大宗商品期货交易中的动量效应与反转效应分析

本文主要以大宗商品期货交易中的动量效应与反转效应为重点进行阐述,并以当下大宗商品期货交易现状为依据,首先介绍动量效应与反转效应概述,其次分析大宗商品期货交易中的动量效应与反转效应研究思路,最后从价格动量效应和反转效应变化最明显的周期、动量效应存在的时间和反转效应存在的时间、操盘获取综合效益的可行性、归纳与总结几个方面深入说明并探讨大宗商品期货交易中的动量效应与反转效应的具体研究,进一步提高大宗商品期货交易中的动量效应与反转效应的研究效率,旨意在为相关研究提供参考资料。     

惯性与反转效应的研究综述

近些年,惯性与反转效应的相关研究成为传统金融理论和行为金融理论的一个争论焦点。现在学界对惯性与反转效应的存在多种理论解释,尚未达成一致,但是已形成共识的是惯性和反转效应广泛存在于不同国家、不同市场和不同时间段,而且很多投资者在实际操作中确实使用了惯性和反转策略并获利。因此,对于惯性利润和反转利润来源的深入研究能够为投资者的实际交易起到很大的帮助。本文试图通过对惯性和反转效应相关文献的梳理,旨在找出已有研究的不足,并试图探索新的研究方向。     

CAPM及其衍生模型在上海A股市场的实证分析

文章除了对Fama和French三因素模型,即市场因素、规模因素及价值因素进行实证研究外,还在三因素的基础上加了一个动量定价因子,探索Carhart四因素模型对中国股市的惯性与反转现象的解释能力,即对股票由惯性与反转效应带来的超额收益率与市场资产组合、公司规模、账面市场价值比和股价动量的关系问题进行了实证研究。     

我国券商与证券投资基金的惯性反转策略比较研究——基于交易策略弹性指数

为了克服经典GTW模型的缺陷,构造了衡量机构投资者惯性反转策略的指标——"交易策略弹性指数",并以此对中国市场上券商、开放式基金、封闭式基金的行为进行实证研究和比较分析。研究表明,基于股票的当期收益,券商在半数研究期内倾向于采取反转交易策略,而开放式基金和封闭式基金则倾向于采取惯性交易策略,券商可以在一定程度上"中和"开放式基金和封闭式基金行为对市场的影响。     

基于PLC的步进电机调速和正反转控制系统

本文阐述三相步进电动机结构与步进过程原理,以及对步进电动机的调速和正反转研究,采用PLC基本逻辑指令和常用指令的方法对步进电动机的调速和正反转控制,经过对步进电机的通电方式和步距角的计算研究,用可编程控制器进行硬件和软件设计,可用于数控机床步进电机的调速控制。     

股指期货市场有效性与资金流向分析

动量效应和反转效应是与有效市场理论相悖的重要市场异象,对于股市动量和反转效应的实证检验和形成机理的研究,直接推动了股票市场微观理论和行为金融理论的发展.资金流向作为一个标准的技术指标,是通过对交易所分笔交易数据的计算分析来反映出股票涨跌背后交易力量的强弱,能够对股票未来的涨跌做出预测.从资金流向的角度对我国股市的动量效应和反转效应进行分析,探讨资金流向指标在股指期货中的运用具有重要意义.     

股票短期报酬反转还是动量的研究综述

短期报酬究竟是反转还是动量,不同的文章根据不同的理论原因、实证中不同的变量,得出了不一致的结论。本文对研究美国市场股票的短期报酬的文章进行一个整理,最后得出结论。     

670t／h锅炉三次风反切对燃烧切圆的影响及对策

实施三次风反切的四角切向燃烧锅炉，在低负荷时因制粉系统启动不当，或燃烧组织不合理。存在燃烧切圆反转的可能，切圆反转会对锅炉的安全稳定运行带来极大的威胁，笔者对胜利发电厂670t／h锅炉燃烧切圆反转原因进行了探析，并提出了解决这一问题的办法。     

航空装备企业成本粘性研究

基于国内外已有研究成果,文章分析并总结了目前国内成本粘性研究的现状以及不足,提出研究我国航空装备企业成本粘性的必要性;借鉴已有研究将销售费用、管理费用加入到主营业务成本中,并运用ABJ经典模型来研究我国航空装备上市公司的成本粘性情况,结果表明:我国航空装备上市公司存在总成本粘性以及反转性特征,并且资本密集度越大时成本粘性程度越大。     

A股市场的增强反转策略研究

为提高传统反转策略的投资回报率,笔者尝试性运用经典数据挖掘算法对反转策略进行改进探索.通过K近邻算法来消除单个交易日股价异常的方法计算股票收益率,构造输家组合,形成K近邻增强反转策略方法.     

The Life Cycle Model as a Framework for Understanding Barriers to SME Growth in Hong Kong

There is limited research on turnaround in the Asian context, particularly from a contextual perspective. This article reports the findings of an exploratory study of turnaround strategies and management at the level of the firm in Malaysia using a case study approach. The contextual impact along dimensions such as different ethnic/cultural background, ownership types and role of government has been examined in seven case studies of Malaysian firms. The findings reveal some differences among the firms, as well as turnaround characteristics similar to those reported in recent literature on East Asian versus western turnaround. These findings are discussed and propositions for future research made.     

