中国股票市场动量投资策略分析

本文通过构造576种动量投资策略，分析中国股票市场动量效应的特征，发现形成期为11个月，持有期为2个月的动量策略可以获得最大的月收益率：1．848％。总体来看，中国股票市场短期（一到三个月）内，动量效应和反转效应都不显著，中长期（三个月到三年）存在显著的动量效应，三年后动量效应基本消失，也不存在反转效应；随着持有期增大，动量收益呈现先增大后减小的趋势。     

中国股票市场的“周内效应”

本文就中国股票市场是否存在显著的“周内效应”进行了实证分析。作者发现中国股票市场并不存在绝大多数发达国家股票市场和某些新兴股票市场所普遍具有的“星期一效应”。但是 ,用于度量股票收益率波动性的标准差却在星期一最大。较强的证据显示上海股票市场存在着日平均收益率显著为负的“星期二效应”和显著为正的“星期五效应”。较弱的证据显示深圳股票市场存在着日平均收益率显著为负的“星期二效应”和显著为正的“星期五效应”。本研究表明沪深两市在某种意义上都缺乏效率 ,且上海股市比深圳股市更加没有效率。     

预算约束下中国公共支出结构的增长效应

与以往研究忽略预算约束面影响的传统不同，本文运用中国省级1997—2007年的面板数据，考察了中国公共支出结构的增长效应。通过固定效应模型发现，第二产业为主的省份，投资性支出的增长效应显著为正，社会消费性支出的增长效应显著为负，转移支出对增长有不显著负效应；第三产业为主的省份，投资性支出的增长效应显著为负，社会消费性支出的增长效应显著为正，转移支出对增长有不显著正效应。在中国公共财政建设的过程中，公共支出结构的调整应考虑中国区域经济增长不平衡的现实。     

对深圳股票市场有效性的实证研究

股票市场的信息效率对于合理配置收益和风险起到关键作用，那么对于中国股票市场有效性的检验和测度显得至关重要。运用GARCH模型对深圳综合指数股票收益序列建模，结果显示中国股票市场收益具有明显的长期记忆性，股票市场并非弱式有效。     

股票收益与通货膨胀：代理效应还是通货膨胀幻觉

本文运用ADL模型实证检验1995～2004年中国和世界主要股市的实际收益与通货膨胀的关系,结果显示,中国股票实际收益-9通货膨胀表现为显著的负相关,与西方主要成熟股票市场相比并不异常。经过检验发现,股票收益与实质经济和货币政策都呈现不显著的负相关,并不支持代理假说;同时,存在明显的门槛效应,通货膨胀提高了实际收益,通货紧缩降低了实际收益,通货膨胀幻觉是导致股票收益与通货膨胀呈现负相关的主要原因。     

国家主权信用评级、跨国传染与股票市场回应?--基于全球48个经济体的事件研究

掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明：(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影响市场及传染的主要渠道。文章的结论深化了我们对评级调整如何影响股票市场及其传染渠道的认识,也为中国防范国外主权信用评级变动风险提供了有益启示。     

中国股票市场动量投资策略分析

本文通过构造576种动量投资策略,分析中国股票市场动量效应的特征,发现形成期为11个月,持有期为2个月的动量策略可以获得最大的月收益率:1.848%.总体来看,中国股票市场短期(一到三个月)内,动量效应和反转效应都不显著,中长期(三个月到三年)存在显著的动量效应,三年后动量效应基本消失,也不存在反转效应;随着持有期增大,动量收益呈现先增大后减小的趋势.     

公允价值的收益波动性与市场反应——来自中国上市商业银行的证据

本文以中国上市商业银行为样本,对中国新会计准则实施后公允价值收益波动性及其经济后果进行了考察。研究结果发现,公允价值计量属性的采用并未导致净利润波动性的增大;市场也没有将公允价值计量增加的收益波动性视为风险要素而予以定价;银行股票价格也未对公允价值收益波动性作出反应。这说明,中国股票市场对公允价值收益波动性反应不显著,公允价值加速器效应在我国股票市场并不存在。本研究结论对完善中国公允价值计量体系、加强金融市场会计监管具有借鉴意义。     

金砖新兴股票市场国际定位及其溢出效应检验

金砖四国新兴股票市场已不同程度地融入了全球一体化进程之中。从水平溢出效应看,四国股票市场受发展中国家指数收益率的影响都不够发达,只有中国在考虑汇率后对发达国家或全球指数收益率有显著作用;巴西和中国(考虑汇率后)对本地区有显著影响。从波动溢出效应看,除中国外,其他三国均影响发达国家或全球、发展中国家和本地区指数收益。     

中国股票市场动量效应成因分析

本文研究目的在于通过对中国股票市场动量效应的实证分析,探索中国股票市场动量效应现象的特点及原因。作者通过实证分析发现:在中国股票市场上动量效应现象的确存在,但期限明显要短于西方发达国家市场,大约为半年左右的时间,当超过半年时逐渐呈现收益的反转现象。对中国股票市场动量效应的原因从风险、规模、帐面价值与市值之比、流通股比例、换手率等多个角度进行了探析,发现风险、规模、帐面价值与市值之比、流通股比例、换手率对中国股票市场存在的动量效应均有一定程度的解释作用。     

John Stuart Mill's Theory Of Justice

John Stuart Mill has traditionally been portrayed as self-contradictory and failing to construct a unified social theory. Recent scholarship, however, has challenged this view, finding Mill's work to be creatively synthetic in bridging the antinomies inherent in liberal democratic thought. This revisionist interpretation of Mill is advanced by an understanding of his theory of justice and its role in shaping his policy positions on issues such as welfare, education, voting rights, property rights, taxation, government intervention, and the future of capitalism.     

