沪深300股指期货市场弱式有效性检验

市场有效性是衡量股指期货市场发展质量的最重要指标之一。本文采用2010年4月16日－2014年4月17日的日频交易数据,运用 wild bootstrap 自动方差比检验、广义谱检验和Dominguez－Lobato检验等方法,对沪深300股指期货市场的弱式有效性进行检验。这些方法允许未知形式的条件异方差和小样本的存在,能够检测出序列的线性相关性和非线性相关性。检验结果表明我国股指期货市场达到了弱式有效,这主要归因于风险控制的有效实施、长期资金的入市和市场效率的提升。     

Consumer Believability of Information in Direct-to-Consumer (DTC) Advertising of Prescription Drugs

Direct to consumer (DTC) advertising has attracted significant research attention, yet none has focused on empirical assessments of its overall impact on U.S. consumers nationally, and tying assessment to relevant behavioral outcomes. This paper addresses the ethical issue of DTC advertising providing a balance of product and risk information that is both understandable and believable, and contributes direction to those exploring this phenomenon. Richard F. Beltramini is currently Professor of Marketing in the School of Business Administration at Wayne State University. He received his Ph.D. from the University of Texas at Austin, and served on the faculty of Arizona State University for fifteen years. His teaching interests include advertising and marketing management, research, and strategy. His primary research focus is on the believability of marketing communications information, and he has published in the Journal of Advertising, Journal of Advertising Research, Journal of Consumer Research, Journal of Marketing, and a variety of other journals, conference proceedings, and books as well as co-editing Gift Giving: A Research Anthology. Dr. Beltramini has served on the Editorial Review Boards of a number of academic journals, as guest editor of special issues of the Journal of Business Ethics and the International Journal of Internet Marketing and Advertising, as international president of the American Academy of Advertising, as a member of the American Advertising Federation's National Academic Committee and several other professional and business organizations, and is active as a consultant to several international organizations. He is the recipient of several national competitive grants and awards for his teaching and research, including the National Science Foundation, is the only faculty recipient of both his school’s Excellence in Research and Excellence in Teaching awards, and is currently the first Board of Visitors Faculty Fellow. Prior to academe, Dr. Beltramini worked for Texas Instruments, Inc. and The Drawing Board, Inc., both in Dallas, and he has also worked as a Visiting Research Professor for J. Walter Thompson Advertising in Chicago, Honeywell Information Systems in Phoenix, and the Federal Trade Commission in Washington, D.C.     

Sponsorship effects on brand image: The role of exposure and activity involvement

Sponsorships capture a significant proportion of marketing budgets. In firm evaluations of the effectiveness of sponsorship engagements, image improvements represent the most important company objective. This study develops and tests a framework for explaining how exposure and activity involvement moderate the effects of event image, event–sponsor fit, and event commercialization on sponsor image. Using empirical data collected at a large sporting event with multiple sponsors, the authors show that increased sponsorship exposure reduces sponsor image if respondents perceive a low fit between the event and sponsor or high levels of event commercialization. Involvement in the sponsored activity improves the sponsor's image, in that the effect of event commercialization is positive for highly involved persons. This paper concludes with some reasons for the findings, implications for the choice and design of sponsorships, and further areas for research.     

Combining the Effects of OLS and Spread on Futures Hedging: Evidence from the Taiwan Stock Index

Abstract:

This study proposes a dynamic hedge ratio, the combined ordinary least squares spread (COLSS), which combines the hedge ratio of ordinary least squares and the value of spread. Using this dynamic ratio for hedging with futures contracts, one can replace spot risk with spread risk. The COLSS captures not only the long-run equilibrium between spot and futures returns, but also the short-run deviation from equilibrium. The spread is forecast by one-period lagged stock market factors and high-order moments that are estimated by an options model. In the in-sample and out-of-sample tests, the COLSS strategy achieves significant risk reduction and outperforms the alternative models by a large utility improvement.     

