Duration Dependence,Behavioral Restrictions,and the Market Timing Ability of Commodity Trading Advisors

This paper addresses a potential shortcoming in the work on the market timing ability of fund managers. We adapt the Henriksson‐Merton (1981) test for market timing by relaxing a behavioral assumption that is implicit in the use of daily data. To this end, we relax the assumption that managers base their market timing decisions on daily excess returns. Instead, we use results from the literature on bull and bear markets and test whether fund managers can successfully time such trends in financial markets. We make use of a proprietary dataset of daily Commodity Trading Advisors (CTAs) returns to show that CTAs, on average, are able to time the bull and bear markets we identify.     

夜盘交易与商品期货隔夜风险

隔夜风险的防范和监控是投资者和监管部门关注的焦点,探索有效降低隔夜风险的方法具有现实意义。基于信息和投资者行为视角构建夜盘交易影响商品期货隔夜风险的理论模型,根据各品种成交量和投机度在实施夜盘交易前后的变化、结合各品种之间的关联度,在金属、农产品、黑色系以及化工品四类商品期货中选取10个具有代表性的品种对研究假说进行实证检验。研究结果表明夜盘交易可以降低商品期货的隔夜风险,期货市场的适度投机是该制度发挥作用的基石,但夜盘交易对商品期货隔夜风险的影响不存在时间效应,监管上应避免处于过度投机状态的期货品种实施夜盘交易。     

跨商品期货价差套利——以大连商品交易所豆类产品为例

在简要分析大豆提油套利的理论基础后,基于2006年到2012年6月间的大样本日度交易数据对大豆、豆油、豆粕三者间的数量关系进行了计量实证,实证结果证明提油套利收益率和成功率较高,而反向提油套利则大部分不能成功。     

公司与农户间商品契约稳定性问题的进一步探讨

本文针对"商品契约优于要素契约"的观点,就商品契约稳定性问题作了进一步的探讨。本文认为,签约产品专用性的强弱是分析商品契约稳定性的基本前提;产品专用性强的商品契约自身能有效地抑制农户将产品转售市场的机会主义行为,因而契约是稳定的;对于产品专用性弱的商品契约,实行市价加成法并不能有效地抑制农户的机会主义行为,而在实践中成功运用的虚拟高价法则可以有效地抑制农户的机会主义行为,从而确保契约的稳定。     

Political patronage and firm performance: Further evidence from Malaysia

This paper investigates the characteristics, performance, and share price reaction of politically connected firms versus a control sample of independent firms in Malaysia. Politically connected firms had higher level of leverage, lower profitability, and lower sales to profitability, and paid lower taxes and lower dividends compared to independent firms. Their share prices increase with the announcement of favorable political events. In terms of performance, the active rent‐seeking activities in return for preferential treatment produce comparable performance to independent firms during an economic upturn. However, their performance deteriorates more than independent firms during an economic downturn. The percentage of ownership of government institutions in politically connected firms is also much lower, and these firms use more Tier 1 auditors than the independent firms. Overall, the findings are consistent with expectations and evidence from similar studies in developed and developing economies. © 2012 Wiley Periodicals, Inc.     

配送中心营运绩效评价分析

本文在阐述配送中心配送活动绩效评价必要性的基础上,首先对配送中心各要素定位进行定量评价,第二步使用AHP和DEA两种定量分析工具,各取所长,构建一种两阶段评价模型。在此基础上,构建配送中心配送营运绩效评价指标体系。     

Trading activity in stock index futures markets: The evidence of emerging markets

This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which may explain such patterns, is examined. Overall, the trading pattern appears to be U‐shaped for the TAIFEX futures and U+W‐shaped for the SGX‐DT. For the SGX‐DT futures, volatility follows the same pattern as that of the number of price changes. For the TAIFEX futures, however, after the peak at the close of the spot market, the volatility in the TAIFEX futures drops consistently until the end of the day while volatility in the SGX‐DT still reaches a smaller peak at the close of the futures market. In addition, a visual inspection of the intraday patterns of these two markets shows that the market closure theory can effectively explain the intraday patterns of these two markets. The empirical results support the market closure theory in that liquidity demand from traders rebalancing their portfolios before and after market closures creates larger volume and volatility at both the open and close. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:983–1003, 2002     

Commission deregulation and performance of securities firms: Further evidence from Japan

This study explores the impacts on small securities firms’ performance of the multi-stage commission deregulation in Japan from 1994 to 1999. Different from previous findings, market volume does not rise while commission rates fall following each phase of the deregulation. Therefore, securities firms’ stock performance tends to decline as the deregulation proceeds, contrasting with the stock price increase reported previously. Moreover, the negative price effect tends to vary with firm size and deregulation phase, consistent with the fact that securities firms of different sizes depend to different extent on commission income from transactions covered by different phases of the deregulation.     

