Market overreaction and investment strategies

We investigated the overreaction of the Korean market in response to shocks in the US stock market, and analysed the dynamic relationship between these two markets since 1996. We found that the KOSPI 200 index futures overreacted to the S&P 500 index returns during the period from 2000 to 2009 when the Korean market was in its growth stage. As the Korean market matured and the KOSPI 200 overnight futures were introduced in 2009, the overreaction disappeared. When investors employed the Kelly model or Value-at-Risk to exploit the overreaction, their trading strategies produced significant profits during the growth stage even after considering transaction costs and risk, but the profits attenuated once the overnight futures market was launched in 2009.     

Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test

Testing the out-of-sample return predictability is of great interest among academics. A wide range of studies have shown the predictability of stock returns, but fail to test the statistical significance of economic gains from the predictability. In this paper, we develop a new statistical test for the directional accuracy of stock returns. Monte Carlo experiments reveal that our bootstrap-based tests have more correct size and better power than the existing tests. We use the forecast combinations and find that the stock return predictability is statistically significant in terms of reduction of mean squared predictive error relative to the benchmark of historical average forecasts. However, the results from our tests show that the predictability is not economically significant. We conclude that there will be still a long way to go for forecasting stock returns for market participants.     

证券价格的事件性反应——方法、背景和基于中国证券市场的应用

本文对事件研究法在证券市场上的应用进行了综合讨论 ,采用模拟抽样的方法对广泛采用的 3种基本模型结合中国证券的交易数据进行了经验比较 ,结果显示了市场模型的局限性以及均值调整模型在中国市场上的某些优势。     

The Use of Narrative Interview in Teaching Principles of Macroeconomics

The author describes the design and implementation of one experiential learning assignment used in a principles of macroeconomics course. The learning exercise provides an active role for students and results in a relational experience that provides traditional undergraduate students with a frame of reference with which to interpret the impact of macroeconomic events and policy on their daily lives.     

Athlete Endorsement Contracts: The Impact of Conventional Stars

Despite a continuing increase in the dollar value of athlete endorsement contracts and the prominence of athlete endorsements as a marketing tool, the value of endorsement contracts has gone largely unexamined. Employing event study analysis, this paper assesses the effects of endorsement contract announcements on changes in the share price of firms. In contrast to previous studies which focus on a single megastar athlete or sporting event and find significant positive returns to the firm, this study evaluates 148 endorsement announcements for conventional athletic stars in various sports and finds that the average endorsement contract has an insignificant impact on the market value of the firm. Also, there is no support of the product–endorser match-up hypotheses but endorsements by golfers do exhibit significant abnormal returns.      

The Lasting Effects of an Introductory Economics Course: An Exploratory Study

The author advocates the application of experiential learning in economics courses at the tertiary level. The author evaluates a range of learning methods, both passive and active, in a student survey that provides data on under-graduate attitudes to various class activities. The results indicate a clear student preference for learning activities in economics that can be described as experiential. Analysis of reported student preferences also detects differences according to gender and day or evening class attendance.     

“Alcohol Bans”: Can they reveal the effect of Xi Jinping's anti-corruption campaign?

China is perceived to be one of the most politically corrupt countries in the world. Chinese government officials establish firm ties with trusted people through lavish banquets with flowing alcohol, providing privileged access to scarce resources like licenses, land, bank loans, subsidies, and government contracts. In China, Baijiu, the most popular grain liquor at these parties, works as the currency of bribery and is the lubricant for political connections for corruption. Xi Jinping's anti-corruption policy, known as the “Alcohol Bans,” has targeted Baijiu in an attempt to stop the boozy banquets, and, consequently, to bring an end to this channel of political networking. This paper employs the event study approach and connects cumulative abnormal stock returns of high-end Baijiu companies with the impact of the Alcohol Bans. It applies the difference-in-difference method to rule out unobserved reasons for stock market changes. The result is unchanged in both the efficient market hypothesis test and the abnormal return test. We consider if Baijiu may be substituted for other luxuries, and find little evidence for such “substitution effects.” Our work concludes that the Alcohol Bans has partially contributed to Xi's anti-corruption campaign.     

A change in market responses to the environmental management ranking in Japan

This article investigates stock price reactions to the release of the environmental management ranking issued by Nihon Keizai Shimbun (Nikkei newspaper) from 1998 to 2005, by using a standard event study methodology. An examination of stock price movements of the top 100 manufacturing companies reveals that stock prices during the sample period did not respond significantly to the release of the ranking within a 3-day event window. However, market responses became significantly positive after 2003, while they were significantly negative in 1999 and 2000. The stock prices of upgraded companies in particular reacted negatively before 2000, but positively after 2002. These results indicate that market reactions were changed between 2001 and 2002, when the Japanese government showed its strong commitment to environmental policies by establishing the Ministry of the Environment and signing the Kyoto Protocol, following a number of legislations.     

体验营销——乡村旅游发展的新思路

体验营销以向顾客提供有价值的体验为宗旨,力图通过满足顾客的体验需要而达到吸引和挽留顾客、获取利润的目的。面对体验经济时代旅游需求的改变,乡村旅游应引入体验营销的观念,吸引更多游客来进行旅游体验,给游客创造值得回忆的体验。乡村旅游体验营销策略包括：设计鲜明的旅游主题、整合游客的感官刺激、激发游客的情感、引导游客的思维、营造参与互动的体验氛围等。