证券民事赔偿新规及其对证券监管的影响

文章针对最高人民法院于2003年1月9日颁布的《关于审理证券市场因虚假陈诉引发的民事赔偿案件的若干规定》中关于案件受理前置条件的规定,进行了探讨,并认为虽然还存在有争议的地方,但却全面的影响了证券市场的监管。     

Misvaluation comovement,market efficiency and the cross-section of stock returns: Evidence from China

In this study, we examine the relation between stock misvaluation and expected returns in China's A-share market. We measure individual stocks’ misvaluation based on their pricing deviation from fundamental values, following Rhodes-Kropf et al. (2005. J. Finan. Econ. 77 (3), 561) and Chang et al. (2013. J. Bank. Finance, forthcoming), and find that the measure has strong and robust return predictive power in the Chinese market. We further form a misvaluation factor and find that misvaluation comovement and systematic misvaluation exist in the Chinese market. A comparison of our results with those of Chang et al. (2013. J. Bank. Finance, forthcoming) reveals that the misvaluation effect is much stronger in the Chinese market than in the U.S market. This evidence is consistent with the notion that the Chinese market is much less efficient than the U.S. market. Finally, we show that the return predictive power of misvaluation has weakened since China launched its split-share structure reform in 2005, which could result from the fact that the reform helps to promote market efficiency.     

Empirical analysis of long memory,leverage, and distribution effects for stock market risk estimates

In this study, eight generalized autoregressive conditional heteroskedasticity (GARCH) types of variance specifications and two return distribution settings, the normal and skewed generalized Student's t (SGT) of Theodossiou (1998), totaling nine GARCH-based models, are utilized to forecast the volatility of six stock indices, and then both the out-of-sample-period value-at-risk (VaR) and the expected shortfall (ES) are estimated following the rolling window approach. Moreover, the in-sample VaR is estimated for both the global financial crisis (GFC) period and the non-GFC period. Subsequently, through several accuracy measures, nine models are evaluated in order to explore the influence of long memory, leverage, and distribution effects on the performance of VaR and ES forecasts. As shown by the empirical results of the nine models, the long memory, leverage, and distribution effects subsist in the stock markets. Moreover, regarding the out-of-sample VaR forecasts, long memory is the most important effect, followed by the leverage effect for the low level, whereas the distribution effect is crucial for the high level. As for the three VaR approaches, weighted historical simulation achieves the best VaR forecasting performance, followed by filtered historical simulation, whereas the parametric approach has the worst VaR forecasting performance for all the levels. Furthermore, VaR models underestimate the true risk, whereas ES models overestimate the true risk, indicating that the ES risk measure is more conservative than the VaR risk measure. Additionally, based on back-testing, the VaR provides a better risk forecast than the ES since the ES highly overestimates the true risk. Notably, long memory is important for the ES estimate, whereas both the long memory and the leverage effect are crucial for the VaR estimate. Finally, via in-sample VaR forecasts in regard to the low level, it is found that long memory is important for the non-GFC period, whereas the distribution effect is crucial for the GFC period. On the other hand, with regard to the high level, the distribution effect is crucial for both the non-GFC and the GFC period. These results seem to be consistent with those found in the out-of-sample VaR forecasts. In accordance with these results, several important policy implications are proposed in this study.     

Excess volatility and the cross-section of stock returns

We document a reliable positive relation between excess volatility and the cross-section of stock returns over the sample period of 1963 to 2010. Significantly positive differentials have been found between the two decile portfolios with the largest and the least excess volatility, under all the situations we have examined. Size, value, and momentum effects cannot explain our empirical results. Likewise they cannot be explained by liquidity, bid-ask bounce, and risk-aversion-related inventory effects.     

果蔬配送中心物流作业建模与仿真研究

果蔬类配送中心作为果蔬类农产品物流周转的枢纽,对果蔬类农产品在物流过程中的存储、保鲜、流通加工、配载等环节有着重要影响。通过分析物流配送中心的运作过程,应用W itness仿真软件构建果蔬类农产品配送中心的仿真模型,利用仿真方法检验配送作业方案的可行性和适用性,从仿真输出结果中找出方案中存在的不足之处,再予以改进,可以使配送中心的作业效率提高到一个新的水平。     

Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data

This study examines whether the expiration-day effects of stock options traded in Australian Stock Exchange on return, volatility, trading volume, and temporary price changes of individual stocks vary with the availability and the settlement method of individual stock futures contracts. Using transaction data of the stocks that have both options and futures contacts from 1993 to 1997, we find that options expiration has significant effects on return and volatility of the underlying stocks in absence of individual stock futures. After introduction of a cash-settled stock futures contract, the effects decrease notably. However, the switch of a futures contract from cash settlement to physical delivery promotes the expiration effects on return and volatility and boosts temporary price changes on expiration days. Finally, options expiration has little effect on trading volume. Trading activity tends to behave normally regardless whether stock futures contracts are available or not.     

Employee stock ownership and financial performance in European countries: The moderating effects of uncertainty avoidance and social trust

This study investigates how the effect of employee stock ownership on financial performance may hinge on the diverse cultural and societal contexts of European countries. Based on agency and national culture theories, we hypothesize that the positive relationship between employee stock ownership and return on assets (ROA) is stronger in those nations with lower uncertainty avoidance and higher social trust. Using a multisource, time‐lagged, large‐scale dataset of 1,741 firms from 21 countries in Europe, our multilevel, random coefficient modeling analysis found evidence for these hypotheses, suggesting that uncertainty avoidance and social trust serve as important contextual cues in predicting the linkage between employee stock ownership and financial performance. Our supplemental analysis with distinction between the managerial and nonmanagerial employee stock ownership further indicates managerial employee stock ownership has a direct positive effect on ROA. Although nonmanagerial employee stock ownership had a nonsignificant association with ROA, the relationship was positive and significant when uncertainty avoidance was low and social trust was high. This research contributes to the existing literature by illuminating some of the contextual influences altering the effectiveness of employee stock ownership. Our findings also offer practical suggestions for effectively using employee stock ownership.     

