中国证券市场是否存在增长率陷阱?——基于上证50指数的实证分析

本文将消极投资策略分为指数化投资策略和买入并持有投资策略,并通过实证验证对这两种投资策略进行比较,进而判断我国资本市场是否存在增长率陷阱。增长率陷阱是指受股票价格和红利再投资收益率的影响,长期中高速增长的新兴行业股票给投资者带来的收益率低于增速较低的传统行业,进而导致买入并持有投资策略优于指数化投资策略的一种现象。本文基于上证50指数,构造上证50指数投资组合(即指数化投资策略)和完全派生投资组合(即买入并持有投资策略),对我国股票市场上是否存在增长率陷阱进行实证研究,得出以下结论:我国不存在增长率陷阱现象,相反上证50指数投资组合的年投资收益率(几何)高于完全派生投资组合,所以指数化投资策略优于买入并持有投资策略;资本市场不成熟可能导致实际上存在的增长率陷阱没有被检验出;我国股票分红较少、指数基金较少也是可能导致我国股市现阶段不存在增长率陷阱的原因之一。     

反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究

本文利用2002年至2007年基金交易数据，从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明：我国开放式基金所投资的股票在中期内并不存在动量效应，相反存在显著的反转效应，基金的投资行为也表现出明显的负反馈交易策略；与前期股票的买入比率相比，股票的收益率以及收益率的波动对基金投资策略的影响更为明显；开放式基金前期的股票交易会加剧当期的股价波动。     

我国股票投资者情绪指数构建的研究

本文利用主成份分析法,以换手率、封闭式基金折价率、异常交易量、新增开户数、IPO发行量为代理变量构造投资者情绪指数.进而采用多元回归方法对我国股票市场上证综合指数股票收益率与投资者情绪相关性进行研究.研究结果表明本文所构造的投资者情绪能够在一定程度上反映投资者情绪.     

社保基金交易策略的实证分析

社保投资管理人在投资国内股票市场时,总体上采用了惯性交易策略,且"追涨"的程度高于"杀跌"的程度.其惯性交易策略及反转交易策略的强度随市场走势的变化而出现波动.通过对社保组合及其管理人旗下封闭式基金的比较研究,发现社保组合的惯性交易程度值总体上大于封闭式基金.     

从指数基金跟踪误差角度比较指数基金的构建方法

指数基金是一种消极的证券投资基金，以拟合目标指数、跟踪指数变化为原则，实现与市场同步成长。指数基金的这种拟合目标指数收益率的投资策略，要求其按照所拟合指数的编制原理构建投资组合，分散投资于目标指数的成分股，力求股票组合的投资回报率拟合该目标指数所代表的资本市场平均收益率。这种构造投资组合的方法称为指数化投资，属于一种典型的防守型（或称被动型）投资方式。与积极管理、旨在跑赢大市的基金相比，其独特优势在于仅以追踪大市为目的，排除了选择个股和入市时机的管理风险，尤其在市场上升阶段，其表现往往优于多数积极管理的基金。     

社保基金投资组合的 定价效率和投资风险研究 基于股价同步性的实证检验

笔者利用2007年到2013年各个季度我国沪深两市A股交易数据,以股票价格收益率与沪深300指数收益率的同步性衡量股票的定价效率,通过实证模型分析社保基金投资对股票定价效率的影响。研究表明,当市场处于金融危机前后的牛市和熊市时,社保基金投资对股票定价效率无显著影响,当市场处于较平稳的阶段时,社保基金能显著提高股票的定价效率并降低了投资风险。这说明社保基金参与资本市场投资能提高我国资本市场的有效性。     

基金家族的造星策略——基于共同持股股票收益率差异视角

文章主要研究了我国明星家族基金在共同持股股票上的收益率差异及原因。文章设计了一种对基金在共同持股股票上表现的打分方法,发现明星家族基金在共同持股股票上的绩效差异很大,这种差异并不能完全被基金经理的"能力"差异所解释,而可能源于基金家族的"抬轿"策略。进一步研究发现,基金管理公司的"抬轿"策略随市场行情的不同而不同,熊市中"抬轿"行为更加显著;此外,绩效和管理能力较低的基金家族更倾向于采用"抬轿"策略。     

开放式基金的投资策略

2003年开放式基金的业绩表现对基金2003年的业绩表现进行分析时,除了要考虑净值增长率外,还应考虑基准指数、风险调整等因素。基准指数的表现2003年,上证A股指数全年的涨幅为10.57%(上证180指数全年的涨幅为10.95%),上证国债指数全年的涨幅为-0.6%,上证A股指数(65%)和上证国债指数(35%)组合的涨幅为6.66%。(注:2003年有完整运作年度的偏债型基金。是南方宝元债券,其资产配置比例为股票≤35%,其余为债券)老基金的净值增长率表现2003年共有17只开放式基金有,完整的运作年度:14只主动型股票基金、1只被动型指数基金(华安180)、1只偏债型基金(…     

后危机时代我国开放式基金风格漂移的实证研究

后危机时代的中国股市起起伏伏，而将股票作为主要投资手段的开放式偏股型基金是否恪守其所宣称的投资风格。本文运用基于收益率Gruber模型对后危机时代的我国的开放式基金的风格漂移状况进行实证研究。     

中国新股弱势问题研究

本文借鉴西方关于IPO的研究成果 ,结合中国股市的实际 ,对新股弱势问题展开实证研究 :(1 )考虑股票的内在风险性 ,采用经过风险调整的相对收益率CR 和累计相对收益率ACR 指标 ,揭示了以市值加权和不以市值加权的不同情况下 ,样本组合在新股、次新股和普通股的各个不同时期内相对于市场指数的走势特征 ;(2 )构造经济计量模型揭示股票上市后长期走势的影响因素 :对新股实际收益率影响最大的是该股票的市值 ;决定股票上市后两年内对市场指数走势强弱的因素是初始收益率及其流通股数     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

Information infrastructure: Who builds broadband networks?

