Identification of Factor Models for Forecasting Returns

A data-driven approach for forecasting returns of asset pricesis introduced. Special emphasis is given to data-driven specificationand to dimension reduction. Specification is performed by amodified AIC, BIC-based An-algorithm. Quasi-static principalcomponent analysis, quasi-static factor models with idiosyncraticerrors and reduced rank regression are considered. The forecastingresults obtained are compared.     

Differences in Perstistence in Aggregated and Disaggregated UK Stock Returns: A Reconciliation

Studies of the persistence in the returns series of UK stocks, using inter alia variance ratios, have documented clear differences between the relatively low levels of persistence in individual security returns and the relatively high levels of persistence in the returns of portfolios composed of these same securities. In this paper, I reconcile this contrast by showing that portfolio return variance ratios should not be expected to reflect (own) persistence levels in the component security returns, but instead should reflect a 'cross-persistence' between the securities. I calculate synthetic portfolio variance ratios from measures of security return 'cross-persistence' and find that they replicate closely the observed portfolio return variance ratios, which provides empirical support for the theoretical results.     

An Examination of Alternative Factor Models in UK Stock Returns

This paper examines the mean-variance efficiency of a number offactor models in UK stock returns. The paper also explores, using theapproach of MacKinlay (1995), whether missing risk factors ornonrisk-based explanations best explain the pricing errors of thedifferent factor models. The evidence in the paper suggests that themean-variance efficiency of each factor model is rejected and missing riskfactors are unable to explain the pricing errors of any of the models.Some nonrisk-based explanations, which posit a wide spread in abnormalreturns, may be a more plausible source of explaining the pricing errorsof the factor models.     

Security Choice, Information Effects and Firm Characteristics: A Factor Analytic Approach

Abstract:   We examine the marginal choice between debt and equity securities using a factor analytic approach. This data reduction property eliminates the need to select the one best variable to proxy for a particular theoretical construct. Our results reinforce numerous existing findings using traditional methods and suggest both static tradeoff and asymmetric information based considerations are relevant in determining security choice. Two new results are presented related to the accounting liquidity of the firm. First, the preference for equity is increasing with liquidity as suggested by the window of opportunity hypothesis. Secondly, the market response to equity issuance announcements is inversely related to the liquidity of the firm. Profitability and growth measures support Jensen's (1986) agency cost of free cash flow as a potential explanation for the second finding.     

Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

The interest rate sensitivity of stock returns of financial and non-financial corporations is a well-known phenomenon. However, only little is known about the part of total stock returns that is attributable to the compensation an investor receives for being exposed to interest rate risk when investing in equity securities. We pursue here a benchmark portfolio approach, constructing benchmark portfolios having the same interest rate risk exposure as a particular stock. By studying the time series of returns of these asset-specific benchmarks, we find: i) Regardless of the industry considered, the interest rate risk benchmarks of German corporations have mostly earned a significantly positive reward. ii) Returns of interest rate risk benchmarks of financial institutions exceeded significantly those of non-financial corporations. iii) An investor willing to bear nothing but the average interest rate risk of German financial institutions would have earned a mean return of about or even exceeding 70% of the corresponding total stock returns. iv) Returns of the interest rate risk benchmarks of the German insurance sector were significantly higher than those of German banks, which seems to contradict conventional market wisdom that insurances hedge interest rate risks.     

Macro Liquidity Risk,Money Growth,and the Cross-Section of Stock Returns: The Case of Korea

According to the homogeneity of money holding purpose, we decompose the broad money M2 into an underlying and a non-underlying part and propose innovations in future non-underlying M2 growth as a proxy for macro liquidity. In both the cross-sectional regression tests and the GMM tests, we find that risk related to innovations in future non-underlying M2 growth is strongly significantly priced in Korea, after controlling for the well-known risk factors and other macroeconomic variables. Meanwhile, risk related to innovations in future aggregate or underlying M2 growth is insignificantly priced. These results indicate that non-underlying M2 growth more directly affects macro liquidity than does aggregate or underlying M2 growth.     

