Intellectual Capital Profiles: An Examination of Investments and Returns*

ABSTRACT Using data collected from executives in 208 organizations, this study takes a configurational approach to examine how human, social, and organizational capital coexist to form distinct intellectual capital profiles across organizations. We then examine how investments in human resource management (HRM), information technology (IT), and research and development (R&D) differ across these intellectual capital profiles and investigate differences in financial returns and Tobin's q between the profiles. Results indicate that a relatively small group of superior performing organizations exhibit high levels of human, social, and organizational capital. Most firms, however, tend to focus primarily on only one form of intellectual capital, and a small group of underperforming organizations have very low levels of all three types of intellectual capital. At a general level, HRM and IT investments appear to influence intellectual capital development more than R&D investments. More specifically, HRM investments tend to be higher in firms with profiles high in human and social capital, while IT investments are stronger in firms with profiles high in social capital. Further, HRM, IT, and R&D investments are all very high in the group of superior performing organizations that have high levels of human, social, and organizational capital.     

Non‐linear Predictability of UK Stock Market Returns*

Linear predictability of stock market returns has been widely reported. However, recently developed theoretical research has suggested that due to the interaction of noise and arbitrage traders, stock returns are inherently non‐linear, whereby market dynamics differ between small and large returns. This paper examines whether an exponential smooth transition threshold model, which is capable of capturing this non‐linear behaviour, can provide a better characterization of UK stock market returns than either a linear model or an alternate non‐linear model. The results of both in‐sample and out‐of‐sample specification tests support the exponential smooth transition threshold model and hence the belief that investor behaviour does differ between large and small returns.     

Further Analysis of the Returns to Academic and Vocational Qualifications*

This paper uses data from the Labour Force Survey over the period 1996–2002 to investigate the returns to a detailed list of academic and vocational qualifications. In particular, the analysis focuses on how these returns have varied over the time period considered, how the returns vary over an individual's lifetime using a pseudo cohort analysis, and how the returns vary according to the highest level of qualification obtained at school.     

The Dynamics of Returns to Education in Kenyan and Tanzanian Manufacturing*

We use micro data on manufacturing employees in Kenya and Tanzania to estimate returns to education and investigate the shape of the earnings function in the period 1993–2001. In Kenya, there have been long‐run falls in the returns to education while for Tanzania there is evidence of rising returns in the 1990s. The earnings functions are convex for both countries and this result is robust to endogeneity. Convexity may be part of the explanation as to how rapid expansion of education in Africa has generated so little growth if expansion has been concentrated at lower levels of education.     

Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns*

This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behaviour across the quantiles. Real GDP growth and interest rates also have an asymmetric impact on house prices variations.     

Accounting Accruals and Stock Returns: Evidence from European Equity Markets

Abstract

In this paper, I show a generalisation of the negative relation of traditional accruals and percent accruals with future returns in 11 of 16 European countries. Positive abnormal returns from hedge portfolios on both accrual measures summarise the economic significance of this generalisation. The magnitude of returns obtained from traditional accruals is higher than that obtained from percent accruals, contrary to existing evidence from the U.S. capital market. The magnitude of the accrual effect on stock returns based on both accrual measures is stronger in countries with higher individualism, lower uncertainty avoidance, higher equity-market development, higher equity-market liquidity, lower transaction costs, higher analyst coverage, lower analyst optimism, and lower ownership concentration. In markets where minorities have legal protection against expropriation by corporate insiders and where accrual accounting is permitted, the accrual effect based only on percent accruals is positive. Earnings opacity does not appear to exhibit a significant influence. Overall, the evidence suggests that cross-country differences in culture, equity-market setting, analysts' research output, investor protection, and ownership structure play an important role in explaining variation on the magnitude of the accrual anomaly in Europe.     

价格波动性与股票预期回报——基于中国市场的初步证据

基于国际资本市场数据的研究发现,股票价格的波动率和股票未来的回报率负相关,而且风险差异不能解释这个现象,文章使用中国股票市场的数据发现了相同的结论。在1998年1月到2003年12月期间内,基于过去一个月内股价波动率的对冲组合在未来六个月内能够取得0.32%的月风险调整超额回报率。M iller(1977)认为股价波动性代表了投资者对股票价值评估的不确定性和异质性,因为卖空限制的存在,波动性高的股票的价格更多地反映了乐观投资者的看法,因而出现高估价值的错误定价。文章分析认为M iller的错误定价理论能够解释股价波动率与未来回报率之间的负相关关系。     

国内外黄金市场收益长记忆性比较研究\n——基于重标方差分析法

利用重标方差分析法,对比研究英国伦敦和中国上海黄金市场收益的长记忆性的结果表明：对于不同的q值,国内外黄金市场日收益率都存在显著的长记忆性。相比较而言,英国伦敦黄金市场日收益率的长记忆性更强。产生这一现象的深层原因在于我国黄金价格形成机制受到了较多的政府调控,而并不能简单地说我国黄金市场的效率高于英国伦敦黄金市场。     

Combining Forecasts from Nested Models*

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but a subset of the coefficients is treated as being local‐to‐zero. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive mean square error‐minimizing weights for combining the restricted and unrestricted forecasts. Monte Carlo and empirical analyses verify the practical effectiveness of our combination approach.     

Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment

This study investigates the excess co-movement of agricultural futures prices from a new perspective of contagious investor sentiment. This study shows that contagious investor sentiment is a key determinant of excess co-movement of agricultural futures prices, by using contagious investor sentiment among different agricultural futures. Further, this study decomposes contagious investor sentiment into expected and unexpected contagious investor sentiment. Results show that both of them can positively affect excess co-movement of agricultural futures prices. More interestingly, expected contagious investor sentiment outperforms unexpected contagious investor sentiment in soybean 1 future, soymeal future, and strong wheat future. In general, the results of this study can provide strong support for the significant roles of contagious investor sentiment in asset pricing applications.     

Capitalization and the Voucher: An Analysis of Precinct Returns from California's Proposition 174

In 1993, Californians voted on a school voucher initiative. We hypothesize that homeowners in good school districts understood the voucher to be a threat to their property values and thus voted against it. Precinct returns from Los Angeles County confirm this hypothesis. We also examine an alternative hypothesis explaining the relationship between school quality and precinct returns. According to the alternative, voters perceived the initiative to be a referendum on public school quality. To distinguish between the two hypotheses, we compare the voting patterns of homeowners and renters. The comparison does not favor one hypothesis over the other.     

曲轴锻造生产线循环冷却水余热利用设计

对某曲轴锻造生产线循环冷却水余热利用系统进行设计及初投资分析,得出循环冷却水余热利用是节能并且可行的,值得进一步研究及推广。     

Inferring Policy Objectives from Economic Outcomes*

Estimated policy rules are reduced‐form equations that are silent on many important policy questions. However, a structural understanding of monetary policy can be obtained by estimating a policymaker's objective function. The paper derives conditions under which the parameters in a policymaker's policy objective function can be identified and estimated. We apply these conditions to a New Keynesian sticky‐price model of the US economy. The results show that the implicit inflation target and the relative weight placed on interest rate smoothing both declined when Paul Volcker was appointed Federal Reserve chairman.     

Differentiating Good Soldiers from Good Actors*

abstract In a qualitative interview study, 20 Hong Kong Chinese informants were asked to report stories about colleagues who were either ‘good soldiers’ or ‘good actors’. In stories about good soldiers, informants attributed their colleagues' organizational citizenship behaviour (OCB) primarily to prosocial or pro‐organizational motives. Informants' stories about good actors broke down into three major subcategories of citizenship‐related impression management: OCB attributed primarily to impression management motives; alleged pseudo‐OCB concomitant with minimal compliance; and alleged pseudo‐OCB concomitant with counterproductive behaviour. When distinguishing good soldiers from good actors, informants adopted two criteria for attribution: wilful behavioural inconsistency, i.e. low generality of behaviour across contexts; and alleged false pretence, i.e. discrepancy between claims or allusions and actual deeds. Our findings partially supported a prior hypothesis from attribution theory, that consistency was a criterion for attribution, but indicated that consensus, i.e. correspondence between the focal colleague's behaviour and other employees' behaviour, failed to differentiate good soldiers from good actors. Informants generally regarded OCB as socially desirable only when it was attributed primarily to prosocial/pro‐organizational motives.     

银行持债行为影响国债市场的实证研究

本文从2003年银行间国债市场的回购利率和国债收益率的角度出发,同时结合货币政策对银行的资金调节作用,对银行持债行为与国债市场之间的关系进行了实证研究,从而揭示出银行持债行为对国债市场的重大影响作用,并得出有关债券市场的三个基本结论。     

银行持债行为影响国债市场的实证研究

本文从2003年银行间国债市场的回购利率和国债收益率的角度出发,同时结合货币政策对银行的资金调节作用,对银行持债行为与国债市场之间的关系进行了实证研究,从而揭示出银行持债行为对国债市场的重大影响作用,并得出有关债券市场的三个基本结论.     

Refining Targeting against Poverty Evidence from Tunisia*

We introduce a new methodology to target direct transfers against poverty. Our method is based on estimation methods that focus on the poor. Using data from Tunisia, we estimate ‘focused’ transfer schemes that highly improve anti‐poverty targeting performances. Post‐transfer poverty can be substantially reduced with the new estimation method. For example, a one‐third reduction in poverty severity from proxy‐means test transfer schemes based on OLS method to focused transfer schemes requires only a few hours of computer work based on methods available on popular statistical packages. Finally, the obtained levels of undercoverage of the poor are particularly low.     

企业收购兼并的长期超额收益研究与实证

本文选取1998年发生兼并收购的公司作为样本，主并公司和目标公司都是上市公司。研究发现，公司收购兼并后对主并企业的长期超额收益为负。对公司并购后( 1， 12)，( 13， 24)和( 25， 36)时间段的CAARs和BHAR进行实证研究。研究表明，三年的长期超额收益在5％的水平下显著为负。     

The Relationship Between Stock Market Returns and Technical Efficiency Innovations: Evidence from the US Airline Industry

This paper analyzes the association between two firm performance measures: stock market returns and relative technical efficiency. Using linear programming techniques (Data Envelopment Analysis and Free Disposal Hull), technical efficiencies are calculated for a panel of eleven US airlines observed quarterly from 1970–1990. A relationship, between efficiency news in a quarter and stock market performance in the following two months, is found. A risky arbitrage portfolio strategy, of buying firms with the most positive efficiency news and short-selling those with the worst news during this time frame, results in zero beta risk yet yields annual returns of 17% and 18% for the two methodologies.