趋势因子与股票横截面收益

本文采用2005年至2016年A股上市公司为研究样本,通过归一化的均线指标,构造了个股趋势因子。实证结果发现：该因子对股票横截面收益具有显著的解释能力,经过CAPM模型和Fama French三因子模型风险调整后依然存在显著的超额收益。     

Excess Returns of Industrial Stocks and the Real Estate Factor

In order to identify the major risk factors in pricing industrial stocks, this study estimates different models based on six explanatory factors: the overall stock market, size, book-to-market equity ratio, the term structure, default risk, and the unsecuritized real estate market. The results of this study indicate that the real estate factor plays an important role in explaining excess returns on industrial stocks, along with other risk factors. The coefficient of the stock market factor declines when the real estate market factor is included in the model. Therefore, the large coefficient in the single-factor (stock market) model probably results from covariation between the overall stock market factor and the real estate factor. Results for subperiods indicate that the effects of the real estate factor are quite stable and second only to the overall stock market factor.     

莫尔斯家族重返怒江

2001年6月我广泛游历了云南省怒江傈僳族自治州。在靠近丙中洛的地方,我看见了那两个气势不凡的大拐弯;在怒江边的小路上,我聆听着怒江不息的咆哮;我看见儿童们用古老的溜索方式过河;络绎不绝的马帮正往返于通向西藏的路上,     

Temporal Causality and the Dynamics of Crime and Delinquency

This paper is the first attempt to identify crime-delinquency relationship at the national level. We apply various techniques to identify the dynamic relationship between crime and delinquency rates in USA from 1987 to 2008. Two types of crime rates are observed, violent and property crime rate. The study finds strong short-term evidence that delinquency causes an increase in property crime rate for the years 1987 through 1995 and again 1996 through 2000, but no evidence for a long-term relationship in the full sample 1987 through 2008. The reverse effect of crime on delinquency rate is mostly insignificant. The property values work as a linkage between crime-delinquency relationship in the short-term data. One important finding of this study is the apparent exogeneity of the crime rate with respect to delinquency rate during the economic downturn. We also control for 30-year fixed-rate mortgages, housing starts, and median weekly wage.     

Higher Co-Moment CAPM and Hedge Fund Returns

Atlantic Economic Journal - This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression approach is used...     

Job Market Signaling and Returns to Education

We compare two partially separating equilibria in a job market signaling model with unproductive education. We find that in one of the two equilibria, the fraction of the population with a threshold education level is higher even though the cost of education is higher. Moreover, compared to the other equilibrium, the population faces a higher threshold education level, yet the educated attain lower wages. The reason for this result is that the gross return to education can be higher despite the higher cost of education and a higher threshold.     

神七飞天凯旋

在戈壁的深处，神舟七号飞船的发射塔架巍峨耸立，苍茫的戈壁、湛蓝的天空与高耸的发射架一起，又一次把世人的目光向中国载人航天事业聚焦。     

西藏梦回

有人说:天堂隔壁是西藏。尽管在现代交通和通讯如此发达的今天,似乎没有人类不能达到的地方,但关于西藏,依然有太多的神秘,吸引着南来北往的行者去探秘去圆梦去朝圣。《中国国家地理》曾经这样描述西藏:"西藏是一面魔镜,每个人都     

Carry Trade Returns and Segmented Risk Pricing

Atlantic Economic Journal - The returns to carry trades are controversially discussed. There seems to be no unifying risk-based explanation of currency returns and stock returns, while the...     

Foreign Direct Investment and Trade: A Causality Analysis

In this article, we analyze the relationship between outward foreign direct investment (FDI) and exports, using Spanish quarterly data for the period 1977–1998, by means of Granger causality tests in a cointegration framework. Our results point to the existence of a relationship of complementarity between both variables, with Granger causality running in the short run from outward FDI to exports, and bilateral Granger causality in the long run.     

Experience,Learning, and Returns to Scale

The experience curve is a tool for forecasting future decreases in average cost as a function of cumulative output/volume. The extent of an experience effect has profound implications for both pricing strategy and the focus on market share as a managerial objective. At the same time, the underlying sources of the experience effect are not well understood. This article demonstrates that, as commonly measured, experience effects are aggregated with the effects of increasing returns to scale. This implies that standard experience curve estimates are misspecified because they suffer from an omitted variable bias. Strategic implications of the experience‐scale link are discussed.     

Democracy and Durability: Empirical Analysis and a Causality Test

The current literature has failed to differentiate between the collapse of democratic and authoritarian rules or whether democratic regimes collapse for the same reasons as do authoritarian regimes. Therefore, the current literature is silent on whether democracies are more fragile or less susceptible to economic and political breakdowns. Using a multitude of political instability variables, this paper explores empirically, whether political freedom and civil liberty (a proxy for democracy) has any effect on the stability of the political order. The empirical results of the paper confirm the hypothesis that democracy is conducive to political stability; the higher the level of political freedom and civil liberty, the more stable countries are. The paper also presented a Granger-causality test of political instability and the level of political freedom and civil liberty. The test results indicate that the level of political freedom and civil liberty Granger-cause the level of political instability, while the level of political instability does not Granger-cause the level of political freedom and civil liberty. The test results indicate that Granger-causality runs one-way from political freedom and civil liberty to political instability and not the other way. A further comprehensive research is needed on the multi-layered and the complex relationship among democracy and the resilience of the political order.I would like to thank an anonymous referee for helpful comments that improved the quality of the paper. I would also like to thank the Research Council of Niagara University for their financial support.     

Monetary and Nonmonetary Returns to Education in Indonesia

Some important aspects of returns to education in Indonesia have been neglected. This paper draws on the Indonesia Family Life Survey, a longitudinal survey, to shed some light on these aspects. This paper finds in a Mincerian specification that a more recent rate of return is in line with the rates found in previous research. A quantile regression is applied to show that the rate varies little in the conditional distribution of earnings, which stands in stark contrast to findings from some developed countries. In addition, the rate of return in self‐employment is estimated to be lower than that in paid employment for person‐ and sector‐specific reasons. In addition to monetary returns to education, happiness returns to education are considered. This paper advances evidence that education has important and robust implications for happiness above and beyond absolute and relative levels of income.     

Granger因果检验的文献回顾

本文首先介绍了Granger因果关系的概念,探讨了其内涵,并将其与哲学意义上的因果关系、经济学意义上的因果关系进行了比较。进一步从统计学数字特征的角度,对均值Granger因果检验、方差Granger因果检验、分位数Granger因果检验;从序列的平稳性角度,对平稳序列和非平稳序列的Granger因果检验;从函数形式的角度,对线性Granger因果检验与非线性Granger因果检验;从数据类型的角度,对时间序列的Granger因果检验和面板数据的Granger 因果检验进行了综述。在每种分类下,给出了定义、常用的检验模型,及其在经济、金融领域的实证研究。文章最后对滞后阶数的选取、信息准则的选取、Granger因果关系与观测频率、Granger因果检验的实施步骤等关键问题进行了深入的探讨。