管制条件下的跨境上市公司市场时机研究

文章以1998--2008年间的A股和H股上市公司为样本,研究了双重上市公司在发行管制条件下的择时行为。结果证明,在H股上市的公司回归A股市场存在显著的择时行为,表现为对市场条件和政策的择机行为显著。同时也证明,研究期间的汇率变动也是显著影响H股回归的因素。     

The Role of Human Capital in Economic Development: Evidence from Taiwan

The use of Taiwanese industrial data to investigate two potentially important roles of human capital on long-run economic growth (i.e. factor accumulation and technology progress), we find that human capital accounts for 46% of output growth in aggregate manufacturing industry and from 23 to 84% in two-digit industries. Significant knowledge spillover effects were found within Taiwan's manufacturing sector. For aggregate manufacturing, a roughly 29% of total rate of return to education gives a private return of 7% while the external knowledge spillover effect is 22%. For the two-digit industries, the inter-industry effect of education measures two to three times its intra-industry effect. Contrary to the Lau-Young proposition, we find that technology change in terms of knowledge spillover contributes 39% to the output growth of Taiwan's aggregate manufacturing and from 12 to 42% to that of the two-digit industries. Our results also suggest that, in the presence of externalities, growth accounting based on macro data may be misleading in interpreting the sources of growth.
In addition, the case study of Taiwan suggests that opening trade broadens opportunities, and hence increases the return on human-capital investment. However, our estimation results also suggest that in terms of capturing the growth benefits from trade, threshold levels of human capital exist in most industries.     

Going Home: Evacuation-Migration Decisions of Hurricane Katrina Survivors

In the wake of Hurricane Katrina, many evacuees from the Gulf region began the difficult process of deciding whether to rebuild or restart elsewhere. We examine pre-Katrina Gulf residents' decision to return to the postdisaster Gulf region—which we call the “return migration” decision. We estimate two separate return migration models, first using data from a mail survey of individuals in the affected region and then focusing on self-administered questionnaires of evacuees in Houston. Our results indicate that return migration can be affected by household income; age; education level; and employment, marital, and home ownership status, but the results depend on the population under consideration. We find no effect of “connection to place” on the return migration decision. Although the effect of income is relatively small within subsamples, we find a much higher proportion of middle income households planning to return than lower income households when comparing across the subsamples. In addition, the real wage differential between home and host region influences the likelihood of return. Larger implicit costs, in terms of foregone wages for returning, induce a lower likelihood of return. Exploiting this difference at the individual level, we are able to produce estimates of willingness to pay (WTP) to return home. Average WTP to return home for a sample of relatively poor households is estimated at $1.94 per hour or $3954 per year.     

No longer left-behind: The impact of return migrant parents on children's performance

Using data from a rural household survey in China in 2009, we examine the impact of parental migration on children's educational outcomes. Consistent with the findings of a large empirical literature, we find that parental migration has a significantly negative impact on left-behind children's educational outcomes as measured by test scores in Chinese and math. But unlike much of the existing studies on the subject, we focus on the remediation effect of return migrant parents on once left-behind children's performance. This empirical strategy allows us to avoid the endogeneity issue concerning the migration decision that may have contaminated previous studies. We find evidence that return migrant parents help alleviate the harms caused by parental migration, and the remediation effect is stronger for children attending middle schools, and stronger for daughters. We also find suggestive evidence that return migrant parents improve children's performance through increases in after-school study time and education-related expenditures, following the return of migrant parents.     

泡沫时期中国权证产品收益率的可预测性研究

本文运用Black-Scholes公式计算权证的理论价格并和权证实际价格比较,发现权证的实际价格严重偏离理论价格,权证产品处于泡沫时期。通过Campbell和Yogo(2005)提出的Bonferroni检验方法,我们发现两个新的预测变量———权证与标的股票的交易金额比值和换手率比值,对于权证产品的收益率具有预测能力。     

Interindustry effects of productivity growth in Japan: 1960–2000

Combining conventional sectoral growth accounting and the static open input–output price model, we analyze the sources of growth of product prices in Japan during the period 1960–2000. Using the input–output framework, we take into account not only the effects of factor costs and productivity within a sector, but also their impacts outside of the sector. We find that Japan's deflation in the 1990s was characterized by low growth of wage rates, low productivity growth, and a low rate of return on capital. Until 1990, productivity improvements compensated for factor cost pressures on output price, especially the rapid growth of labor cost. In contrast, during the 1990s, decreasing rates of return on capital, not productivity improvements, canceled out the inflationary effect of wage growth. J. Japanese Int. Economies 19 (4) (2005) 568–585.     

