The relationship between stock returns and volatility in international stock markets

This study examines the relationship between expected stock returns and volatility in the 12 largest international stock markets during January 1980 to December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in 6 out of the 12 markets. The results lend some support to the recent claim [Bekaert, G., Wu, G., 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1–42; Whitelaw, R., 2000. Stock market risk and return: an empirical equilibrium approach. Review of Financial Studies 13, 521–547] that stock market returns are negatively correlated with stock market volatility.     

关于会计师事务所执业质量检查工作的几点认识

笔者有幸参加了安徽省2004年度会计师事务所执业质量检查和中注协在南昌举办的2005年度执业质量检查布置会。与2004年度相比,今年的执业质量检查,在检查目的、指导原则、检查内容等方面没有发生变化,但在对检查对象、检查结果的处理上进行了调整,即今年重点检查对象是新设立的、变更的和规模较小的事务所,且不得少于本年检查事务所总数的80%;要求地方注协对检查过程中发现的问题加大行业惩戒的力度,特别强调了应予行政处罚的执业质量问题和事务所设立条件问题要移交主管财政部门处理。本文拟就做好今后的会计师事务所执业质量检查谈几点认识。     

A Termination Rule for Pension Guarantee Funds

A termination rule based on a critical funding ratio is proposed for a pension guarantee fund (PGF) that considers closing an underfunded pension plan. This ratio is determined by solving an expected utility maximization problem on behalf of plan beneficiaries subject to two constraints designed to preserve the PGF's viability. The first is an upper bound on the PGF's annual intervention probability; the second, a restriction on the expected shortfall of an underfunded pension plan that is not closed. Both too low and too high critical funding ratios hurt beneficiaries’ interests, depending on their degree of risk aversion.     

Hot money in disaggregated capital flows

We explore the possible existence and behavior of hot money in six categories of disaggregated bilateral capital flows (equity inflows, equity outflows, bond inflows, bond outflows, banking credit inflows, and banking credit outflows) for 12 emerging markets vis-à-vis the US from 1995 to 2012 and provides several new findings. First, we identify the existence of hot money in all six categories above and conclude that both gross inflows and gross outflows can be the sources of hot money. Second, hot money in equity inflows (outflows) engages in positive (negative) feedback trading regarding local stock market returns. Third, some categories of hot money have a temporary influence on local stock market returns while the others have a permanent influence, supporting the explanations of both price pressures and information advantage. Finally, local stock market returns in half of our sample countries, which have tightened capital controls during the late 2000s global financial crisis (GFC), are more affected by hot money than in the other half. Our findings confirm several popular conjectures of hot money, and endorse the use of capital controls to limit financial vulnerability in the run-up to and during the GFC.     

论影响学习的方法体系

学习过程除了受客观条件的制约外,同样也受其内在因素的影响。诸如道德品质、知识结构、能力结构、方法论体系等。本文主要从方法论的角度,对学习的哲学方法、系统方法和具体方法这三个层次展开论述。     

Properties of Census Dual System Population Size Estimators

We study parametric and non‐parametric approaches for assessing the accuracy and coverage of a population census based on dual system surveys. The two parametric approaches being considered are post‐stratification and logistic regression, which have been or will be implemented for the US Census dual system surveys. We show that the parametric model‐based approaches are generally biased unless the model is correctly specified. We then study a local post‐stratification approach based on a non‐parametric kernel estimate of the Census enumeration functions. We illustrate that the non‐parametric approach avoids the risk of model mis‐specification and is consistent under relatively weak conditions. The performances of these estimators are evaluated numerically via simulation studies and an empirical analysis based on the 2000 US Census post‐enumeration survey data.     

论儿童阶段教师权威地位的重要性——对“师生平等”的反思

“平等”概念进入教育领域后，为我们解决了一些困扰已久的师生关系问题。但这种看似民主的师生平等观点，是否也夹杂着整个社会的权威退化值得探讨。在权威普遍丧失的今天，教育领域中万万不能丧失权威的概念，师生平等并不是师生关系最高标准，它甚至有弱化教师权威的倾向。如何建立起师生关系的最佳模式，如何帮助教师重塑在学生心目中应有的权威地位，阿伦特的权威观念也许可以作为一个指引。