基于GARCH模型的贝塔系数均值回归分析

资本资产定价模型(CAPM)中的贝塔系数被认为是证券组合和单个证券风险大小的衡量指标,近年来理论界对于CAPM中的贝塔系数并非常数已达成共识。但贝塔系数不稳定,并不意味着CAPM模型完全失去作用。本文的研究表明,上海股票市场股票的贝塔系数虽然具有波动性,但是多数股票的贝塔系数遵循一个均值回归过程。     

CAPM模型在我国股票市场的适用性实证分析

本文以上海证券交易所180指数成份股票为研究对象,选用2005年11月-2013年11月期间股票月收益率数据,利用回归分析方法进行CAPM模型适用性检验。实证分析表明：CAPM模型在中国市场已经具备一定的适应性和有效性,说明β与股票收益存在正相关关系,但回归模型拟合优度不高,表明其他风险因素在股票定价中起一定作用。     

CAPM模型在上证A股运输板块的实证检验

资本资产定价模型(CAPM)自创立以来得到了广泛应用,而β系数是用于衡量证券市场系统风险的一个重要概念.通过对β系数的估计,可以帮助投资者对证券未来的市场风险进行预测.本文利用上海股票市场运输行业的25家上市公司的月数据作为样本,对其β系数进行了实证研究,并就实证结果对个股的选取提供了几点建议.     

上海证券市场CAPM的实证检验

资本资产定价模型CAPM自诞生以来经历了无数次的检验,早期的实证检验多支持和肯定,后来更多的研究否定了它的有效性,认为β对股票没有解释能力。本分四个时间段对上海证券市场CAPM有效性进行检验,否定了CAPM在前三个时间段的有效笥,不能拒绝其在第四时间段有效。随着时间的推移,非系统风险对股票收益的解释能力越来越弱。     

如何使用贝塔系数投资

贝塔系数(也记为β)起源于资本资产定价模型(CAPM 模型),它的含义就是指特定资产或资产组合的系统风险度量.所谓系统风险,是指资产受宏观经济、市场波动等整体性因素影响而发生的价格波动.换句话说,就是股票与大盘之间的连动性,系统风险比例越高,连动性越强.     

中国A股市场股票收益率风险因素分析:基于Fama-French三因素模型

本文以中国A股市场上市公司为样本,基于Fama-French三因素模型,实证分析了中国A股市场股票收益率的风险因子.研究结果表明,Fama-French三因素模型较CAPM模型能更好地解释中国A股市场的股票收益率;中国A股市场股票收益率存在规模与价值效应,股票(或股票组合)收益与公司规模呈显著负相关关系,而与公司账面市值比呈显著正相关关系.     

行为金融定价理论及对“政策市”的思考

一、CAPM模型的思想和局限性CAPM模型在投资者都是风险规避者的假定下 ,试图构建均值—方差最优组合。而且假定证券市场是理想的 ,即 :市场容量足够大 ,投资者都是价格接受者 ;不存在税收及交易成本 ;所有的风险资产都公开交易。这些假定意味着所有的投资者都持有相同的风险组合 ,一种资产的风险溢价取决于它对整个投资组合的风险的贡献。然而 ,自 80年代以来 ,许多与上述理论假设相矛盾的实证研究不断出现 :Banz (1981)在研究中把所有在纽约上市的股票按照公司规模分成五组 ,结果表明 ,最小规模组的平均收益率比最大规模组的公司要高出 19 8%。表明总收益率和风险调整后的收益率都有随公司相对规模而下降的趋势。Debondt和Thaler的研究表明 ,把 5年期间的股票业绩进行排序 ,按业绩进行资产组合 ,则基期业绩最差的组合收益在三年中要高于最好的股票 2 5 %,这意味着股票市场对信息的过度反应 ,通过风险溢价无法对股票横截面上的过度反应做出解释。大量的实证研究表明 ,CAPM模型在解释实际的股票市场价格波动时无法自圆其说。二、行为金融学定价理论2 0世纪 80年代以来 ,以人的心理行为特征为研究对象的...     

资本资产定价模型应用研究——对上海机电股份贝塔系数的测算

经典的资本资产定价模型中所指的风险,按照是否可以利用多元化投资加以驱除区分为系统风险和非系统风险,而系统风险的大小主要靠β值进行测量。文章以上海机电股份为研究对象,运用图形分析和最小二乘法探究上海机电的预期收益率与风险之间的关系,并预测其β系数。实证结果说明:上海机电股份的风险与其收益之间显示出简单的线性关系,并且为正的线性相关关系;进一步通过预测其β系数发现该股票的风险比整体市场投资组合的风险要高,相应的其收益也大于整体市场投资组合的平均收益率。     

基于中信证券β系数的实证分析

β系数的测量是运用资本资产定价模型进行理论分析和实务操作的关键环节.β系数反映了某种(类)资产价格变动受到市场上资本价格平均变动的影响程度.本文以中信证券为研究对象,运用CAPM模型和计量的最小二乘回归计算出中信证券的β系数,并对其进行了异方差检验、自相关检验和单位根检验.最后根据整个实证过程中发现的一些问题,对中信证券的相关问题谈了几点自己的看法.     