垄断影响了中国上市公司的绩效吗？

我们对两个竞争性的经济理论假说进行研究,即行业的垄断性究竟为其带来了超额的垄断收益还是由于缺乏竞争或创新激励而阻碍了行业的发展。针对我国上市公司研究发现,与西方国家不同,行业垄断度与公司收益之间存在线性正相关以及非线性的“倒U型”效应,即行业垄断在整体上为公司带来更多的垄断收益,但是这种收益在垄断程度增加到某一临界点之后开始下降,这说明垄断对于公司收益存在“双刃剑”效应。进一步控制企业规模、账面市值比和杠杆比率等行业特征后,结论依然稳健。此外,在考察这种绩效差异是否由市场结构所致时发现,垄断度与未预期收益负相关,这进一步验证了本文结论。     

Ex-day behavior of japanese stock prices: New insights from new methodology

We study the ex-dividend day behavior of Japanese stock prices on the ex-day in March, when most stocks simultaneously go ex-divided, for the period 1983–1987. We find a positive abnormal return for stocks that go ex-dividend. However, prices drop by nearly the full amount of the dividend. However, prices drop by nearly the full amount of the dividend once the common abnormal return is subtracted from individual returns. For the many ex-dividend day stocks that also go ex-rights on the same March ex-day, we find that the return is on average higher than that for stocks without rights issues.     

Why factors facilitating collusion may not predict cartel occurrence — experimental evidence

Factors facilitating collusion may not successfully predict cartel occurrence: When a factor predicts that collusion (explicit and tacit) becomes easier, firms might be less inclined to set up a cartel simply because tacit coordination already tends to go in hand with supra-competitive profits. We illustrate this issue with laboratory data. We run n-firm Cournot experiments with written cheap-talk communication between players and we compare them to treatments without the possibility to talk. We conduct this comparison for two, four, and six firms. We find that two firms indeed find it easier to collude tacitly but that the number of firms does not significantly affect outcomes with communication. As a result, the payoff gain from communication increases with the number of firms, at a decreasing rate.     

Return Migrants: The Rise of New Entrepreneurs in Rural China

This paper analyzes return migrants’ self-employment decision upon their return to their home villages, by using an original rural household survey conducted in Wuwei County (Anhui province, China) in 2008. We find that return migrants are more likely to be self-employed than nonmigrants, and that both return savings and the frequency of job changes during migration increase the likelihood for return migrants to become self-employed. These findings suggest that (a) return migration can help revitalize rural economies and alleviate poverty in less developed areas in China, and (b) repatriated capital is a key, stimulating factor in promoting rural entrepreneurial activities.     

Jobless Recovery: A Time Series Look at the United States

We use vector auto regression models controlling for log differences in gross domestic product (GDP), the unemployment rate, and changes in the unemployment rate to show that following a recession, the rate of decrease in the unemployment rate significantly slowed over time. Controlling for GDP growth rates, we find two structural breaks indicating weaker recoveries in the unemployment rate over time, i.e. recoveries that are increasingly jobless. The first break is in 1959, and the second is in 1984 coinciding with the usual timing of the Great Moderation. Using the 7.85% unemployment rate at the end of 2012 and assuming average annual recovery growth of 2%, the structural breaks imply an additional two full years are necessary to return to a historical long-run average of 5.5%. We empirically explore possible causes proposed in the literature including industry composition, participation rates and social benefits. Demographic shifts in the labor force and changing industry composition appear to be the strongest contributors to jobless recovery.     

Volatility and Volume in Chinese Stock Markets

The fact that stock market returns in Europe and the USA are characterised by conditional heteroscedasticity is by now well documented in a large literature. We address the question of whether the same is true of the four Chinese stock markets (Shanghai and Shenzhen A and B) over the period from 25 November 1994 to 27 April 2001. Using daily index data, we make two departures from the standard GARCH(1,1) model. First, we use exponential GARCH (EGARCH) to allow for asymmetry in the volatility, which may be present as a result of leverage effects. Second, we respond to evidence of two-way causality between volume and return (and return volatility) by introducing a simultaneous equation model of the relationship. The results of estimating the model indicate that asymmetry does not seem to be present to a significant degree, possibly as a result of lack of information or concern among Chinese investors. We find that volume appears to play a significant part in determining index volatility, which may reflect information arrival effects or may alternatively result from the direct impact of trading on volatility. At the same time, we also find that both the level of returns and their conditional variance have an impact on trade volume, probably because positive (negative) returns tend to attract (deter) investors into the markets.     

