大股东控制与现金持有价值关系的经验研究

本文以沪深两市2005—2010年391家上市公司为样本,检验了大股东控制对中国上市公司现金持有价值的影响。研究发现,第一大股东持股比例与企业价值间是一种近似U型的非线性关系,第一大股东持股比例的临界点为45%。将第一大股东持股比例与现金持有量的交互项引入模型,回归发现,当第一大股东持股比例小于45%时,交互项的系数显著为负,大股东控制的壕沟效应占主导;当第一大股东持股比例超过45%时,交互项的回归结果不显著。没有证据表明第一大股东性质会对企业价值发挥显著影响。     

Performance hypothesis testing with the Sharpe ratio: The case of hedge funds

As recent research highlights that the Sharpe ratio has a decision theoretic foundation even in the case of asymmetric or fat-tailed excess returns and thus is adequate even for the evaluation of hedge funds, this note provides the first Sharpe ratio based performance analysis of the hedge fund market. Furthermore, it addresses the important practical question whether the choice of hypothesis test used to statistically compare Sharpe ratios can influence an investor’s hedge fund selection process. Our key findings are as follows: (i) Only a small fraction of hedge funds in our large dataset can significantly outperform passive investments in corresponding hedge fund indices. (ii) Especially in the presence of autocorrelated or skewed excess returns, the traditional test of Jobson and Korkie, 1981, Memmel, 2003 tends to overstate the number of significant outperformers and thus provides potentially misleading information for investors. Decision makers are advised to use the bootstrap test of Ledoit and Wolf (2008) allowing robust and more reliable inference.     

The mixing ratio in the Indonesian dairy industry

The Indonesian dairy industry has been viewed by the Indonesian government as an industry that has the potential to improve the welfare of low income and landless farmers through providing them with an additional source of farm income. As well, the government sees the industry as a vehicle for providing opportunities for employment in rural areas. From an economy wide viewpoint, its development is viewed as a way Indonesia might save foreign exchange since a large share of its dairy requirements have to be imported. A variety of measures have been used to assist the industry. This paper investigates one of the measures, the BUSEP scheme or mixing ratio regulation which requires domestic processors to use Indonesian produced milk before imported milk.     

确保砼外观质量的施工技术措施

随着桥梁工程建设越来越注重砼外观质量,特别是城市及旅游景点的桥梁工程,出露的结构物往往要求一次浇筑成型,面层平整光滑、色泽均匀,棱角顺直、无碰损和污染,不需做任何外装饰,直接采用现浇砼的自然色作为饰面。文章通过模板、砼配合比、砼浇筑及振捣等方面详细阐述了确保砼外观质量的技术措施。     

负运价的财务原因与管理策略——中国海运业负运价案引发的思考

在国际海运市场上,由于竞争激烈,海运运价日益下滑。海运企业为了揽活,以不收钱甚至倒贴钱的方式,将货主的货物送达目的港口,出现了零运价和负运价现象。文章提出,负运价其实是中国海运业的一种高风险财务策略,负运价并不等于负的运费收入,负运价的实施只是削减了利润,并不意味着海运企业必然亏损,甚至有时还有利可图。负运价将导致市场无序化,带来海运企业更高程度的经营风险。因此,必须在宏观上加强法律法规约束,树立共赢的财务理念,追求卓越的服务质量,开创新的市场空间,确立战略管理思维,并实行相对谨慎的财务管理策略,以加强对海运业的管理,促进海运业稳健发展。     

共同代理框架下工程保险技术服务的机制设计

本文从试图克服工程保险发展的技术障碍入手,提出由业主和保险人共同委托监理机构提供工程保险技术服务的共同代理模型,并从任务之间的关联性、任务的难易程度对模型结果进行了研究,得出保险人必须要与业主共谋是最优策略的结论,会导致最有效率的产出。     

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.     

另类投资正在向主流演变——欧美对冲基金的新趋势分析

近期,美国次贷危机引发了全球金融机构的大面积亏损和恐慌。对冲基金在这次危机中也难于独善其身,次贷及其衍生证券的多头机构损失惨重。由于对国际对冲基金认识的错位,一些学者再一次夸大对冲基金在此次金融事件中的破坏作用。而在我国,随着《证券公司融资融券业务试点管理办法》出台,标志着股票市场放大操作和做空机制的开始;下一步,随着金融期货,尤其是股指期货和债券期货的推出,做空和杆杠融资机制将得到进一步的完善,国内市场对冲基金的生长环境正在日趋成熟。本文旨在通过研究近代欧美对冲基金的最新发展状态,披露国际对冲基金的市场出现的最新动向,为中国市场正确对待可能出现的对冲投资行为和对冲基金,实施有效的疏导和监管政策提供一些有益的参照。     

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.