全球多边贸易体制下的博弈策略与效益

经济全球化进程加深了国家之间的相互依存,各国进行着多边、区域、双边、单边各个层次的全方位政治经济博弈,国际和国内各种因素相互影响,参与各方最终均获得博弈收益。从结果来看,WTO成功地推进了全球贸易自由化的进程,虽然总体而言成员国都获取了收益,但利益分配并不均衡。从各成员贸易自由化的经验来看,不同的国家在不同的时期和不同的背景之下,其绩效大相径庭。为此,在对美国、欧盟、日本、印度等国在全球多边贸易体制下的博弈策略和效果进行比较的基础上,综述发展中经济体面临的挑战及"反边缘化"努力,提出了中国如何确保从多边博弈中获益。     

Performance and size: empirical evidence from Portuguese SMEs

This article studies the relationship between company size and performance for small and medium-sized Portuguese companies. Using dynamic panel estimators, we conclude that performance is related positively to size. This relationship suggests the greater relevance of scale effects, diversification and the greater ability of larger companies to cope with market changes. Furthermore, our empirical results show that performance is persistent, not showing discontinuity, suggesting that small and medium-sized Portuguese companies are relatively successful in coping with possible scenarios of aggressive competition. Debt and level of fixed assets influence performance negatively, and separation of management and ownership influence performance positively. Liquidity, risk and ownership control are not relevant in explaining the performance of small and medium-sized Portuguese companies.

我国大宗商品交易物流网络重构——以湖北煤炭为例

随着我国经济发展进入新常态以及《大气污染防治行动计划》的实施,作为典型大宗商品的煤炭,其需求已经从高速增长转向低速增长,我国煤炭市场将进入转型升级期,煤炭交易物流问题成为经济社会发展的重大现实课题。考虑到能源市场化改革新阶段我国煤炭物流发展所面临的节能减排和绿色发展要求,为更好地适应煤炭交易信息化、物流网络化新趋势,把握新一轮规划给煤炭物流发展带来的新机遇,更好地构建煤炭现货交易体系,重构煤炭物流配送网络,形成煤炭物流监管新体系,推动煤炭物流企业转型发展,应着力构建统一开放的多功能煤炭交易系统,构建以市场为导向的煤炭物流多元服务系统,构建区域煤炭储备与应急支撑系统,构建诚信经营的煤炭物流实时监管系统。     

Commodity windfalls,polarization, and net foreign assets: Panel data evidence on the voracity effect

This paper examines the effects that windfalls from international commodity price booms have on net foreign assets in a panel of 145 countries during the period 1970–2007. The main finding is that windfalls from international commodity price booms lead to a significant increase in net foreign assets, but only in countries that are ethnically homogeneous. In highly ethnically polarized countries, net foreign assets significantly decreased. To explain this asymmetry, the paper shows that in ethnically polarized countries commodity windfalls lead to large increases in government consumption expenditures and political corruption. The paper's findings are consistent with theoretical models of the current account that have a built-in voracity effect.     

United States concessions in the Kennedy Round and short-run labour adjustment costs: Further evidence

The intent of this article is to add further empirical evidence to the frequently espoused hypothesis that the decision-making process used by U.S. tariff negotiators is heavily weighted by their assessment of the likely labor displacement effects that trade liberalization may have on domestic interests. Using data on 477 workers displaced from six different industries the results demonstrate that industries with high labor adjustment costs received greater exceptions from the across-the-board tariff cut in the Kennedy Round of the Multilateral Trade Negotiations than industries with lower adjustment costs.     

Further Evidence on the Role of Gender in Financial Performance

Using a sample of 160 sole proprietors and controlling for other determinants of performance, we hypothesize and find support for the view that gender is not a significant direct explanation of financial performance differences among small accounting practices. The control variables we employ are practice characteristics, motivations, and individual owner characteristics. Our results indicate that although financial performance appears to be significantly different for females' and males' sole proprietorships, these performance differences are explained by several variables other than gender directly. At the same time we find that gender moderates the effects of other practice and personal characteristics on financial performance. One of the more interesting results is that women with a stronger motivation to establish a public practice to balance work and family experienced more positive financial outcomes, while for men the same motivation reduced financial performance.