后金融危机时代股票超额收益率影响因素的探索

运用判别分析法和决策树模型对上证180的成分股是否可以获得超额收益率及其影响因素进行了分析,并将两种方法的分析结果进行了对比。结果表明：两种方法都可以对上市公司是否可以获得超额收益进行分辨,并且可以找出影响因素。但是从两种模型的结果来看,决策树模型要明显优于判别分析法。从我们的分析样本来看,对企业是否可以获得超额收益率的影响因素主要有：市盈率、市净率、息税折旧摊销前利润/营业总收入等。在实际中,通过这两种方法,投资者可以寻找出那些具有超额收益率的股票进行投资,从而使得自身的投资结果优于大盘。     

Forward Speculation, Excess Returns, and Exchange Rate Variability: The Role of Risk Premiums

The paper reconsiders the unbiasedness hypothesis in the foreign exchange market. Within the context of a conventional model of exchange rates, risk premium shocks are constrained to have no permanent effects on the spot rate. Using monthly data from the post-floating period, the paper estimates risk premiums for the dollar rates of the yen, mark, and pound. Risk premium innovations seem to explain a modest proportion of short-term variability of exchange rate changes and excess returns. However, risk premiums may explain serial correlations in excess returns.     

Persistence and Predictability of Skewness in Country Equity Market Returns

This article explores the skewness characteristics of eighteen developed country equity market returns. The empirical results indicate that country skewness tends to have the same sign for different measurement intervals. Also, the magnitude of country skewness increases as the measurement interval increases. Further, the results indicate that positive skewness is not a predominant phenomenon. In addition, this study examines the predictability of country skewness using a Spearman Rank Order test and an autoregression test. The findings generally indicate that past monthly country skewness could not be used to reliably predict the extent of skewness of future periods.

     

Fiscal Adjustment, The Real Exchange Rate and Australia's External Imbalance

This article examines issues of relevance to Australia's external imbalance. We investigate the sharp fiscal consolidation over the past five years and examine why it did not reduce the current account deficit. We show that a disproportionate part of the fiscal consolidation was achieved by cutting public investment spending, and we discuss some of the negative consequences of such cuts. We compare the macroeconomic behaviour of six OECD countries which have recently increased net government savings. It has been a common experience that an increase in net government saving has not been associated with a reduction in the current account deficit. For Australia, we establish that the link between fiscal consolidation and a smaller current account deficit was severed by a private sector investment surge. This leads us to examine the behaviour of the relative price critical to the allocation of this investment between the traded and non-traded sectors - the real exchange rate. Over the medium term, we argue that a substantial real depreciation is necessary as part of the adjustment required to stabilise the ratio of net external liabilities to GDP.     

Domestic Adjustment Policies and External Economic Shocks

We study the consequences of the entry of a structurally heterogeneous country on the well-being of the current members of a monetary union. Welfare would be increased if the new country is more open, if it has a smaller sensibility of its demand to the interest rate, and also generally if its supply function has a lower sensibility to inflation.     

论推进城乡结构的战略性调整

我国在积极探索新型城市化道路的基础上 ,加快推进城乡结构的战略性调整 ,这是统筹城乡经济社会发展的必然要求 ,也是全面建设小康社会的重大任务。而发展大城市和小城镇是全面推进城乡结构战略性调整的主要切入点。     

循环经济外部效应与政府定位

文章以循环经济外部效应为视角,运用博弈论分析相关经济主体的行为选择问题,发现在目前循环经济发展中,政府居于主导地位。同时,为了发挥政府的主导作用,文章还提出了政府的努力途径:树立循环经济的战略意识;加强立法工作;积极倡导和推动循环经济在企业、生态工业园区、城市和区域等层面上进行探索和实践;加强激励机制建设,激发企业发展循环经济的积极性;加强宣传教育,提高公众参与循环经济的积极性。     

全面收益报告在我国的适用性探讨

全面收益代表着现代收益理论的发展方向，同样，在全面收益基础上编制的全面收益报告代表着现代财务业绩报告的发展方向。本文在阐述我国传统收益确定模式面临挑战的基础上，指出了我国报告全面收益的必要性，构建了我国全面收益报告的基本模式。     

分拆B/M指标对上市公司股票收益解释力的改进性研究

账面市值比(B/M)指标在解释股票的期望收益变动时存在噪音,因为该指标往往会随着未来期望现金流的变化而变化.本文假设,使用分拆的B/M指标,即分别包含了关于未来期望现金流和股票期望收益独立信息的权益账面价值和市场价格的历史改变量以及滞后的B/M,替代原有的B/M,会对股票期望收益率的解释力有显著改进.实证结果部分支持了该假设:分拆B/M指标,对总体股票样本表现出了显著的对股票收益解释力的改善;而Mirco和ABM股票样本的检验结果却存在较大的差异.     