基于灰色关联度分析的浙江省旅游产业结构优化升级研究

浙江省旅游资源丰富,社会经济文化水平居全国前列,具备良好的旅游产业基础,但要实现产业转型升级.需进一步调整优化产业结构.文章采用灰色关联度分析法对浙江省旅游产业内部六大行业2002-2011年收入数据进行关联度分析,提出提升餐饮业文化内涵、协调住宿业均衡发展、增强娱乐游览业高附加值、积极构建购物大产业、大力拓展文化产业等优化升级措施.     

发达国家金融结构演变的新趋势及其借鉴意义

本文使用全部私人市场资本化总量与全部私人信贷总量之比和股票市场资本化总量与存款货币银行信贷总量之比两大指标,来描述发达国家的金融结构;用金融发展总水平这一指标来描述发达国家金融发展的水平。无论从对23个样本国家时间序列数据的分析还是从结合金融发展的分析来看,发达国家金融结构演变都显示出了股票市场主导的金融市场融资比重增加和银行主导的金融中介融资比重下降的趋势。其中,少数发达国家出现了由中介为主体到由市场为主体逆转的趋势,和／或者出现了由银行为主导到由股票市场为主导逆转的趋势。作者还提出了这一新趋势对我国金融结构转变的借鉴意义。     

Do Assumptions About Factor Structure Matter in Empirical Tests of the APT?

The effect of assumptions about factor structure on empirical tests of multifactor models such as the Arbitrage Pricing Policy Theory has received little attention in the literature. Using data on securities traded on the London Stock Exchange, we examine whether returns are best described by an approximate factor structure and whether assumptions about correlations across idiosyncratic returns have a significant impact on estimated prices of risk and their significance. Our findings suggest that returns are best described by an approximate factor structure and, if this is taken into account when empirically testing the APT, six factors carry significant prices of risk. However, if a strict factor structure is imposed, no factors carry significant prices of risk. These findings suggest that assumptions about factor structure matter in empirically testing the APT.     

金融结构、银行业结构与产业结构调整

本文基于广东省的实践,分别考察了广东省金融结构、银行结构与产业结构调整的互动关系。运用2006-2011年广东省各市的面板数据,实证分析了广东省金融结构对产业结构调整影响,发现广东省银行业的发展对产业结构调整有明显的正向促进作用,而股票市场的发展对产业结构调整有一定的负向影响。这表明行业的发展在广东的经济发展中发挥着不可替代的作用,而股票市场由于不完善及多种非经济因素的影响,对产业结构调整产生了一定的阻碍作用。在此基础上运用1980-2011年广东省时间序列数据进一步分析了银行业结构与产业结构之间关系,结果表明广东省银行集中度的提高对产业结构调整有长期的负向影响。因此,必须提高银行业的竞争,逐步降低四大国有商业银行的垄断地位,同时加强股票市场的完善。     

银行业结构对产业结构升级的影响研究——基于最优金融结构理论与门槛模型的分析

基于"最优金融结构"理论,利用我国2004—2017年31个省区市的省级非平衡面板数据,实证检验了银行结构对产业结构升级的影响。结果表明:中小银行占比的增加对我国产业结构升级具有显著促进作用,且该作用在东中西部地区存在明显差异,东部地区中小银行占比增加对产业结构升级的影响并不显著,而中西部地区则具有显著的促进作用。在此基础上,运用面板门槛模型对区域差异性的影响因素进行分析,研究发现,在外商投资水平、财政收入水平、市场化水平、自然资源水平以及人力资源水平因素的不同门槛值区间内,中小银行占比增加对产业结构升级的影响具有程度和方向上的显著差异。     

Assessing the Real Estate Pricing Puzzle: A Diagnostic Application of the Stochastic Discounting Factor to the Distribution of REIT Returns

This article applies a general asset-pricing framework and the volatility bounds methodology of Hansen and Jagannathan (1991) to REIT returns. The state of real estate asset pricing remains somewhat of a puzzle relative to the identification of state variables and the structural form of models. This article offers a framework whereby real estate asset-pricing models and data can be diagnosed to answer questions about the shortcomings. In addition, several nominated discount processes are investigated for success in pricing real estate securities. Although the nominated specifications demonstrate some success in satisfying the restrictions on the first and second moments of the real estate returns distribution, they do not successfully price the securities under a no-arbitrage condition. This result calls into question previous real estate performance studies that employ these risk-adjustment processes.     

