On Stock Market Returns and Returns on Investment

This article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions (the Hayashi (1982) conditions), it is possible to establish, state by state, the equality between the return on investment and the market return of the financial claims issued by the firm. This result proves to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes.     

Analysis of earnings management influence on the investment efficiency of listed Chinese companies

This study examines the “EM (earnings management) and excess investment hypothesis,” which posits that upward EM increases investment spending. Two types of EM proxies and two types of investment proxies are calculated to ensure the robustness of results. The two types of EM proxies are case studies (firms with three fraudulent activities) and econometric estimation of regression residuals (of revenues and accrual functions). The two investment proxies are industry-adjusted investment and investment function residuals. Considering that outliers are common in panel data but are often ignored in estimation, the aforementioned proxies are determined with and without considering the outliers using listed companies in China from 1998 to 2010. Empirical results demonstrate that the hypothesis is supported when the outliers are considered, whereas the opposite result is obtained when the outliers are not considered. The analysis and findings of this study indicate that considering the influence of the outliers is crucial to support the hypothesis.     

经开区招商引资政策对企业投资的影响

国家级经济开发区政府招商引资,往往需要从产业集聚、税收优惠、政府职能和宏观税负等几个不同的方面,分别对企业投资带来的影响进行必要的考察,企业投资决策也往往受到地方政府各种优惠政策等几个层面的影响。目前学界研究对政府招商引资与企业投资决策考虑因素较为单一,缺乏深度解析,本文就此提出相关构想,引导未来招商引资研究向深层领域拓展。     

投资内生化的企业融资适应能力和超额收益信息动态研究

将内生化资本投资与融资引入超额收益动态模型,对公司当期盈利能力、资本投资融资与未来盈利能力之间的逻辑关系进行研究。发现在资本投资与融资内生化情形中,未来超额收益与当期超额收益之间为非线性信息动态,而不是简单的线性信息动态,同时表明公司 t+1期超额收益与 t 期超额收益之间的斜率和曲率受融资适应能力的影响。     

FACTORS AFFECTING THE BEHAVIOUR OF UK CLOSED END FUND DISCOUNTS 1968 TO 1977

This paper examines the behaviour of UK investment trust discounts for a sample of funds over the ten-year period 1968 to 1977. The cross section variability of fund discounts is considered using fundamental analysis and a large number of potentially important factors are isolated and measured. Using multiple regression analysis, the optimal set of explanatory factors is ascertained, and it is found that the best fitting linear model changes substantially from year to year. The results indicate that fundamental analysis using cross section data may not be useful in the analysis and forecasting of UK closed end fund discounts.     

The Feldstein-Horioka Puzzle and Spurious Ratio Correlation

This study shows that the Feldstein-Horioka puzzle resembles a spurious ratio correlation due to a common deflator (Pearson 1896/7). Empirically, the Feldstein-Horioka specification and its counterpart with an arbitrary deflator – final domestic demand – give similar results. Monte Carlo results also indicates that the slope β and R² of the ratio regression are upward biased. Theoretically, assuming each of the original undeflated variables are linear homogeneous functions of the deflator and random disturbances, formulas for β and R² are derived. As saving and investment rates are numerically small relative to the disturbances, both β and R² are predominantly determined by the disturbances and they tend towards unity when the disturbances are close in magnitude. The Feldstein-Horioka results are therefore noisy, though not entirely spurious, and do not necessarily reflect a strong correlation between investment and savings.     

The Q Theory of Housing Investment

This paper presents estimates of a Q model of housing investment, using quarterly data for the United States. The empirical model is estimated using building permits, housing starts, and housing investment expenditures as measures of investment. The current and lagged values of the Q ratio are found to be positively and significantly associated with housing investment, whichever way investment is measured. The findings suggest that the housing market indeed functions as Tobin has theorized. Housing suppliers appear to respond to the demands of housing consumers, building more new homes when existing home prices are high relative to new home prices.     