基于CAPM模型对青岛啤酒股票的实证研究

投资者或管理者最为关注的问题之一就是风险管理.本文以9 家啤酒上市公司为研究对象,运用CAPM模型计算度量其系统风险的Beta 系数,并分析系统风险在其面临的总风险中所占比重,以及个股风险与整个市场风险的相对关系;同时以青岛啤酒为例,通过单位根检验和时间趋势检验验证Beta 系数的均值回归趋势,得出该公司Beta 系数的长期均值和方差.具体结论如下:系统风险在啤酒上市公司的总风险中所占比重较小;各公司的Beta 系数均具有均值回归趋势.     

China's patterns of international technological collaboration 1976–2010: a patent analysis study

This study focuses on the trajectories and patterns of China's international collaborations over the period 1976–2010, using patent statistics and association analysis methods. The results identify those government policies that have significantly encouraged changes in the scale and scope of China's collaborations since 1997. The USA and Taiwan are major international collaborators with China, and the top cooperative entities are large-scale multi-national firms, which specialise in production, sales research and development of information or electronics technology; in contrast, universities and research institutions have a negligible presence in international collaborative patenting. This study finds that although China has developed significant international collaborative networks since the 1990s, it still needs to extend these ties to an even greater range of international partners and establish a broader scope of research interests.     

Applying input-output analysis to scenario analysis of ecological footprints

Application of input-output analysis to ecological footprints (EFs) is shifting from an ex-post static calculation toward an ex-ante scenario analysis for enhancing the policy relevance of EF analysis. This change in application prompts two issues requiring careful examination: (1) what is measured by Leontief inverses or extended environmental Leontief inverses, and (2) whether a sector's land multiplier (or compositions of land multiplier) can appropriately reflect the effect of delivering one unit of the sector's output to final demand on the required area(s) of production lands used by the sector itself and by other producing sectors whose products are contributed directly and indirectly to its production. The underlying message of these two questions is whether the assumed linear marginal relationship between a sector's output and its intermediate inputs (input-output coefficients)—a critical assumption made by W. Leontief to transform a transactions table from an accounting framework into the input-output model—can be extended to assume that the marginal relationship between a sector's output and the area of production land it uses for generating output is fixed (land-output marginal coefficient equal to average coefficient). By reviewing the literature on input-output analysis and its application to environmental issues and by theoretically and empirically examining the relation between sector output and land appropriation, this study advises against the use of land multipliers or their compositions in the EF scenario analysis.To apply the input-output model to EF scenario analysis for enhancing policy relevance with due attention to the relationship between sector output and land appropriation, this study suggests a two-stage EF calculation procedure. In the first stage, the input-output application estimates only the required raw materials (or generated pollutants) for meeting a given consumption pattern, which is the objective of environmental input-output analysis; in the second stage, the estimated amount of raw materials or pollutants is converted into land/water area, and a choice of conversion methods is suggested according to the research questions and the availability of conversion methods and required data.     

Adherence to guidelines for sensitivity analysis: cost-effectiveness analyses of dual oral antiplatelet therapy

Abstract

Objective: Cost-effectiveness analyses of new treatments for cardiovascular disease frequently require input parameters whose values are known with uncertainty due to limited data. The objective of this paper is to examine the extent to which published sensitivity analyses addressing this uncertainty adhere to Health Technology Assessment (HTA) guidelines.

Research design and methods: A systematic review of published cost-effectiveness analyses was performed for an example drug treatment scenario, dual oral antiplatelet therapy compared with aspirin alone following acute coronary syndromes and/or percutaneous coronary intervention. The following medical literature databases were searched for articles published from January 1997 to June 2007: PubMed, Cochrane Collaboration, EMBASE and the Health Economic Evaluation Database (HEED). Evidence tables were created to show the sensitivity of the cost-effectiveness estimates to changes in the input parameter values, as well as the data sources used for the reference-case and sensitivity analysis input parameter values. The extent to which the sensitivity analyses adhered to HTA guidelines were also examined.

