Market Efficiency Anomalies in Korea: Mispricing vs. Omitted Risk Factors

Using a sample of Korean firms, this paper examines whether abnormal returns to various trading strategies based on publicly available information are consistent with mispricing (market inefficiency) or with the fundamental variables proxying for omitted risk factors. Results of various tests indicate that significant abnormal trading profits observed from DeBondt and Thaler';s (1985) contrarian strategy and Ou and Penman';s (1989) and Holthausen and Larcker';s (1992) Pr-strategies are likely to be a result of market mispricing, while those from trading strategies based on firm size, earnings-to-price ratios, and book-to-price ratios are likely to be a result of omitted risk factors.     

Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process

This paper studies the performance of pairs trading strategy under a specific spread model. Based on the empirical evidence of mean reversion and jumps in the spread between pairs of stocks, we assume that the spread follows a Lévy-driven Ornstein–Uhlenbeck process with two-sided jumps. To evaluate the performance of a pairs trading strategy, we propose the expected return per unit time as the value function of the strategy. Significantly different from the current related works, we incorporate an excess jump component into the calculation of return and time cost. Further, we obtain the analytic expression of strategy value function, where we solve out the probabilities of crossing thresholds via the Laplace transform of first passage time of the Lévy-driven Ornstein–Uhlenbeck process in one-sided and two-sided exit problems. Through numerical illustrations, we calculate the value function and optimal thresholds for a spread model with symmetric jumps, reveal the non-negligible contribution of incorporating the excess jumps into the value function, and analyze the impact of model parameters on the strategy performance.     

产品与技术开发健壮设计信噪比分析

详细分析了产品与技术开发过程中,健壮设计试验可控因素间存在交互作用而产生的负效应.利用轴与轴上零件间由于过盈配合所产生的压应力试验,用产生压应力的可控因素间的交互作用.进行了实例分析,充分体现了可控因素间交互作用的后果,并提出了解决办法.     

Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets

This paper examines empirical contemporaneous and causal relationships between trading volume, stock returns and return volatility in China's four stock exchanges and across these markets. We find that trading volume does not Granger-cause stock market returns on each of the markets. As for the cross-market causal relationship in China's stock markets, there is evidence of a feedback relationship in returns between Shanghai A and Shenzhen B stocks, and between Shanghai B and Shenzhen B stocks. Shanghai B return helps predict the return of Shenzhen A stocks. Shanghai A volume Granger-causes return of Shenzhen B. Shenzhen B volume helps predict the return of Shanghai B stocks. This paper also investigates the causal relationship among these three variables between China's stock markets and the US stock market and between China and Hong Kong. We find that US return helps predict returns of Shanghai A and Shanghai B stocks. US and Hong Kong volumes do not Granger-cause either return or volatility in China's stock markets. In short, information contained in returns, volatility, and volume from financial markets in the US and Hong Kong has very weak predictive power for Chinese financial market variables.     

液氨钢瓶气密试验排气消声器的设计

本文介绍了以阻性消声为主的复合式消声器的设计原理;消声器的结构设计方法;消声器的使用效果。采用以阳性消声为主,辅以小孔喷注消声和扩散消声的复合式消声器后,能使排气放空噪声控制在87dB(A)以内,降噪值达33dB(A)。在喷气管道上安装消声器,是控制液氨钢瓶排气噪声的有效措施。     

知情交易概率能够测度信息风险吗?——以并购公告前后的信息效应为例

本文利用2004～2008年的86起并购重组事件考察了并购公告前后信息结构的变化。发现在并购公告之前,存在显著的信息泄漏。本文检验了并购公告前后知情交易概率(PIN)的变化,发现并购公告前的PIN低于并购公告后的PIN,从而表明PIN无法准确地反映信息不对称程度,因而PIN并不是衡量信息不对称的很好指标。另外,买卖价差在并购公告之前逐渐上升,并购公告之后逐渐下降,因此,买卖价差能够较好地反映信息结构的变化。     

中国电力行业排污权交易机制设计研究——基于欧美国家的相关经验

排污权交易对排污企业具有内在的调节激励作用,其较传统的行政管制能更有效地促进环境容量资源的有效配置。基于此,本文通过对排污权交易和欧美国家的相关经验进行简要介绍,同时结合我国电力行业的自身特征,构建了我国电力行业排污权交易市场的机制设计框架,并提出了相关的政策建议。     

集合竞价与连续竞价机制下权证价格行为的分析

本文运用价格调整模型,对比分析了集合竞价和连续竞价机制对权证开盘价收益率和收盘价收益率的影响。研究表明:在深沪两市收盘采取不一致的竞价方式的情况下,深沪两市权证价格行为存在较大差异。深市权证开盘价收益率与收盘价收益率的方差比值、最小值以及最大值比值的均值均大于沪市权证相应比值的均值,而峰度比值、偏度比值和一阶自相关系数比值的均值则相反,这表明竞价机制影响了权证价格行为的变动。     

内生交易费用、分工演进与中美汇率博弈——一个新兴古典经济学视角

笔者认为,中美当前这场人民币汇率博弈将是一个混合战略均衡,即双方以某一概率值选择博弈策略,而该概率值又是一个多变量的函数.     

反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究

本文利用2002年至2007年基金交易数据,从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明：我国开放式基金所投资的股票在中期内并不存在动量效应,相反存在显著的反转效应,基金的投资行为也表现出明显的负反馈交易策略;与前期股票的买入比率相比,股票的收益率以及收益率的波动对基金投资策略的影响更为明显;开放式基金前期的股票交易会加剧当期的股价波动。