Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach

This paper investigates the informational efficiency hypothesis in the short and long term for four major commodity markets (oil, gas, electricity, and coal) from January 1997 to January 2016. Unlike previous studies, we provide a more concise comparative analysis by focusing on different classes of commodities for a large sample, including 5 developed and 3 emerging regions and covering 46 countries. We apply different parametric and non-parametric econometric tests. Our study provides two interesting findings. First, we show that commodity markets are informationally inefficient in the short term. Our portfolio simulations highlight that commodities might provide “good” investment opportunities, but those opportunities vary according to commodity class and regions. Second, we show that most commodity markets become informationally efficient in the long term, thereby reducing investors' interest for the duration. Thus, commodity markets might be used to hedge investor’s portfolios, particularly for speculators and chartists in the short term, while these investments might not be appealing in these markets in the long term.     

The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets

This paper presents empirical evidence suggesting that foreign portfolio investment had a positive and significant influence on the informational efficiency of eleven Central and Eastern European stock markets during the period 1999–2010, regardless of the type of dependence – short or long run – taken into account when determining the measure of the degree of informational efficiency. Furthermore, considering the asymmetric effects of the portfolio flows, we have generally found a direct and strong relation between the net positive flows and the degree of informational efficiency. Our panel results also show that market capitalization represents a significant explanatory factor for the presence of short run dependence, while liquidity is associated with the presence of long run dependence. After isolating the common shocks in time, market volatility seems to have an even greater impact on efficiency.     

A risk index to model uncertain portfolio investment with options

This paper models the portfolio investment performance with options by using a risk index, which is defined as the average loss below the risk-free interest rate. Using a risk-free interest rate as the uniform reference rate for all portfolios, the risk index offers an easier-to-compare loss value than the value-at-risk return, where portfolio specific references are used to calculate the average losses. Besides, uncertainty theory is used in the paper to derive the portfolio decision when stock prices are subject to experts' estimations. By analytical computation and empirical analysis, we find that portfolios considering options generate better return than the ones without options. The empirical analysis reveals that the options can effectively hedge the risk, and the call option with a higher exercise price offers higher return per unit of option premium. Furthermore, our proposed model produces higher expected return in most cases than the model where the risk is measured by the chance of the total return failing to reach the threshold level of return.     

Investing in public investment: an index of public investment efficiency

Pritchett (J Econ Growth 5:361?C384, 2000) convincingly argued that the difference between investment cost and capital value is of first-order empirical importance especially for developing countries where public investment is the primary source of investment. This paper constructs a public investment efficiency index that captures the institutional environment underpinning public investment management across four different stages: project appraisal, selection, implementation, and evaluation. Covering 71 countries, including 40 low-income countries, the index allows for benchmarking across regions and country groups and for nuanced policy-relevant analysis and identification of specific areas where reform efforts could be prioritized. Research applications are outlined.     

Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth

This study examines the effects of foreign direct investment (FDI) and equity foreign portfolio investment (EFPI) on economic growth using data on 80 countries from 1979 through 1998. The results largely suggest that lagged FDI and EFPI do not have direct, unmitigated positive effects on growth, but some data are consistent with the view that the effects of FDI and EFPI are contingent on the ‘absorptive capacity’ of host countries, with particular respect to financial or institutional development. Moreover, extreme bound analysis (EBA) of significant results indicates that the estimates are robust compared to other empirical studies on growth.     

Political uncertainty and labour investment efficiency

ABSTRACT

We examine the impact of political uncertainty on the labour investment efficiency (LIE) of a firm. Using a sample of Chinese firms, we test the market discipline and managerial entrenchment hypotheses. Our findings suggest that political uncertainty adversely affects LIE. The results are consistent with the managerial entrenchment hypothesis. That is, firms hire more labour in a period of increased information asymmetry due to the political uncertainty, which deteriorates LIE. Our findings are robust to a battery of alternative measures of LIE and estimation methods. We conduct several additional analyses and document that the adverse impact of political uncertainty is stronger when the newly appointed government official is older, the firm is state-owned, the firm belongs to a politically sensitive industry or the firm operates in locations with stringent labour protection. By contrast, when the firm locates in a region with weak Chinese government intervention or after President Xi Jinping’s anti-corruption campaign, the adverse impact of political uncertainty on LIE is less pronounced. Last, we document that after hiring more labour, firms receive tangible and intangible benefits in terms of receiving more loans, collect more government subsidies, and able to re-establish some political connection but at the cost of lower performance.     

Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment

We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean and variance, while assuming that the expected rate of returns is a fuzzy number. The model shows more clearly that, in the financial market affected by several non-probabilistic factors, risk-averse investors wish not only to reach the expected rate of returns in their actual investment, but also to assure that the maximum of their possible future risk is lower than an expected loss. Under the condition that the expected rate of returns is a normal distribution fuzzy variable, we proposed a theorem as the solution, and derive a crisp equivalent form of the possibilistic portfolio under constraints of VaR and risk-free investment. This model is an expansion of the fuzzy possibilistic mean–variance model by Zhang (2007). Finally, an empirical study is carried out using the data concerning some stocks of various industries listed at the Shanghai Stock Exchange. A conclusion is reached that the investors are able to choose a portfolio more suitable to them under the VaR constraint.     

Causality between foreign investment and spillover efficiency

While there is considerable evidence on the observed linkage between foreign investment and technical efficiency of the developing countries, the question of causality between them has not been investigated. This paper re-examines the relationship between foreign direct investment and technical efficiency in Mexico, Brazil, Chile, Singapore and Zambia using Granger Causality tests. The results suggest that foreign direct investment and labour productivity are causally independent variables. However, capital formation of the host country is found to exert ‘Causal’ influence on foreign investment.     

中澳自由贸易区建设可行性浅析

从中澳之间货物贸易、服务贸易的角度对中澳自由贸易区建设的可行性进行简要分析。首先对中澳贸易强度指数及显性比较优势指数的测算,证实了中澳双方的贸易发展主要建立在产业间贸易的基础上的,产业间具有很强互补性。其次,分析了目前中澳双边服务贸易的特点及发展趋势。最后,为进一步推进中澳自贸区建设提出相关建议。     

社保基金股票投资组合的行业偏好初探

全国社会保障基金是价值型投资者,行业配置对其具有重要意义。通过考察2008年末全国社会保障基金的股票委托投资组合在行业配置上总体的分布情况,分析出该基金的受托人在股票市场处于周期性底部区域时偏好投资于周期型行业,尤其是传播与文化产业,交通运输与仓储业,电力、煤气及水的生产和供应业,以及房地产业,并得出了在这一时段受托人的行业配置风格与该基金的投资原则和该基金作为价值型机构投资者的定位相符的结论。     

基于投资效率的湖北固定资产投资结构分析

投资是湖北省经济增长最重要的推动力量,但湖北省投资增长处于非均衡发展的状态。为了避免湖北省投资因过热而浪费社会资源或者因投资不足造成经济增长的停滞,应按照投资效率原则对固定资产投资结构进行调整。通过阐述湖北省固定资产投资产业和行业结构基本情况,利用投资效率指标对湖北省固定资产投资结构的效率进行了分析,并对投资政策进行了评。在此基础上,提出湖北省今后一段时期固定资产投资的合理的产业和行业结构,为湖北省固定资产投向提供政策参考。     

A portfolio approach to a cross-sectoral and cross-national investment strategy in transition economies

This paper takes a systematic look at the portfolio choice problem faced by Investment Banks or Funds investing in transition economies. We relate the performance of projects in the transition economies to the broader macroeconomic and international environments, which affect the project through their input-output structures and financial balance sheets. Among the macroeconomic determinanst of enterprise behaviour are productivity growth, real wage growth, movements in the international terms of trade, shocks to the relative price of traded and non-traded goods, domestic and foreign interest rates, currency depreciation and the rate of inflaction. We evaluate the attractiveness of alternative investment strategies and provisioning rules from the perspective of portfoio theory.     

大股东股权质押与企业投资效率—基于我国A股上市公司的经验证据

股权质押作为上市公司大股东主要融资方式之一,其大股东高比例股权质押给企业带来了一定风险。本文以2014—2018年我国上市公司为样本,实证检验大股东高比例质押对企业投资效率的影响,并进一步区分参与质押公司性质及质押股份性质。研究发现:大股东高比例质押会显著降低企业投资效率;相对于国有企业,在非国有企业中,高比例股权质押与企业投资效率负相关关系更强;相对于限售股,当质押股份为流通股时,高比例质押使企业投资效率更低。     

Technical efficiency and ICT investment in Italian manufacturing firms

The importance of Information and Communication Technologies (ICTs) is a much debated question with extensive literature aimed at understanding the role of ICTs in increasing economic growth, firm productivity and firm efficiency. Different methods to estimate firm efficiency are used in this study. In particular, both the translog and the Cobb–Douglas production functions are used in order to estimate the impact of ICT on Technical Efficiency (TE) in Italian manufacturing firms over the period 1995 to 2003. Results show that ICT investments positively and significantly affected firms’ TE. Moreover, group, size and geographical position have a positive influence on TE. Finally, the results show that older firms are, on average, more efficient than newer ones.     

