Do hedge funds time market tail risk? Evidence from option-implied tail risk

This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks.     

How efficient is the market for Australian firms’ earnings information?

We construct a measure of the speed with which forecasts issued by sell-side analysts accurately forecast future annual earnings. Following Marshall, we label this measure earnings information flow timeliness (EIFT). This measure avoids the aggregation problem inherent in price-based measures of information efficiency. We document large variation in EIFT across firm-years, and show that EIFT is positively associated with the extent of analyst following, consistent with increased analyst coverage improving the speed with which earnings-related information is recognised. We also find that EIFT is higher for firm-years classified as ‘bad news’ (i.e., where analysts’ forecasts at the start of the financial period exceed the reported outcome). However, when we separately consider instances where analysts appear to forecast non-GAAP (or ‘street’) earnings rather than GAAP earnings, we find that the greater timeliness of bad news is concentrated among observations where analysts forecast non-GAAP earnings, where unusual items are typically excluded. We conclude that the market for accounting information is more efficient for negative operating outcomes than for negative outcomes reflecting unusual items.     

VIX term structure and VIX futures pricing with realized volatility

Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods.     

The impact of XBRL on real earnings management: unexpected consequences of the XBRL implementation in China

Review of Quantitative Finance and Accounting - In this paper, we investigate whether there is a change of real earnings management for firms facing pressures of the new technology implementation...     

Operational risk quantified with spectral risk measures: a refined closed-form approximation

The quantification of operational risk has become an important issue as a result of the new capital charges required by the Basel Capital Accord (Basel II) to cover the potential losses of this type of risk. In this paper, we investigate second-order approximation of operational risk quantified with spectral risk measures (OpSRMs) within the theory of second-order regular variation (2RV) and second-order subexponentiality. The result shows that asymptotically two cases (the fast convergence case and the slow convergence) arise depending on the range of the second-order parameter. We also show that the second-order approximation under 2RV is asymptotically equivalent to the slow convergence case. A number of Monte Carlo simulations for a range of empirically relevant frequency and severity distributions are employed to illustrate the performance of our second-order results. The simulation results indicate that our second-order approximations tend to reduce the estimation errors to a great degree, especially for the fast convergence case, and are able to capture the sub-extremal behavior of OpSRMs better than the first-order approximation. Our asymptotic results have implications for the regulation of financial institutions, and may provide further insights into the measurement and management of operational risk.     

基于熵权Topsis的淮河生态经济带水资源承载力评价

[目的]评价发展规划驱动下的水资源承载力特征,为区域发展提供科学依据。[方法]以淮河生态经济带为对象,采用熵权重的Topsis评价方法,分析淮河生态经济带水资源承载力的区域差异及其影响因素。[结果] 2015年不同市县水资源承载力综合得分介于0. 305 8～0. 698 8之间,其中盐城市最高,桐柏县最低;境内江苏、安徽、河南3省的水资源承载力分别为0. 585 2、0. 478 2、0. 524 9。[结论](1)淮河生态经济带水资源承载力具有在淮河干流上、下游承载力高,但中游偏低的空间分布特征。(2)水资源系统层面,水资源总量是承载力高低的供给侧决定性因素,是水资源承载力高低的重要基础。(3)社会系统中,用水量与用水结构是提升和优化水资源承载力的调控性因素。(4)城镇化发展与人口增加是水资源承载力高低的胁迫性因素,而经济发展水平是水资源承载力调控的重要保证。     

民用建筑群风环境设计评价与分析

民用建筑群风环境的好与坏直接影响着人们生活环境是否宜居,本文针对陕西省安康某建筑群(包含住宅、办公楼和商用建筑)设计文件进行室外风环境评价与分析,通过CFD软件模拟夏季、冬季及全年最大风荷载下多个典型工况的进行分析,对本项目设计文件进行评价并给出相应的建议,为此类大型民用建筑群室外风环境设计提供相应的理论依据和参考.     

Auditors' Responses to Workload Imbalance and the Impact on Audit Quality*

Using detailed data for fieldwork hours and audit hours by rank from audit engagements in Korea, we examine whether audits conducted under workload imbalance, proxied by busy‐season audits, impair audit quality, and how auditors adjust staff assignments for busy‐season audits. We generally find that busy‐season audits are associated with lower audit quality, and that audit firms reduce the involvement of senior auditors during busy‐season audits. In addition, the greater the involvement of senior auditors and junior auditors, the lesser the deterioration in audit quality. Finally, although there is no increase in interim audits in response to workload imbalance during busy seasons, increasing interim audits can mitigate the negative impact of busy‐season audits on audit quality. Our results are relevant to auditors and regulators, who have expressed concerns about the adverse effects of workload imbalance on audit quality.     

交通运输业在产业链上位置测度及动态演变

运用产业上游度测度模型,测度了中国交通运输业在产业链上的位置,并分析了其动态演变,以此来认识其在国民经济中的基础性作用.研究发现:总体而言,中国交通运输业在全球产业链上的上游度明显地高于其在国内产业链上的上游度;相对于国内产业链中的位置,交通运输业在全球产业链中的位置较高,其生产者服务业特性更加明显;从国内产业链到全球产业链,交通运输及仓储业的国外产业上游度平均值要明显地高于邮政业;净出口对交通运输业国外上游度影响较大,其净出口变化方向与其国外上游度变化方向相同;交通运输业国内产业上游度和其全球产业上游度变化趋势是一致的.     

我国水稻产业供给侧结构性改革的思考

[目的]文章在供给侧改革视角下对水稻供需的结构性矛盾等方面进行梳理,分析基于供给侧改革战略的关键环节、实施路径和未来发展趋势,以期为制定我国水稻供给侧改革战略提供参考。[方法]采用文献分析法和调查研究法,从我国水稻生产供求结构、价格"天花板"和成本"地板"双重挤压、水稻生产的资源环境、市场调节等方面分析了我国水稻产业供给侧的现状和存在的问题;通过日本、泰国、中国五常大米政策特点和经验教训的启示,提出了我国水稻产业供给侧结构性改革的策略。[结果]在分析我国水稻产业供给侧现状的基础上,总结得出水稻产业供给侧改革措施:优化水稻产业空间和功能布局,以项目带动水稻产业结构调整,提高和优化稻米品种品质结构、审定标准向抗性优质专用水稻品种倾斜,因地制宜调减水稻生产面积,调整国家收储稻米标准,延长水稻全产业链等。[结论]加速我国水稻产业供给侧改革,能促进稻米产业结构快速升级,有效破解稻米产业的结构性矛盾,增强我国稻米产业可持续发展能力和国际竞争力。