On the theory of market information efficiency

This paper discusses the concept of market information efficiency and demonstrates the following: As the number of traders who participate in the market becomes large, the variations in the price of a security caused by the variations in traders' beliefs make the market price vary as if traders all knew the ‘true’ distribution of returns on the security. The empirical implications of the analysis are also explored.     

On the theory of testing serial correlation

Abstract

Several different statistics have been proposed for testing the independence between successive observations from a normal population. In order to choose between the various tests a theory of testing this hypothesis in certain populations is needed. In this paper the problem is studied within the framework of the Neyman-Pearson theory. Certain theorems concerning more general problems of quadratic forms are developed and later applied to the question of testing serial correlation.     

On Hattendorff's theorem in the theory of risk

Abstract

1. Two of the most important measures of dispersion are the {istandard }deviation and the {iaverage deviation}¹ which, if we are concerned with the financial effects of deviations from an assumed mortality, are called the {imean risk} and the {iaverage risk} and are denoted by {iM} and {iR} respectively.     

On the probability function in the collective theory of risk

Abstract

Upon reading Dr. LUNDBERG'S paper ?Über die Wahrscheinlichkeitsfunktion einer Risikenmaase?¹ and trying to penetrate it along my own lines of thought, I found another way of deducing some of his formulas, giving the results in a form that directly invites a fairly simple approximation of the probability function. Though time has not permitted my going deeper into the problem, I propose here to give a brief account of the method.     

On Some alternative estimates of the adjustment coefficient in risk theory

Abstract

Recently, Csörgö and Steinebach proposed to estimate the adjustment coefficient in risk theory via a quantile type estimate based upon a sequence of intermediate order statistics. In the present paper, further alternative estimators are discussed which may be viewed as convex combinations of a Hill type and a quantile type estimate. Consistency is proved and rates of convergence are studied. Some simulation results are presented to illustrate the finite sample behavior of the proposed estimators.     

On the theory of financial contracting: The personal loan market

Assuming rational expectations, the differing incentives of borrowers and lenders in competitive loan markets determine the typically complex nature of personal loan contracts. Given this framework, contractual provisions such as collateralization, escrow accounts, and other restrictive covenants are efficient mechanisms to control the incentive conflict: credit rationing (market failure) arguments are not necessary to explain the inclusion of these contractual provisions. Within a competitive lending market the benefits from these provisions ultimately accrue to the borrower by lowering the total cost of borrowing.     

论新增长理论与中国经济增长质量的提高

西方新增长理论 ,又称为内生增长理论 ,是在 2 0世纪年代 ,以罗默 (PualM .Romer,1 986)和卢卡斯 (RobertE .Lucas,Jr.1 988)等人为代表的经济学家 ,在对新古典理论重新思考的基础上 ,得出一种共同的基本结论 ,即经济增长是经济系统内生因素作用的结果 ,而不是外部力量推动的结果。一方面内生的技术创新是经济长期增长的源泉 ,而劳动分工程度和专业化人力资本的积累水平是决定技术创新水平高低的主要因素。另一方面 ,政府实施的某些经济决策对一国的经济增长具有重要影响。在中国发展的新阶段 ,正是实施三步走战略的关键阶段。充分认识中国经济增长过程中的现实状况 ,保证经济长期、快速、健康地增长最主要是着力提高经济增长的质量。因此 ,借鉴西方的新增长理论 ,加强政府在推进技术进步、人力资本积累以及合理调整产业结构等方面作用 ,对于确保中国小康目标的实现具有重大的现实意义     

论恩格斯晚年对社会主义道路理论的贡献

在恩格斯的晚年 ,世界历史正经历着巨大的变化。以电的发现与运用为标志的第二次科学技术革命的兴起 ,为资本主义注入了新的生机。资本主义的社会表现出许多新情况、新特点。面对历史的巨大变化与发展 ,恩格斯一方面依据资本主义从自由竞争向垄断过渡阶段所呈现出的新情况、新特点 ,对马克思主义关于从资本主义社会向共产主义过渡的理论进行了新的修订与发展。另一方面 ,依据东方社会的情况 ,使马克思主义的东方社会跨越资本主义“卡夫丁峡谷”的理论得以完善。并将二者有机结合起来共同构成了完整的关于向未来社会过渡的理论。     

“破窗理论”和“护花原理”在高校学生管理中的应用

高校学生管理工作是整个高校管理系统的重要组成部分,是一个系统工程,其效果关系到高校整体的教育质量,对整个高等教育的发展有着至关重要的影响。一些行为散漫的学生给高校学生管理工作带来很多破窗问题。如何有效地遏制破窗效应,更好地做好高校学生管理工作,是每个高校面临并亟待解决的突出问题。本文以代表性的宿舍管理和班级管理为例,谈谈如何应用破窗理论和护花原理做好高校的学生管理工作。     

On the use of positive economic theory to explain the choice of accounting methods to financial accounting students

Leading financial accounting textbooks explain the choice of accounting methods in terms of the accountant choosing the method that best reflects the firm's financial condition and results of its operations for the period. In this paper it is argued that a more satisfactory way of explaining why firms choose particular accounting methods is in terms of positive economic theory. Relevant research results that can be readily incorporated into classroom lectures are summarized.     