企业社会责任、现金股利与投资效率

本文选择我国2008-2016年沪深两市的A股上市公司作为研究样本,首先实证检验了企业承担社会责任对企业现金股利分配的影响。研究结果表明,社会责任表现越好的企业其更倾向于派发或连续派发现金股利,并且现金股利支付率越高。接下来本文对企业发放现金股利与投资效率的关系进行了研究。研究表明,企业发放现金股利通过减少企业的自由现金流抑制代理问题,缓解了自由现金流富余的企业的过度投资,连续派现向市场传递出的积极信号为企业带来新的融资,缓解了自由现金流紧缺的企业的投资不足。最后,本文进一步研究了企业社会责任在现金股利与投资效率的相关关系中发挥了何种调节作用,研究结果显示企业通过履行社会责任增加现金股利的发放,进而可以显著提高现金股利对过度投资的抑制作用。履行社会责任的企业更倾向于连续派现,从而提高了现金股利对投资不足的缓解程度。     

政府投入与我国医院效率的变化

本文使用数据包络分析(DEA)的方法,通过回顾性的研究考察医疗体制改革以来我国整个医院行业微观效率分数的改变,以及不同性质医院效率值与政府投入减少的相关性.本文研究发现:医疗体制改革以来我国各类性质的医院效率都有下降的趋势.其中县及县以上医院与农村乡镇卫生院的医院效率值的下降与政府投入的减少均有一定的相关性.     

The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets

Investors use mean reversion model to make decisions on which stocks should be taken in their portfolios according to their mean values. The first goal of the paper is to test the validity of the mean reversion model in emerging markets. Second, it aims to determine the best portfolio investment strategy on the validity of the mean reversion model. As a result of panel regression analysis, we find that the mean reversion model is valid in all of the emerging countries in the sample. This result implies that emerging markets are not efficient even in weak form. On the validity of the mean reversion model, we find that Max3–Min3 portfolio has recorded the best performance and contrarian portfolio is the best portfolio investment strategy. The paper makes contribution to the literature in terms of providing the information about which portfolio investment strategy has the best performance on the validity of the mean reversion model.     

Financial liberalization,private investment and portfolio choice: Financialization of real sectors in emerging markets

Using firm level panel data, we analyze the impacts of rates of return gap between financial and fixed investments under uncertainty on real investment performance in three emerging markets, Argentina, Mexico and Turkey. Employing a portfolio choice model to explain the low fixed investment rates in developing countries during the 1990s, we suggest that rather than investing in irreversible long-term fixed investments, firms may choose to invest in reversible short-term financial investments depending on respective rates of returns and the overall uncertainty in the economy. The empirical results show that increasing rates of return gap and uncertainty have an economically and statistically significant fixed investment reducing effect while the opposite is true with respect to financial investments.     

Nonparametric measures of efficiency in the presence of undesirable outputs: a by-production approach

In empirical research on productivity measurement adjusted for undesirable outputs on the side, the good and the bad outcomes are treated as joint products of the underlying production process. In the present paper, following Murty, Russell, and Levkoff, we conceptualize the good output as technologically separable from the bad output. Joint disposability is assumed between the bad output and the polluting input, rather than weak disposability and null jointness between the good and bad outputs. Moreover, we set up an integrated DEA optimization problem over the intersection of these two subtechnologies to measure the efficiency of a firm that produces a bad output alongside the good output. In an empirical illustration of our methodology, we use country-level data for an unbalanced panel of 64 countries over the years 1986 through 2011 where per capita GDP is the good and per capita \(\hbox {CO}_{2}\) emission is the bad output. We then utilize our DEA results to compute opportunity costs of a targeted reduction in \(\hbox {CO}_{2}\) emission in terms of required dollar amounts of reduction in per capita GDP for the individual countries in selected years.