黄河流域绿色创新发展的时空分异及收敛检验--来自内蒙古沿黄生态经济带的经验发现

绿色创新是推动黄河流域生态保护和高质量发展的根本途径。基于2011-2020年内蒙古沿黄生态经济带绿色创新发展数据,采用Super-SBM模型,结合重心—标准差椭圆和Dagum基尼系数分析,揭示内蒙古沿黄生态经济带绿色创新发展的时空分异特征;利用变异系数、边际垂直β收敛模型探究绿色发展的收敛特征。研究表明:内蒙古沿黄生态经济带绿色创新发展态势向好,但稳定、可持续发展的绿色创新环境尚未形成;受资源禀赋限制,地区间绿色创新发展分化明显,蒙西地区内部差异显著;内蒙古沿黄生态经济带全区、蒙中地区的绿色创新发展存在显著的σ收敛与β收敛特征,蒙西地区收敛特征不稳定。提出内蒙古沿黄生态经济带绿色创新发展亟需加强绿色创新基础建设投入、差异化政策制定与绿色创新高水平收敛机制构建等,以推进黄河流域经济协同高质量发展进程。     

The Correlation Structure of Unexpected Returns in U.S. Equities

We examine the correlations between unexpected market moves and unexpected equity portfolio moves conditional on market performance. We derive unexpected returns from a two-stage regime switching model. The model allows for time-varying expected returns where the market portfolio alone dictates the regime switching process. Portfolios exhibit a natural hedge where correlations during extreme unexpected market downturns are generally negative. During unexpected market upswings, correlations increase. Using the unconditional analysis would lead to overhedging during market downturns and underhedging during market upswings. The adjustments to the unconditional hedging strategy conditional on extreme market movements frequently exceed ±10%.     

Betting against beta with intraday and overnight signals

The abnormal returns of the Betting Against Beta (BAB) strategy have attracted much interest among researchers and practitioners. Based on a market anomaly related to the Capital Asset Pricing Model, this strategy uses daily beta as a signal for portfolio construction. However, recent literature shows how some financial quantities, including beta, change between trading and non-trading periods. For this reason, we decided to compare the performance of the original BAB strategy with two BAB variants, where the signal for portfolio construction is given by intraday and overnight beta, respectively. Despite all strategies exhibiting positive cumulative returns, using the intraday beta signal leads to significantly higher performances. Further analyses show that the abnormal intraday BAB returns are mainly due to nano and micro-cap stocks which tend to outperform large-cap stocks, as well known from the literature.     

The reduced-rank beta in linear stochastic discount factor models

In a linear stochastic discount factor model, failure of the full-rank conditions affects the standard statistical inference of coefficients. We propose a novel risk measurement, the reduced-rank beta, which is the risk sensitivity to the effective part of factors for the full-rank covariance matrix. Our reduced-rank beta is a generalisation of the standard beta when the full-rank condition is not satisfied. By considering the Fama–French five-factor (FF5) model for the US equity market, the failure of the full-rank condition is found to affect beta estimates. We demonstrate the reduced-rank beta has important empirical implications for model reductions and anomaly explanations.