The 1987 US Stock Market Crash

Will the Crash of 1987 be followed by a deep depression like the crash of 1929?Professor Anna Schwartz, who collaborated with Professor Milton Friedman in writing‘The Monetary History of the United States’, argues that the 1987 crash will only be followed by a severe recession if the Federal Reserve allows a collapse of the money supply as it did in the early 1930s.     

The Stock Market Crash Really Did Cause the Great Recession

This paper studies the connection between the stock market and the unemployment rate. I establish three facts. First, the log of the real value of the S&P 500 and the log of a logistic transformation of the unemployment rate are non‐stationary cointegrated series. Second, the stock market Granger causes the unemployment rate. Third, the connection between changes in the real value of the stock market and changes in the unemployment rate has remained structurally stable over seventy years. My results establish that the fall in the stock market in the autumn of 2008 provides a plausible causal explanation for the magnitude of the Great Recession.     

多个大股东、机构持股与股价崩盘风险——协同效应还是互斥效应?

本文从多个大股东的视角,研究公司其余大股东相对控股股东的势力大小对股价崩盘风险的影响结果。在大股东相互制衡这样的公司治理前提下,本文引入外部监督机制——机构投资者行为,来看待内外结合对股价崩盘风险的影响机制是互斥效应还是协同效应?研究发现,其余大股东相对控股股东势力越大对股价崩盘风险的抑制作用,在机构投资者持股比例较大时被削弱,反之被加强。公司治理和外部机制对公司股价崩盘风险的抑制作用既存在协同效应又存在互斥效应,表明公司更愿意引入战略投资者而并非机构投资者。本文结果进一步拓宽股价崩盘风险相关领域的研究。     

The Valuation of Real Capital: A Random Walk down Kungsgatan

This paper analyzes the temporal pattern of prices for single-family housing. We estimate models of house price dynamics using a repeat sales framework, and we use the results to test for a random walk in asset prices. For eight large samples of housing transactions, representing essentially all house sales in Sweden during a 12-year period, we reject the hypothesis that house prices follow a random walk in favor of a model of first-order serial correlation.     

The Market and Efficient Resource Allocation

Graham Dawson, a very experienced teacher of economics at Bedford High School, gives the second in the series of Model Answers for 'A' Level economics.     

股市阴跌事出有因

我国股市问题是特定转轨时期企业融资结构不合理、市场制度性缺陷和诚信环境不利等三个方面因素所导致的。这三个方面的问题长期交织在一起,导致了近年来股市阴跌不止。     

投资者行为与证券市场波动

证券市场的剧烈波动性是难以用新古典金融理论解释.行为金融学的相关理论可以很好地解释证券市场的过度波动性,投资者情绪、潮流会推动资产价格偏离基本价值,形成市场泡沫。立足于投资者行为,引入适应性预期,可以对股票收益的自相关和过度波动特征一个一致和完备的解释。     

系族集团与股价崩盘风险——基于风险共保机制的考察

不同于独立企业,系族集团内部资本市场具有成本节约和资源共享的优势,也可以发挥风险共保作用,但复杂的股权结构也可能加剧集团的治理问题。那么,系族集团究竟是会降低还是增加股价崩盘风险呢?文章以2003—2015年A股非国有控股上市公司为研究样本,实证考察了系族集团与股价崩盘风险的关系。研究发现,相比于非系族集团企业,系族集团企业的股价崩盘风险更低;在排除内生性和基于配对样本的稳健性检验后,该结论仍然成立。进一步研究发现,系族集团的关联交易更多;在监管处罚情境下,非系族集团企业的股价崩盘风险显著增加,而系族集团企业通过发挥风险共保机制,面临负面事件冲击时的股价崩盘风险没有显著变化。对风险共保实现机制的分析结果表明,在监管处罚后,系族集团通过减少商品服务交易掏空和增加资金交易支持,对受监管处罚影响的成员企业进行资源支持。     

随机预测模型在库存管理中应用与改进

加速物资周转，能的不完善和随机预测模型应用僵减少库存成本一直是企业库存管理的重中之重。针对目前企业库存管理软件警告功化现状，文章改进了随机预测模型在库存管理中应用，将随机预测与物流消耗失衡有机结合形成新的警告管理系统，并运用该系统成功预测某煤电公司某物资最佳进货策略。文章实现库存警告与预测模型完美的结合，对推进库存智能化管理有着极其重要的作用。     

股市财富效应对消费的影响研究

首先从理论上阐明了股市财富效应形成的机理以及股市财富效应影响消费的条件。然后,通过对中国数据的经验分析,利用相关性检验和因果检验,指出我国股市财富效应对消费存在着一定的影响;并提出了完善股市财富效应的消费传导机制的建议,以及通过调控股市来调控消费、稳定经济金融的观点。     

现代资产定价理论的研究和发展 ——基于有效市场假说和资产定价模型的视角

围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、"贝塔通缉令""因子动物园""多因素模型大战"等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议.     

