Which institutional investor types are the most informed?

We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long‐term as well as short‐term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.     

Bank Competition and its Determinants: Evidence from Indian Banking

Abstract

This paper measures the degree of bank competition in India using a sample of 70 commercial banks over the period 1996–2016. To assess the degree of competition, we estimate the market power of each bank in our sample employing three nonstructural measures: the Lerner index, the adjusted Lerner index, and the Boone indicator. Bank-wise and year-wise estimates of the marginal cost required in all these measures are obtained using the semi-parametric method. The paper further attempts to undertake a comprehensive assessment of competition in Indian banking and identifies various bank-specific, macroeconomic, structural, and contestability indicators, which are supposed to explain level and variation of the degree of competition over time. Empirical findings reveal that public-sector banks in India exercise a relatively higher degree of bank competition compared to private and foreign-sector banks. However, aggregate results support that the Indian banking system is competitive in general. Unlike the structure-conduct-performance paradigm, which advocates that a concentrated banking system impairs competitiveness, our findings reveal that concentration measures hardly exert any effect on bank competition. Rather, contestability measures play a significant role in the determination of bank competition.     

三维价值链视阈下科技成果转化知识供给体系研究

科技成果转化知识供给是指知识沿价值链不同维度，经过耦合与交流，形成知识供给体系，对其探索可推动知识的精准供给和有序流动。基于全程价值链视角，从3个维度剖析科技成果转化知识供给体系的特征与机理。在纵向维度中，知识供给纵贯创意→设计→实验→中试→量产→销售等价值环节，并经历知识分化、加工、增值、包装与应用；在横向维度中，科技成果转化知识供给内含于各价值模块中，具有半自律化特征；在网络维度中，知识供给嵌于价值网络中，具有开放组合性、跨领域交叉性与跨疆界性。     

European quanto option pricing in presence of liquidity risk

In this paper, we study the pricing problems of the European quanto options in which the underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics of the underlying foreign asset price are affected by market liquidity and propose a liquidity-adjusted quanto model. This allows for the effects of market liquidity on European quanto option pricing. And then we derive the analytical pricing formulas for four different types of European quanto options. Finally, we empirically investigate the pricing performance of our proposed model with a European quanto construction involving the SSE 50 ETF, as the underlying asset, and the CNY/HKD exchange rate. Empirical results demonstrate that the pricing accuracy of the proposed model is markedly superior to that of the Black-Scholes quanto model. In other words, allowing for liquidity risk in the framework of European quanto option pricing can make markedly improvements in fitting the real market data. Particularly, the improvement rate is high for medium-term and out-of-the-money options. Moreover, these results are robust for different liquidity measures.     

中国医疗保险体系中的自选择与医疗费用——基于灵活就业人员参保行为的研究

我国社会医疗保险已实现全覆盖,现阶段的主要问题在于医保基金能否实现可持续运行。在现行制度安排下,灵活就业群体参加城镇职工医疗保险可能存在逆选择问题,随着就业形态日趋多样化,这将加剧基金运行的不平衡。本文基于2012-2014年中国家庭追踪调查数据(CFPS),利用中国特有的制度特征,在实证上将逆选择效应同道德风险相区分,验证了选择参加城镇职工医保的人群是医疗费用较高的人群。估计表明,自愿选择参加城镇职工医保的人群医疗支出明显高于强制参保群体,大约高78%;而选择参加城镇职工医保的人群医疗支出比选择参加城乡居民医保高约45%。灵活就业人员参加城镇职工医保提升了他们的福利,但如何规避潜在的基金运行风险,是医保制度设计中不可忽视的问题。     

知识型员工冗余对中小上市公司二元创新的影响：环境特征的调节作用

以277家中小板和创业板上市公司2012-2017年平衡面板数据为样本，利用泊松模型，实证分析知识型员工冗余与企业二元创新的关系，并探讨外部环境特征（要素市场发育程度和市场不确定性）的调节机理。研究表明：企业应保持一定的知识型员工冗余，促进企业二元式创新，过多或过少的知识型员工冗余均不利于企业开展创新活动；不同的环境特征对二者间关系的调节作用存在异质性，要素市场发育程度会减弱知识型员工冗余与探索式创新、利用式创新间关系，而市场不确定性会加强知识型员工冗余与探索式创新、利用式创新间关系。     

