Do Market Makers Suffer from Splitting Headaches?

Studies of transactions surrounding stock split ex-dates often conclude that splitting firms either experience a decline or an improvement in their stock's liquidity, based on independent measures of trading costs and trading activity. In contrast, our evidence suggests that splits from outside into what often is deemed to be the optimal stock price range of $10.00 to $39.99 are nonevents for market makers: The spread-setting behavior of the market does not change after a split. Our analysis accounts for the interdependencies between bid-ask spreads and market microstructure effects and distinguishes between optimal and all other splitting firms.     

一种提高雷达系统输出信噪比的方法

在给定雷达的检测概率和虚警概率后，系统输出信噪比直接影响雷达的作用距离。采用距离分段加权技术，可以减小加权引起的信噪比损失，从而提高了雷达的作用距离。给出了泰勒窗函数在距离分段加权中的应用，事实已证明该方法的可行性。     

中国股市波动的CARR模型分析

ARCH/GARCH模型在波动性的预测已被学者广泛使用并在实证上得到良好的效果。本文以上海股市为研究对象,分别运用CARR模型和GARCH模型进行波动性预测,进而对两种方法的预测能力进行比较,实证结果表明CARR模型在拟合波动性方面优于GARCH模型。     

Variable selection via composite quantile regression with dependent errors

We propose composite quantile regression for dependent data, in which the errors are from short‐range dependent and strictly stationary linear processes. Under some regularity conditions, we show that composite quantile estimator enjoys root‐n consistency and asymptotic normality. We investigate the asymptotic relative efficiency of composite quantile estimator to both single‐level quantile regression and least‐squares regression. When the errors have finite variance, the relative efficiency of composite quantile estimator with respect to the least‐squares estimator has a universal lower bound. Under some regularity conditions, the adaptive least absolute shrinkage and selection operator penalty leads to consistent variable selection, and the asymptotic distribution of the non‐zero coefficient is the same as that of the counterparts obtained when the true model is known. We conduct a simulation study and a real data analysis to evaluate the performance of the proposed approach.     

燕山西段印支运动的探讨

本文根据近年来区调新资料分析研究，初步证实了印支运动在燕山西段下花园地区的客观存在。该运动发生在晚三叠世杏石口组形成之前，运动方向是来自南北方向的强烈挤压，致使本区中新元古代─古生代寒武纪地层发生明显褶皱和断裂，并伴有中基性岩脉侵入。该构造运动对后期侏罗纪煤系地层的发育、分布和构造变化起着控制作用。     

中国大陆物流经济联系空间结构实证分析

区域经济联系的强度和方式主要由物流流量大小及其空间结构综合反映。物流经济联系是指区域间通过交通运输设施、通讯设备等物流基础设施，进行物质交流产生的相互联系与作用关系。以全国31个省区(不包括港、澳、台)作为地域研究单元，从实证的角度，通过各省区物流经济联系的基础设施、发展水平的等级差异测度，分析物流经济联系强度大小的省区差异；通过各省区物流经济联系主导类型的定量分析，反映物流经济联系方式的省区差异；通过省区物流中心城市、主要物流联系通道、区际货流联系范围的空间结构特征定量分析，综合反映区域物流经济联系的点、线、面空间特征。     

Goodness-of-fit test with nuisance regression and scale

In the linear model Y _i = x _i + e _i, i=1,,n, with unknown (, ), {\open R}^p, >0, and with i.i.d. errors e ₁,,e _n having a continuous distribution F, we test for the goodness-of-fit hypothesis H ₀:F(e)F ₀(e/), for a specified symmetric distribution F ₀, not necessarily normal. Even the finite sample null distribution of the proposed test criterion is independent of unknown (,), and the asymptotic null distribution is normal, as well as the distribution under local (contiguous) alternatives. The proposed tests are consistent against a general class of (nonparametric) alternatives, including the case of F having heavier (or lighter) tails than F ₀. A simulation study illustrates a good performance of the tests. Received July 2001     

The information content of stock splits

This study examines whether stock splits contain information content about future operating performance or whether splits are undertaken by firms to realign their share prices and to improve trading liquidity. In the four years following split announcements, splitting firms do not experience improved operating performance relative to non-splitting firms. Furthermore, stock split signals are not related to future profitability. The positive announcement effect can be explained by lower share prices and improved market liquidity following stock splits but not by split signals and post-split operating performance. Our results show very little evidence that stock splits signal improvement in long-run operating performance and are more consistent with the trading range/liquidity hypothesis.     

上市公司业绩增长与股价涨幅关系的实证研究

研究盈余信息和股价的变动关系可反映投资者关心投资决策的理性程度,因此,通过对上市公司业绩增长与股价涨幅相互关系的回归分析,有助于研究上市公司经营效率的好坏与其二级市场投资收益的关系。     

How do price range shoppers differ from reference price point shoppers?

Existing research demonstrates that reference price models can explain a significant amount of the variation in customers' price perceptions and purchase behaviors. This study extends the reference price literature by introducing the price range model, which proposes that price judgments are based on a comparison of the market price to the entire range of currently available prices. Our results demonstrate that the fit of a structural heterogeneity finite mixture model improves when the price range model is included along with internal and external reference price models and that the price range model explains a substantial proportion of customers' purchase histories in the toilet tissue category. Profile analysis indicates that internal reference price shoppers switch brands much less frequently than the other two segments and respond to feature promotions for their preferred brand(s). External reference price shoppers have an intermediate level of brand preference and respond significantly less than the other two segments to feature and display promotions. Price range shoppers have the lowest brand loyalty and respond most strongly to both feature and display promotions.