An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance

Merton (1973) and Campbell (1993) have demonstrated that if an investor anticipates information shifts, he will adjust his portfolio choice today in an attempt to hedge these shifts. Exploiting these insights, we construct a new performance measure to evaluate fund managers' hedging ability. This new measure is different from two widely adopted performance evaluation measures: securities selectivity and market timing. Moreover, an econometric methodology is developed to simultaneously estimate the magnitudes of these three portfolio performance evaluation measures. The results show that mutual fund managers are on average with positive security selection and negative market timing ability. Furthermore, the mutual funds with investment style classified as Asset Allocation generally have positive hedging timing ability.     

领导力发展项目的设计与实施

本文依据对美国一流组织经验的分析,总结得出领导力发展项目设计与实施基本原则、一般程序。基本原则包括:全面关照领导力在个人层次、关系层次和集体情境层次上的协调发展,使项目成为一个动态的、持续的过程,使项目具有针对性。而成功的项目设计与实施一般都包括组织诊断、项目参加者选择、领导力发展需求测评、项目设计、项目实施、后续支持和总体评价几个阶段;各阶段的具体经验也在文中进行了分析。     

企业竞争优势根源的理论演进

企业的竞争优势已成为战略管理领域的一个重要研究方向。半个世纪以来,探讨持续竞争优势的文献层出不穷。在众多战略管理文献中,对于企业如何获得竞争优势这一问题,学者们主要基于企业内部和外部两种视角进行研究,试图找到企业获取竞争优势的根源。本文拟对探讨企业竞争优势根源的各种理论观点进行较为系统的梳理,通过分析总结,指出这些理论观点所存在的局限性。最后,在已有研究的基础上,本文认为能力生命周期概念为获取企业竞争优势的根源提供了一个新的思路,并提出了企业竞争优势来源研究模型,以指导企业赢得竞争优势。     

An International Asset Pricing Model with Time-Varying Hedging Risk

This paper employs a two-factor international equilibrium asset pricing model to examine the pricing relationships among the world's five largest equity markets. In addition to the traditional market factor premium, a hedging factor premium is included as the second factor to explain the relationship between risks and returns in the international stock markets. Moreover, a GARCH parameterization is adopted to characterize the general dynamics of the conditional second moments. The results suggest that the additional hedging risk premium is needed to explain rates of return on international equities. Furthermore, the restriction that the coefficient on the hedge-portfolio covariance is one smaller than the coefficient on the market-portfolio covariance can not be rejected. This suggests that the intertemporal asset pricing model proposed by Campbell (1993) can be used to explain the returns on the five largest stock market indices.     

How Much Extra Premium Does a Loss-averse Owner-occupied Home Buyer Pay for His House?

The dual role of houses as durable consumption goods and as financial investments makes the option approach a suitable method for evaluating them. When the buyer of an owner-occupied home spends a large amount of money on a house, he pays the bill to cover not only construction costs but also the premium for an at-the-money call on the house. With loss aversion, he believes that if the house price rises from its current price (i.e., the strike price), he may make a profit by selling the house. On other hand, if the house price drops, he just keeps the house to wait for a better selling price, and treats the house as a durable good that provides him with shelter. The dual role of houses enables the homebuyer to enjoy the upside potential from the viewpoint of investment, but to eliminate the downside risk from the viewpoint of consumption. As a result, we propose that homebuyers are often willing to pay more for a house as a call premium. In addition, both the homeownership constraint and the homebuyer??s ambiguity aversion will influence his subjective evaluation of the call.     

中国体育产业产能增长的内在机制研究

文章通过建立MSVAR区制模型,利用区制划分后的数据,对比分析经济发展新常态下中国体育产业产能增长的内在机制问题.结果显示:中国经济新常态下,中国体育产业持续增长的态势依然明显;拉动体育产能持续增长的主要因素由政府投资转向企业投资;当期的体育企业投资更多受前一期投资的影响,易出现重复和跟风投资;科技力量还未成为体育产业产能增长的主要因素,但是体育市场已经对其发出强烈需求的信号.据此,文章认为体育企业应重视投资时滞问题,减少重复、盲目投资;政府的宏观调控应引导更多的社会资金进入体育科技创新领域,优化资源配置和产业结构,从而推动中国体育产业高质量持续发展.     

我国发展生态旅游的优势分析

生态旅游是当今世界旅游发展的热点和潮流,虽然在我国旅游业体系中尚处于起步阶段,但其被重视和关注的程度,远远超出了人们的想象和业内人士的预测。强劲的市场需求、雄厚的资源基础、成功的经验借鉴,成为我国发展生态旅游的比较优势。