An empirical re-examination of the dividend–investment relation

Modigliani and Miller show that, in perfect capital markets, the optimal investment decisions of a firm are not affected by how these investments are financed. Miller and Modigliani further imply that, under the assumption of perfect capital markets, a firm's investment decisions are not affected by its dividend decisions, although dividend decisions may or may not be influenced by investment decisions. Fama and Miller label this result the separation principle. Most recent studies of the separation principle that take into account the existence of market imperfections report sharply contradictory results. This paper tests for linear and nonlinear causality between dividends and investments using both firm-specific and aggregate data for a sample of 417 firms over the 1962 to 2004 period. In general, linear causality tests support the separation principle, whereas nonlinear causality test results contradict the separation principle by revealing strong bi-directional linkages between dividends and investments.     

Bankruptcy in long-term investments

Long-term portfolio management is an important issue in modern finance and practice. We have analysed various known continuous-time strategies in portfolio management, with a focus on bankruptcy probabilities under these strategies. We show that, for each strategy, there is a threshold in the target return rate. When the target return rate is set above this threshold, the application of the strategy for a long investment horizon leads to certain bankruptcy. For a target return rate lower than this threshold, bankruptcy never occurs. Bankruptcy probabilities under a finite investment horizon are also studied. An empirical study based on the Dow Jones Industrial Average Index confirms these results. By comparing the behaviour of these strategies in various parameter regions, we reveal connections among these seemingly different strategies.     

Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks

We suggest that an unexpected volatility shock is an important risk factor to induce the intertemporal relation, and the conflicting findings on the relation could be attributable to an omitting variable bias resulting from ignoring the effect of an unexpected volatility shock on the relation. With the effect of an unexpected volatility shock incorporated in estimation, we find a strong positive intertemporal relation for the US monthly excess returns for 1926:12–2008:12. We also find a significant link between the asymmetric mean-reversion and the intertemporal relation in that the quicker reversion of negative returns is attributed to the negative intertemporal relation under a prior negative return shock.     

Alternative beta applied—an introduction to hedge fund replication

Motivated by the surge in popularity of passive hedge fund investments, the present article discusses the concept of “alternative beta” and its implications for the hedge fund industry. The article covers a variety of topics, ranging from the basic rationale for hedge fund replication to replication methodologies and products to the academic and financial market environment. We find that with their radical departure from the hedge fund hallmark of alpha delivery, passive replication products represent the next generation of hedge fund investing, and offer the catalyst for further development of the matured hedge fund industry. Further, we show how the alternative beta concept contributes to a proper separation of alpha, and thus enhances the overall efficiency and quality of hedge fund returns. The article also demonstrates that hedge fund replication can take several different forms. In conclusion, we believe that passive hedge fund products have the potential to consistently outperform mediocre (funds of) hedge funds on an after-fee basis.

Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series

We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as real, asymmetric random matrices where the time-shift superimposes some structure. We demonstrate that, for large matrices, the associated eigenvalue spectrum is circular symmetric in the complex plane. This fact allows us to exactly compute the eigenvalue density via an inverse Abel-transform of the density of the symmetrized problem. We demonstrate the validity of this approach numerically. Theoretical findings are then compared with eigenvalue densities obtained from actual high-frequency (5 min) data of the S&P 500 and the observed deviations are discussed. We identify various non-trivial, non-random patterns and find asymmetric dependencies associated with eigenvalues departing strongly from the Gaussian prediction in the imaginary part. For the same time-series, with the market contribution removed, we observe strong clustering of stocks into causal sectors. We finally comment on the stability of the observed patterns.     

Do hedge funds dynamically manage systematic risk?

Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time varying allocation of hedge fund management effort across the business cycle. In weak market states, skilled managers focus on minimization of systematic risk via dynamic reallocations across asset classes at the cost of fund alpha and foregoing market timing opportunities. As markets strengthen, attention shifts to asset selection within consistent asset classes. The superior performance of low systematic risk funds previously documented arises due to the superior asset selection ability of managers in strong market states. Incremental allocations by investors arise due to this superior performance and not due to recognition of SRM skill.     

国际视域下的中国金融ADR路径探析

金融危机的持续蔓延迫使各国纷纷审视金融法制的不足,尤其是在危机集中迸发的侵害金融消费者权益的乱象更使多国决心变革金融法制体系.危机中一些国家凭借优质的金融ADR模式成功遏制了损害的持续扩大,而后危机时代的ADR立法也展现出不一样的魅力.在经济全球化背景下,考察这些国家金融法制模式,引进非均衡构造的金融保护机制无疑能为我国扭转金融消费者的弱势、填补金融消费者保护的空白提供持续动力.     

The Theory of Fair Markets (TFM) toward a new finance paradigm

In this paper I offer the Theory of Fair Markets (TFM) as an alternative to the ubiquitous CAPM/EMH that has been ruling unabated academia's financial economics for the last four decades. According to the TFM what counts is whether society is better off with a market system which is carefully monitored and corrected by a democratically elected government and social, labor, and other laws that serve as its infrastructure than with the notion of laissez faire. Admittedly, the theory is in its infancy and as such it is subject to both evolutionary changes/modification and exploratory empirical research. Without a doubt, it is also subject to criticism. Nevertheless, I contend that the EMH should be scrutinized and abandoned, because it is a reality-retardant theory, falsely implying Pareto optimality.     

民间投资与政府投资比较研究

本文依据相关统计数据,从实证角度对1978年-2010年我国政府投资与民间投资的特点和关系进行比较分析,同时采用计量分析方法对政府投资、民间投资与经济增长的关系进行研究,对相关问题进行深入思考,并提出相应的对策和建议。     

Investment Opportunities,Free Cash Flow and Stock Valuation Effects of Corporate Investments: The Case of Taiwanese Investments in China

This paper examines the importance of investment opportunities and free cash flow in assessing the stock market reaction to announcements of cross-border investments in China by Taiwanese firms. Our results support the investment opportunities hypothesis that Taiwanese firms with favorable investment opportunities have significantly positive response to the announcements of their investments in China whereas firms with poor investment opportunities have negative response to such announcements. In contrast, we find no support for the free cash flow hypothesis. Our findings add to the understanding of the determinants of the wealth effect of cross-border investment decisions in the Asia-Pacific region.     

Social and solidarity finance: A conceptual approach

An analysis of the social- and solidarity-finance system of relationships, which has characteristics that differ from those of other financial intermediaries, underpins the conceptual approach of this article. Social and solidarity finance constitutes a set of interdependent financial and social relationships, and partnerships between individuals and organisations, that mesh into an organised whole.This article makes use of institutional economics to understand those mechanisms of interaction between individuals, organisations and institutions that are not strictly economic. First, we offer a new conceptual framework on social and solidarity finance from an institutional point of view. Then, based on this framework, we outline the sustainability of alternative finance and its ability to respond to specific entrepreneurship needs. Finally, we present the French situation regarding social and solidarity finance to highlight the main characteristics of alternative finance.     

浅谈怎样提高财政投资效益

提高财政投资效益是建设社会主义市场经济的需要,评价财政投资效益必须要有客观标准,提高效益的手段有：确定财政投资的范围和规模,对投资项目进行成本-效益分析,对项目的外在效益和外在成本进行分析等。