Mechanics of good trade execution in the framework of linear temporary market impact

We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to the actual realisation of the traded asset price path over the trading period; this is paramount in volatile regimes, where price trajectories can considerably deviate from their expected value. Remarkably, however, the implementation of our strategies does not require the full specification of an SDE evolution for the traded asset price, making them robust across different models. Moreover, rather than minimising the expected trading cost, good trade execution strategies minimise trading costs in a pathwise sense, a point of view not yet considered in the literature. The mathematical apparatus for such a pathwise minimisation hinges on certain random Young differential equations that correspond to the Euler–Lagrange equations of the classical Calculus of Variations. These Young differential equations characterise our good trade execution strategies in terms of an initial value problem that allows for easy implementations.     

Explaining vaccination decisions: A system dynamics model of the interaction between epidemiological and behavioural factors

The WHO goal of eradicating measles is delayed by widespread scepticism of parents against the recommended MMR vaccination. In this context, a model of the prevalence of measles that incorporates behavioural aspects is desirable. Parental decisions can be influenced by epidemiological and behavioural factors. The former include vaccination coverage and its impact on the prevalence of the disease. The latter include perceptions of the risk to be infected, which affects vaccination decisions, as well as government campaigns to affect vaccination behaviour, vaccination scares or changes in disease control policies. We develop a model that incorporates both kinds of effects. In particular, we illustrate how incorporating parental response to a change in the prevalence of the disease impacts the outcome of governmental policies aiming to increase the vaccination coverage. While calibrated to measles, this model is also applicable to other childhood diseases, such as pertussis or diphtheria. Different scenarios illustrate the long-term consequences of the interaction between health policies (in particular, vaccination campaigns) or the agenda of social institutions (e.g., drawing attention to specific events to create vaccination scares) and parental reactions. Periodic ups and downs of the disease's prevalence, characteristic of epidemiological feedback, are the consequence of the interaction between parental behaviour and events such as vaccination campaigns or vaccination scares. International and national health authorities, pursuing the fight against measles, may be helped by the potential of the model to provide understanding in the way different predictors of vaccination behaviour interact.     

How efficient is the market for Australian firms’ earnings information?

We construct a measure of the speed with which forecasts issued by sell-side analysts accurately forecast future annual earnings. Following Marshall, we label this measure earnings information flow timeliness (EIFT). This measure avoids the aggregation problem inherent in price-based measures of information efficiency. We document large variation in EIFT across firm-years, and show that EIFT is positively associated with the extent of analyst following, consistent with increased analyst coverage improving the speed with which earnings-related information is recognised. We also find that EIFT is higher for firm-years classified as ‘bad news’ (i.e., where analysts’ forecasts at the start of the financial period exceed the reported outcome). However, when we separately consider instances where analysts appear to forecast non-GAAP (or ‘street’) earnings rather than GAAP earnings, we find that the greater timeliness of bad news is concentrated among observations where analysts forecast non-GAAP earnings, where unusual items are typically excluded. We conclude that the market for accounting information is more efficient for negative operating outcomes than for negative outcomes reflecting unusual items.     

传统产业集群企业区域价值链市场势力塑造路径

本文对传统产业集群企业如何塑造区域价值链(RVC)市场势力的路径和方法进行研究,以中国南珠产业集群企业为案例,归纳、总结出传统产业集群企业在RVC市场势力塑造过程中的企业家才能和战略定位、文化认同的具体特征,析取概念并建立了“企业家才能”和“文化认同”双重作用的RVC市场势力塑造和突破攻略的理论框架。研究发现,企业家才能通过战略定位实现对传统产业集群企业的RVC市场势力塑造,通过文化认同实现对市场的控制,而在此过程中技术和市场双重控制是常规手段。在数字化条件下,利用数字手段和社会资本,与全球市场建立联结也是传统产业集群企业的一大特色。“企业家才能”和“文化认同”策略是传统产业集群企业获取RVC市场势力并成功充当国际主导企业的关键因素,发展中国家的企业可立足以文化认同为基础的RVC市场势力塑造与传递机制来驱动价值链延伸。