Ratio Analysis Using Rank Transformation

This paper presents an alternate method for transforming financial ratios. Ratios are ranked and scaled into a uniform distribution with boundaries between 0 and 1. Conceptually, we suggest that this method solves a number of methodological problems associated with ratios, including constrained choice of regression models, ratio outliers, negative ratios, and non-normal distributions. Scaled ranks of financial ratios are also conceptually appealing because they appear to capture comparative ordinal data about cross-sectional relationships between firms.The study empirically tests scaled rank transformations by examining the association of the transformations with stock returns. Results show that models using relative ranked accounting ratios have more explanatory and predictive power than untransformed, log-transformed and square-root transformed ratios.     

The Environmental Outcome of Emissions-intensive Economic Growth: A Critical Look at Official Growth Projections for Sweden up to the Year 2000

Implications for carbon dioxide, sulphur dioxide and nitrogen oxides emissions from the Swedish government's medium-term economic projections are assessed, considering Sweden's environmental goals. Data from the first environmental accounting matrix of Sweden are exploited within the framework of the interindustry model to give emission multipliers for various components of aggregate demand. In view of these emission multipliers, it is evident that the outlined macro-economic development does not conform with Sweden's environmental goals. The oil price and the structural changes assumed in the economic projections stress still further the need for strong environmental policy measures to attain the emission goals. The allocation of total expenditure is shown here to be a critical factor for bringing down the emissions to accepted levels.     

On the predictive power of the surplus consumption ratio

This paper shows that the surplus consumption ratio, specified by Campbell and Cochrane [1999. Journal of Political Economy 107, 205–251], is a good predictor of excess returns at long horizons. We also provide empirical evidence that this variable captures a component of expected returns, not explained by the proxies for the consumption to wealth ratio, cay and cdy, proposed by Lettau and Ludvigson [2001a. Journal of Finance 56, 815–849; 2001b. Journal of Political Economy 109, 1238–1286; 2005. Journal of Financial Economics 76, 583–626]. Moreover, used as a conditioning information for the Consumption based Asset Pricing Model (C)CAPM, the resulting linear model helps to explain for the variation in average returns across the Fama–French (25) portfolios sorted by size and book-to-market characteristics.     

The Gilt-Equity Yield Ratio and the Predictability of UK and US Equity Returns

A number of financial variables have been shown to be effective in explaining the time-series of aggregate equity returns in both the UK and the US. These include, inter alia , the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield – the gilt-equity yield ratio – has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt-equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in-sample and out-of-sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in-sample explanatory power, this is not matched by out-of sample forecast accuracy. The gilt-equity yield ratio, in contrast, performs well both in-sample and out-of-sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt-equity yield ratio dominating the other variables in terms of both in-sample explanatory power and out-of-sample forecast performance. The gilt-equity yield ratio is also shown to have substantial predictive ability for long horizon returns.     

基于结构突变理论的我国货币法流通速度的长期趋势

本文利用结构突变理论，对我国狭义、广义货币流通速度的数据生成过程进行了实证研究，结果表明：改革开放以来，我国狭义、广义货币流通速度服从于单位根过程，数据生成过程并未发生结构突变，因而基本保持了持续下降的“稳定态势”。     

论城市商业银行在紧缩性货币政策下的发展趋势

为抑制经济过热、流动性过剩及通货膨胀等严重经济问题,紧缩性货币政策成为目前及未来一段时期内货币政策的必然选择,而该政策将极大左右银行业的经营业绩与资产质量。为此,我们有必要探讨在连续的紧缩性货币政策下,比较竞争力并不占优的城市商业银行所面临的关键问题及其所应调整的战术与战略。     

FDI对中国外向型城市经济发展的影响——基于对青岛的实证分析

近年来,关于FDI对中国经济发展的贡献,引发了我国学术界的争议,有些学者予以了充分的肯定,但有些学者提出了质疑。本论文以外向型经济城市——青岛为考察对象,选用科学的模型和变量,定量地分析FDI对青岛经济发展的贡献度,分析结果证明,利用FDI对青岛经济的发展起到了积极的作用,但同时,本论文指出了今后利用FDI的对策建议。     

中国财产保险市场分析

中国自1980年恢复国内财产保险业务以来,保费收入以年均25.3%的速度增长,分析中国财产保险市场状况,对完善我国财产市场,有着重要意义。目前我国财产保险市场在发育过程中还面临着较多的矛盾,应从财产保险市场主体、市场结构、产品体系、财产保险市场的空间布局、财产保险市场开放模式等多角度、多方面着手,完善我国财产保险市场体系。     

企业套期保值研究及实证分析--基于基差复制技术的方法

文章针对企业套期保值过程中由于套保比率的设定以及入市点的错误选择使得企业面临亏损风险的问题而提出对策。笔者在套期保值比率问题上首次引入了寻找合理判断入市点的模型并给出了具体方法。利用金融工程中无套利的复制原理,复制出了一个远期的权益,从而得出了文章所认为的最优套保比率,为实务界经常运用的选择入市点问题给予理论支持。文章构建的模型得出,在套保比率的设定问题上不但要选择入市点,还要选择套保的时间因素。在买期保值上,当判断出市场行情有利时我们选择相对较大的保值比率,这样可以使我们能尽量获取基差上扬所带来的收益,另外又不至于把套保比率无限扩大使得套保变成投机,以防在万一出现行情错误的时候出现大幅亏损。在卖期保值上,当判断行情有利时,选择相对较低的保值比率,这样可以使我们能尽量获取基差下跌所带来的收益,另外又不至于把套保比率无限缩小甚至不保使得套保变成投机,以防在万一出现行情错误的时候亏损。     

美国银行业资本监管演变与新进展

文章旨在梳理美国银行业资本监管体系的演进过程,通过时序研究方法揭示美国银行业资本监管的发展动态与脉络。研究发现,美国银行业资本监管与其经济发展趋势密切相关,经济繁荣期监管当局倾向放松监管,这其中有着十分复杂的利益攸关方的激烈博弈,而在经济衰退期,在金融体系风险的压力下,监管当局会收紧监管标准。从中可以窥见,上世纪20年代前的宽松监管与1929年大萧条,二次世界大战后的经济繁荣与70年代经济滞涨,监管加强,80年代初的放松管制与80年代中后期银行大量倒闭,90年代金融服务现代化法案与2008年的全球金融危机,交替出现的银行业监管放松与收紧的变化有着内在的规律性。研究美国银行业资本监管历史、监管体系和监管措施,有助于我国加强银行体系的风险防范,完善银行业资本监管制度和机制。