收入分配与社会福利函数

本文借助最优化方法,建立了分布不确定前提下的社会福利评价模型,研究了最优分布函数与偏好之间的关系,获得了帕累托分布和指数分布为最优分布的条件。本文还在给定条件下导出了社会福利函数的一般表达式,将社会福利函数表示为最低收入水平、平均水平和基尼系数的函数。这一表达形式既有前人提出的一些典型社会福利函数的优点,又克服了其缺陷。最后,本文对社会福利函数的政策含义进行了讨论并就重构宏观经济学微观基础提出了一些思路。     

An empirical investigation of environmental performance and the market value of the firm

This paper analyzes the shareholder value effects of environmental performance by measuring the stock market reaction associated with announcements of environmental performance. We examine the market reaction to two categories of environmental performance. The first category includes 417 announcements of Corporate Environmental Initiatives (CEIs) that provide information about self-reported corporate efforts to avoid, mitigate, or offset the environmental impacts of the firm's products, services, or processes. The second category includes 363 announcements of Environmental Awards and Certifications (EACs) that provide information about recognition granted by third-parties specifically for environmental performance. Although the market does not react significantly to the aggregated CEI and EAC announcements, we find statistically significant market reactions for certain CEI and EAC subcategories. Specifically, announcements of philanthropic gifts for environmental causes are associated with significant positive market reaction, voluntary emission reductions are associated with significant negative market reaction, and ISO 14001 certifications are associated with significant positive market reaction. The difference between the market reactions to the CEI and EAC categories is statistically insignificant. Overall, the market is selective in reacting to announcements of environmental performance with certain types of announcements even valued negatively.     

Labour Values,Prices of Production and the Effects of Income Distribution: Evidence from the Greek Economy

This paper explores the relationship between labour values, prices of production and changes in income distribution in an actual economy. For this purpose we use a linear model of production with circulating capital and homogeneous labour, assuming that wages are paid ex ante. On the basis of this model and data from input–output tables of the Greek economy for the period 1988–1997 we estimate the labour values and prices of production, which are normalized with the use of the Sraffian standard commodity and the actual output vector. Furthermore, we extend Steedman's polynomial approximation of prices of production to include the case where wages are paid ex ante and the accuracy of this approximation is tested with actual input–output data. Finally, we find that prices of production change as a result of hypothetical changes in income distribution more often than not in a monotonic way and in a few cases display curvatures that reverse the order between prices of production and values.     

初次分配扭曲、财政支出城市偏向与城乡收入差距——来自中国省级面板数据的经验证据

本文在理论分析的基础上,利用中国的省级面板数据和差分广义矩、系统广义矩的方法实证分析了初次分配扭曲、城市偏向的财政再分配政策对城乡收入差距的影响。研究表明,初次分配中劳动报酬比重的下降、城市偏向的财政再分配政策是导致我国城乡收入差距扩大的重要原因。应该通过提高初次分配中劳动者报酬比重,扭转科教文卫、福利保障支出的城市偏向来缩小城乡收入差距。     

中国乡村振兴水平的区域差异、分布动态演进及空间相关性研究

研究目标:测算2010～2019年中国乡村振兴水平,分析各区各省乡村振兴水平的时空分异特征、区域差异、分布动态演进及空间相关性。研究方法:熵权法、描述统计法、Dagum基尼系数、Kernel密度估计、Moran’s I。研究发现:中国乡村振兴水平整体上偏低但呈递增态势,四大区域中东部遥遥领先,中部、东北部和西部均在全国均值之下,乡村振兴五个一级指标中,生态宜居得分最高,产业兴旺其次,后依次为治理有效、生活富裕和乡风文明;乡村振兴水平存在总体差异但不严峻,总体差异主要源于由生态宜居和生活富裕差异所导致的区域间差异;各区各省份乡村振兴水平绝对差异正在逐步缩小,并无出现极化现象和收敛现象;乡村振兴水平存在鲜明的空间集聚现象,东部主要落在第I象限的高值集聚区,中部、东北、西部大部分落在第Ⅲ象限低值集聚区,其中有6个省份发生跃迁。研究创新:以政策依据、理论依据、现实依据构建了包含产业兴旺、生态宜居、乡风文明、治理有效、生活富裕的指标体系,全面地从时空分异特征、区域差异、分布动态演进及空间相关性进行系统性分析。研究价值:全面、客观、真实地反映了中国乡村振兴水平,廓清各区各省份优势和短板,为巩固拓展...     

上市公司客户集中度的财务效应与市场反应

以2007—2012年上海证券交易所和深圳证券交易所制造业上市公司为研究对象,对客户集中度如何影响公司的经营业绩、经营风险和市场表现进行实证研究。结果发现,客户集中度与销售毛利率、经营杠杆系数显著负相关,与市销率显著正相关。这一研究发现为"业务—财务—市场"之间的关系提供了新的经验证据。客户集中度的提高会使经营业绩和经营风险同时下降,资本市场对客户集中度上升的反应是积极的和正面的,客户集中度及其变化可以作为投资者进行投资决策的一种信号。