企业负债水平的亲周期性及经济逆转之必然——经济上行期时机选择理论的应用与结果

从市场时机选择理论出发,以上市企业负债水平为研究对象,用时间序列数据从盈利能力、行业特征、亲周期性等角度分析经济(周期)上升阶段上市企业的负债水平特征,发现我国上市企业总体资产账面值负债水平有明显的亲周期性,形成了经济下行的内在隐患。为此,把握微观经济主体行为与宏观经济运行的内在联系仍是当前需要解决的重要课题。     

Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance

In this application, we develop a model to simulate the decisions of a trader whose subjective distribution of returns may be correlated with realized stock returns. Using empirically estimated parameters from stocks in the CRSP database, we obtain performance data on a number of measures, including mean returns, volatility, the Sharpe measure, and the probability of a correct trading decision. The model suggests that daily trading of a portfolio of 20 volatile stocks gives a Sharpe measure better than that of buying and holding the S&P 500 when timing accuracy is 53% or better.     

Can mutual funds time risk factors?

Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods.     

市场时机对上市公司并购投资行为的影响

现有基于投资者非理性假设的企业投资行为研究多围绕实物投资展开,而对并购这一类特殊的企业投资行为很少涉及。本文采用市净率作为衡量市场误定价的指标,实证检验并购公司的市净率及现金流水平与并购投资规模的关系。研究结果显示:市场时机确实对我国上市公司的并购行为产生了显著影响,并购公司的股票市价被高估程度越高,并购投资的规模就越大;同时,拥有充裕现金流的公司比现金流不足的公司更容易做出非效率的并购投资决策。     

Analyst Pessimism and Forecast Timing

In this study, we show that on average relatively pessimistic analysts tend to reveal their earnings forecasts later than other analysts. Further, we find this forecast timing effect explains a substantial proportion of the well‐known decrease in consensus analyst forecast optimism over the forecast period prior to earnings announcements, which helps explain why analysts’ longer term earnings forecasts are more optimistically biased than their shorter term forecasts. We extend the theory of analyst self‐selection regarding their coverage decisions to argue that analysts with a relatively pessimistic view–compared to other analysts–are more reluctant to issue their earnings forecasts, with the result that they tend to defer revealing their earnings forecasts until later in the forecasting period than other analysts.     

管理者交易的市场择时能力对市场有效性的影响

管理者卖出和买入公告对股票市场具有一定的影响,以管理者卖出交易和买入交易为公告样本进行实证分析,检验公告当日及给定事件期超额收益的显著性.结果显示:卖出公告样本反对半强式有效假说,管理人能够“卖高”,获得超额收益；而买入公告样本支持半强式有效假说,管理者不能够“买低”,在公告日和事件期都不能获得超额收益.     

THE EFFECTS OF ABANDONMENT OPTIONS ON INVESTMENT TIMING AND INTENSITY

This paper examines how the presence of an abandonment option affects the timing and intensity of a firm’s investment. We develop a continuous‐time model wherein a firm is endowed with a perpetual option to invest in a project at any time by incurring an investment cost at that instant. The amount of the investment cost is directly related to the intensity of investment that is endogenously chosen by the firm at the investment instant. The project generates a stream of stochastic revenue flows with a concomitant stream of constant cost flows, both of which increase with the investment intensity. We show that allowing the firm to make an irreversible decision to abandon the project does not affect the firm’s optimal investment intensity if the investment cost is totally reversible. Otherwise, the option to abandon the project induces the firm to choose a lower level of investment intensity. Furthermore, we show that the presence of the abandonment option pushes down the firm’s optimal investment trigger, thereby hastening the undertaking of the project.     

适用于多速率高阶QAM的定时同步改进算法

针对速率可变的高阶正交幅度调制(QAM)信号定时同步问题，提出了一种基于Gardn er理论的定时同步改进算法。新算法改原有滤波器结构为两级插值级联优化结构来实现多速 率信号的定时同步，可独立于载波同步单独使用，比传统结构具有更强的普遍适用性。仿真 结果表明，该算法可以准确地对速率可变的128QAM信号进行同步。