对我国利率市场化的投资效应分析

利率市场化改革对经济增长的主要贡献在于两个方面，一是它增加了储蓄，因而可投资数量增加；二是而且是更为重要的原因，它改进了投资质量。利率市场化这两方面的功能能否发挥直接关系到我国利率改革的成效。本在此认识基础上，通过对我国利率市场化过程中的投资数量和投资质量两方面的分析，得出金融堵塞和资金逆配置问题是影响我国利率场化传导机制的制约因素，并针对这一问题提出政策化建议。     

Utilizing terminal values in teaching time value analysis

Traditional time value models, Net Present Value (NPV) and Internal Rate of Return (IRR), are now widely accepted in industry. This paper isolates three examples of how these simplified models can lead to less than optimal decision strategies. The conceptual basis for the discounting and reinvestment functions in time value analysis is first explored. Three investment areas highlighting misconceptions concerning the role of these rates are then analyzed. These areas include the utilization of risk adjusted discount rates, determination of bond yields and the analysis of leveraged leases. Finally, the impact of terminal values on the investment decision in each of these cases is demonstrated.     

Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

This paper describes a production-based asset pricing model. It is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production-based model is used to examine forecasts of stock returns by business-cycle related variables and the association of stock returns with subsequent economic activity.     

Taxes and the Fisher Effect: A Clarifying Analysis

Supply and demand functions for loanable funds are postulated for a no-inflation economy and equilibrium levels of saving, investment, and the interest rate are specified. Certainty and nondepreciating assets are assumed. An exogenous inflation rate is imposed upon this same economy and new equilibrium values for these same variables are established. The analysis is performed twice. The first time, a Modigliani-Miller [17] tax structure is assumed while the second analysis assumes a Miller-Scholes [15] tax structure. In both cases, inflation causes the nominal rate to increase by more than the inflation rate. The analysis is repeated assuming that investments live for one period and are then written off against taxable income at historical cost. In both tax structures, the level of saving and investment is a decreasing function of the inflation rate.     

EQUITY CAPITAL, PROFIT SHARING CONTRACTS, AND INVESTMENT: THEORY AND EVIDENCE

The potential effect of financial variables on the level of investment is among the key issues in contemporary financial economics. Some researchers have claimed that there is an inherent risk in the Islamic profit-and-loss sharing scheme that replaces the western fixed-interest rate system. This paper argues that such concerns are baseless. In an Islamic framework, equity capital (i.e., strong financial position) and the profit-sharing ratio are primary determinants of investment. It is shown that both factors could enhance the firm's business reputation and its investment activities. The paper, in so doing, constructs a two-period equilibrium model of profit-sharing contracts. An optimal solution for the investment function is derived for the banking firm. Besides equity capital and the profit-sharing ratio, other relevant determinants of investment are also considered, including depreciation and expected inflation. Moreover, unlike most previous research in this area, the resultant investment (and profitsharing ratio) functions are subjected to empirical testing using data from a representative Islamic bank.     

Personalized goal-based investing via multi-stage stochastic goal programming

In this paper, we propose a goal-based investment model that is suitable for personalized wealth management. The model only requires a few intuitive inputs such as size of wealth, investment amount, and consumption goals from individual investors. In particular, a priority level can be assigned to each consumption goal and the model provides a holistic solution based on a sequential approach starting with the highest priority. This allows strict prioritization by maximizing the probability of achieving higher priority goals that are not affected by goals with lower priorities. Furthermore, the proposed model is formulated as a linear program that efficiently finds the optimal financial plan. With its simplicity, flexibility, and computational efficiency, the proposed goal-based investment model provides a new framework for automated investment management services.     

Conglomerate investment under various capital market conditions

This paper studies the investment of diversified and focused firms under various capital market conditions. When external capital becomes more costly at the aggregate level, investment declines in focused firms but remains unchanged in diversified firms. This investment advantage enjoyed by diversified firms could attribute to both their easy access to external capital and their ability to substitute internal capital markets for costly external markets. Consistent with the internal capital market argument, our findings show that the investment advantage exists for diversified firms even after we control for their easy access to external markets. We also find that the role of internal markets in financing investment is more important for diversified firms that are more financially constrained in external markets. Finally, we find that the segment-level investment becomes more efficient in conglomerates’ internal capital markets under depressed external capital market conditions. Overall, our findings suggest that internal capital allocation functions as a valuable and efficient substitute for diversified firms in a tightened external capital market.     

