An empirical analysis of the market for formal venture capital: Evidence from the U.S.

The objective of this paper is to conduct an empirical analysis of the risk-return relationships in the formal venture capital market and compare such relationships with the trade-offs available through comparable investment vehicles. Based on ten years of market data, the performance of the venture capital companies (VCCs) is compared with that of the mutual funds as well as the broad market index. Test results from our study show that on average the VCCs well outperformed the comparable mutual funds as well as the market benchmark. The VCCs had the same level of risk as the high-growth mutual funds but yielded 9.5% more return on an annual basis. When ranked according to their performances, the VCCs occupied the top of the list.     

BRIC and the U.S. financial crisis: An empirical investigation of stock and bond markets

We examine empirical evidence of the behavior of stocks and bonds from BRIC nations by using daily data from January 2003 to July 2010. We present unconditional and conditional empirical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bond markets deviate much more from the U.S. financial stress measure than the BRIC bonds and stocks that deviate among themselves. Stock and bond return correlations for Brazil and Russia are significantly large and negative. The own correlations are more important in determining the evolution of the conditional correlations relative to unexpected news. Dynamic conditional correlations between stock returns, bond returns and U.S. financial stress increase after the Lehman Brothers' event in September 2008, except for the bond returns in India.     

Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information

The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. Using a unique proprietary data source collected by a private firm, we test whether the initial estimates in the USDA Cattle on Feed Report and the Knight‐Ridder pre‐release forecasts are unbiased and efficient forecasts of final revised USDA Cattle on Feed Report numbers. We then use these results to test whether futures price movements are predictable based on information in the proprietary data. We also test whether the initial estimates from the Cattle on Feed Report have new information that moves prices once the information contained in the proprietary data source has been taken into account. Results suggest that the information contained in the proprietary data source does have statistically significant explanatory power for forecasting final revised Cattle on Feed Report numbers and for predicting short‐term price movements of futures contracts. The results are inconsistent with strong‐form market efficiency in the live cattle futures market. We also find that the initial estimates in the Cattle on Feed Report still have new information that moves prices even after accounting for the unique information in both the Knight‐Ridder pre‐release forecasts and the proprietary data. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:429–451, 2004     

中国上市公司现金流管理研究——兼对中美市场现金流管理行为比较研究

This paper examines cash flow management in the Chinese market and compares it to that in the U.S. market. It adopts Burgstahler and Dichev (1997) and Degeorge et al.’s (1999) method and the best-fitted distribution model to analyze the financial data of Chinese listed firms during 1998–2005 and the forecasted cash flow per share (CPS) data for Chinese firms in the I/B/E/S database during 1993–2005. Results reveal that cash flows reports are not as reliable as people think, and managers manipulate cash flows just as they manipulate earnings. Further analyses show that zero point, last year’s cash flow and analyst cash flow forecast are the three thresholds that influence managers’ decision when they report cash flow performance. Over 16% of the firms with small positive cash flows manipulate their cash flow. Moreover, 16.64% of the firms with small changes in cash flow and 9.81% of the firms with small surprises manipulate cash flows to reach the targets. A comparative analysis shows that cash flow management behaviors around zero and zero changes are more prevalent in the Chinese market than in the U.S. market. Cash flow management around analyst cash flow forecasts, however, is no more prevalent than that in the U.S. market. Translated and revised from Zhongguo Kuaiji Pinglun 中国会计评论 (China Accounting Review), 2007, 5(3): 381–400     

Information transmission in electronic versus open‐outcry trading systems: An analysis of U.S. equity index futures markets

In this article the intraday price discovery process between regular index futures (floor trading) and E‐mini index futures (electronic trading) in the S&P 500 and Nasdaq 100 index futures markets is examined, using intraday data from the introduction of the E‐mini index futures to 2001. Using both information shares (Hasbrouck, J., 1995) and common long‐memory factor weights (Gonzalo, J., & Granger, C. W. J., 1995) techniques, we find that both E‐mini index futures and regular index futures contribute to the price discovery process. However, since September 1998, the contribution made by E‐mini index futures has been greater than that provided by regular index futures. Based on regression analysis, we have also found direct empirical evidence to support the hypothesis that the joint effects of operational efficiency and relative liquidity determine the greater contribution made towards price discovery by electronic trading relative to open‐outcry trading over time. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25: 679–715, 2005     

Investor behavior and volatility of futures market: A theory and empirical study based on the OLG model

Investor trading behaviors are always an important issue in behavioral finance and market supervision. This study examines the relationship between investor behavior and future market volatility. We first introduce a two-period OLG model into the futures market, and develop an investor behavior model based on future contract price. We then extend the model to two scenarios: complete and incomplete information. We provide the equilibrium solution, and develop two hypotheses, which are tested with cuprum tick data in Shanghai Futures Exchange (SHFE). Empirical results show that the two-period OLG model for future market is consistent with the market situation in China. More specifically, investors with sufficient information such as institutional investors usually adopt the contrarian trading strategy, whereas investors with insufficient information, e.g., individual investors, usually adopt the momentum trading strategy. These findings reveal that investor behaviors in the Chinese futures market are different from those of in the Chinese stock market.     

Time‐varying market price of risk in the crude oil futures market

In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying. Using the cross‐section of futures prices, we estimate a time‐series of the market price of risk in the crude oil market implied by the model. We find that the risk premiums in the crude oil market are driven by the same risk factors as equity and bond markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:779–807, 2011     

美国电子消费品市场:商机多多

微欢公司创始人比尔·盖茨"未来智能化家庭媒体中心的构想"的演讲揭开了在美国拉斯维加斯举办的2005年度国际消费电子展(CES)的序幕.盖茨先生在演讲中称,消费者将在21世纪的第一个十年迎来"数字生活方式",即:以电脑为中心,连接高清晰度数字电视、MP3、DVD、数码相机、手机、游戏机甚至手表.让消费者生活在数字化的"声色世界"中.随着宽带的普及和数字设备的降价,数字化的发展速度超过了人们预期.     

The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets

This study examines the information flow and market efficiency between the metallurgical futures markets of the United States and China over a ten‐year span from 1999 to 2009. There were structural breaks in the aluminum and copper futures price series for the New York Mercantile Exchange (NYMEX) and Shanghai Futures Exchange (SHFE) between 2006 and 2008. The New York and Shanghai markets are cointegrated, indicating an equilibrium relationship between the two markets. Trading strategies are implemented to explore the error‐correction process. The overall results show that U.S. and Shanghai futures prices are closely related and both markets are comparably efficient on a daily basis. The U.S. market does not appear to be more efficient than the Chinese market in incorporating information into prices. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

Exploring the post-termination stage of consumer–brand relationships: An empirical investigation of the premium car market

This research extends customer lifecycle models to include a post-termination stage that bridges the dissolution stage of a consumer–brand relationship with a potential recovery stage. Drawing from 43 depth interviews with former customers of a car brand, this study relies on grounded theory and triangulation to explore consumer responses in the post-termination stage and finds evidence for both negative and positive customer responses after dissolution. The authors combine qualitative techniques with categorical principal component analysis (CATPCA) to explore the dimensionality of post-termination responses and extract relationship-related and termination-related response dimensions. They use these dimensions to identify four distinct post-termination customer clusters, which differ systematically with the customer's termination reasons, as demonstrated through a series of exact logistic regressions. In addition to providing evidence of a post-termination stage, this study offers implications for customer relationship management.