How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

我国财政转移支付绩效的实证分析

本文主要通过对1994年以来我国财政转移支付绩效的实证分析,探讨转移支付制度对我国各地区之间财力横向均衡的影响,并提出进一步提高财政转移支付绩效的政策建议。     

基于DEA的物流产业效率测度实证研究——基于我国31个省、市、自治区2008年投入产出数据

文章运用DEA的CCR模型和“超效率”(Super-Efficiency)模型,根据我国31个省、市、自治区2008年物流产业投入产出数据,利用Deap2.1和DEA-Sotver-J.V两个软件对物流产业投入产出效率进行实证研究.结果表明:以上海为代表的15个省市、自治区物流产业投入产出这到相对有效,以北京为代表16个省、市、自治区存在投入冗余,以内蒙古为代表的欠发达地区存在投入不足,产出效率偏低.同时,在非DEA有效省、市、自治区,表现出规模效率大于纯技术效率,进而影响了相对效率,文章对此进行投影分析,并以内蒙古为例,探讨了物流产业投入产出如何实施DEA效率改进.     

黄河流域和长江经济带制造业绿色转型效率对比

以黄河流域和长江经济带沿线19个省份为样本,建立超效率SBM(slack-based measure)模型测算分析了2013-2022年黄河流域和长江经济带的制造业绿色转型效率,并利用\"泰尔指数\"进行转型效率的差异性分析.研究发现,长江经济带绿色转型效率呈上升趋势,相反黄河流域发展相对缓慢;通过差异性分析发现黄河流域的域制造业绿色转型效率低于长江经济带,并且黄河流域中各省份的差异性相差较大.     

我国区域金融效率测度及效率差异研究

运用数据包络分析法（DEA）测度了1995--2009年我国区域金融效率,并用基尼系数和泰尔指数分别从省际和区际层面衡量了我国区域金融效率差异。结果显示,我国金融效率整体水平较低,金融效率区域差异不大。金融效率及效率差异都呈现出了明显的两阶段特征,其中2002年是转折点。2002年后,各地区金融效率都有了一定程度的提高,与此同时,金融效率区域差异开始收敛。区域金融效率差异的分解结果显示,区域内金融效率差异是区域金融效率总差异的主要原因,平均贡献率超过了75％。     

新制度经济学委托代理理论视野的拓展

新制度经济学中的委托代理理论基于\"经济人理性\"假定,设计出了精密、精巧、精致的委托代理制度,有效化解了现代企业中委托人与代理人之间利益冲突并提升了企业运营效率。然而,现代企业实践已经证明,即使委托代理制度十分精密、精巧、精致,仍然没有彻底解决委托人与代理人之间的利益冲突和企业运营效率进一步提升问题。因此,必须拓展既有理论视野,从\"经济人理性\"假定拓展到\"经济人+社会人+家庭人复合理性\"假定,这样就能够实现委托代理理论视野的拓展。运用新制度经济学研究方法和双边对称信任数理模型表明:基于委托代理制度,进一步强化委托人与代理人之间双边对称信任度,可以进一步化解他们之间的利益冲突并且改善企业运营效率。基于这一结论,强化委托人与代理人之间双边对称信任度的具体路径是优化社会信任环境系统。