This paper examines the essential difference between the U.S. and Japan, when one considers information infrastructure. There are seven perception gaps between the U.S. and Japan concerning Information Infrastructure policies. These gaps must be understood in order to compare the countries' governmental policies in this area. In looking at the present circumstances, the essential question to answer concerns who is to build, own and operate the network(s) of the infrastructure. Liberalization is certain to be a central factor in the ongoing telecommunications debates. Now that customers have had a taste of the liberalized market-place, the movement toward more open markets will be difficult to stop. When considering options, it is necessary to pay close attention to standardized network access and the increasingly important role software plays. These issues are causing us to take a new approach to the traditional role played by regulators. They also force a closer look at the appropriate structure of utility companies. This paper addresses the above issues in hopes of stimulating dialog on the new telecommunications infrastructure paradigm.     

风险视角下企业治理结构和研发创新*———基于委托代理模型的研究

本文基于委托代理模型,从风险的视角研究企业治理结构对研发创新能力的影响。本文构建了一个包含创新活动的委托代理模型进行理论分析,利用动态DEA 模型测算创新能力,并使用2015-2018年我国上市制造业企业数据进行实证检验。实证部分检验了理论结论:委托代理问题不利于企业提升研发创新能力,且客观风险和主观风险厌恶会加剧该负面影响。基于此,本文认为上市企业应根据企业自身研发活动特点有针对性地改善企业治理结构,提出了适当延长代理人任期、推动股权激励计划、提升代理人的风险承担能力等建议。     

海岛地区产业演替及资源基础分析--以舟山群岛为例

改革开放以来,舟山市产业构成发生了显著变化,其经济发展过程可以划分为三个阶段。1992年前,是以产业结构渔业占绝对地位的单一结构阶段;1993—1998年,以旅游业为主的第三产业快速发展阶段;上世纪末以来,又进入了新一轮的经济发展时期,即工业产值比重快速增加阶段。根据海岛的自然资源基础和特点,在新世纪的经济发展过程中,舟山市应定位为生态型的港口旅游城市。以港口及临港工业为主导,以海岛旅游和海洋经济为特色,大力发展第二产业和第三产业。海岛地区的主导产业应体现海岛资源优势及区位优势,以集群性环保型产业为主。同时由于海岛地区淡水资源缺乏,主导产业也应着重选择低耗水型产业。     

Why rationality may be a consequence of Hume's theory of choice

Facing R. Sugden's criticism of our interpretation, it is shown in this paper that rationality appears as a possible consequence of Hume's theory of choice. We first argue that Sugden's dismissal of the preference relation from the type of rationality through which Hume's theory is apprehended, is highly disputable, from the point of view of both standard choice theory and Hume's theory of passions. Nonetheless, Sugden's criterion of rationality might be restated in Humean terms as a condition of non-revision of preferences in the dynamics of passions. But, since the process of choice that we have described explicitly takes into account the revision of preferences, and shows that, when this last is no longer required, rationality occurs as an outcome of this process, it is not really concerned by Sugden's criticism.     

生物群落结构原型的仿生学模拟

模拟生命系统管理规律的科学即管理仿生学,是知识时代仿生学研究的新领域与前沿.基于模拟生物群落结构规律的研究目的,采用仿生学模拟的研究方法,以生物群落结构为原型,建立了仿生群落结构模型.结论为:垂直结构、水平结构、时间结构与交错区结构是支持生物群落生命活动的结构规律,以该规律为原型,推理建立了仿生分层结构、仿生优化结构、仿生动态结构与仿生相邻结构,四种仿生结构分别侧重于管理资源的分层管理、局部优化管理、动态过程管理、相邻关系管理,该模型为建立类似生物群落的人造管理系统即仿生群落管理系统提供了仿生结构模型.可以预测,该模型具有广泛的应用价值,能够推动管理仿生学的发展.     

Dress to impress: Brands as status symbols

We analyzed the market for indivisible, pure status goods. Firms produce and sell different brands of pure status goods to a population that is willing to signal individual abilities to potential matches in another population. Individual status is determined by the most expensive status good one has. There is a stratified equilibrium with a finite number of brands. Under constant tax rates, a monopoly sells different brands to social classes of equal measure, while in contestable markets, social classes have decreasing measures. Under optimal taxation, contestable markets have progressive tax rates, while a monopoly faces an adequate flat tax rate to all brands. In contrast with extant literature, subsidies may be socially optimal, depending on the parameters, in both market structures.     

US Hegemony and the Origins of Japanese Nuclear Power: The Politics of Consent

This paper deploys the Gramscian concepts of hegemony and consent in order to explore the process whereby nuclear power was brought to Japan. The core argument is that nuclear power was brought to Japan as a consequence of US hegemony. Rather than a simple manifestation of one state exerting material ‘power over' another, bringing nuclear power to Japan involved a series of compromises worked out within and between state and civil society in both Japan and the USA. Ideologies of nationalism, imperialism and modernity underpinned the process, coalescing in post-war debates about the future trajectory of Japanese society, Japan's Cold War alliance with the USA and the role of nuclear power in both. Consent to nuclear power was secured through the generation of a psychological state in the public mind combining the fear of nuclear attack and the hope of unlimited consumption in a nuclear-fuelled post-modern world.