基于不同资金来源测算的西部地区固定资产投资与经济增长关系

本文基于多种估算模型和稳健标准误的统计推断,按照资金来源测算了西部地区固定资产投资与经济增长之间的线性关系系数和弹性关系系数,使用单边随机边界模型测算了固定资产投资各类资金的投资效率和各类资金的总体投资效率。实证结果表明,国家预算资金和其他资金的线性和弹性系数不显著,国内贷款、利用外资和自筹资金的线性关系系数测算的平均值分别为2.308、23.794和1.505,弹性关系系数的平均值分别为0.15、0.054和0.416;西部地区固定资产投资效率总体高于70%。     

货币政策、消费品和投资品通货膨胀——基于金融加速器视角

本文建立一个包含消费品和投资品生产的两部门新凯恩斯DSGE模型,并且引入金融加速器以分析货币政策对消费品和投资品通货膨胀的影响机制,同时使用1999Q1至2015Q4的中国宏观经济数据对模型进行贝叶斯估计。估计结果表明,两个部门的菲利普斯曲线都具有较高的价格粘性。外部融资溢价对两个部门企业投资的影响存在异质性,投资品部门的金融加速器效应更加明显。脉冲响应分析表明货币政策扩张时,投资品部门的产出和通胀膨胀上升幅度比消费品部门更大。理论模型的脉冲响应与VAR实证分析得到的经验事实相一致。金融摩擦导致的消费品和投资品部门需求结构的异质性是解释货币政策对两个部门影响差异的关键。数值模拟分析发现金融加速器机制主要改变货币政策对投资品产出和通货膨胀的影响,对消费品部门影响改变较小。方差分解结果表明加总技术冲击、投资边际效率冲击和货币政策冲击是经济波动的主要来源。     

Optimal Contracts Under Adverse Selection and Moral Hazard: A Continuous-Time Approach

This article presents a continuous-time agency model in thepresence of adverse selection and moral hazard with a risk-averseagent and a risk-neutral principal. Under the model setup, weshow that the optimal controls are constant over time, and thusthe optimal menu consists of contracts that are linear in thefinal outcome. We also show that when a moral hazard problemadds to an adverse selection problem, the monotonicity conditionwell known in the pure adverse selection literature needs tobe modified to ensure the incentive compatibility for informationrevelation. The model is applied to a few managerial compensationproblems involving managerial project selection and capitalbudgeting decisions. We argue that in the third-best world,the relationship between the volatility of the outcome and thesensitivity of the contract depends on interactions betweenthe managerial cost and the firm’s production functions.Contrary to conventional wisdom, sometimes the higher the volatility,the higher the sensitivity of the contract. The firm receivinggood news sometimes chooses safer projects or invests less thanit does with bad news. We also examine the effects of the observabilityof the volatility on corporate investment decisions.     

Why the Housing Sector Leads the Whole Economy: The Importance of Collateral Constraints and News Shocks

This paper establishes a dynamic stochastic partial equilibrium model for explaining residential investment dynamics in the United States, focusing on the distinctive cyclical features of residential investment in that it leads the whole economy. This paper is different from the existing literature by adding three new features to the model: news shocks, collateral constraints and agent heterogeneity. The partial equilibrium analysis where interest rates are exogenously fixed shows that these assumptions are essential to generating the dynamic pattern in which residential investment leads consumption and GDP.     

基于计算实验金融方法的决策偏好比较研究

风险决策偏好表征着个体在面对不确定条件或具有风险时的决策态度,不同的偏好特征以效用函数为载体,外在地表现为个体具体所运用的投资策略。风险决策机制的深入理解以及基于不同决策偏好的策略比较分析对投资者的投资决策具有重要意义。通过运用计算实验金融方法对传统决策偏好以及前景理论进行多角度的比较分析,研究发现基于前景理论构造的投资策略相比传统决策偏好具有较大的优势,对于投资者本身来说是一个最佳的策略选择。