沪港通对沪市股票市场有效性的影响

为了研究沪港通对沪市股票市场有效性的影响,本文选取2000—2015年上证股指,运用 R／S 分析并结合 DFA 统计量得出：沪市股票市场存在明显的长期记忆性,但沪港通之后其长期和短期记忆性显著下降。基于 ARFIMA 模型的预测效果与长期记忆性特征之间得出对应关系：如果长期记忆性显著,则预测效果好;如果记忆性不明显,则预测效果差。本文对沪港通前后进行长度为10步的分数阶自回归模型预测,结果显示 ARFIMA 模型对沪指收益率整体的预测效果较好,但沪港通开通之后模型的预测效果却明显减弱。     

沪市除息日股价变动的实证研究

由于对现金股利和资本利得收入课征的税率不同，除息日的股价变动反映了股利和资本利得对投资者的相对价值。以及公司股票边际投资者的税率，这就是除息日股价变动的税负效应，本文对泸市除息日股价变动的税负效应和税收客户群效应进行实证分析。     

企业资金“脱实向虚”对其股价崩盘风险的影响

实体企业过度地将资金投资于虚拟经济导致实体经济与虚拟经济发展失衡,制约了我国经济高质量发展。基于此,关注企业资金“脱实向虚”对其资本市场股价表现的影响,采用2008—2018年A股上市公司数据研究发现:近年来企业资金“脱实向虚”增加了股价崩盘的风险,并且这种影响在代理冲突严重、信息不对称程度高以及股票流动性高的样本企业中更为明显。进一步验证了企业资金“脱实向虚”的资本套利动机,并发现如果企业将资金适度投资于虚拟经济领域则不会导致股价崩盘风险。研究结果对政府完善资本市场制度,引导实体企业科学、适度地投资虚拟经济具有一定意义。     

基于Copula理论的宏观经济与股票市场相关性研究

为了刻画宏观经济与股票市场波动间的相关性,在静态Copula模型的基础上,应用了一种全新的条件动态Copula(DCC-Copula)技术,它可以捕捉到经济变量间动态的相关结构。结合Gaussian-GARCH模型和DCC-Copula函数,建立了DCC Copula-GARCH模型全面对宏观经济变量与股票市场之间相关性进行了分析。结果说明,随着时间的变化,宏观经济与股票市场波动之间存在着较稳定的正相关关系。     

Positive IVOL-MAX effect: A study on the Singapore Stock Market

This paper demonstrates a positive and significant IVOL effect in the Singapore Stock Market meaning that the highly volatile stocks are showing better returns in the subsequent month. More explicitly, there is a strong positive relationship between stock’s idiosyncratic volatility (IVOL) and its subsequent month’s return in the Singapore equity market. This positive IVOL effect is stronger only for small market-statistic firms. But for the Large capital firms, the positive IVOL effect is insignificant. In addition, this paper shows that the relationship between maximum daily return over a month (MAX) and the subsequent month’s return is positive and significant in this market. However, IVOL is the true effect of this market rather than MAX.     

股市“财富效应”对我国货币政策的影响

伴随着中国证券市场的长足发展 ,股市的“财富效应”也日益显著。本文从分析股市“财富效应”及“财富负效应”影响货币政策的机制入手 ,进而探讨了其对我国现行货币政策的冲击 ,并相应提出了几点政策建议。     

The Stock Market Reaction to the Hiring of Management Consultants: A Signalling Theory Approach

Drawing from signalling theory, this study examines how the stock market reacts to the public announcement of the hiring of management consultants and whether it differentially values clients on the basis of their financial profitability and the brand‐name of the engaged consultant. An event study analysis of 118 client firms that publicly announced the hiring of management consulting firms finds that the stock market, on average, responded positively and significantly to the engagement news. Regression analysis further reveals that the stock market reaction tended to be the highest for client firms that had the highest profitability levels. In addition, the stock market reaction to the hiring announcement was not related to the consultant's brand‐name reputation; clients engaging the most reputable consultants (e.g. McKinsey & Company, Bain, Boston Consulting Group, Booz‐Allen Hamilton) did not realize any different market response than those clients that employed the other consultants. Overall, most client firms that publicly announced the hiring of management consultants experienced a rise in their market value and those that had the highest financial profitability realized the highest increase. Further, the findings imply that there may be boundaries to reputational spillover benefits in partnering relationships.     

上市公司股权激励与股价崩盘风险关系研究

本文以2006年至2017年的A股上市公司为样本,研究股权激励对股价崩盘风险的影响,发现股权激励的实施会增加企业的股价崩盘风险;针对实施股权激励计划的公司,进一步研究激励力度大小对股价崩盘风险的影响,结果表明:激励力度与股价崩盘风险呈显著正相关关系,这种正相关关系在国有企业和以股票期权作为激励方式的公司显著,而在民营企业和以限制性股票作为激励方式的公司不显著。此研究可以为企业合理设计股权激励方案,降低股价崩盘风险提供有效参考。     

Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered

Nelson and Plosser (1982), in a classic paper, failed to find strong evidence against the null hypothesis of a generating process with a unit autoregressive root for thirteen US macroeconomic time series. Perron (1989) claimed that such evidence was available for a majority of these series if the alternative hypothesis was of trend stationarity with a break in 1929. Zivot and Andrews (1992) treated the break date as endogenous, then finding strong evidence agcainst the null for a minority of these series. Our own analysis extends theirs by permitting a break under the null as well as the alternative hypothesis, and allowing for the sequential nature of the testing. Our empirical findings complete the circle. We find no strong evidence against the unit root hypothesis for any of the thirteen Nelson–Plosser series.