Bankruptcy regime and the banking system

Banks’ behavior as creditors relies heavily on the content of legal rights granted by the national bankruptcy laws. Using a sample of 87 countries over the period 2005–2016, this paper investigates whether the degree of such legal rights influences the following banking indicators: (1) private credit, (2) bank lending-deposit spread, and (3) foreign banks’ presence. Robust dynamic panel estimates indicate a significant and positive impact only on foreign banks’ presence in countries with a high level of creditors’ protection and bankruptcy systems that encourage the survival of financially distressed firms.     

高管任职经历的得与失？——来自债券市场的经验证据

本文利用2008-2015年在交易所债券市场发行的公司债券数据,分别考察高管的任职经历对债券发行成功率与信用利差的影响。研究发现,相比没有高管担任过人大代表或政协委员的企业,有高管担任过人大代表或政协委员的企业债券发行成功率更高,但同时其发债成本也更大。在考虑了可能的内生性问题之后,上述结果仍然稳健。我们的进一步研究发现,对高管有着上述任职经历的企业,其在债券发行前进行了较多的盈余管理(这些企业为了更高的发债成功率,盈余管理的动力也更强),使得后续业绩发生“变脸”,所以投资者会要求更高的风险溢价。本文的研究表明虽然高管的任职经历会有助于企业成功发行债券,但债券市场同时也让企业付出了更高的成本。     

Performance and informed trading. Comparing foreigners,institutions and individuals in an emerging stock market

Do local institutions, local individuals or foreigners perform better in a small emerging market? We seek answers to this question by examining the investment performance of each group of investors using two unique databases of Colombian stocks. Our analysis serves as an out-of-sample test of previous findings. We find that local institutions have better outcomes than foreigners and local individuals on all performance measures. Furthermore, local individuals perform better than foreigners on trading execution, while foreigners generate better long-term returns. Using a bid-ask spread decomposition, we provide additional evidence that the better performance of institutions is consistent with informational advantages. Our findings reconcile contradictory statements from previous studies.     

On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading

Trading or transaction costs are one of the most important attributes of any trading system and can be divided into two major groups: explicit (visible) and implicit (hidden). In this paper, we investigate the impact of the bid-ask spreads, a form of hidden cost, on the results of backtesting (and, therefore, the potential impact on real-time trading) of an automated trading system based on genetic programming. We concentrate on the nature (fixed or floating) of bid-ask spreads (hereafter ‘spread’) and demonstrate that the effectiveness of an automated trading system more significantly degrades in the case of floating spreads compared to fixed spreads. We investigate four fixed spreads (one, two, five and ten pips) and a floating spread with a median value of two pips and demonstrate that the floating spread with a mean value of 0.02 USD results in significantly worse performance than a fixed spread of 0.1 USD. ‘Floating spreads’ in this paper is a term used for market-determined continuously changing bid-ask spreads.     

Information asymmetry around operational risk announcements

Operational risk incidences are likely to increase the degree of information asymmetry between firms and investors. We analyze operational risk disclosures by US financial firms during 1995–2009 and their impact on different measures of information asymmetry in the firms’ equity markets. Effective spreads and the price impact of trades are shown to increase around the first announcements of such events and to revert after the announcement of their settlement. This is especially pronounced for internal fraud and business practices related events. Market makers respond to higher information risk around the first press cutting date by increasing the quoted depth to accommodate an increase in trading volumes.The degree of information asymmetry around operational risk events may be influenced by the bank’s risk management function and the bank’s governance structure. We indeed find that information asymmetry increases more strongly after events’ first announcements when firms have weaker governance structures—lower board independence ratios, lower equity incentives of executive directors, and lower levels of institutional ownership. In contrast, the firms’ risk management function has little to no impact on information asymmetry. We interpret this as evidence that the risk management function is primarily driven by regulatory compliance needs. The results of this study contribute to our understanding of information asymmetry around operational risk announcements. They help to shed light on the role that regulation and corporate governance can play in order to establish effective disclosure practices and to promote a liquid and transparent securities market.     

Heuristics for operational fixed job scheduling problems with working and spread time constraints

Operational fixed job scheduling problems select a set of jobs having fixed ready and processing times and schedule the selected jobs on parallel machines so as to maximize the total weight. In this study, we consider working time and spread time constrained versions of the operational fixed job scheduling problems. The working time constraints limit the total processing load on each machine. The spread time constraints limit the time between the start of the first job and the finish of the last job on each machine. For the working time constrained problem, we present a filtered beam search algorithm that evaluates the promising nodes of the branch and bound tree. For the spread time constrained problem we propose a two phase algorithm that defines the promising sets for the first jobs and finds a solution for each promising set. The results of our computational tests reveal that our heuristic algorithms perform very well in terms of both solution quality and time.     

沪深300股指期货跨期套利实证研究——基于真实交易数据的计量分析

沪深300股指期货的上市为股指期货跨期套利研究的实证分析提供了真实的数据基础。本文在对期货套利的概念和种类进行介绍的基础上,构建股指期货跨期套利模型,最后,以沪深300股指期货真实交易数据为基础进行了实证分析,结果显示,目前,国内股指期货市场存在较多的跨期套利机会,市场有效性缺失,并对此结果提出了相应的政策建议。     

广告对企业文化传播的再讨论

广告本质上就是一种文化,从表面上看,广告是推行产品的一种手段,谁也不会否认广告的商业目的.但广告在为商品进行宣传的同时,自觉或不自觉地输出某种技术意识,改变这人们的思想和价值观念,引导这人们的行为和生活方式,给予人们一定的精神需求.     

考虑伪码跟踪误差影响的码片内多径分离研究

<正> 刘光溪同志是我国第一位国际贸易专业WTO研究方面的博士并作为中国代表团主要成员参与了13年中国复关/入世的实质性谈判工作,写过多本有关世贸组织和区域经济合作方面的专著,《碰撞、融合、发展——亲历13年复关/入世谈判的思索》是他在这方面的一本新著。已由上海人民出版社于2002年2月正式出版发行。     

雷达图像传输系统的研制

本文介绍了雷达图像传输系统的基本组成、工作原理、关键技术及实现途径。该系统采用数字图像信息压缩/解压、扩频通信及EDA设计等技术,实现了雷达图像的双向传输,同时具有全双工数据通信和话音通信能力,并具备可靠性高、维修性好、通用性及抗干扰能力强等特点。