Gaussian Estimation and Forecasting of Multi-Factor Term Structure Models with an Application to Japan and the United Kingdom

In this paper we extend the exact discrete model of Bergstrom (1966) first used in empirical finance by Brennan and Schwartz (1979) to estimate their two-factor term structure model to estimate other two-factor term structure models using the recent assumption in Nowman (1997) for single factor models. Following Nowman (1997) we use the exact Gaussian estimation methods of Bergstrom (1983–1986, 1990) to estimate two-factor CKLS, Vasicek and CIR models. We estimate the models using monthly UK and Japanese interest rate data and our results indicate that the estimation method works well in practice.     

我国IPO长期市场表现的实证研究——基于超常收益率不同测度方法的比较分析

本文选取1995年1月至2000年12月沪深两市774个A股IPO样本,计算IPO的等权平均、流通市值加权平均和总市值加权平均收益率,并使用不同的市场指数及配比股票组合的收益率加以调整来评价IPO的长期市场表现。经过事件时间和日历时间的实证研究发现:(1)我国IPO在上市后3年内总体上表现出长期强势。(2)IPO长期超常收益率对使用何种参照指标的收益率来调整以及使用何种加权平均方法很敏感。CAR和日历时间研究的结果更明显地表明我国IPO存在长期强势特征,而且使用市值加权平均方法计算的正超常收益率更为显著。(3)Fama-French三因素模型和CAPM模型回归的截距项都表明我国IPO存在正的长期超常收益率。     

Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey

We examine the impact of inflation on nominal stock returns and interest rates in Turkey's emerging economy, which has a moderately high, persistent, and volatile inflation rate. Empirical evidence indicates that Turkey's inflation increased more than nominal stock returns and interest rates, implying that real returns to investors declined during our sample period. Among the different sector indexes we study, the financials sector serves as the best hedge against expected inflation, and the Fisher effect appears to hold only for this sector. We also find that public information arrival plays an important role, especially in the stock market.     

基于变结构Copula模型的股市与汇市间波动溢出效应研究

本文采用变结构Copula模型对我国股、汇市间的波动溢出效应进行研究。利用二元正态Copula函数的时变相关系数得出美元对人民币汇率与沪深300指数间相关关系的变结构点,再利用混合Copula模型分段检验波动溢出效应。实证结果表明,汇改以来,美元对人民币汇率与沪深300指数间存在着长期而显著的波动溢出效应。在次贷危机发生期间,美元对人民币汇率与沪深300指数间相关关系的变结构点增多,尾部相关性增强,两市间的波动溢出效应显著增强。因此,应加强对波动溢出传导中介的管理,减轻波动溢出效应的负面影响。     

对公司治理结构与资本市场关系的思考

公司治理结构与企业的绩效是密不可分的。由于我国国有企业的产权结构畸形问题始终没有彻底得到解决,导致公司治理结构存在很大缺陷。根据我国的实际情况,完善公司治理结构的路径是多方面的,其中之一就是要充分协调与资本市场的关系。     

Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model

This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross (1985b) model of the term structure of interest rates. The fixed parameters in one, two, and three factor models are estimated by applying an approximate maximum likelihood estimator in a state-space model using data for the U.S. treasury market. A nonlinear Kalman filter is used to estimate the unobservable factors. Multi-factor models are necessary to characterize the changing shape of the yield curve over time, and the statistical tests support the case for two and three factor models. A three factor model would be able to incorporate random variation in short term interest rates, long term rates, and interest rate volatility.