境外上市企业回归发行A股的公告效应研究

文章采用事件研究法对境外上市企业回归发行A股的公告效应进行研究,样本为1993-2008年21家先在香港市场发行H股,后到内地市场发行A股的上市公司。实证研究结果表明：以A股上市日为事件日,在（-40,＋40）的事件窗口内．境外股票价格的平均超额收益率和累计超额收益率均未出现显著变化,但事件日后境外股票的波动和交易量都比事件日前有所增长。     

基于会计信息质量的投资策略研究

资本市场中投资者的投资策略是投资活动中为避免风险、获取最大收益的一种投资行为。上市公司的财务信息质量能够传递出投资价值信息,会计信息质量将在一定程度上影响投资者的投资决策。文章选取2012—2017年家电行业进行实证研究,依据会计盈利和会计信息质量指标,确定投资组合,分别计算高会计信息质量组合和低会计信息质量组合的超额收益,并进行均值差异检验。经研究发现会计盈利水平高的公司具有投资价值;在控制会计盈利水平后,高会计信息质量公司更具有投资价值。     

价值平均策略在中国股票市场的优化

文章提出一种新型公式化投资策略——价值恒定策略,对中国A股市场中所有符合条件的股票分别采用价值平均策略、币值成本平均策略、一次性投资和价值恒定策略,运用方差分析比较各策略最大回撤率、特雷诺比率等多项指标说明价值恒定策略的适用条件。结果表明,价值恒定策略在整体上比价值平均策略表现优秀,适用于追求稳定收益的投资者。     

基于Fama-French三因素模型的我国A股市场的实证分析

实证检验了Fama-French三因素模型描述我国A股市场期望超额收益率的解释能力。分别针对上证A股和深证A股做了四类模型的回归分析,为了能够从各类模型的对比中准确地捕捉到各因素影响投资组合期望超额收益率动态特征。结果显示,随着公司规模和账面市值比的变化,市场风险因素的系数变化不大,而规模风险因素的系数和账面市值比风险因素的系数呈现巨大差异,模型的拟合效果表明Fama-French三因素模型在我国A股市场表现出相当高的解释能力。     

从国债收益率曲线的均值归复策略中获利

本文研究了基于收益率曲线将均值归复至非条件收益率曲线这一观点的4种交易策略,这些策略分别侧重于收益率曲线的斜率和曲率的变化,通过对我国沪市国债市场的检验,我们发现一些均值归复策略确实能够产生较高的收益。在对投资回报进行风险调整之后,这些收益率曲线策略相比于两种指数策略均有很好的表现,因此在国债市场交易中采取相应的收益率曲线策略可以获得超额回报。     

A股市场过度反应的新证据——基于A股和H股估值变化的视角

传统的检验市场过度反应的方法是采用De Bondt和Thaler构造的赢家组合和输家组合,通过检验赢家组合和输家组合的超额收益率来判断市场是否存在过度反应。有别于传统的检验市场过度反应的方法,本文基于我国股票市场上A股和H股估值变化的特殊视角,实证分析了我国A股市场存在的过度反应现象。     

中国证券市场价值投资研究

本文以1993～2003年期间在上海深圳证券交易所上市的全部A股股票作为研究对象,对价值投资进行了实证检验和研究,得出以下结论:在本文研究的时间阶段,价值投资可以获得良好的投资回报;证券市场价值投资超额收益率的来源在检验期初期阶段表现为对其所承受的额外风险的补偿,后期则表现为市场对低市盈率公司的股价过度低估反应,价值投资策略是作为反向操作而取得长期超额收益的。     

深圳A、B股双重上市公司半年报的比较研究

文章通过对2004年深圳证券交易所A、B股市场双重上市公司对半年股票价格反应的分析,进行市场有效性的半强有效性检验,发现在不同股票市场、在同一股票市场的不同组合之间存在不同的反应;从低收益组合到高收益组合、从B股市场到A股市场,信息的有效性存在着一个渐强趋势。     

A股被纳入MSCI的影响分析——基于事件分析法

随着经济全球化和我国蒸蒸日上的经济发展,国外投资者纷纷把投资目光转向了中国市场,那么外资如何流入中国市场,又如何从中国市场获得收益呢?在中国资本市场逐步开放的过程中,中国有B股、QFII、沪港通、深港通等开放手段。在2018年5月15日,中国迎来了一个新的提高资本市场开放度的机会。美国明晟公司两次宣布了A股入摩的消息。至此,经调整后的A股占MSCI新兴市场指数的权重将由0.39%升至0.75%。针对这一事件,我国股市的变动如何?本文采取事件分析法对该事件进行了研究。研究表明,整体股票市场的反应较为迟钝,在第一次事件发生有正的累计超额收益,第二次事件发生有负的累计超额收益,说明入摩这一事件对股市的确有影响,且时间不同影响方向不同。     

并购商誉、超额收益与市场反应——来自中国A股上市公司的证据

本文采用事件研究法,检验2007年-2010年发生并购事件并产生商誉的A殿上市公司并购后的市场反应.实证结果发现,并购协同效应是超额收益的来源,“核心商誉”要素创造了超额收益；并购中的超额支付不能为企业带来超额收益,即“非核心商誉”要素与超额收益不相关.     

