动量生命周期演进透视及引入分形理论的研究探索

本文对动量生命周期的国外研究动态进行系统梳理,认为现有文献在分析动量生命周期形成机理、生命阶段识别方面存在不足。本文对动量生命周期的提出及其演进进行了透视分析,认为动量生命周期揭示了动量和反转效应的相互转换关系,蕴含的证券价格趋势变化,符合分形随机游走的特征。据此,通过引入分形理论对动量生命周期的研究进行修正探索设想,使其比较符合分形市场的现实背景,以期弥补与丰富现有动量生命周期的理论成果,为理论界和实务界提供决策参考。     

浅析力学中动量守恒与角动量守恒

在力学中动量守恒和角动量守恒是学生容易出错的问题。本文分析了子弹击入木棒问题与子弹击入沙袋问题的区别,指出什么情况下系统的角动量守恒,什么情况下系统的动量守恒,从而说明了理论上的实际应用。     

Positional momentum and liquidity management; a bivariate rank approach

This paper introduces a new positional momentum management strategy based on the expected future ranks of asset returns and trade volume changes predicted by a bivariate Vector Autoregressive (VAR) model. The new method is applied to a dataset of 1330 stocks traded on the NASDAQ between 2008 and 2016. It is shown that return ranks are correlated with their own past values and the current and past ranks of trade volume changes. This results leads to a new expected positional momentum strategy providing portfolios of predicted winners, conditional on past ranks of returns and volume changes. This approach further extends to positional liquidity management. The expected liquid positional strategy selects portfolios of stocks with the strongest realized or predicted increase in trading volume. These new positional management strategies outperform the standard momentum strategies and the equally weighted portfolio in terms of average returns and Sharpe ratio.     

Temporal Dynamics in Acquisition Behavior: The Effects of Activity Load on Strategic Momentum

Momentum theory suggests that acquisition experience leads to acquisition momentum in the form of a higher likelihood of subsequent acquisitions of the same type. However, this argument has been challenged theoretically and empirically. We reconcile conflicting predictions and findings of prior research and extend momentum theory by incorporating activity load as a novel causal mechanism to both replicate the base finding and explain deviations from it. We find that a high activity load due to increased acquisition activity acts as a counterforce to momentum, decreasing the likelihood of subsequent acquisitions of the same type. Moreover, we also find that the interplay of routines, cognitive frames, and activity load causes companies to alternate between different types of acquisitions – from small to large and from large to small – as management engages in attention modulation to preserve momentum. Taken together, our arguments and findings contribute to an improved understanding of temporal patterns of acquisition behaviour.     

考虑交易成本的中小板块动量效应研究

本文根据中国股票市场交易的相关规定,构造出动量效应的成本因子,然后根据构造出的动量效应成本因子对零成本条件下动量策略持有期的累积超额收益进行调整,检验在考虑成本因素以后,中小板市场中的动量效应是否依然存在。     

基于Gamma过程的动量轮可靠性建模与分析

动量轮具有高可靠性、长寿命、失效机理复杂的特点,而且费用昂贵,可靠性试验样本缺乏,也难以实施加速寿命试验,传统寿命数据统计方法在解决动量轮可靠性分析时存在很大困难。提出一种基于退化的动量轮可靠性建模与分析方法,利用性能退化数据建立动量轮性能退化Gamma过程模型,同时给出模型参数估计的矩估计和极大似然估计,以及Gamma过程首达时间分布计算方法,在此基础上预测动量轮的寿命。分析表明,论文提出方法可以较好的解决小子样、无失效条件下动量轮可靠性分析的困难问题。     

供应链一体化视角下农产品物流运作模式发展动力机制研究

主要对影响农产品物流运作模式发展的动力机制进行研究,把动力机制分解成宏观和微观两方面,认为宏观结构包括制度环境、物流技术,微观结构包括供应链参与主体的权利、责任、利益等,并分别分析各因素对农产品物流运作模式的推动作用。对进一步探索农产品物流模式发展趋势,促进我国农产品现代物流的发展,具有重要的理论意义和实践意义。     

Price delay and post-earnings announcement drift anomalies: The role of option-implied betas

In this study, we used informational advantage in the options market to investigate whether the option-implied equity risk developed by Chen, Chung, and Tsai (2016) - viewed as a type of time-varying beta - can help explain both the Hou and Moskowitz (2005) price delay premium and post-earnings announcement drift (PEAD). Our empirical results revealed a clear association between quintile portfolios with greater price delay premiums and higher option-implied betas, while the Fama-MacBeth regressions showed that the implied betas are positively related to future delay-based portfolio returns. Regarding the PEAD, we discerned a general increase in the mean of portfolio option-implied betas with standardized unexpected earnings portfolio drift. Our regression results support the notion that a portfolio’s PEAD can be viewed as compensation for the variations in option-implied betas.     

