Compensation for illiquidity in China: Evidence from an alternative measure

This paper shows that liquidity is an important source of priced risk in China. Using A-share stocks in Shanghai and Shenzhen Exchange over the period 2007–2017, we examine the influence of liquidity on stock returns. A new liquidity measure that captures multiple dimensions of liquidity is proposed. Fama-Macbeth cross-sectional regression shows that the expected return is negatively correlated with liquidity. Based on Fama and French (1993), we propose a five-factor pricing model by incorporating reversal factor and liquidity factor. Time-series regressions show that the liquidity factor makes significantly marginal contributions to explaining excess stock returns. The liquidity factor based on the proposed measure works better than alternative liquidity measures such as turnover, Amihud illiquidity measure and the measure in Liu (2006).     

Consumer confidence and consumption expenditure in Indonesia

We estimate several competing regressions and find that confidence predicts consumption expenditure in Indonesia. Our estimations employ data on two measures of confidence, namely consumer and business confidence indexes, consumption and three standard predictors of consumption, namely labour income, stock price, and interest rate. We show that there are economic and statistical gains from consumption growth frameworks that account for consumer and business sentiments. Specifically, we show that policymakers can improve their forecast accuracy by between 4% and 13% by incorporating consumer and business sentiments into their forecasting frameworks.     

Early warning indicators? The effect of consumer and investor sentiments on the restaurant industry

This study looks at the influence of cyclical fluctuations of the consumer confidence index (CCI) and the volatility index (VIX) as early-warning indicators of the variations in restaurant performance. The industry has traditionally focused on past data and on microeconomic influences to anticipate its future performance, a procedure that does not consider possible cyclical fluctuations in restaurant performance metrics. These fluctuations are driven by sentiments of consumers and investors. The study uses the cyclical component of the applied data, followed by unit root and cointegration testing, with subsequent application of the Limited Information Maximum Likelihood technique. The results show both indicators have an effect on restaurant performance, where VIX has an impact on the current, expected, and overall restaurant performance, while the CCI’s influence is only partial (current performance). Policy-makers and planners could benefit from anticipating features of indicators to assess and steer the future performance of the restaurant industry.     

浅析区块链技术对小微企业信用认证及融资的作用

随着经济社会的全面发展,经济全球化已经成为全新的发展趋势,紧随其后的是后金融危机时代的到来。区块链是一种特定的数据技术,它在安全和便捷方面一直被业内人士所看好。论文围绕区块链技术对小微企业信用认证及融资的作用展开讨论分析,通过讨论分析有助于实现小微企业成功融资,为我国小微企业提供强有力的保障与支撑。     

Preference aggregation and atoms in measures

This paper examines the aggregation of preferences with a finitely additive measure space of agents. We consider three types of non-dictatorship axioms: non-dictatorship, coalitional non-dictatorship, and atomic non-dictatorship. First, we show that the existence of an atom is a necessary and sufficient condition for the existence of a social welfare function that satisfies weak Pareto, independence of irrelevant alternatives, and coalitional non-dictatorship. Second, we simultaneously impose non-dictatorship and coalitional non-dictatorship, and specify a necessary and sufficient condition for the finitely additive measure that guarantees the compatibility among the axioms. Third, we impose all non-dictatorship axioms and show that the corresponding measure is extremely restricted.     

Forecasting value at risk and expected shortfall with mixed data sampling

I propose applying the Mixed Data Sampling (MIDAS) framework to forecast Value at Risk (VaR) and Expected shortfall (ES). The new methods exploit the serial dependence on short-horizon returns to directly forecast the tail dynamics of the desired horizon. I perform a comprehensive comparison of out-of-sample VaR and ES forecasts with established models for a wide range of financial assets and backtests. The MIDAS-based models significantly outperform traditional GARCH-based forecasts and alternative conditional quantile specifications, especially in terms of multi-day forecast horizons. My analysis advocates models that feature asymmetric conditional quantiles and the use of the Asymmetric Laplace density to jointly estimate VaR and ES.     

Cooperative game with nondeterministic returns

We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players’ contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to information, on allocations. The latter are also at times more conducive to fractional representations. With probabilistic structures added, nondeterministic returns become random variables, utility functions attain risk-attitude connotations, and the timing of players’ allocation resolutions gains significance. Under various conditions for utility functions, we show how various core concepts of the general game can be related to its traditionally defined auxiliaries. These developments help pave the way for our illustrations, within two distinct settings, that players’ increased risk aversion would promote the formation of the grand coalition.     

产业政策对企业研发创新的影响研究——基于促进创新型产业政策"信心效应"的视角

信心是影响产业政策实施效果背后的重要无形因素。本文从“信心效应”的新视角出发，基于2012—2017年中国A股上市公司面板数据，以《中国制造2025》为一项准自然实验，使用双重差分法研究促进创新型产业政策对企业研发创新的影响。研究结果表明：促进创新型产业政策的颁布能够通过“外部信心效应”和“内部信心效应”促进受支持企业研发投入增加；通过与受支持企业自身的营运性信心和社会性信心叠加，信心效应的影响分别出现U型与倒U型的差异；信心效应在促进创新型产业政策对受支持企业研发产出数量和实质性的影响中都发挥了作用。研究结论不仅丰富了相关文献，也为新时期产业政策的制定与实践以及企业行为调整提供了有益的启示。     

国内蒸馏装置节能降耗的技改措施

原油蒸馏装置已成为炼油厂中能耗最大的装置 ,以降低能耗为中心的技术改造显得十分必要。本文从采用新技术 ,改进工艺过程 ;采用各种新型、高效、低耗设备 ,降低能耗和加强监控 ,优化操作三个方面介绍了节能降耗措施 ,并对国内原油蒸馏装置节能改造提出了建议 ,以供炼油企业在进行原油蒸馏装置改造时参考。