Results: Cost-effectiveness ratios were most sensitive to changes in the efficacy of dual antiplatelet therapy and reference-case model assumptions about costs beyond the trial period. Although alternative values tested in the sensitivity analysis for some input parameters were based on observed ranges or distributions, alternative values tested for many other input parameters were assumed without justification.

Conclusions: Sensitivity analyses in the cost-effectiveness studies of dual oral antiplatelet therapy were not fully adherent with HTA guidelines. In particular, long-term costs and benefits were not always included in the sensitivity estimates, the impact of differential effects on death and myocardial infarction was not explored, and justification for the alternative parameter values tested was not always provided.     

A systematic approach for integrated trend analysis—The case of etching

Understanding technology development trends is of critical importance to countries, industries and enterprises to be sustainable in global competition. Attempts have been made to establish trend analysis by bibliometric and patent analyses. Also text-mining uncovers hidden and important information from structured or unstructured documents which serve as knowledge carriers. This study aims to provide a systematic approach for integrated trend analysis that takes into account bibliometric analysis, patent analysis and text-mining analysis. Etching is selected as the case study for integrating trend analysis method proposed in this study. Also, validity and applicability of the integrated analysis are evaluated.     

新疆信息化水平测度及对GDP的影响分析

近几年许多省份开始主动把信息产业作为支柱产业，加大信息基础设施建设投入，提高信息化水平。信息化水平究竟能在在多大程度上促进GDP的发展？本文立足新疆这一西部省份，利用主成分分析和因子分析，在对新疆信息化水平测度的基础上，分析了信息化指数对新疆GDP的影响。     

新制度主义的制度分析范式:一个归纳性述评

制度分析是当代社会科学领域一个重要的理论分析工具。20世纪70年代以来,经济学、政治学等重新发现了制度对解释现实问题的重要性,形成了新制度主义的制度分析范式。基于共同的逻辑起点、行为假设和理论工具,制度分析范式形成了不同的制度分析途径,如嵌入性制度分析、立宪制度分析、比较制度分析、历史制度分析和多中心制度分析等。制度分析拓展了社会科学的研究对象,增强了社会科学解释和解决现实问题的能力,越来越多的领域被囊括到制度分析中。     

Patent text mining and informetric-based patent technology morphological analysis: an empirical study

Patent technology morphological analysis utilises the advantages of both patent information analysis and morphological analysis to provide more detailed information on current and future patent technology. Current patent technology morphological analysis methods are largely reliant on manual expertise in the construction of morphological boxes with few approaches to the evaluation of future morphological configurations. We developed a patent text mining and informetric-based patent technology morphological analysis technique. We defined the basic parameters of the morphological box as the factors in factor analysis, with a patent keywords matrix, and the clusters in clustering analysis with factor scores. Patent citation, year of patent registration, keyword frequency, and contributing factors were used to evaluate future morphological configurations. We used an empirical study of liquid crystal display wide viewing angle patents to validate our method. The Thomson Reuters Derwent Innovation Index was used to collect patent text datasets. Our study indicates that this method is feasible for the implementation of patent technology morphological analysis. Our method provides advantages in terms of cost and time reductions during morphological box construction and more flexible methods for evaluating morphological configurations. We discuss problems and possible development of our method in the last section.     

脑卒中经济性评价研究进展

本文通过检索Springger、EBSCOhost、Pubmed等综合数据库和美国Stroke杂志等专业网站,以及中文CNKI数据库,查找1999～2009年国内外脑卒中经济性评价的相关研究文献,分析脑卒中经济性评价的现状,并采用卫生经济学研究质量评价（QHES）量表对文献进行评价。相比而言,欧美国家进行脑卒中经济性评价较为深入,国外相关研究QHES量表得分较高,平均分为82．7分。国内相关研究尚有限,且研究角度和研究方法较为单一。QHES量表得分普遍较低,平均分数为64．5分。     

中国农村经济发展积累过程形态分析

了解中国农村经济发展的经济结构对认识中国农村经济有着特殊的意义。本文旨在通过全国30个省、自治区和直辖市经济发展的比较研究,运用值域分析、方差分析和回归分析方法、探索出全国经济积累过程的发展形态,总结出地区伴随着经济发展过程而出现的特有经济结构现象,寻找问题症结的所在和解决问题的突破点,为国家经济提供建设性参考建议。     

山西经济周期性波动的特点及成因分析

用直接法和趋势分解法分析改革开放以来山西经济波动周期及其与全国经济周期的相关性,分析山西经济周期性波动原因,既有经济周期性运动的规律性调整,又有国际环境的影响。认识山西经济运行规律,对制定山西经济社会中长期发展战略有着重要的指导意义。