零杠杆上市公司的股票长期收益趋势研究

与国际发达的资本市场类似,我国资本市场也存在企业零（低）杠杆现象。基于1992-2014年沪深两市全部A股上市公司的财务报表数据及股票收益数据,文章使用事件研究法与日历时间组合法,实证检验了零（低）杠杆公司的财务特征及股票长期收益情况。研究表明,我国A股市场中的零（低）杠杆现象呈现扩大化及增长趋势,且零（低）杠杆公司具有规模小、上市年限短、市账比高、投资水平低及盈利性好等共同特征。研究也发现相较非零（低）杠杆公司,连续三（五）年零（低）杠杆公司具有显著的长期超额收益,说明持续的极端财务保守政策对于股票收益具有重要的影响作用。     

CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for stock returns is controlled by a state-varying mechanism is introduced and used to design a state-varying US-EM (emerging market) portfolio establishment strategy. Additionally, a conventional random-variance framework, the MVGARCH (multivariate GARCH) model, in which a time-varying technique is involved is employed and subjected to comparative analysis. The empirical results are consistent with the following notions: First, as being consistent with a study conducted by Ramchand and Susmel , the US-EM market correlations are higher when the US market is more volatile. However, this study further indicates that the US-EM market correlations increase relatively more when both the US and EM markets simultaneously experience a high variance condition. Moreover, the situation of both the US and EM stock markets at a high volatility state is associated with a minimum risk reduction benefit and a maximum cross-market correlation. Second, the state-varying portfolio loadings established by the MVSWARCH model could effectively enhance asset allocation effectiveness; however, this benefit arises more as a result of risk reduction than an increase in mean returns.     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

Seeking a Better Portfolio with Industry Recommendations*

This paper provides novel evidence that investors can build a better performing portfolio by exploiting industry level consensus recommendations. A minimum variance portfolio, combined with consensus recommendations, yields a higher Sharpe ratio and certainty equivalent returns. A minimum variance portfolio with no short-selling constraint consistently outperforms an equally weighted portfolio when exploiting consensus recommendations, which is an innovation compared to the existing literature. Our results suggest that sell-side analysts and brokers provide valuable information in the financial market and we benefit from incorporating the information in the portfolio optimisation.     

Risks and returns in international currency futures

Conclusion This paper analyzed the risk/return level of international currency futures traded on International Monetary Market of Chicago during 1972–1977 period. The empirical results indicate that relative risk and returns for each currency future studied are both close to zero during the sample period. The fact that the beta value for currency futures is close to zero implies its returns are uncorrelated with the market portfolio. Therefore, investors can reduce the risk level of their total portfolio significantly by adding currency futures.     

上海A、B股市场收益率波动性对比研究及预测

运用GARCH(1,1)-M模型对样本期内上海A、B股市场收益率波动性进行了对比研究及预测。结果显示:上证A、B股指数收益率序列均存在"ARCH/GARCH现象";上海A、B股市场中,期望收益与期望风险正向变动;上海A股市场记忆期长于B股市场;长期中,上海B股市场预期收益将超过A股市场。进一步结合基本面情况可知,上海B股市场具有相对较高的长线投资价值。     

Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?

Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of consecutive returns. This paper provides a brief excursion into the history of capital market research. A measure of long-range dependence (Hurst exponent) was applied to daily returns of selected stock indices and individual firms. The Hurst exponent was estimated using rescaled range analysis. The estimates are based on an unusually large sample of empirical-time series from capital markets. This method distinguishes whether the data-generating process follows random walk or exhibits antipersistent or persistent behavior. Both the efficient market hypothesis and modern portfolio theory assume that the data-generating process has no memory, i.e. follows Brownian motion. The random walk process is characterized by a Hurst exponent value of 0.5. Values greater than 0.5 and less than 1 indicate a persistence of local trends. Values between 0 and 0.5 indicate a process that reverts to the mean more often than a random process (mean-reverting process). The results indicated that the series of daily returns exhibit predominantly persistent or antipersistent behavior. Therefore, Brownian motion cannot be perceived as the norm for describing stock market behavior. These findings challenge the assumption of a random walk in stock prices, valuation models and assessment of risk.

     

中国股市动量策略和反转策略的实证分析

文章分别以牛市和熊市对中国股市的动量策略和反转策略进行实证分析,结果发现不同市场态势下的表现是不同的,且相应的超额收益不能用风险时变CAPM和三因素资产定价模型来解释.     

Investors' Misweighting of Firm-Level Information and the Market's Expectations of Earnings

Prior studies use fundamental earnings forecasts to proxy for the market's expectations of earnings because analyst forecasts are biased and are available for only a subset of firms. We find that as a proxy for market expectations, fundamental forecasts contain systematic measurement errors analogous to those in analysts' biased forecasts. Therefore, these forecasts are not representative of investors' beliefs. The systematic measurement errors from using fundamental forecasts to proxy for market expectations occur because investors misweight the information in many firm-level variables when estimating future earnings, but fundamental forecasts are formed using the historically efficient weights on firm-level variables. Thus, we develop an alternative ex ante proxy for the market's expectations of future earnings (“the implied market forecast”) using the historical (and inefficient) weights, as reflected in stock returns, that the market places on firm-level variables. A trading strategy based on the implied market forecast error, which is measured as the difference between the implied market forecast and the fundamental forecast, generates excess returns of approximately 9 percent per year. These returns cannot be explained by investors' reliance on analysts' biased forecasts. Overall, our results reveal that market expectations differ from both fundamental forecasts and analysts' forecasts.