Sell in May and Go Away: Evidence from China

Using the Chinese stock market data from 1997 to 2013, this paper examines the “Sell in May and Go Away” puzzle first identified by Bouman and Jacobsen (2002). We find strong existence of the Sell in May effect, robust to different regression assumptions, industries, and after controlling for the January or February effect. However, part of the puzzle is subsumed by the seasonal affective disorder effect. We then construct a trading strategy based on this puzzle, and find that it outperforms the buy-and-hold strategy and could resist the market downside risk during large recession periods.     

异质性环境规制、技术创新与中国工业绿色化

基于中介效应模型和2007~2016年中国省际面板数据，构建异质性环境规制、技术创新与工业绿色化的作用机理理论分析框架，并通过构建异质性环境规制指标体系和工业绿色化指标体系将异质性环境规制与技术创新驱动工业绿色化的作用机理进行实证检验。研究发现：行政型环境规制对工业绿色化起抑制作用，不存在技术创新中介效应；市场型环境规制对工业绿色化的影响存在部分中介效应，可通过技术创新"挤出效应"抑制工业绿色化；公众型环境规制与工业绿色化关系只有中介效应，且公众型环境规制通过技术创新"激励效应"促进工业绿色化；异质性环境规制驱动工业绿色化的技术创新中介效应的研究结论经稳健性检验依然不变。研究认为：在推进异质性环境规制驱动工业绿色化过程中，应充分利用公众型环境规制驱动技术创新"激励效应"，同时应有效规避市场型环境规制驱动技术创新"挤出效应"。     

Relevance of the disposition effect on the options market: New evidence

A moneyness‐based propensity to sell (MPS) measure, at the aggregate level, determines the propensity of option holders to exercise their winning relative to losing positions. Using data on individual stock and S&P 500 Index options, we find that the MPS measure has significant predictive power over the cross section of delta‐hedged option returns. We test the disposition effect in the options market based on a long–short strategy that exploits price distortions induced by the disposition bias. More pronounced evidence of the disposition bias is found for individual at‐the‐money call options than put options where the significance of abnormal returns remains robust across different subsamples even after we control for the portfolio option greeks and market‐based risk factors. The profitability of the long–short strategy is related to limit‐to‐arbitrage proxies suggesting that behavioral explanations help explain the positive relation between the MPS measure and delta‐hedged option returns.     

当前差别存款准备金政策的制约因素及对策

差别准备金动态调控政策是我国建立逆周期宏观审慎管理框架,防范金融机构系统性风险的重要举措。本文围绕宏观审慎管理念和差别化调控思路,结合淄博市法人金融机构的具体情况,分析了2011年差别准备金动态调控中遇到的机制障碍,就如何完善差别准备金动态调控工具提出了政策建议。     

The willingness to pay–willingness to accept gap: A failed replication of Plott and Zeiler

The well-known willingness to pay–willingness to accept (WTP–WTA) gap refers to the observation that individuals attach a higher value to objects they own (WTA) than to objects they do not own (WTP). We report on experiments to re-investigate the possibility that the WTP–WTA gap arises from subject misconceptions due to experimental procedures as suggested by Plott and Zeiler (2005). The contribution of this paper is two-fold: first, we attempt to replicate the findings by Plott and Zeiler that the WTP–WTA gap disappears when using procedures that are aimed at reducing misconceptions, such as extensive training and practice rounds for the BDM mechanism. However, we fail to do so as the WTP–WTA gap persists in the main task where subjects state their WTA or WTP for a mug. Second, we use the paid practice rounds to identify subjects without apparent misconceptions and find that also for those subjects who never make dominated choices in the lottery tasks, the WTP–WTA gap in the mug task exists. Thus, we find no evidence of the idea that subject misconceptions are the main source of the WTP–WTA gap.     

Sunk costs and travel cancellation: Focusing on temporal cost

Tourism products differ from ordinary retail products in terms of the spatial and temporal separation between the purchase and experiencing the product. Despite its importance, temporal separation has not drawn much attention in tourism research. The main objective of this study is to understand the effects of temporal sunk costs on potential travelers' cancellation intentions, in addition to monetary sunk costs. The results of this study suggested the possibility that temporal costs can be converted into monetary costs, but the conversion relationship may not be linear. This study also indicated that travelers' intentions to cancel a travel product decreased as the temporal and monetary sunk costs increased. Further, prior experience moderated the relationship when temporal sunk costs were involved, suggesting that repeat visitors' intentions to cancel their reservations are more influenced by temporal sunk costs than first-time visitors. Further discussion and implications are provided in the main body of this paper.     

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

This paper investigates volatility spillover in the Nigerian sovereign bond market arising from oil price shocks, using Vector Autoregressive Moving Average ‐ Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (VARMA‐AGARCH) model. The paper covers the period March 22, 2011 to April 14, 2016 and makes use of the daily data of the Nigerian Sovereign Bond, Brent oil and West Texas Intermediate (WTI), respectively. We endogenously and sequentially detect structural break points using the test of Bai and Perron (2003) framework. In order to accurately estimate the model, we modify it by incorporating the break points into the VARMA‐AGARCH model, a process which if ignored would lead to model misspecification. The results obtained demonstrate a significant cross‐market volatility transmission between oil and sovereign bond market with ample sensitivity to structural breaks. The study also computes optimum weight portfolio and hedge ratio both with and without structural breaks and results equally indicate sensitivity to structural breaks.     

菱角壳的化学成分和药理活性研究进展

近年来对菱角壳的研究主要分为化学成分和药理活性研究两个方面,其中化学成分方面的研究可以概括为生物碱、酚酸类、萜类和甾体、多糖类、黄酮类5个方面;药理活性方面的研究可以概括为抗癌活性、抗氧化活性、降低α-葡萄糖苷酶活性、保肝护肝活性、抗菌活性5个方面。目前在化学成分方面的研究较弱,从研究结果来看,没食子酸及其衍生物是菱角壳的主要药用成分。最后就菱角壳的开发利用提出了几点建议。     

Interaction between message framing and consumers’ prior subjective knowledge regarding food safety issues

This study analyzed the interaction between message frames and recipients’ prior knowledge. The hypothesis is that less prior consumer knowledge will result in a larger framing effect. That is, if the subjective knowledge of the public is low, then the controversy created by mass media regarding a specific food-related event will be larger. Empirical results show that message frame has an influence on college students’ purchasing intentions. College students showed distinct responses in purchasing intention based on different headlines and different amounts of information within articles. The results further suggest that the framing effect depends not only on message frames, but also on the prior knowledge of the message recipient. Those who have less knowledge have larger variation in their purchase intention when responding to different message frames. This suggests that people with less knowledge are more likely to panic due to mass media reports regarding a food hazard issue. More informed consumers have less dramatic responses to food safety issues compared to less informed people.     

逆周期因子决定了人民币汇率走势吗*

2017年5月26日，中国外汇交易中心人民币兑美元中间价报价机制中引入逆周期因子。本文利用引入新因子以来外汇市场交易数据，通过新的人民币汇率中间价定价机制，测算了逆周期因子数值。在此基础上，本文通过构建VAR模型和EGARCH模型研究了逆周期因子对人民币汇率走势和人民币汇率波动性的影响。研究表明，引入逆周期因子降低了人民币汇率波动性，但对人民币汇率的走势没有显著影响。逆周期因子修正了投资者对汇率变动顺周期性的过度反应，有利于引导市场预期，完善人民币汇率宏观审慎管理。