E—Sh风险下的有效边界与风险定价

在标准的风险资产投资的组合分析中,一般用证券的期望收益和标准差来衡量证券的投资收益与投资风险,这种风险的衡量方法由于将证券的实际收益的不确定性不加区分地引入风险评估,使得实际收益不论是高于期望收益或是低于期望收益均被认为具有等同的风险,但是在风险的实际评估中,人们往往注重风险投资的潜在损失,风险的补偿依据也往往是这     

多元资产组合中的收益与风险

人们在进行资产投资时为规避风险通常是将自己的资产投资于几项资产而不是将所有投资都投入某一单项资产,此所谓不把鸡蛋放在一个篮子里。那为什么多元化的投资组合能规避风险呢?本文予以分析说明。     

国有企业清产核资试探

一、按行业会计制度申报资产损失 1.投资损失.主要包括短期投资损失、长期债权投资损失、长期股权投资损失和委托贷款损失,应按投资对象进行单项申报.①短期投资损失单项申报.在损失原因说明栏说明投资数量、投资成本、损失形成原因,并附相关材料,如有价证券盘点表(倒推至基准日)、有价证券盘亏说明及核准单据、责任人赔偿情况说明等.     

关于房地产企业财务风险控制的路径探索

房地产业投资巨大,收益丰厚,但同时也有很高的风险。房地产业的资产负债率较高,投资与融资金额较大,建设周期较长。随着规模不断扩大,企业所面临的风险也越来越多。因此,必须对其财务风险进行全面分析并加强防范。财务风险指的是企业在融资、投资、资金回收、收入分配以及其他财务活动中,因为种种不可预见和不可掌控的因素,可能造成经济上的损失,这就会使企业实际的财务收益与期望的财务收益发生偏离。本文对房地产企业财务风险的特征进行描述,并对目前我国房地产企业存在的财务风险问题展开分析,并提出财务风险控制策略,以期让企业获得更好的经济效益和社会效益,从而实现长远健康发展目标。     

中国对外可持续投资实证研究

本文利用1997-2012年KLD400指数数据对可持续投资与一般投资累计收益对比分析,得出可持续投资在提高投资者社会信誉的同时,具有较高收益和较低风险的特性,有助于中国在对外投资中突破投资壁垒、获得长期稳定收益。在此基础上,利用均值-CVa R模型,对我国主对外可持续投资的资产配置进行实证分析。结果表明在最优资产配置中可持续投资比例应在50%以上。     

资产减值准备对会计利洞的影响

我国《企业会计制度》和《企业会计准则》规定，企业应当定期或者至少于每年年度终了，对各项资产进行全面检查，合理地预计各项资产可能发生的损失，对可能发生的各项资产损失计提资产减值准备。企业在进行会计核算时，应当遵循谨慎性原则，充分估计到各种风险和损失，不高估资产或收益，也不少计负债或费用。确保资产的真实，符合资产定义的要求。     

投资购房须考虑的风险

所谓风险，从房地产投资的角度来讲，是指投资的实际收益与期望或要求的收益偏差。当实际收益超出预期收益时，我们就称投资有增值潜力：反之。我们就称投资面临着风险损失。一般来说，购房一旦决定进行房产置业投资，就应当注意到如下一些可能产生的风险。     

企业年金投资收益率分析

一、现代证券组合理论——风险与收益之间的权衡(一)风险与收益之间的制衡关系及衡量方法风险与收益之间的制衡关系是指预期回报高的资产其风险也高,反之亦然。风险的衡量是由投资回报的波动性开始的,当人们运用资产配置技巧建立投资组合时,还需考虑资产间的相互作用以及风险分散效应,其量化的衡量方法就是现代证券组合理论的主题。投资回报率被定义     

基于沪深300股指期货的动态套期保值实证研究

文章运用沪深300股指期货对CPPI投资组合中的风险资产部分进行套期保值,利用ECM-GARCH模型估计最优风险套期保值比率,按照最优套期保值比例对CPPI投资组合中的风险资产部分进行套期保值。通过实证研究,运用沪深300股指期货套期保值能够在保证收益的条件下有效降低投资组合的风险。     

投资者预期偏误对投资收益的影响——以风险中性投资者为例

由于市场信息的不完全及投资者认知上的不足,投资者对风险资产的预期收益与实际收益总会存在不同程度的偏离。投资者对风险资产收益的预期偏误往往会影响其在金融市场上的投资决策,并最终影响到投资者实际的投资组合收益。那么,投资者的预期偏误会对投资者实际的投资组合收益产生怎样的影响?本文以风险中性投资者为例,给出投资者预期偏误大小的度量方法,建立出投资者预期偏误与投资收益的回归模型,用模拟论证的方法对二者的关系进行分析。     

Safe asset shortages and asset price bubbles

We build a model economy in which a shortage of safe assets can create conditions for intrinsically useless ‘safe’ bubble assets to circulate at a positive price. Our environment features infinitely lived individuals who are not subject to credit constraints but who face uninsurable idiosyncratic production risk. Bubbly equilibria exist when safe assets offer real returns below the growth rate of the economy. Bubble assets circulate at a positive price only if they offer returns which are safe relative to production returns. These ‘safe’ bubbles reduce consumption volatility but exert a contractionary effect on the economy.     

Corporate debt,corporate taxes and leasing

This paper utilizes recent developments in capital lease modeling to develop a new specification of the relationship between the expected returns to debt, levered equity and unlevered equity for firms that lease a portion of their assets. Accounting explicitly for leases is shown to be important when the difference between equity and debt risk is large, when the risk of leased assets differs from the firm's other assets and when salvage value is a significant portion of the capitalized value of the firm's lease obligations. This new specification yields improved estimates of firms' unlevered cost of capital, thereby facilitating improved capital budgeting decisions in those that lease a significant portion of their assets.     

