我国沪深300指数基金择时和选股能力实证分析

本文运用T-M模型和H-M模型，采用2012—2013年的交易数据，对我国已上市的21只沪深300指数基金的择时选股能力进行实证分析。实证结果显示：我国沪深300指数基金经理的选股能力较差，基金经理未能给投资者带来超额收益；在择时方面，基金经理普遍具有一定的择时能力，但不具备强择时能力；基金经理的择时能力和选股能力呈强烈的负相关性。     

我国QDII基金经理的选股择时能力研究

本文选取2009年前成立的8只QDII基金为研究样本,以2009年和2010年的周度数据为基础,采用TM和CL模型对QDII基金经理的选股能力和择时能力进行实证分析。实证结果表明,我国QDII基金经理的选股择时能力不具有持续性。2009年有较强的选股能力和择时能力,2010年有一定的选股能力,但是缺乏择时能力。进一步分析,QDII基金经理的选股择时能力的显著性都不强。     

不同市场区间下社保基金选股择时能力研究

本文采用HM模型对以"1"字开头的社保基金投资组合的选股能力和择时能力进行研究,分析样本投资组合的选股能力和择时能力在上升市场、整合市场、下降市场区间的变化情况。实证结果表明我国社保基金在不同市场区间均具有显著的选股能力,但择时能力随市场区间不同而变化。     

我国开放式基金绩效及选股和择时能力研究

近年来,开放式基金逐渐成为我国基金市场的绝对主体。开放式基金能否取得较好的绩效受到市场的普遍关注。本文选取了资金管理规模前20位的公司,并从中随机挑选1只基金,运用詹森指数、特雷诺比率、夏普指数和信息比率等单因素模型和Fama-French三因素模型对开放式基金的绩效进行分析,并使用T-M模型、H-M模型、C-L模型对基金经理人股票选股与择时能力进行分析。结果发现:第一,我国开放式基金经理的选股能力存在时变性,在上升期具备选股能力,在下跌期不具备选股能力,而无论是在上升期还是下跌期,基金经理普遍不具备择时能力。第二,在市场上升期基金经理比较注意对风险的把控,系统性风险较小,而在下跌期基金投资组合的系统性风险明显上升,基金经理冒险意愿上升,当市场出现大幅度下跌时,其不理性行为会加剧市场的波动。本文的研究结论有利于提升投资者的风险意识和理性意识、促进外部监管部门的精准监管审查,并能够激励基金经理人提高自身风险管控的能力。     

市场波动中的中国开放式基金是否存在选股择时能力——分时段下的比较研究

本文利用分时段比较研究中国三种主要开放式基金在股市涨落中是否存在选股择时能力,以帮助投资者对其形成初步的认识。研究发现,目前的两种主要评价模型更适合在市场相对平稳时期评价中国基金的选股择时能力。当市场剧烈波动时,模型解释力较弱;基金总体仅具有极为微弱的选股能力,择时能力欠佳,且不同类型基金在市场不同波动阶段选股择时能力差异较大;市场下降期往往同时具有一定的选股和择时能力,但其他时段两种能力则具有较强的负相关性。     

我国开放式股票型基金择时选股能力的实证研究

开放式基金的收益和风险以及择时选股能力作为基金绩效评价的重要内容,一直以来都是国内外学者关注的一个话题,对其择时选股能力的研究不仅关系到基金管理公司等相关主体的决策行为,也关系到投资者自身的切身利益。本文在收集近两年数据的基础上,结合国外成熟的基金评价模型,对我国开放式股票型基金进行了实证研究,得出我国基金经理缺乏选股能力,择时能力一般的结论。     

我国开放式股票型基金择时选股能力的实证研究

开放式基金的收益和风险以及择时选股能力作为基金绩效评价的重要内容,一直以来都是国内外学者关注的一个话题,对其择时选股能力的研究不仅关系到基金管理公司等相关主体的决策行为,也关系到投资者自身的切身利益。本文在收集近两年数据的基础上,结合国外成熟的基金评价模型,对我国开放式股票型基金进行了实证研究,得出我国基金经理缺乏选股能力,择时能力一般的结论。     

基金业绩对赎回行为的影响:公司治理特征的调节效应

基金作为重要的机构投资者,长期面临赎回率高企问题,不利于基金公司成熟稳健发展。本文聚焦基金公司的治理特征对于基金业绩与赎回行为关系的调节效应,实证分析基金业绩对基金赎回率的影响,从四个层面考察基金公司治理特征的调节效应,从静态与动态双维度视角实证检验其调节效应。结果发现:基金公司的股东规模、股权集中度、基金经理的团队、机构投资者的市场规模及其市场占比对基金业绩和基金赎回率具有显著的正向调节效应;基金公司的董事会规模与基金经理的性别对基金业绩和基金赎回率具有显著的负向调节效应,而独立董事规模与基金经理学历的调节效应不显著。     

我国开放式基金经理选股及择时能力的实证研究

开放式基金现已成为我国证券市场上最重要的投资机构和我国基金市场的主流。开放式基金的选股和择时能力是其获得超额收益的重要因素,本文选取17只基金作为样本并运用T-M和H-M模型对其选股能力和择时能力进行实证分析,就选股能力而言,均显示少数样本基金具备选股能力。就择时能力而言,均显示所有的样本基金均不具备择时能力。     

我国开放式基金经理选股及择时能力的实证研究

开放式基金现已成为我国证券市场上最重要的投资机构和我国基金市场的主流。开放式基金的选股和择时能力是其获得超额收益的重要因素,本文选取17只基金作为样本并运用T-M和H-M模型对其选股能力和择时能力进行实证分析,就选股能力而言,均显示少数样本基金具备选股能力。就择时能力而言,均显示所有的样本基金均不具备择时能力。     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

Properties of time-series estimates of degree of leverage measures

Empirical studies suggest that time-series regression estimates of the degrees of operating and financial leverage have a tendency to produce measures less than one. According to ex ante theory, these measures should be greater than one for firms operating above the breakeven point. There have also been suggestions that the biases in these estimates may be attributable to an underlying increase in unit sales. This work presents evidence that these counter-intuitive measures are produced by changes in the firm's operating parameters (unit price, variable cost, fixed cost and interest payments). It further suggests that attempts to control for the underlying change in unit sales substantially increase the volatility of predicted estimates.     

浅议金融机构的举证责任

金融纠纷案件是当事人以存单或进账单、对账单、存款合同、保险单、票据、证券等凭证为主要证据向人民法院提出诉讼的案件,对于不同种类金融纠纷的当事人的举证责任,我国现行的金融法律、法规及司法解释有不同的规定。由于金融机构的特殊法律地位,发生金融纠纷时存在有关当事人将最后偿付风险转移给金融机构承担的主观故意,在客观上会使金融机构难以提供相应的证据来对抗不法债权人的诉讼请求,而导致金融机构败诉。为此,对金融诉讼案件中金融机构的举证责任加以研究具有重要的实践意义。     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

Separation of Unit of Account from Medium of Exchange

The separation of a unit of account (UoA) from a medium of exchange (MoE) in the commodity–money system is investigated by considering explicitly a seller's choice of UoA in terms of either an MoE or a unit of metal weight. If the likelihood of debasement of an MoE and its rate are high enough, the price is posted in terms of a unit of metal weight rather than an MoE. Interestingly, this MoE–UoA separated equilibrium yields the flexible nominal price, whereas an MoE–UoA integrated equilibrium yields the sticky one. This implies the nominal price rigidity in the fiat‐money system where MoE and UoA are integrated.     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…