Turnaround and failure: Resource weaknesses and the rise and fall of Jarvis

Research employing the resource-based view (RBV) has overwhelming focused on the upside of resources, namely those that provide benefit to the firm. However, an emerging research stream suggests that the downside of resources, namely resource weaknesses, may be crucial in gaining a greater understanding of the key factors that contribute to firm performance and the ability to turnaround failing companies. We examine the infamous case of Jarvis, a firm that achieved a turnaround, but then experienced catastrophic failure. In so doing we explore the emergence of resource weaknesses, their nature and ability to combine to create a fatal organisational outcome.     

Stakeholders' Impact on Turnaround Performance: The Case of German Savings Banks

This study explores how savings banks as powerful stakeholders of SMEs in Germany assess turnaround performance. It tests the impact of the support provided by German savings banks and distressed SMEs' actions with survey data from corporate advisors. The results show that structural and continuing support foster turnaround performance. This support is conducive in the initial stage of turnaround but negligible in the recovery stage. Contributing to stakeholder theory and turnaround management, the findings shed light on the factors that motivate a selected stakeholder's involvement and SMEs' ability to engage in actions fostering this stakeholder's support for a turnaround.     

Strategic transformation as the essential last step in the process of business turnaround

Just over a decade ago, the work of strategic management scholars helped to broaden the perspectives of executives caught in the throes of declining organizational performance. In addition to the traditional turnaround options that stabilized financial performance, managers were shown approaches that they could deploy to reduce the chances of a recurrence of the turnaround situation. This article updates the progress that has since been made in understanding the turnaround process. Further, we look at an ambitious approach to redirecting the strategies of a reemerging company toward a more promising competitive position, as the essential last step in the process of business turnaround. Called strategic transformation, this approach to reformulating strategy cultivates company growth in strong or emerging markets.     

Port efficiency and Brazilian exports: A quantitative assessment of the impact of turnaround time

This paper estimates the impact of vessels turnaround time on Brazilian exports. To achieve this goal, we use a difference gravity equation in order to explore the time variation in port procedures for 16 Brazilian ports. This paper uses a unique database with local exports, taking into account the port used and products aggregated at the four‐digit Harmonized System (HS ) level for the period between 2010 and 2012. The estimation results indicate that, in general, each additional hour of delay in port procedures represents costs to Brazilian exporters, which may lead to loss of competitiveness of domestic products abroad. According to the estimates, each additional relative hour of delay in the average port is equivalent to a reduction in relative local exports of ~2%. Moreover, a 10% relative reduction in vessel turnaround time can increase the proportional number of exported product categories by 1%. Therefore, our findings suggest that turnaround time has a statistically significant effect on the intensive and extensive margins of international trade.     

British Steel: a Turnaround under Public Ownership

This case history of British Steel Corporation (BSC) is based on personal experience: the author was advisor to the Chairmen between 1976 and 1981 - the period when the company, still publicly owned, adopted the critical measures on which the turnaround was founded. BSC has been a model for a successful heavy industry turnaround and subsequent privatisation, even if some of its circumstances were unique. This article argues that it was the management rather than government which created the framework for change and that the steel strike of 1980, seen at the time as a disaster, became the watershed for fundamental change. Several of the principal actors achieved effects which were the opposite of what they intended: the article is about irony as well as steel.     

数字应答机相参转发的实现

针对数字应答机中相参转发的技术问题，提出了改变直接数字频率合成(DDS)频率控制字或相位累加器溢出值实现相参转发的方法，并对转发性能、资源需求进行了分析比较，结果表明，在同等条件下改变相位累加器溢出值的方法性能稍优，但消耗的逻辑资源显著减少。该方法将DDS溢出值设置为与转发比相关的常数，避免了利用乘法器进行实时运算的过程，能有效实现高精度转发，且消耗资源少，转发比可任意设置。该方法已成功在多个工程中应用，满足测量系统精度的要求。     

Ethical turnarounds and transformational leadership: A global imperative for corporate social responsibility

A company's social responsibility grounded in appropriate ethical values. Accountability for this foundation lies with the corporate leadership, which is responsible for establishing organizational values and culture. When a breach occurs in this leadership process, or when a transition‐economy organization is entering the global arena, an ethical turnaround is generally needed. We created this term to describe the leadership process needed to regain, or initially establish, corporate credibility and legitimacy in the eyes of stakeholders. These leadership requirements go beyond those needed in a strategic turnaround since they must help resuscitate an organization's cusses transformational leadership during ethical turnarounds in developed economies (focusing on Tyco) and in transition economies (focusing on Troika Dialog in Russia). We conclude with implications for business leaders in both economic settings. © 2008 Wiley Periodicals, Inc.     

Fairmont Hotels' turnaround strategy

Fairmont Hotels 1991 turnaround was engineered by Robert Small in a situation where what was at stake was the company's survival—and Small's chance to demonstrate how to revitalize a chain.     

Commodity markets: Supply cuts drive up the price of oil

World commodity prices are again showing a marked upward trend. Most pronounced has been the rise in oil prices which have doubled as a result of a new round of production cuts. Is this the beginning of a general turnaround on the commodity markets?