An Analysis of Contrarian Investment Strategies in the UK

The performance of contrarian, or value strategies – those that invest in stocks that have low market value relative to a measure of their fundamentals – continues to attract attention from researchers and practitioners alike. While there is much extant evidence on the profitability of value strategies, however, most of this evidence pertains to the US. In this paper, we provide a detailed characterisation of value strategies using data on UK stocks for the period 1975 to 1998. We first undertake simple one-way and two-way classifications of stocks in which value is defined using both past performance and expected future performance. Using sales growth as a proxy for past performance and book-to-market, earnings yield and cash flow yield as measures of expected future performance, we find that that stocks that have both poor past performance and low expected future performance have significantly higher returns than those that have either good past performance or good expected future performance. Allowing for size effects in returns reduces the value premium but it nevertheless remains significant. We go on to explore whether the profitability of value strategies in the UK can be explained using the three factor model of Fama and French (1996). Broadly consistent with the results for the US, we find that using the one-way classification the excess returns to almost all value strategies can be explained by their loading on the market, book-to-market and size factors. However, in contrast with the US, using the two-way classification there are excess returns to value strategies based on book-to-market and sales growth, even after controlling for their loading on the market, book-to-market and size factors.     

教育投资及其市场化初探

由于教育投资的对象是人 ,而人是有思想的 ,因此 ,对教育的投资比对物质资本的投资要复杂。其中一个关键问题是 ,当教育投资主体与教育投资对象不同时 ,可能会引起教育投资的套牢 ;而当二者合一时 ,又会 (因为人力资本的外部性和个体的财富约束 )引起教育投资的不足。由于教育所形成的人力资本具有外部性 ,教育投资主体与教育投资对象适当的分离是必要的 ,而解决由于这种分离可能引起的投资主体的套牢在于使教育投资实现市场化。     

401（k）计划—最流行的企业补充养老保险形式

对美国最流行的企业补充养老保险—— 4 0 1(k)计划的运行机制、优缺点和设计模式做了详细的介绍和评述 ,指出了 4 0 1(k)计划对中国养老保险制度改革的启示∶虽然属于企业补充养老保险 ,但是“基金制”的运作模式势必要导入我们的养老保障系统。分析了 4 0 1(k)计划在中国的适用性问题。     

Voucher Privatization: A detour on the road to transition?

We explore an overlooked aspect of the design of the Czech voucher privatization programme, namely, the consequences of allowing individuals to distribute their vouchers among the voucher privatization funds (VPFs). We develop and analyse a model of voucher privatization in which we study the problem facing individuals who invest their vouchers in VPFs which, in turn, are able to use their skills to alter the performances of the firms in which they acquire shares. The VPFs have different skills and, by their bids and subsequent joint ownership patterns, affect the performances of the firms in their funds. We show that even in the case in which voucher holders have identical and full information, and wish to allocate their vouchers to the VPFs in a manner consistent with the maximization of economy–wide profit, a coordination failure generally prevents the implementation of this efficient outcome. Uncertainty, as well as differing payouts by the VPFs, is shown to exacerbate the problem. We conclude that there was an inherent flaw in the design of the Czech voucher scheme. JEL classification: D44, L33, P21, G11.     

A learning-based model of repeated games with incomplete information

This paper tests a learning-based model of strategic teaching in repeated games with incomplete information. The repeated game has a long-run player whose type is unknown to a group of short-run players. The proposed model assumes a fraction of ‘short-run’ players follow a one-parameter learning model (self-tuning EWA). In addition, some ‘long-run’ players are myopic while others are sophisticated and rationally anticipate how short-run players adjust their actions over time and “teach” the short-run players to maximize their long-run payoffs. All players optimize noisily. The proposed model nests an agent-based quantal-response equilibrium (AQRE) and the standard equilibrium models as special cases. Using data from 28 experimental sessions of trust and entry repeated games, including 8 previously unpublished sessions, the model fits substantially better than chance and much better than standard equilibrium models. Estimates show that most of the long-run players are sophisticated, and short-run players become more sophisticated with experience.     

我国现行外资政策法规的"适世"思考

入世后，我国现行外资政策法规与WTO规则仍存在一些不相容的地方。为了适应入世需要，必须根除错误观念，优化投资环境，转变政府职能，认真研究WTO规则及其例外，为内外资企业竞争构造统一平台。     

The patterns of cross-border bank mergers and shareholdings in OECD countries

In recent years there has been a surge in mergers and acquisitions (M&As) in all sectors of economic activity. Cross-border operations have followed this trend, creating global companies operating in all major world markets. In this paper we study the pattern of cross-border M&As in the banking industry relative to the non-financial sector of the economy and investigate which factors make it more likely that a bank will expand its activities abroad. We find that cross-border M&As are rarer in banking than in other sectors, possibly owing to the importance of information asymmetries in banking relationships and to regulatory restrictions. Using data on almost 2500 banks from 29 OECD countries, we also show that the most significant features of banks with foreign equity interests relate to efficiency: banks with cross-border shareholdings are on average larger, more profitable, and based in countries with a more highly developed banking market.     

中国资本市场整合面临的机遇与挑战

进入21世纪,全球贸易市场和资本市场一直引发激烈的争论,特别是中国已经稳坐世界第三大贸易国的位置,甚至国内外都在预测,2007年中国有可能成为世界第一大贸易出口国。这不断地引起发达国家的业内人士和经济学界的震惊,海外投资者也更加看好中国这个"暴利"市场,一些人甚至认为,选好机会把资金投到中国市场上,几乎到处都可以获得"暴利"。     

美国在华FDI对中美经贸关系的影响

中美之间的贸易不平衡存在着内在的必然性,美国在华直接投资从替代效应和互补效应两个方面又加剧双边的贸易不平衡。美国在华投资企业可以成为减弱中美贸易摩擦的一股特殊力量。     

建立适应我国生物产业发展的风险投资机制初探

改革开放以来,我国生物产业在国民经济整体快速增长的大背景下,也呈现出快速增长的态势。当前,它已成为我国经济实现战略转型的重要新型支撑产业。但是,我国生物产业的发展受制于严重的资金短缺和融资困难。要打破这一瓶颈,迫切需要风险投资的介入。