Identification and inference in two-pass asset pricing models

We introduce a framework that robustifies two-pass Fama–MacBeth regressions, in the sense that confidence regions for the ex post price of risk can be derived reliably even with weak identification. This region can be unbounded, if risk price is hard to identify, empty, if the model lacks fit, and bounded otherwise. Our framework thus provides automatic weak-identification and lack-of-fit warnings, and informative model rejections. Empirically relevant simulations document attractive size and power properties. Empirical applications with well known models and data sets illustrate practical usefulness and the potential value of additional cross-sectional information.     

Dynamic time series momentum of cryptocurrencies

This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.     

易逝品价值衰减对动态定价影响研究

消费者对部分易逝品感知风险会随时间提高,感知价值也随之衰减。本文基于消费者感知价值衰减建立连续和离散时间的动态定价模型以研究消费者感知价值衰减对动态定价和厂商期望收益的影响,并以连续时间模型为基准评价离散定价次数对期望收益的影响。数值算例表明,消费者感知价值衰减时,即使采取相应的最优策略,厂商期望收益下降幅度仍然可能达到30％,而如果厂商忽略消费者感知价值衰减,其损失可能高达60％。     

Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns

This paper analyzes the performance persistence of US-based emerging-market mutual funds. We use a sample of 275 actively managed funds between July 1989 and December 2020 and regress their returns on emerging-market benchmark portfolios. On average, the funds had a significant negative alpha. Contrary to some earlier evidence, we document that the short-term consistency is entirely driven by losses of underperforming funds. The return spread between the short-term winners and losers generates a significant positive alpha that can be fully explained by the momentum in emerging-market stocks. We find no evidence of any long-term regularities. Our findings show that the observed funds exhibit very similar behavior to their developed-market counterparts and may contribute to resolving some inconsistencies in the earlier results.     

Optimal pricing of a conspicuous product during a recession that freezes capital markets

This paper considers the problem of how to price a conspicuous product when the economy is in a recession that disrupts capital markets. A conspicuous product in this context is a luxury good for which demand is increasing in brand image. Brand image here means the ability of a consumer to impress observers by conspicuously displaying consumption of the good. Brand image is built up when the good is priced high enough to make it exclusive, and eroded if the good is discounted.Recession is modeled as having two effects: it reduces demand and it freezes capital markets so borrowing is not possible. In pricing the conspicuous product the firm faces the following trade-off. Reducing price helps maintain sales volume and cash flow in the face of reduced demand, but it also damages brand image and thus long-term demand.The paper analyzes the firm's pricing policy facing scenarios of mild, intermediate and severe recessions, while taking the threat of bankruptcy into account. For an intermediate recession the optimal solution is history-dependent. The results have implications for policy interventions in capital markets and for timing of mergers and acquisitions.     

Impact of electronic road pricing on real estate prices in Singapore

Since 1998, Singapore has had an Electronic Road Pricing (ERP) system set up with a network of toll gantries to tax vehicles entering designated areas in the city center during peak hours. Using the congestion rate hike with effect from November 1, 2010 as an exogenous shock, we test the effects of the ERP rate hike on retail, office and residential real estate prices. The results show that the November 2010 congestion toll rate increases cause a 19% drop in retail real estate prices within the cordon ERP areas relative to retail real estate prices outside the cordon ERP areas. The results are statistically and economically significant. However, the toll rate hike has no significant impact private office and residential real estate within cordoned ERP areas. The robustness and falsification tests could not reject the negative effects associated with the toll rate hike on retail real estate prices.     

Portfolio selection in a data-rich environment

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to improve portfolio selection. We use factor analysis to estimate the space spanned by the factors. This provides consistent estimates for the optimal weights as the number of economic variables and sample size go to infinity. We consider an empirical application to illustrate the practical usefulness of our approach. The results indicate that the diffusion index approach helps to improve the portfolio performance.     

The cross section of Chinese commodity futures return

This paper investigates the cross-section of expected commodity futures returns in China using a large panel of 13 individual factors. We find that 6 out of 13 individual factors produce positive and significant returns. To aggregate the information among these factors, we apply not only the traditional Fama-MacBeth regression (FM), but also a set of alternative methods, including the forecast combination method (FC), principal component analysis (PCA), principle component regression (PCR) and partial least squares (PLS). It turns out that PLS outperform other methods in forecasting the cross-section of Chinese expected futures returns. The equally weighted combination of 5 methods produces an even higher annualized return and lower standard deviation compared to each single method. The investigation of factor importance reveals that the skewness (SKEW) factor is more important than other factors in predicting expected futures returns in Chinese markets.     

松动圈理论应用概述

巷道围岩松动圈支护理论在地下工程中的应用日益受到重视。本文对松动圈厚度的测试方法、计算方法进行了阐述与分析。另外还阐述了根据松动圈厚度确定围岩类型和支护方法,提出了今后的研究方向。     

Cross-sectional tests of asset pricing models with full-rank mimicking portfolios

In the standard tests of asset pricing models, factor risk premia are estimated on a test asset span so that models are tested with degrees of freedom reduced by the number of factors. Risk premia of traded factors can be further restricted to be equal to their expected returns, but such restrictions cannot be imposed on models with nontraded factors, which may create a problem of testing without full restrictions or on unequal asset spans across models. We propose a full-rank mimicking portfolio approach by projecting nontraded factors onto a combined span of test assets and benchmark traded factors. Under the Hansen-Jagannathan distance framework, we demonstrate that full-rank mimicking portfolios can provide improved power and fair performance comparison against a benchmark model in both specification and model comparison tests.     

