中国资本市场的发展战略应怎样

今年年初以来,我国资本市场很不正常。大起大落、剧烈波动现象时有发生,市场下跌幅度之大在全球证券市场史上也属罕见,股票价格的快速下跌,对我国资本市场长远发展而言无疑是非常不利的。那么,我国资本市场要取得持续发展,应该在哪些方面做出努力     

Estimating a covariance matrix for market risk management and the case of credit default swaps

We analyze covariance matrix estimation from the perspective of market risk management, where the goal is to obtain accurate estimates of portfolio risk across essentially all portfolios—even those with small standard deviations. We propose a simple but effective visualisation tool to assess bias across a wide range of portfolios. We employ a portfolio perspective to determine covariance matrix loss functions particularly suitable for market risk management. Proper regularisation of the covariance matrix estimate significantly improves performance. These methods are applied to credit default swaps, for which covariance matrices are used to set portfolio margin requirements for central clearing. Among the methods we test, the graphical lasso estimator performs particularly well. The graphical lasso and a hierarchical clustering estimator also yield economically meaningful representations of market structure through a graphical model and a hierarchy, respectively.     

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

We investigate the potential use of textual information from user-generated microblogs to predict the stock market. Utilizing the latent space model proposed by Wong et al. (2014), we correlate the movements of both stock prices and social media content. This study differs from models in prior studies in two significant ways: (1) it leverages market information contained in high-volume social media data rather than news articles and (2) it does not evaluate sentiment. We test this model on data spanning from 2011 to 2015 on a majority of stocks listed in the S&P 500 Index and find that our model outperforms a baseline regression. We conclude by providing a trading strategy that produces an attractive annual return and Sharpe ratio.     

Moral will,accounting and the phronemos

This commentary examines the work of Everett and Tremblay (2014) and their contribution to critical accounting. They examine three key ethical dilemmas that confront modern accounting practice. They examine a set of in-depth interviews, the autobiography of the former Vice President of Internal Audit of WorldCom, Cynthia Cooper, and the documents of the Institute of Internal Auditors (IIA) to shed light on accounting and audit ethics. The dilemmas confronting the accounting profession are complex and multi-faceted, which they place in their socio-economic context using ideas from Pierre Bourdieu. I add ideas from Lovibond (2004),MacIntyre (1984) and McDowell (1993) as well as audit work by Jere Francis. My solution involves accountants acting like the phronemos. The phronemos is Aristotle's term for a wise and ethical person who has the capacity to judge and act appropriately. This ideal of the phronemos is used to examine the ethical ambiguities in accounting that involve analyzing the critical role that accounting curricula, education and pedagogy play in making better judgments. This critical accounting focus was also a focus in Chabrak and Craig's work on accounting education. They examined professional credentialing and professional education. Like Everett and Tremblay, they also point us toward the public interest role of accounting and our societal need for better and informed judgments. The comment concludes with the observation that Aristotle's notion of the phronemos is an ideal type that promotes virtue ethics to address the drift in accounting away from ethics and its public interest role.     

Rent control: The citizen,the market,and the state

The paper is a positive and normative public choice analysis of rent control. The positive public choice section hypothesizes that differences in rent control regimes across countries emerge out of differences in the political power of tenants and landlords, out of differing attitudes to security of tenure and the fairness of gains from property ownership, and out of differing values regarding equality of opportunity versus equality of result. The normative public choice analysis evaluates rent control by asking whether rent control would be allowed under a unanimously approved constitution. It is argued control would not be allowed; not because the objectives of control are outside the sanctioned domain of government but because control is horizontally inequitable.     

Arrogance can be a virtue: Overconfidence,information acquisition,and market efficiency

In behavioral finance, overconfidence has been established as a prevalent psychological bias, which can make markets less efficient by creating mispricing in the form of excess volatility and return predictability. In this paper, we develop a model in which overconfidence causes investors to overinvest in information acquisition when this information could improve market efficiency by driving prices closer to true values. We study the impact of overconfidence on mispricing and information acquisition, comparing their net effect on prices. We derive several novel implications. First, overconfidence generally improves market pricing provided the level of overconfidence is not too high. Pricing can also improve even when overconfidence is arbitrarily high, depending on the amount of private information acquired relative to publicly available information.     

