Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?

In this project, our topic pertains to examination of market efficiency, employing data from closed-end funds (CEFs) trading in the American stock market. Employing both aggregate and individual data, we examine whether or not moderate market performance is a sufficient condition in order to achieve abnormal returns, in the short-run, through exploitation of discount deviations from its mean value. The main hypothesis tested is that market performance affects the mean-reverting properties of CEFs’ discount. Moderate market performance ensures the mean-reversion of CEFs’ discount and points to cointegration between the share prices of CEFs and their net asset value (NAV). Furthermore, when NAV is identified as the common stochastic trend of the system then, market inefficiency is detected.     

Mean-reversion in international real interest rates

This paper examines the mean-reversion property of real interest rates. Many past studies have reported puzzling outcomes of the mean-aversion of real interest rates for a number of countries. In the article, we employ panel unit root tests and carry out half-life estimation based on the bias-corrected bootstrap. These findings of the paper provide strong evidence that, in both major Western and East Asian capital markets (including several emerging ones), real interest rates are mean-reverting. In addition, we find evidence that the degree of mean-reversion of the real interest rates is positively correlated with that of output growth, which is consistent with the implications of standard intertemporal behavior.     

购买力平价非线性检验方法的进展回顾及其对人民币实际汇率的应用

单位根检验下实际汇率通常的非平稳性与购买力平价相矛盾,然而考虑到国际套利交易成本,实际汇率可能遵循某种非线性均值回复行为。本文对近年来国际上对实际汇率的非线性均值回复领域的研究进行了回顾和总结,并选取带有约束的ESTAR模型对人民币实际汇率的非线性行为进行了实证分析,对其均值回复速度进行了估计,并给出了购买力平价下的均衡汇率。结果支持了人民币与美元的购买力平价关系。     

我国封闭式基金折价与基金运行绩效的相关性检验

笔者以我国的封闭式基金为样本,利用面板数据建模,综合考量了基金折价率与基金绩效指标间相关关系.研究结果发现,基金绩效指标对当期折价指标有显著的负的影响;而当期的基金折价指标不能准确预测未来绩效水平,即基金折价率并没有提供对未来基金绩效的有价值信息.     

Performance of Australia's Ethical Funds

Australia's three major public ethical investment funds achieved mixed financial success in the seven years to 30 June 1998, though on average the funds underperformed relative to the market. For the four‐year and five‐year holding periods to 30 June 1995 and 1996 respectively, the average holding‐period returns for the three funds were less than the risk‐free rate. This is strong evidence of investors incurring a financial discount for investing ethically and, with respect to the ethical investor's utility function, it is evidence of the marginal utility increasing as the ethical attributes of assets increase.     

Can Health Savings Accounts Reduce Health Spending? Evidence from China

Health care costs are high and continue to rise in most major economies, and the health savings account (HSA) is often viewed as an appealing way to contain health care costs because it can potentially solve the moral hazard spending caused by traditional health insurance. This study uses data from the China Household Finance Survey (CHFS) to empirically examine the effectiveness of HSAs in containing medical expenses and reducing moral hazard. The findings show that HSAs that restrict the use of funds may lead enrollees to discount the value and thus spend more on health care. In addition, the positive effect of HSAs on medical expenses is larger for the relatively healthier group, which may suggest that moral hazard exists regarding the use of HSA funds. The empirical estimates of the HSA effect on medical expenses are robust when a set of covariates are controlled, and HSA balances are instrumented using housing savings account balances.     

Detecting intra-national PPP model in China: A median-unbiased estimation approach

This paper studies the speed of price adjustments toward the intra-national PPP level within China based on half-life measurement. We calculate the point estimates of half-lives and the corresponding confidence intervals using median-unbiased estimation methods to correct for downward bias in least squares estimates. The point estimates of half-lives indicate that the speed of mean reversion toward convergence between region pairs is fast. A strong conclusion about the high speed of adjustments is, however, unwarranted in some regions where the confidence intervals for half-life estimates are much wider than others.     