A Rich Vein for “Reality Mining”北大核心CSSCISSCI

Arik Hesseldahl In the aftermath of the September 11 attacks, U.S. officials quickly turned their attention to other potential targets, including California's Golden Gate Bridge. What would happen if terrorists took down the bridge between San Francisco and Marin County? How much of the region would be affected and for how long?     

中国养活自己能力的长期预测:技术和政策分析

中国拥有世界五分之一强的人口 ,收入又在迅速增长。因此 ,国际上很自然地会考虑或推测她在今后的几十年是否有能力养活自己。中国的人口预计将从 2 0 0 0年的 1 2 8亿增长到 2 0 2 0年的 1 4 6亿 ,和 2 0 3 0年的 1 4 9亿。与此同时 ,人均收入的增长将导致对家畜和鱼类产品更大的需求 ,因而对饲料的需求也将有很大的增长     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

Toward a Phylogenetic Reconstruction of Organizational Life

Synopsis Classification is an important activity that facilitates theory development in many academic disciplines. Scholars in fields such as organizational science, management science and economics and have long recognized that classification offers an approach for ordering and understanding the diversity of organizational taxa (groups of one or more similar organizational entities). However, even the most prominent organizational classifications have limited utility, as they tend to be shaped by a specific research bias, inadequate units of analysis and a standard neoclassical economic view that does not naturally accommodate the disequilibrium dynamics of modern competition. The result is a relatively large number of individual and unconnected organizational classifications, which tend to ignore the processes of change responsible for organizational diversity. Collectively they fail to provide any sort of universal system for ordering, compiling and presenting knowledge on organizational diversity. This paper has two purposes. First, it reviews the general status of the major theoretical approaches to biological and organizational classification and compares the methods and resulting classifications derived from each approach. Definitions of key terms and a discussion on the three principal schools of biological classification (evolutionary systematics, phenetics and cladistics) are included in this review. Second, this paper aims to encourage critical thinking and debate about the use of the cladistic classification approach for inferring and representing the historical relationships underpinning organizational diversity. This involves examining the feasibility of applying the logic of common ancestry to populations of organizations. Consequently, this paper is exploratory and preparatory in style, with illustrations and assertions concerning the study and classification of organizational diversity.     

Information infrastructure: Who builds broadband networks?

This paper examines the essential difference between the U.S. and Japan, when one considers information infrastructure. There are seven perception gaps between the U.S. and Japan concerning Information Infrastructure policies. These gaps must be understood in order to compare the countries' governmental policies in this area. In looking at the present circumstances, the essential question to answer concerns who is to build, own and operate the network(s) of the infrastructure. Liberalization is certain to be a central factor in the ongoing telecommunications debates. Now that customers have had a taste of the liberalized market-place, the movement toward more open markets will be difficult to stop. When considering options, it is necessary to pay close attention to standardized network access and the increasingly important role software plays. These issues are causing us to take a new approach to the traditional role played by regulators. They also force a closer look at the appropriate structure of utility companies. This paper addresses the above issues in hopes of stimulating dialog on the new telecommunications infrastructure paradigm.     

海岛地区产业演替及资源基础分析--以舟山群岛为例

改革开放以来,舟山市产业构成发生了显著变化,其经济发展过程可以划分为三个阶段。1992年前,是以产业结构渔业占绝对地位的单一结构阶段;1993—1998年,以旅游业为主的第三产业快速发展阶段;上世纪末以来,又进入了新一轮的经济发展时期,即工业产值比重快速增加阶段。根据海岛的自然资源基础和特点,在新世纪的经济发展过程中,舟山市应定位为生态型的港口旅游城市。以港口及临港工业为主导,以海岛旅游和海洋经济为特色,大力发展第二产业和第三产业。海岛地区的主导产业应体现海岛资源优势及区位优势,以集群性环保型产业为主。同时由于海岛地区淡水资源缺乏,主导产业也应着重选择低耗水型产业。     

风险视角下企业治理结构和研发创新——基于委托代理模型的研究

本文基于委托代理模型,从风险的视角研究企业治理结构对研发创新能力的影响。本文构建了一个包含创新活动的委托代理模型进行理论分析,利用动态DEA 模型测算创新能力,并使用2015-2018年我国上市制造业企业数据进行实证检验。实证部分检验了理论结论:委托代理问题不利于企业提升研发创新能力,且客观风险和主观风险厌恶会加剧该负面影响。基于此,本文认为上市企业应根据企业自身研发活动特点有针对性地改善企业治理结构,提出了适当延长代理人任期、推动股权激励计划、提升代理人的风险承担能力等建议。     

生物群落结构原型的仿生学模拟

模拟生命系统管理规律的科学即管理仿生学,是知识时代仿生学研究的新领域与前沿.基于模拟生物群落结构规律的研究目的,采用仿生学模拟的研究方法,以生物群落结构为原型,建立了仿生群落结构模型.结论为:垂直结构、水平结构、时间结构与交错区结构是支持生物群落生命活动的结构规律,以该规律为原型,推理建立了仿生分层结构、仿生优化结构、仿生动态结构与仿生相邻结构,四种仿生结构分别侧重于管理资源的分层管理、局部优化管理、动态过程管理、相邻关系管理,该模型为建立类似生物群落的人造管理系统即仿生群落管理系统提供了仿生结构模型.可以预测,该模型具有广泛的应用价值,能够推动管理仿生学的发展.