物流矢量分析方法初探

分析物流的特点,定义物流动量、物流通量等概念,阐述了物流动量、物流通量概念的内涵。在此基础上运用矢量分析的方法,研究“均匀发货,匀速行驶”理想条件下物流活动的基本规律,得出了物流中心服务能力、客户需求量等要素数量关系的规律,为定量研究物流问题奠定理论基础。     

气垫导轨上“动量守恒定律”验证的误差分析

由于气垫导轨提供了低阻力环境并且采用了高精度的光电计时装置,从而不仅有效的减少了试验的误差,并且还能够做许多运动学和动力学的试验。由于其能够对多种运动情况下的动量传递进行研究,因此,通常选择它来验证动量守恒定律的试验。但是,在以往实验教学中发现,该实验的误差非常大,通过本文研究发现距离对实验结果的影响并不是很大,质量越大实验结果的标准偏差越大,在非完全弹性碰撞中速度的最佳范围是50cm/s-60cm/s。     

Common analyst links and predictable returns: Evidence from China

Based on shared analyst coverage, we are the first to document the common-analyst momentum (CAM) effect in China. Empirically, we show that average returns of common-analyst peer firms have strong predictive power for future focal firm returns. Moreover, the CAM effect is stronger than other cross-asset momentum (XAM) effects. Interestingly but differently, the CAM cannot unify other XAM effects as the U.S. market does. Exploiting the underlying mechanism, we find that common-analyst-connected firms are fundamentally similar. Further, the CAM effect is stronger when inter-firm linkages are stronger when the information processing task is more complex and on earnings announcement dates. We conclude that sluggish analyst forecasting and investors’ attention constraint could contribute to the stronger CAM effect, and our results support the hypothesis that slow information diffusion generates the CAM effect.     

健康度视角下区域技术创新生态系统的进化与提升路径——京津冀与长三角的实证研究北大核心

“双循环”新发展格局下,打造科技创新环境,建立健康的区域技术创新生态系统有利于提升国家创新软实力。本文在“高技术企业-高校-科研机构”三螺旋结构下,对正交投影法进行优化,运用Sigmoid函数进行数据归一化,采用考虑跨期的熵权法,对京津冀及长三角地区的技术创新生态系统健康度进行研究,计算其进化动量。结果表明:京津冀及长三角地区的技术创新生态系统健康水平存在较大提升空间,安徽、河北、天津仍处于非健康状态;从进化动量看,京津冀地区技术创新生态系统的健康状况与长三角地区的差距有扩大趋势。因此,文章提出以下建议:优化区域技术创新组织结构,强化企业创新主体地位,积极投入创新资源。     

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.     

战略冲力对企业快速变革的影响研究——一个案例的跟踪分析

近年来,通过战略变革保持企业竞争优势已经成为各企业及学者们关注的焦点。战略冲力作为战略变革的一种主要驱动力,指引并界定着企业战略变革的方向,稳定环境下的战略变革更是给企业带来了占领市场的先机。本文通过对巨人集团在市场稳定背景下三次战略变革阶段的研究发现,个体的感知能力、群体的沟通效果和组织的承诺水平是战略冲力形成的三个重要指标。研究表明,组织决策层通过组织学习,保持成员组织结构的合理安排等对于增强决策层的感知能力、增强战略冲力具有重要意义。     

Myth or reality? Assessing the moderating role of CEO compensation on the momentum of innovation in R&D

This study researches the influences of CEO compensation on firm behavior to examine the interactive relationship between the behavioral momentum of innovation in R&D and CEO compensation. The models presented in this study are based on evolutionary, institutional, and agency theories to test hypotheses using data from 107 companies in the high-technology sectors in the United States. The results indicate that the pre-succession innovative behavior of these high-technology firms on R&D can positively affect these firms' post-succession innovative behavior towards R&D. That is, positive momentum in R&D innovation prevails in a firm across a change of the CEO. However, for the role of CEO compensation, short- and long-term compensation does not positively moderate this behavioral momentum in R&D. Hence, the moderating impact of short- and long-term CEO compensation to enhance the momentum of innovation in R&D can be romanticized. These findings provide boards of directors with evidence as to how a CEO succession matters to a firm's behavioral momentum in R&D, and whether CEO compensation can be strategized to change a firm's innovation and momentous behavior.     

The Organizational Impact of Business Model Innovation: Assessing the Person-Organization Fit

Studies on business model innovation (BMI) have largely focused on firm performance, neglecting outcomes of BMI beyond financial performance indicators. Research lacks empirical findings from the internal organizational dynamics following the inherent transformation process induced by BMI. Rooting our analysis in configuration theory, the purpose of this paper is to shed light on the organizational impact of BMI. We employ the person-organization fit concept and assess (unintentional) changes in the fit relationship subsequent to BMI. Our findings suggest that incremental BMI enhances fit whereas radical BMI decreases it. We further discuss the theoretical and practical implications of our study.     

物流场理论研究

本文把物流活动视为特殊的“物理场”．物流供需矛盾处理视为客户在物流中心激发的物流场的作用．定义了物流场强、特流动量、物流场势、物流场压等概念,运用场理论分析研究物流活动的基本规律,建立物流场守恒定律。     

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.     

廊坊与京津的产业对接及融合

认为京津冀都市圈区域规划的编制和实施,将极大地促进该都市圈内生产要素的大范围流动和资源的优化配置。廊坊置身于京津冀都市圈,与京津山水相连,具有对接京津产业的良好基础。廊坊市应深度融合京津资源,积极搭建开放平台,规划廊坊市与京津产业对接的思路,确定与京津产业对接的领域,以此促进廊坊市的经济和社会的快速发展。     

Financial participation and recruitment and retention: causes and consequences

Using a sample of over 5000 establishments in Germany, we analyze the antecedents and effects of profit sharing (PS) and employee share ownership (ESO) with respect to the ability of firms to meet their recruitment and retention objectives and to achieve employment growth. We draw on both economic and behavioral perspectives to argue that firms that adopt PS and ESO plans do so in order to attract and retain employees. Using logistic regression and a propensity score matching technique, we find that firms that face higher recruitment problems, and those that have greater employment growth objectives, are more likely to use ESO and PS. Unlike ESO, PS enhances firm-level employment growth. However, neither ESO nor PS help firms to fully resolve recruitment and retention problems.