Cross-border banking,bank market structures and market power: Theory and cross-country evidence

Patterns in cross-border banking have changed since the global financial crisis. This may affect domestic bank market structures and macroeconomic stability in the longer term. In this study, I theoretically and empirically analyze how different modes of cross-border banking impact bank concentration and market power. I use a two-country general equilibrium model with heterogeneous banks developed by DeBlas and Russ (2010a) to grasp the effect of cross-border lending and foreign direct investment in the banking sector on bank market structures. The model suggests that both cross-border lending and bank FDI mitigate concentration. Empirical evidence from a panel dataset of 18 OECD countries supports the theoretical predictions: higher volumes of bank FDI and of cross-border lending coincide with lower Herfindahl-indexes in bank credit markets.     

Order imbalance,market returns and macroeconomic news: Evidence from the Australian interest rate futures market

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive up (down) prices. Order imbalances are related to past market returns with market participants acting in a contrarian manner across all products following market rallies. Nine major macroeconomic announcements are identified with order imbalance, and returns, reacting to such announcements in a manner that correctly reflects the news component. Following a scheduled macroeconomic announcement there is an increase in the level of information asymmetry within the interest rate futures market, demonstrated by an increased sensitivity to order flow. Finally, the pattern of order imbalance immediately prior to scheduled announcements suggests that there is no information leakage.     

Stocks,bonds and the investment horizon: a test of time diversification on the French market

Abstract

In this paper, we investigate the relative performance of stocks and bonds for various investment horizons on the French market. We use a new matched block bootstrap approach to take account of estimation risk. Furthermore, in the light of non-normality of returns, we use two different risk approaches as inputs in portfolio optimization: the traditional variance, and a downside risk measure, the semi-variance. Our results suggest that an investor should avoid bonds in the long run due to the time diversification effect.     

REITs,real estate,and inflation: Lessons from the gold market

This studyindirectly tests whether equity Real Estate Investment Trusts (REITs) proxy for real estate when examining real estate's inflation hedging ability. The hedging properties of gold, an underlying asset, are compared against those of gold stocks, a securitized form of the asset, and gold is shown to perform well as an inflation hedge, while gold stocks do not. This divergence between an asset and its securitized form suggests caution in drawing conclusions about real estate's ability to hedge inflation from equity REIT studies.     

The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market arbitrage opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.     

Aggregate earnings and stock market returns: The good,the bad,and the state-dependent

Prior research documents a negative aggregate earnings-returns relation. In contrast, we posit that the sign of the relation varies, depending upon the macroeconomic and financial market conditions that exist in the earnings announcement quarter. We argue that the existing macroeconomic and financial market conditions influence market participants’ frame of reference, which in turn affects whether they interpret aggregate earnings surprises to be informative about the expected inflation component of the discount rate, the market risk premium component of the discount rate, or aggregate future cash flows. Consistent with this, we find that the sign of the aggregate earnings-returns relation changes numerous times across our sample period. We also find that market participants interpret aggregate earnings to be informative about changes in expected inflation (market risk premium) when the sign of the aggregate earnings-returns relation is negative (positive). Finally, we identify macroeconomic and financial market conditions under which the aggregate earnings-returns relation is more (less) likely to be negative (positive).     

COVID-19, stock market and sectoral contagion in US: a time-frequency analysis

We assess the conditional relationship in the time-frequency domain between the return on S&P 500 and confirmed cases and deaths by COVID-19 in Hubei, China, countries with record deaths and the world, for the period from January 29 to June 30, 2020. Methodologically, we follow Aguiar-Conraria et al. (2018), by using partial coherencies, phase-difference diagrams, and gains. We also perform a parametric test for Granger-causality in quantiles developed by Troster (2018). We find that short-term cycles of deaths in Italy in the first days of March, and soon afterwards, cycles of deaths in the world are able to lead out-of-phase US stock market. We find that low frequency cycles of the US market index in the first half of April are useful to anticipate in an anti-phasic way the cycles of deaths in the US. We also explore sectoral contagion, based on dissimilarities, Granger causality and partial coherencies between S&P sector indices. Our findings, such as the strategic role of the energy sector, which first reacted to the pandemic, or the evidence about predictability of the Telecom cycles, are useful to tell the history of the pass-through of this recent health crises across the sectors of the US economy.     

Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect

Previous literature suggests specific behavioral tendencies cause investors to deviate from optimal investing. We investigate three such tendencies in a simplified stock market. Subjects do trade for better stocks, but do not reach their maximum potential earnings, most commonly because they choose to ignore information and continue to hold on to a stock regardless of its performance. The results support the predictions of the status quo bias, but not the ostrich effect or the disposition effect. This research is an extension of Brown’s undergraduate honors thesis at Ohio State University. Financial support was provided by the Honor’s College and the Department of Economics at Ohio State University. Kagel’s research was partially supported by grants from the National Science Foundation. We received helpful comments from Hal Arkes, David Cooper and two anonymous referees.     

Property shares, appraisals and the stock market: An international perspective

A severe problem facing both real estate researchers and investors is the lack of reliable real estate returns data. Property shares, the shares of companies which invest in property and manage a portfolio of real estate, have been proposed as indicators of real estate performance. Property shares exist in many countries, are publicly traded, and their returns are not inherently biased. For three countries, we investigate the relationships with common stock and appraisal-based returns which property share returns exhibit. Our results indicate that property shares are closely related to the stock markets on which they trade, thereby confirming previous findings for the United States. However, property share returns also predict appraisal-based indices.     

Dynamic interdependencies among the housing market,stock market,policy uncertainty and the macroeconomy in the United Kingdom

In this study, we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1–2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to economic fluctuations in the United Kingdom. Second, spillovers show large variations over time. Third, in the wake of the global financial crisis, spillovers have reached unprecedented levels. Specifically, we find large spillovers of shocks from the housing market, stock market and economic policy uncertainty to inflation, economic growth and monetary policy stance. These results illustrate the contagion from the housing and financial crisis to the real economy and the policy reaction to stabilize the economy.     

Inefficiency and predictability in the Brexit Pound market: a natural experiment

Exploiting the near-experimental conditions provided by the GBPUSD exchange rate during the Brexit vote of 2016, we quantify a significant delay of the market price in reflecting the increasing probability of a Brexit outcome over the vote counting period. We claim that the Brexit outcome could realistically have been predicted hours before the market adjusted to the outcome. This inefficiency is identified by comparing the market-implied probability of a Brexit outcome with a separate probability, estimated by a standard Monte-Carlo algorithm based on a simple linear regression model, representative of what should have been easily possible in real time. The core of the method is the real-time re-calibration of ex-ante ‘pollster’ predictions for the voting district outcomes by regressing the observed voting results onto them. For comparative purposes, a study of the MXNUSD exchange rate in the 2016 US Presidential Election was done, finding that the market-implied and model-estimated probabilities moved more consistently toward the Trump outcome. Put together, this identifies a somewhat anomalous breakdown in market efficiency in the case of the Brexit vote, which we attribute to its novelty as well as a kind of political bubble and subsequent crash, generated by confirmation bias and social herding.     

Relation between franking credits and the market risk premium: a comment

Based on the Officer (1994) model, Gray and Hall (2006) derive a relation between franking credits and the market risk premium. On the basis of this relation, the authors show that traditional estimates of the value of franking credits imply dividend yields that are inconsistent with historical equity market data. This inconsistency arises from assumptions about the franking credit payout ratio and the value of franking credits retained. With less than a 100 per cent payout ratio some franking credits are retained within the firm. Assuming that the retained franking credits have no value leads to the inconsistency in dividend yields. Current practice in the application of Officer's model makes this assumption and, therefore, leads to inconsistent results. Gray and Hall suggest resolving the inconsistency by setting the value of all franking credits to zero. An alternative solution is to recognize that retained franking credits might have a positive value.