金融素养、金融资产配置与投资组合有效性

基于动态最优控制理论模型，运用中国家庭微观调查数据，系统研究了金融素养在家庭金融资产配置中的作用及对投资组合有效性的影响。理论分析表明，在一定条件下，金融素养能够显著提升家庭资产中风险性资产的配置比重，有助于实现消费效用最大化。考虑了内生性的实证分析结果表明：金融素养对于风险性资产与金融资产具有显著的正向影响，但无法作用于国债这类无风险资产；金融素养的提升有助于增加股票与基金的配置概率，有助于实施积极的投资策略，但对消极投资策略不显著；金融素养的提升能够显著增加家庭投资组合有效性，促使家庭获得更多的超额回报。     

Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion

Building on recent research that highlights the importance of macroeconomic volatility and ambiguity aversion in explaining the dynamics of stock returns, in this paper we propose a dynamic asset pricing model that simultaneously accounts for stochastic macroeconomic volatility and ambiguity, assuming that investors deal with uncertainty about the mechanics of macroeconomic fluctuations using first-release consumption and revisions to aggregate consumption on vintage data. Our results show that the proposed model captures a large fraction of the cross-sectional variation of excess returns for a wide range of market anomaly portfolios. Furthermore, while the price of risk for ambiguity is positive and significant for the vast majority of assets under study, macroeconomic volatility yields ambiguous outcomes, although it significantly increases the explanatory power of the model for specific assets. Our results suggest that macroeconomic volatility and ambiguity complement each other in explaining the cross-sectional behavior of stock returns.     

Fractal statistical measure and portfolio model optimization under power-law distribution

An effective portfolio selection model is constructed on the premise of measuring accurately the risk and return on assets. According to the reality that the tail of returns on assets obey power-law distribution, this paper firstly builds two fractal statistical measures, fractal expectation and fractal variance, to measure the asset returns and risks, inspired by the method of measuring curve length in the fractal theory. Then, by incorporating the fractal statistical measure into the return-risk criterion, a portfolio selection model based on fractal statistical measure is established, namely the fractal portfolio selection model, and the closed-form solution of the model is given. Finally, through empirical analysis we find that the fractal portfolio selection model is effective and can improve investment performance.     

Returns-to-scale and the equity premium puzzle

A model of heterogenous firms facing idiosyncratic risk is proposed which generates an equity premium of 6 per cent and a risk-free rate of 1.5 per cent even if aggregate returns are risk-free. The premium in this model reflects diminishing returns-to-scale and the fact that equity shares are equal claims to firm output. In the bond market, the risk-free rate reflects trade in assets at marginal rates of return with a linear technology and thus the equity premium in excess returns reflects a comparison of average returns with marginal returns. In the model, credit constraints lower the equity premium and, absent such constraints, the equity premium would roughly double. Since the model may be interpreted as a model of entrepreneurship, this paper also presents estimates from a structural model of entrepreneurship using data from the Survey of Consumer Finances and also finds only a modest level of risk aversion is sufficient to replicate entrepreneurial returns.     

The Operational Hedging Properties of Intangible Assets: the Case of Non–voluntary Foreign Asset Selloffs

In this paper we examine the valuation effects and long–term performance of US multinational firms involved in forced transfers of their foreign operating assets during the 1965–88 period. The evidence suggests that the operational hedging ability of the firm to address country risk (nationalization threats) is related to the level of its intangible assets. While it is well known that firms with high levels of intangible assets prefer foreign direct investment, our results show that intangible assets have hidden properties of protection against country risk as well. We document significantly negative abnormal returns only for divesting firms with low levels of intangible assets, but not for firms with high levels of intangible assets. In addition, we show that low (high) growth firms are involved in partial (complete) withdrawals, and show that the long–term economic performance of firms choosing the complete withdrawal strategy is better than those that opt to remain. We argue that management's attempt to maintain economic links in a hostile foreign environment can be attributed in part to the firm's low growth opportunities, performance, and lack of contingent plans to address country risk.     

The risk-return trade-off in human capital investment

In this paper, we analyze investments in human capital in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by using tests for mean-variance spanning. Fields differ strongly not only in common rates of return, but also in return per unit of risk. We identify a range of educations that are efficient in terms of investment goods, and a range of educations that may be chosen for consumption purposes.     

The association of default risk factors with the systematic risk of corporate bonds

This study examines the association between bond betas and default risk factors. We find that both long-term debt and the relative ratio of long-term debt to short-term debt increase the bond beta; two measures of profitability, net income/total assets and EBIT/total assets and a cash flow measure of cash flow from operations/total assets decrease the bond beta. A proxy measure of standard deviation of returns is also significantly negatively related to bond betas, confirming the prediction from the option pricing model. In addition, by using new cash flow measures in the discriminant analysis, we improve on the successful prediction rate of bond ratings.     

Mean–variance econometric analysis of household portfolios

We investigate households' portfolio choice using a microeconometric approach derived from mean–variance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they cannot take short positions in risky assets. Assuming two such assets, we derive an explicit solution of the model characterized by four possible portfolio regimes, which are analyzed using two structural probit and tobit specifications with three latent state variables. Both specifications are estimated by weighted maximum likelihood on a cross‐section of US households drawn from the 2004 SCF. The tobit specification is simulated in order to evaluate the regressors' effects on regime probabilities and asset demands. We also assess to what extent the predicted state variables are consistent with the self‐reported expected returns and risk aversion elicited from the SCF questionnaire. Copyright © 2009 John Wiley & Sons, Ltd.