Is default risk the hidden factor in momentum returns? Some empirical results

This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market‐based measure of default risk, we show that it is not the hidden factor behind this effect. While the loser portfolio is characterized by high default risk, small size, high book‐to‐market and illiquidity, characterization of the winner portfolio is somewhat more complex. Given that the momentum strategy is the return differential between the winners and the losers, factors such as the stock market cycle or the evolution of momentum portfolios against their reference point make momentum profits difficult to forecast.     

人格对风险决策框架效应的影响

文中在风险决策的基础上,引入人格变量,在不同的风险决策情境下探讨人格因素对风险决策框架效应的影响。结果表明：风险决策情境对框架效应是否出现影响显著;人格中的外倾内倾,感觉直觉,和思考情感维度容易产生框架效应,但框架效应能否产生还与决策情境有着密切的关系。     

基于多Agent的供应链牛鞭效应建模与仿真

文章基于多Agent技术构建了啤酒游戏供应链的仿真模型,给出了基于多Agent技术和Swarm平台构建供应链仿真模型的方法。基于该模型对供应链牛鞭效应进行了仿真分析,进一步深化了对牛鞭效应的认识。     

Interest rates,inflation, and the Fisher effect in China

The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s.     

The daughter effect: do CEOs with daughters hire more women to their board?

Using a sample of S&P 100 firms, we find that CEOs with a daughter are more likely to hire new women to their board of directors than CEOs without a daughter. Our results provide additional evidence that parents’ attitudes and actions are affected by the gender of their children and that the effect is strong enough to influence important decisions at large corporations.     

The momentum and reversal effects of investor sentiment on stock prices

In this paper, we illustrate the real function relationship between the stock returns and change of investor sentiment based on the nonparametric regression model. The empirical results show that when the change of investor sentiment is moderate, the stock return is positively correlated with the change of investor sentiment, presenting an obvious momentum effect. However, the stock return is negatively correlated with the change of investor sentiment if the change of investor sentiment is dramatic, presenting significant reversal effects. Moreover, the degree of reversal effect caused by extremely optimistic sentiment is greater than that driven by extremely pessimistic sentiment, which shows a significant asymmetry. Our findings offer a partial explanation for financial anomalies such as the mean reversion of stock returns, the characteristic of slow rise and steep fall in China's stock market and so on.     

医疗器械产业创新集群的现状及路径研究——以宁波市为例

产业集群能提高企业、区域和国家竞争力。当前以产业创新集群为代表的新一轮产业集群正在各地兴起。通过行业融合、知识外溢和集体行动，产业创新集群促进相关企业和支持性机构紧密互动而加速创新。医疗器械产业科技含量高，创新性强，是当前少数几个涉及学科最多的产业之一。以医疗器械产业为研究对象，从集群和区域创新发展的要义出发，挑选宁波地区的医疗器械行业，测算其行业集中度和产业集群效应，提出提升医疗器械行业集群度，激发产业创新集群活力的对策建议。     

Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective

This paper analyses the connectedness network for commercial traders’ sentiment across agriculture, energy, metals and livestock futures markets. The findings find that: (a) producer/merchant/processor/user (PMPU) in agricultural and energy markets are mainly engaged in cross-hedging in the futures market, and most of them would avoid risks in these markets by operating in the metal markets, which can be considered safe for PMPU traders, and that the cross-hedging strategies may play the role of PMPU sentiment spillover across futures markets; (b) as index traders, the swap dealers operate more in two markets, namely between the agricultural and metal markets, or between the agricultural and energy markets; (c) the influence of geopolitical risks in some countries can affect the stability of energy markets, which in turn can cause PMPU system-wide connectedness.     

中国沿海地区经济结构变动对海洋环境的影响

中国沿海经济结构的研究对海洋环境的发展意义重大,然而二者之间的定量关系及内在机理尚不完全清楚。以2007-2016年为研究时段,我国沿海11省(区、市)为研究区域,借助固定效应以及门槛模型,测度经济结构变动与海洋环境之间的关系。结果表明:①在经济结构中产业结构(-0.099)对海洋的弹性系数最大,其次是经济增速(-0.058),投资对象为正向影响,但不显著;非经济结构中,技术进步(0.052)的弹性系数最大,其中环境规制(-0.045)、人口规模(-0.045)抑制海洋环境的改善。②区域对比北部、东部海洋经济圈产业结构对海洋环境起抑制作用,另外,东部海洋经济圈环境规制、人口规模与海洋环境水平呈明显的负相关性;南部海洋经济圈相对于其他两个区域,结果不显著。③将产业结构、技术进步作为门槛变量,在各自的作用下分别存在双重门槛和单一门槛。产业结构门槛值为0.533、0.462,仅河北,福建未跨越第二门槛;科研能力门槛值为40,仅河北、福建、海南未跨过门槛值。因此,应适度调整产业结构,注重经济增长的质量,合理控制城镇人口的流动,积极鼓励科研创新,实现经济与海洋环境协调发展。     

装备制造企业绩效循环管理研究

介绍了企业绩效循环管理的概念与内涵,分析了我国中小型装备制造企业绩效管理的现状及存在的问题,并提出建立企业绩效管理体系的对策建议。