Share trading activity and the rise of the rentier in the UK before 1920*

Abstract

Using a hand-collected dataset, we examine share trading activity over the period 1882–1920 for the North British and Mercantile Insurance Company, one of the largest UK companies of the time. Our main finding is that the steady flow of rentiers into the shareholding constituency of this company stymied share trading activity. Another important finding is that share trading still occurred during the closure of the stock exchange in 1914, but on a much-reduced scale. We also find that there was a substantial boom in share trading and in insurance stock prices after World War I.     

凿井水下底卸式自动卸料吊桶

吊桶是立井井筒开凿时期提升矸石和运送材料及升降人员的主要容器,吊桶的卸矸目前多采用挂钩式或座钩式卸料方式;但是随着矿井的开凿深度不断延伸,在过透水层时,由于探放水不及时或涌出水比较大,超出了井筒的排水量,或者是由于冷冻井在解冻后,井筒的井筒质量不过关,各别井壁也会发生透水事故;这就会出现淹井事故,有时淹井深度达二三百米。对于处理这种淹井事故,往往只有一个办法,那就是用沙或混凝土对井筒回填;这就需要吊桶在下到几百米下的水底自动把料卸掉,但现在矿井常用的挂钩式吊桶和座钩式吊桶已经不能满足这个需要了。     

Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor

Statistical arbitrage is based on pairs trading of mean-reverting returns. We used cointegration approach and ECM-DCC-GARCH to construct 98 pairs of 152 stocks of 3 currencies. Stocks trading is done by Contract for Difference (CFD), a financial derivative product which facilitates short selling and provides a leverage up to 25 times. To measure the performance of a leveraged strategy, we introduced the profit factor which is the annualized return rate per unit risk. And the historical risk is measured by maximum drawdown. We compared three main strategies: percentage, standard deviation of cointegration long-term residuals and Bollinger Bands (dynamic standard deviation), with and without double confirmation of short-term standard deviation modelled by ECM-DCC-GARCH. Each of the three main strategies is optimized by two optimizers: absolute profit and profit factor. The optimization period goes from 2012–01-01 to 2014–12-31, and validation period is from 2015–01-01 to 2016–06-01. Our results showed that the USD Bollinger Bands strategy without double confirmation and optimized by profit factor, outperformed other strategies and provided the highest annualized return rate per unit risk; 32% of our sample pairs ended up in loss, and 94% of which are explained by a cointegration break during the testing period.     

钢贸企业经营模式创新和流动资金管理问题探讨

实施经营模式创新,已成为当前钢贸企业走出困境的必由之路。应收款、预付款和库存三个方面是当前钢贸企业日常经营风险的重点之所在。本文对创新钢贸企业经营模式和改进流动资金(应收款、预付款和库存)管理进行探讨。     

林权流转价格及其影响因素分析

以林农拥有的活立木为研究对象,利用2007—2017年浙江省1546宗活立木流转样本,采用多元线性回归实证分析了是否在林权交易中心交易对活立木流转价格存在影响。结果表明:关键解释变量是否在林权交易中心进行交易对活立木流转价格具有显著的正向影响;流转面积、单位面积蓄积、区域虚拟变量、坡度等对流转价格都产生一定程度的影响;流转期限对流转价格的影响不大。因此,需要加强对林权交易中心的宣传,降低相关的交易成本,从而吸引更多的小规模林农参与交易。     

When do retail investors pay attention to their trading platforms?

Buying and selling securities through online trading platforms has become increasingly popular among U.S. households in recent years. This study tracks U.S. households' attention to their online trading platforms using daily data for 2004 to August 2017. The analysis covers the 10 most popular online trading platforms among U.S. investors. The findings indicate that market shocks, captured by several proxies, as well as macroeconomic announcements attract investors' attention to trading platforms. We also document that the ostrich effect weakens when considering greater changes in the VIX. Our findings do not support the avoidance of information theory, but do support the theoretical argument that risk-averse agents engage in more information gathering when uncertainty prevails in hopes of reducing their risks.     

我国碳排放交易会计问题研究

从碳排放交易所涉及重点排放企业的角度出发,通过分析我国碳排放交易市场的现状,借鉴相关的研究与规范,就碳排放配额的会计确认问题、碳排放权交易的会计处理问题、企业碳排放相关的会计信息披露问题进行研究分析,提出了碳排放交易的会计处理的意见和建议。     

Does algorithmic trading harm liquidity? Evidence from Brazil

This paper provides the first evidence of algorithmic trading (AT) reducing liquidity in the Brazilian equities market. Our results are contrary to the majority of work which finds a positive relationship between AT and liquidity. Using the adoption of a new data center for the B3 exchange as an exogenous shock, we report evidence that AT increased realized spreads in both firm fixed-effects and vector autoregression estimates for 26 stocks between 2017 and 2018 using high-frequency data. We also provide evidence that AT increases commonality in liquidity, evidencing correlated transactions between automated traders.     

Wealth transfer through private placements: Evidence from China

We examine private issuance of public equity (PIPE) in China, and our results suggest that PIPE investors benefit from the price manipulation before and after issuance. These investors tend to cash out after lockup expiration and make large profits. We also find evidence that the trading of PIPE investors after lockup expiration is informed. Tests about the abnormal returns in the 3 years after lockup expiration suggest that at least part of the benefits PIPE investors receive come from wealth transfer from outside investors. Overall, PIPE issuers in China seem to use an opaque mechanism to compensate PIPE investors.     

Option trading after the opening bell and intraday stock return predictability

Prior literature finds that information is reflected in option markets before stock markets, but no study has explored whether option volume soon after market open has predictive power for intraday stock returns. Using novel intraday signed option-to-stock volume data, we find that a composite option trading score (OTS) in the first 30 min of market open predicts stock returns during the rest of the trading day. Such return predictability is greater for smaller stocks, stocks with higher idiosyncratic volatility, and stocks with higher bid–ask spreads relative to their options’ bid–ask spreads. Moreover, OTS is a significantly stronger predictor of intraday stock returns after overnight earnings announcements. The evidence suggests that option trading in the 30 min after the opening bell has predictive power for intraday stock returns.