European day-of-the-week effects,beta asymmetries and international herding*

European equity markets with the most robust day-of-the-week effects in mean returns also exhibit day-of-the-week effects in risk. Betas measured relative to a world index are higher on Monday than on other days of the week, especially when returns on the world market are negative. After adjustments for beta asymmetries and for weekend vs weekday holding period horizons, day-of-the-week effects in residual risk and risk-adjusted mean returns weaken substantially compared to such effects measured with constant betas. These findings are consistent with the recent work of King and Wadhwani (1990), Froot et al. (1992) and Lakonishok and Maberly (1990).     

The Effect of Regulatory Announcements on the Cost of Equity Capital of British Telecom

This paper examines the impact of regulatory announcements which affect competition, pricing policy and the supply of services in the telecommunications industry on British Telecom's (BT) systematic risk, as measured by the beta coefficient of a market model. Changes in investors' perception of a company's systematic risk will of course also change its cost of equity capital. Since BT's beta coefficient is found to be unstable over the estimation period, the market model is estimated using a time-varying parameter model. The results suggest that announcements which allow the price of BT's services to increase and announcements affecting its supply of services are likely to have an impact on BT's cost of equity capital, since they affect the investor's perception of BT's systematic risk. However, our analysis does not detect any effect from the other types of announcements tested. Further examination of the individual announcements included in the groups reveals that, within the non-significant groups, many individual announcements are significant, but they affect beta in opposite directions and thus no prediction can be made on the sign of their aggregated impact. These findings suggest that when one company dominates the industry, such as in the case of the UK telecommunications industry, the actions of the regulator do not always have the expected effect and problems of regulatory capture are likely to be present.     

Alpha or beta in the eye of the beholder: What drives hedge fund flows?

Capital Asset Pricing Model (CAPM) alpha explains hedge fund flows better than alphas from more sophisticated models. This suggests that investors pool together sophisticated model alpha with returns from exposures to traditional (except for the market) and exotic risks. We decompose performance into traditional and exotic risk components and find that while investors chase both components, they place greater relative emphasis on returns associated with exotic risk exposures that can only be obtained through hedge funds. However, we find little evidence of persistence in performance from traditional or exotic risks, which cautions against investors’ practice of seeking out risk exposures following periods of recent success.     

Payment For Risk: Constant Beta Vs. Dual-Beta Models

Fama and French's (1992) assertion that investors receive premium payments for risk associated with the book value to market price (BE/ME) and size and not for holding beta risk has sparked a lively debate concerning risk factors that are priced in the market. Howton and Peterson (1998) use a dual-beta model to test the Fama and French conclusions. They conclude that the significant relationship between beta and returns depends on the use of the dual-beta model. This work, however, ignores the results reported by Pettengill, Sundaram, and Mathur (PSM, 1995). PSM find a significant relation between a constant risk beta and returns when data are segmented between up and down markets, but do not consider the impact of size and BE/ME. In this paper we show that the PSM (1995) market segmentation procedure alone provides a sufficient condition to identify a significant relation between beta and returns in the presence of size and BE/ME. Dual market betas may be relevant in explaining risk and return. However, the market segmentation procedure of PSM (1995) is the critical condition for finding a significant relationship between returns and betas.     

桥梁结构体系转换有限元分析

利用大型有限元软件Ansys,对简支转连续的桥梁上部结构进行三维仿真计算与分析,并以某桥梁工程为例,对先简支后连续桥梁分别进行计算分析,然后对比桥梁跨中的应力值和支座处的负弯矩,表明体系转换对提高桥梁的承载力作用明显,同时体系转换施工简单、经济,是一种很好加固桥梁的方法,但是结构的抗剪承载力是否满足要求需要引起重视。     

SKEWNESS AND KURTOSIS PROPERTIES OF INCOME DISTRIBUTION MODELS

This paper explores the ability of some popular income distributions to model observed skewness and kurtosis. We present the generalized beta type 1 (GB1) and type 2 (GB2) distributions' skewness–kurtosis spaces and clarify and expand on previously known results on other distributions' skewness–kurtosis spaces. Data from the Luxembourg Income Study are used to estimate sample moments and explore the ability of the generalized gamma, Dagum, Singh–Maddala, beta of the first kind, beta of the second kind, GB1, and GB2 distributions to accommodate the skewness and kurtosis values. The GB2 has the flexibility to accurately describe the observed skewness and kurtosis.     

An International Investigation of the Factors that Determine Conditional Gold Betas

We investigate the unconditional and conditional gold betas of four country‐based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South African gold sectors relative to their North American counterparts. Only the gold bullion return volatility shows a negative association with conditional gold betas in Australian and South African gold mining firms. Moreover, gold price does not appear to play a systematic role in determining Australian or South African conditional gold betas. We discuss possible explanations for these findings.     

转制科研企业财务管理存在问题及对策

加强财务管理对于转制科研企业具有重要意义,通过对转制科研企业财务管理存在问题分析,从企业对财务管理的态度、财务管理基础工作、财务管理机构建设和人才培养、财务管理融入业务流程、资金管理等方面,提出加强财务管理的建议。     

Tests of the CAPM under structural changes

Abstract

In accordance with the empirical regularity of time-varying betas we estimate and test for the Sharpe–Lintner CAPM by allowing for structural change(s) in betas. Empirical applications using BM- and size-sorted decile portfolios suggest the following interesting results. Firstly, there exists at least one break for all the portfolios under consideration. Secondly, the estimated break dates are quite similar for some of the portfolios, indicating the possible existence of a common break using multivariate time series. Finally, we find the CAPM can be consistent with the data in some regimes but may appear to be inconsistent with the data in some other regimes. This particularly appealing feature has been completely ruled out under the conventional single-equation framework.     

An analysis of dynamic risk in the Greater China equity markets

This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly related to policy shifts. The Hong Kong and Taiwan markets are more integrated with world markets and they show signs of large variations in systematic risk over time. Furthermore, conditional betas in the Shanghai and Shenzhen markets are stationary, while the Hong Kong and Taiwan betas are integrated of order one. In addition, long memory tests show that all four markets exhibit a long-run dependence in their conditional betas. While the two mainland China market betas are covariance stationary, the Hong Kong and Taiwan betas are not.