The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

This paper aims to examine dynamic connectedness and hedging opportunities between the realized volatilities of clean energy ETFs and energy implied volatilities through Time-Varying Parameter Vector Autoregression Model (TVP-VAR) and Asymmetric Dynamic Conditional Correlation (ADCC) GARCH models. TVP-VAR analysis results show that dynamic connectedness increases during turbulence periods. We also determine that clean energy ETFs such as PBW, QCLN, SMOG, and TAN are net volatility transmitters. Surprisingly, OVX is a net volatility receiver, especially with the developments after the Paris Agreement in 2016.As a result of the ADCC GARCH analysis, we determine that the conditional correlation between clean energy ETFs and implied volatility ETFs is asymmetric, and negative information shocks increase the conditional correlation. Although OVX is a cheap alternative for hedging long position risks in clean energy ETFs, VXXLE is more effective than OVX in terms of hedging effectiveness. These findings provide insight for individual and institutional investors, and portfolio managers on how negative and positive shocks change the conditional correlation between assets at different levels.     

央行资本盒与货币政策的有效性

2007年次贷危机后,各国央行都承担起“最后贷款人”的职责,救助金融机构,央行自身资产负债表的质量不断恶化,引发对中央银行资本金的关注。央行在履行维持物价稳定和一些“准财政”职能时,资本金可能遭受损失,资本金的损失会影响到央行的公信力和独立性,以及货币政策的有效性。充足的央行资本金对于货币政策的有效执行来说是一种有力的保障。     

企业质量管理体系有效性评价研究

企业需要一种简便易行的质量管理体系有效性定量评价方法。本文从质量管理体系设计有效性和质量管理体系运行有效性两个方面提出了质量管理体系有效性评价指标体系,一级指标包括方针目标设计、过程设计、质量目标实现、产品质量、顾客满意和质量成本等方面。运用层次分析法设计了指标权重,提出了属性指标值的评分规则和计算方法。     

Irbesartan and amlodipine in the treatment of patients with microalbuminuria,hypertension and type 2 diabetes in Taiwan: a modelling projection over 25 years

Summary

This modelling study aimed to evaluate the long-term cost effectiveness of four treatment strategies: early irbesartan; late irbesartan; amlodipine; and standard hypertensive treatment in patients with diabetes, hypertension and microalbuminuria in Taiwan. A Markov model was used to project costs and clinical outcomes over lifetimes.

Early irbesartan (initiated in microalbuminuric patients) yielded the largest improvements in life expectancy (0.78 years) compared with standard treatment. Late irbesartan and amlodipine (started in patients with overt nephropathy) also resulted in slight improvements in life expectancy (0.109 and 0.001 years, respectively). Both early and late irbesartan reduced lifetime costs compared with control (US$7,603 and US$3,233, respectively), whereas amlodipine increased lifetime costs by US$300. Improvements were attributed to reductions in the cumulative incidence of end-stage renal disease with early use of irbesartan.

Treating hypertensive diabetic patients with early irbesartan was projected to be life extending and cost saving, and to reduce the incidence of ESRD in Taiwan.     

Cost effectiveness of asthma treatment with a breath-actuated inhaler: how has the story changed?

Abstract

Objectives: A database analysis evaluating the comparative costs and outcomes of asthma treatment with breath-actuated inhalers (BAIs) and metered-dose inhalers (MDIs) has previously been undertaken in 2001. This analysis found that, despite the higher acquisition cost associated with BAIs, economies elsewhere meant that the overall cost associated with BAIs was lower than MDIs. Between 2001 and 2007, the comparative price of MDIs was significantly reduced thus widening the gap between the comparative acquisition cost of MDIs and BAIs. Furthermore, the introduction of specific targets for asthma review included a requirement for regular checks on inhaler technique. Such initiatives may be expected to enhance the overall effectiveness of MDIs. Given the potential impact of such changes, it appeared to be timely to update the original database analysis to assess the extent to which the original findings have been altered by changes in the clinical and economic environment over the past 5 years.

Methods: As in all chronic diseases, it is important that economic analyses evaluate cost effectiveness over as long a period as possible, and so the 2006 analysis was conducted over a 12- and a 24-month time period.

Results: The results emphasised that the clinical benefits associated with BAIs for certain patients can still be translated into greater cost effectiveness, but that altered cost structures required a longer time period for the greater cost effectiveness of BAIs to become evident.

Conclusion: Since completing this study, the reimbursement costs for beclometasone MDIs have increased significantly (since October 2007) due to the discontinuation of Becotide and Becloforte. As a consequence of this higher acquisition cost for MDI inhalers, the current cost-effectiveness advantages of BAI compared to MDI can be expected to be even greater than that identified in the study.