-Stein individual stock sentiment beta are still stable.