On the probability of ruin in the collective risk theory for insurance enterprises with oly negative risk sums

Abstract

1. The determination of the probability that an insurance company once in the future will be brought to ruin is a problem of great interest in insurance mathematics. If we know this probability, it does not only give us a possibility to estimate the stability of the insurance company, but we may also decide which precautions, in the form of f. ex. reinsurance and loading of the premiums, should be taken in order to make the probability of ruin so small that in practice no ruin is to be feared.     

A short remark on the theory of random sampling and the theory of variance

Abstract

In developing the theory of random sampling, no pressupposition is usually made as to the underlying limited population. This tends to render the theoretical work considerably more difficult; but then, in order to utilize the developed properties in tests, it is necessary to make certain limiting references to the theorem of limiting value, etc. It is, therefore, tempting to make requirements of distribution properties of the original population to avoid theoretical difficulties, and later try to expand the results obtained. The obvious course, then, is to seek the distribution of the estimate resulting from the random sample, on condition that the original limited population itself belongs to a distribution as the result of some process or other.     

Evolutionary theory in public health and the public health of evolutionary theory

Evolutionary theory is the most powerful explanatory system in the life sciences and is the only framework that can unify knowledge in otherwise disparate fields of research. Considerable advances have been made in the application of evolutionary biology to health issues in recent decades. Health researchers and practitioners could benefit considerably from an understanding of the basic principles of evolution and how humans have been shaped by natural and sexual selection, even if they are not explicitly testing evolutionary hypotheses. Life History Theory is a powerful framework that can be used for examining modern human environments and developing environments that maximize opportunities for positive health outcomes. Many of the recommendations derived from this framework converge with the visions of current public health advocates. Despite the benefits of an evolutionary framework, the challenges that face those attempting to integrate evolutionary theory into public health are perhaps greater than those in the social sciences. Although considerable advancements in the understanding of health issues have already been made, health researchers with an evolutionary perspective are very few in number and face constraining disciplinary attributes. Advances in medical technology will continue to extend the boundaries of saving lives in danger, however traditional public health efforts may be reaching their limits of effectiveness in encouraging health-promoting behaviors. This may partially account for the current interest in broad social and policy change to enhance health and reduce health disparities amongst sub-populations. Such substantial physical and social restructuring will face many challenges and gradual progress may be enhanced by a strong foundation of evolutionary human science. The slow but eventual integration of evolutionary principles will gradually enhance the effectiveness of health interventions and provide an ultimate explanation for patterns in health outcomes that are otherwise puzzling. The speed at which the field of public health adopts a Darwinian framework has yet to be determined, and several futures are possible. This pace will depend on several factors, including the visible utility of evolutionary theory for addressing the health promotion goals of the field.     

On the relationship between concentration of prospect theory/mental accounting investors,cointegration, and momentum

We examine the role of cointegration between stock prices and their estimated fundamental values in return momentum. We find that the positive relationship between capital gains overhang and future stock returns in Grinblatt and Han (2005) is significantly stronger among the “non-cointegrated” group of stocks as compared with the “cointegrated” group of stocks. Further, for the cointegrated stocks, the slower the speed of adjustment to the cointegrating equilibrium, the greater (smaller) is the future return of stocks with unrealized capital gains (losses). These findings are robust to various firm characteristics including firm size, book-to-market ratio, past returns, idiosyncratic volatility, dispersion in analysts’ earnings forecasts, turnover, individual investor ownership, and industry returns.     

论以江泽民为核心的第三代中央领导集体对邓小平经济理论的创新

邓小平经济理论是邓小平理论的重要组成部分,对我国社会主义现代化建设有着重要的指导意义。十三届四中全会以来,以江泽民同志为核心的第三代中央领导集体,针对我国经济建设过程中现出的新问题和新任务,丰富和发展了邓小平经济理论,并创造性地提出了经济发展的“四大”战略。     

A test of the widespread-point-shaving theory

We test whether corruption is widespread in NCAA basketball by examining scoring patterns in games involving suspected point shavers. If conspiracy occurs frequently, then we should find that strong favorites score fewer points and/or allow more points than expected. However, findings reveal that strong favorites, previously believed to be the most likely candidates to engage in point shaving, may instead be the least likely. We propose that a shift in coaching strategy late in blowout games explains the anomalous bet outcome distribution patterns previously identified in the NCAA basketball betting market.     

Banking in the theory of finance

Banks are financial intermediaries that issue deposits and use the proceeds to purchase securities. This paper argues that when banking is competitive, these portfolio management activities in principle fall under the Modigliani-Miller theorem on the irrelevance of pure financing decisions. It follows that there is no need to control the deposit creation or security purchasing activities of banks to obtain a stable general equilibrium with respect to prices and real activity. In practice, however, banks are forcibly involved in the process by which a pure nominal commodity or unit of account is made to play the role of numeraire in a monetary system. The paper examines the nature of such a nominal commodity and how, through reserve requirements, banks get involved in making it a real economic good.