我国封闭式基金折价原因探析

噪声交易理论较好地解释了我国封闭式基金的折价交易问题。但是,实证结果表明,还存在着其他因素影响着基金的折价。由于我国证券市场处在发展阶段,基金管理者独立性差,持股集中、持股重叠、内幕交易现象很多,基金管理中存在着道德风险,这是造成我国封闭式基金大幅折价的重要原因。     

Reallocation of corporate resources and managerial incentives in internal capital markets

Diversified firms often trade at a discount with respect to their focused counterparts. The literature has tried to explain the apparent misallocation of resources with lobbying activities or power struggles. We show that diversification can destroy value even when resources are efficiently allocated ex post. When managers derive utility from the funds under their purview, moving funds across divisions may diminish their incentives. The ex ante reduction in managerial incentives can more than offset the increase in firm value due to the ex post efficient reallocation of funds. This effect is robust to the introduction of monetary incentives. Moreover we show that asymmetries in size and growth prospects increase the diversification discount.     

The Residency Discount for Rents in Germany and the Tenancy Law Reform Act 2001: Evidence from Quantile Regressions

Most countries show a residency discount in rents for sitting tenants. In the wake of strong rent increases and housing shortages, Germany implemented a reform in 2001 to curtail rent increases. Based on linked housing‐tenant data for Germany, this paper estimates panel OLS and quantile regressions of rents within tenancies. The results show that rents deflated by the CPI increase strongly from 1984 until the reform in 2001, and there is a reversal in the trend afterwards. Before the reform, there is a significant residence discount which decreases in absolute value with tenure. The reform reduces rents, in particular for expensive apartments and for new leases. There is no residency discount after the reform.     

我国封闭式基金折价交易的实证分析

中国封闭式基金市场基金普遍折价较为严重,并出现"封闭式基金折价之谜"所述的种种特征。通过描述我国上海证券交易所上市的封闭式基金的折价特征,用换手率、大盘指数以及剩余到期时间作为解释变量建立回归模型对基金折价率进行实证分析,表明换手率对基金折价影响显著,说明流动性因素是解释基金折价的重要原因;大盘指数对基金折价无解释能力;剩余到期时间也是影响基金折价的显著性因素。     

Do retirement planning strategies alter the effect of time preference on retirement wealth?

An individual’s willingness to accumulate retirement wealth is influenced by their preference for intertemporal consumption. People with a strong preference for current consumption (high personal discount rate) may choose to save less and face the risk of decreased retirement preparedness. A negative relation between a high personal discount rate and retirement wealth may be reduced when individuals engage in some form of retirement planning. Using the National Longitudinal Survey of Youth, we provide evidence that respondents with a high personal discount rate accumulated 37% less retirement wealth, on average, between 2004 and 2008, when compared with respondents with a low personal discount rate. However, when retirement planning strategies were included in the model, there was no statistical difference in retirement wealth between people with high and low personal discount rates. The retirement planning strategies included calculating a retirement income need, hiring a financial planner for retirement or engaging in both of these activities.     

Measuring and explaining implicit risk sharing in defined benefit pension funds

This article investigates responses to changes in solvency by occupational pension funds using a unique panel data set containing the balance sheets of all registered pension funds in the Netherlands over a period of 13 years (1993–2005). A fixed discount rate for liabilities in the supervisory framework allows us to measure the response of pension funds to solvency shocks. We find that pension rights are expanded, by e.g. indexation, or limited, by for instance setting the pension premium over its actuarially fair price, in line with the funding ratio but that the pension funds’ response function exhibits two sharp and significant behavioural breaks, close to the minimum funding ratio of 105% and the target ratio of around 125%. We further find that large funds and grey funds are relatively generous to current participants.     

Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100

We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, relying on copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a formation period. Next, we trade these pairs in-sample to assess the profitability of mispricing signals derived from t-copulas. The top pairs are transferred to an out-of-sample trading period, and traded with individualized exit thresholds. In particular, we differentiate between pairs exhibiting mean-reversion and momentum effects and apply idiosyncratic take-profit and stop-loss rules. For the top 5 mean-reversion pairs, we find out-of-sample returns of 7.98% per year; the top 5 momentum pairs yield 7.22% per year. Standard deviations are low, leading to annualized Sharpe ratios of 1.52 (top 5 mean-reversion) and 1.33 (top 5 momentum), respectively.     

Central bank reserve management: Aggregate targets and interest payments on reserves

Tindall and Spencer [1997] presented a dynamic stochastic theory of borrowed reserves that explained the observed nonlinear relationship between borrowing and the spread between the federal funds rate and the discount rate. It showed that borrowed reserves are a function of deposit variation. This paper extends that research, providing a general dynamic model of all key bank reserve aggregates. Nearly all reserve aggregates, which can be used as operating targets by the Federal Reserve, are subject to the influence of deposit variation and are nonlinearly related to the spread between the federal funds rate and the discount rate, complicating their use as targets. Additionally, it is found that the Federal Reserve's proposal to pay interest on bank reserves could generate substantial distortions in reserve aggregate behavior where interest is paid on excess reserves as well as required reserves, effectively resulting in potentially large discount-window policing problems.     

Time discounting for primary and monetary rewards

This paper reports a positive and statistically significant relation between short-term discount rates elicited with a monetary and a primary reward (chocolate). This finding suggests that high short-term discount rates are related to an underlying individual trait.     

Discounting the Distant Future: An Experimental Investigation

We use a laboratory experiment to elicit discount rates over a 20-year time horizon using government savings bonds as a payment vehicle. When using a constant (exponential) discount rate function, we find an implied average discount rate of 4.9 %, which is much lower than has been found in previous experimental studies that used time horizons of days or months. However, we also find strong support for non-constant, declining discount rates for longer time horizons, with an extrapolated implied annual discount rate approaching 0.5 % in 100 years. There is heterogeneity in discount rates and risk preferences in that people with more optimistic beliefs about technological progress have higher discount rates. These findings contribute to the debate over the appropriate discount rate to use in comparing the long-term benefits of climate change mitigation to the more immediate costs.     

顾客关系质量关键纬度探析

企业在经营中需要综合利用各种资源,进行优化配置,使其发挥最大的效益.在所有的资源中,顾客是最重要的资源之一已经成为不容置疑的结论.随着时间进入二十一世纪,经济全球化的发展,互联网的普及,以往代表企业竞争优势的厂房、人员、资金、渠道等巴不再是企业处于领先地位的决定因素,优良而强大的顾客关系管理则成了企业领先他人的一个重要手段.     

Non-parametric test of time consistency: Present bias and future bias

This paper reports the elicited time preference of human subjects in a laboratory setting. The model allows for non-linear utility functions, non-separability between delay and reward, and time inconsistency including future bias in addition to present bias. In particular, the experiment (1) runs a non-parametric test of time consistency and (2) estimates the form of time discount function independently of instantaneous utility functions, and then (3) the result suggests that many subjects exhibiting future bias, indicating an inverse S-curve time discount function.     

Empirical and public choice evidence for hyperbolic social discount rates and the implications for intergenerational discounting

The derivation of the correct discount rate for intergenerational projects in Cost Benefit Analysis is particularly contentious. Public choice has resulted in lower discretionary exponential discount rates for many intergenerational projects in Britain and the USA. This is shown to be strong indirect evidence that the true social discount rate may be a hyperbolic (rather than an exponential) function. There is also empirical evidence for this hypothesis. The hyperbolic nature of discounting is also a standard finding in the behavioural sciences. For intergenerational time frames hyperbolic discount rates should be employed together with exponential discount rates in cost-benefit sensitivity analyses.Sincere thanks to Maureen Cropper and Paul Portney for supplying their survey results and to Elaine Barrow and Phillip Judge for graphics assistance. Two anonymous referees also provided valuable comments.