铅精矿进口定价方法研究

作为铅精矿的最大进口国,我国很少掌握国际定价权。文章简要分析了我国铅精矿的进口特征,随后归纳论述了影响铅精矿进口定价的主要技术因素,最后结合贸易实践设计了在固定费用定价方式下的进口价格计算步骤及公式。     

Forecasting expected shortfall: Should we use a multivariate model for stock market factors?

Is univariate or multivariate modeling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead expected shortfall of a stock portfolio based on its exposure to the Fama–French and momentum factors. Applying extensive tests and comparisons, we find that in most cases there are no statistically significant differences between the forecasting accuracy of the two approaches. This result suggests that univariate models, which are more parsimonious and simpler to implement than multivariate factor-based models, can be used to forecast the downside risk of equity portfolios without losses in precision.     

代建制项目风险因素浅析

代建制项目风险因素的确定是项目风险管理的基础。风险因素因其与项目的资金情况、施工水平、项目所处地域、项目实施的时间等大环境关联度较高,所以,在项目的风险因素的确认过程中就要充分考虑到以上这些因素对风险管理的影响。文章从政策风险、环境风险、管理风险、经济风险四个方面对代建制项目管理的风险因素进行了梳理和分析,具有较强的实际指导意义。     

影响西安民办高校大学生体质因素探析

通过对西安市四所民办本科高校学生的体质的研究,对影响当前大学生体质状况的因素进行了分析,结果发现,当前民办高校大学生的体质状况,身体形态指标发育良好,身体机能水平处于中等偏下,上肢力量素质发展较好,速度素质偏下。究其原因,主要是受体育教学、大学生的体育锻炼的动机、爱好锻炼的方式项目以及体育习惯的养成、课外体育活动的因素等有关。     

论安全伦理的含义及构成要素

安全是指劳动者在生产过程中,生命健康权利得以享有,免受死神的眷顾,免受健康权的侵犯,免受职业病的痛苦的状态。安全伦理的三要素相辅相成,不可分割,但又有区别,安全道德意识具有内隐性,安全道德活动则具有外显性,而安全道德规范则是道德活动的制度安排,是道德行为的准则。     

Consistent pricing of VIX options with the Hawkes jump-diffusion model

This paper presents a valuation of VIX options employing a Hawkes jump-diffusion model that captures the clustering pattern of jumps observed extensively in the financial markets. In the consistent framework, the valuation problem of VIX options is solved efficiently via the Fourier cosine expansion (COS) method. The Monte Carlo (MC) simulations are carried out to demonstrate the reliability and efficiency of the COS method. Furthermore, a sensitivity analysis is performed to show how option prices response to different parameters associated with jump clustering. Finally, empirical studies are conducted to provide evidence to support our jump specification in matching the VIX option surface.     

制约学校武术教育发展的因素分析

学校武术教育在我国学校体育教育中处于优先发展的地位,但在发展过程中还存在诸多制约发展的因素。文章通过对这些制约因素进行分析,提出了解决的措施,为学校武术教育的发展提供参考。     

企业集团财务控制模式影响因素探析

随着我国现代企业制度的完善,如何加大企业集团财务控制力度、提升企业集团内部管理水平正日益引起人们的关注。对企业集团财务控制的影响因素进行全面、系统的理论分析与研究,可以帮助企业加强内部管理,充分发挥企业集团的规模效应,提高企业集团经济运行的质量和效益。     

因素计点法分级点数与权重的客观确定

本文提出以组织内部代表性职务在过去若干年内外部劳动力市场平均价格形成的比例框架映射到内部劳动力市场,从而确定因素计点法方法的分级点数与权重的新思路,解决因素计点法长期存在的内外部公平性不一致、分级点数确定、权重确定缺乏客观性的三个不足。     

Constructing smooth tests without estimating the eigenpairs of the limiting process

Based on the well known Karhunen–Loève expansion, it can be shown that many omnibus tests lack power against “high frequency” alternatives. The smooth tests of  Neyman (1937) may be employed to circumvent this power deficiency problem. Yet, such tests may be difficult to compute in many applications. In this paper, we propose a more operational approach to constructing smooth tests. This approach hinges on a Fourier representation of the postulated empirical process with known Fourier coefficients, and the proposed test is based on the normalized principal components associated with the covariance matrix of finitely many Fourier coefficients. The proposed test thus needs only standard principal component analysis that can be carried out using most econometric packages. We establish the asymptotic properties of the proposed test and consider two data-driven methods for determining the number of Fourier coefficients in the test statistic. Our simulations show that the proposed tests compare favorably with the conventional smooth tests in finite samples.