收益波动与随机冲击的非对称性影响：中国与美国股票市场的对比

通过讨论股票收益与随机;中击之间的关系,对中国股票市场和美国股票市场进行了对比研究。研究中使用了中国上海和深圳股票市场1990年12月31日至2005年12月30日的两市A股算术平均周指,以及美国股票市场1973年1月2日至2004年月12月30日的标准普尔500周指。在进行经验研究的过程中,分别使用了线性GARCH模型和GJR—GARCH模型计量股票收益的条件波动——即模型中的条件方差。研究发现,中国股票市场自1990年——1995年波动剧烈,之后波动趋于平缓,而美国股票市场在研究期间内收益波动一直处于一定范围内。同时还发现,美国股票市场的随机冲击对股票收益产生非对称性影响,即负冲击使股票收益产生的波动大于正冲击。而在中国股票市场却找不到相似的证据。鉴于对中国股票市场收益波动的研究结果,在剔除1996年以前的数据之后又进行了扩展研究,但是似然比率检验结果表明,正冲击对股票收益的影响还要略强于负冲击。     

基于信息结构视角的网络论坛与股票市场之间信息传递关系研究

网络论坛与股票市场之间的信息传递关系对于研究市场信息效率具有积极意义,本文从论坛信息结构视角出发,研究两者之间的信息传递关系。结果表明论坛发帖量与股票市场收益率之间存在信息传递关系：日内发帖量与日内收益率之间存在相互的波动溢出,且由日内发帖量向日内收益率的单向波动溢出显著;隔夜发帖量向次日日内收益率的单向波动溢出显著;仅存在隔夜收益率向日内发帖量的单向波动溢出。此外,网络论坛发帖量和股票市场收益率之间的时变相关系数与情绪倾向变量正相关,与意见差异变量负相关。     

Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka

This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium. The asymmetric impact of negative shocks on the equity risk premium is also examined using threshold and exponential GARCH-M models. We analyse data on the excess returns of the Indonesian and Sri Lankan stock markets from 2004 to 2013, and we find that the impact of the conditional volatility of excess returns on the equity risk premium is not significant in either country. Instead, we find an impact from negative return shocks on the equity risk premium only in Sri Lanka. Therefore, we conclude that investors are not compensated for the conditional volatility of the excess returns in these two markets, while Sri Lankan investors are compensated for the risk of negative shocks.     

英语技能在中国劳动力市场的工资溢价测算

作为人力资本的一种形式,语言能力在劳动力市场很可能有一定的经济回报。文章采用CFPS、CLDS和CGSS三套数据,检验了英语的工资回报效应。总体上,英语存在显著的"工资溢价"效应,且这种效应具有异质性。例如,年龄较大、受教育程度较高、从事管理和技术职业以及东部地区劳动者的英语经济回报率显著,同时英语能力对城市居民的影响要大于农村居民,对城市本地居民的影响要大于农民工。另外,在工资回报率上,英语的听说能力要明显大于英语的读写能力,而口语的作用又要大于听力。     

Does Education Still Pay Off in Rural China： Revisit the Impact of Education on Off-farm Employment and Wages

The present study considers how education affects off-farm job participation and wages. We use a nationally representative dataset from a survey conducted in 5 provinces, 101 villages and 808 households by the authors in early 2005. The empirical results show that educational attainment, skill training and years of experience of rural residents have positive, statistically significant effects on off-farm employment. The average return to a year of education is 7percent, which is higher than those observed in previous studies. We also find the return to an additional year of schooling to be higher for post-junior high schooling than for junior high and below schooling： 11.8 versus 3.2 percent. We conclude that not only does education still pays off in rural China, but also the rate of return to education is increasing over time.     

Perverse Incentives? Labor Market Regulation and Performance in the Public Sector

We test the link between labor market regulations and job performance in the public sector using a novel outcome variable, namely, the number of days it takes the postal service to return letters sent to nonexistent foreign addresses, a measure that we argue is an excellent proxy for job performance. We find a positive and statistically significant link between these two variables, regardless of the labor regulation measure employed, changes in specification, and even unlikely endogeneity considerations, which suggest that this finding may be causal.     

A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange

In this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French (1996) capture the cross–section of average stock returns for the Malaysian setting? The answers from this study suggest that size and value premium exist in markets outside the USA. We find that the two mimic portfolios, ‘small minus big’ (SMB) and ‘high minus low’ (HML), generate a return of 17.70% and 17.69% per annum, respectively, while the market generates a return of 1.92% per annum. Our findings suggest that the multi–factor model of Fama and French (1996) is a parsimonious representation of the risk factors for Malaysia, explaining returns in an economically meaningful manner. Our findings also reject the claim that the multifactor model results can be explained by the turn–of–the–year effect.     

Public investment and food security: Evidence from the Hundred Billion Plan in China

This paper examines the causal effect of public investment on food output by exploiting a panel dataset covering a large central government program (Hundred Billion Plan) in China from 2007 to 2013. Based on an event study methodology, we find that public investment significantly increases food output by 4.34%. We find that the sources of the policy effect come mainly through improving productivity, which is driven by increases in fertilizer inputs by households and by the crowding in local government agricultural investments. Further, an ad-hoc benefit-cost analysis shows that the internal return rate (IRR) is 0.23% over a 20-year period. Our results are robust in terms of the assumption of parallel trends, the confounding effect from an alternative policy, the nonrandom selection issue of policy implementation, the inclusion of alternative sets of control variables, the treatment of outliers and the omitted variable biases.