中国封闭式基金价格报酬过度波动的经验分析

本文研究了中国封闭式基金价格报酬与净资产报酬的数据特征及其影响关系 ,主要的结果是 :( 1 )中国封闭式基金的价格报酬相对于基金的净资产报酬一方面存在过度波动 ,另一方面又存在反映不足 ;( 2 )通过检验表明 ,投资者情绪风险对价格报酬过度波动具有显著的影响 ,而Fama的三因素风险因子对价格报酬的过度波动几乎没有解释力 ;( 3 )封闭基金价格报酬的过度波动表明 :由于投资者行为使基金股票价格相对于基金净值存在额外的系统风险 ,封闭式基金折价正是对这种系统风险的一种补偿。     

国有企业的经理人激励机制与经济回报

国有企业经理人的激励机制一直是国有企业改革理论研究与实践的重点问题。根据经理人激励机制的单期静态模型及两期动态模型分析可知,不同的国有企业经理人激励机制下将识别经理人的不同能力水平和努力程度,对政府也将产生不同的经济回报。     

Macroeconomic Adjustment and External Dependency in Sub-Saharan Africa

This paper examines the behavioral parameters of the IS equations for eight countries in Sub-Saharan Africa. The empirical results show an overall destabilizing effect rooted in the parameters of the IS functions. The study lends support to the view that recourse to external financing, to balance the I-S gap in the short-run, leads LDCs economies into a state of structural dependency on foreign capital, entailing a reduction in domestic capital formation and growth through an increased reliance on imports and an inefficient allocation of domestic savings. [112, 121]     

对赌协议、利益不一致与企业创新投入

应用跳跃变化下的几何布朗运动模型，从VC投资者与企业家间利益差异角度探讨企业签订对赌协议对创新支出影响的作用机制。结合新三板创新型公司数据，手动搜集2010-2018年VC参与的新三板公司融资事件，运用PSM匹配方法进行实证检验。结果表明，签订对赌协议抑制企业创新支出，且对赌期间业绩目标更高、VC占股较高时对创新投入的负向影响更明显。企业在对赌期间面临着巨大的业绩压力，签订对赌协议加大了VC与投资者间利益不一致，减少创新支出能够缩小二者间不一致区间。断资比例低对于对赌抑制创新起到缓解作用，即断资点越低，对赌抑制创新的作用越弱。     

From Returns to Tweets and Back: An Investigation of the Stocks in the Dow Jones Industrial Average

A sizeable percentage of investors are using social media to obtain information about companies (Cogent Research [2008]). As a consequence, social media content about firms may have an impact on stock prices (Hachman [2011]). Various studies utilize social media content to forecast stock market-related factors such as returns, volatility, or trading volume. The objective of this article is to investigate whether a bidirectional intraday relationship between stock returns and volatility and tweets exists. The study analyzed 150,180 minute-by-minute stock price and tweet data for the 30 stocks in the Dow Jones Industrial Average over a random 13-day interval from June 2 to June 18, 2014 using a BEKK-MVGARCH methodology. Findings indicate that 87% of stock returns are influenced by lagged innovations of the tweets data, but there is little evidence to support that the direction is reciprocal, with only 7% of tweets being influenced by lagged innovations of the stock returns. Results further show that the lagged innovations from 40 percent of stock returns affect the current conditional volatility of the tweets, while 73 percent of tweets affect the current conditional volatility of stock returns. Moreover, there is strong evidence to suggest that the volatility originating from the returns to the tweets persists for 33 percent of stocks; the volatility originating from the tweets to the returns persists for 73 percent of stocks. Last, 53 percent of stocks exhibit both immediate and persistent impacts from returns to tweets, while 90 percent of stocks exhibit both immediate and persistent impacts from tweets to returns. These results may help traders achieve superior returns by buying and selling individual stocks or options. Also, asset and mutual fund managers may benefit by developing a social media strategy.     

加入WTO与我国贸易制度的调整与重构

根据WTO相关规则及中国入世议定书，加入WTO后，我国贸易制度将发生一系列变化，主要涉及进口制度、出口制度、货物贸易经营权、服务贸易市场准入、贸易制度的实施、WTO基本规则和普遍适用以及与贸易有关的国内政策调整。我国现行外贸体制与WTO规则离入世议定书的要求尚有一定差距，因此，必须应对进出口制度进行全面调整，构建与WTO规则相吻合的新型外贸体制，以适应经济全球化时代国际竞争的发展形势。     

商业银行信贷资金流动性过剩机理与实证研究

2002年以来,商业银行信贷资金流动性过剩问题凸现.本文从商业银行角度出发,在对流动性过剩形成机理的理论分析基础上,运用2001-2007午的月度数据,对流动性过剩与其影响因素进行了实证研究.结果显示:外汇储备增长率和储蓄存款增长率对银行存差增长率都具有显著的正面效应,外汇储备和储蓄存款的不断增加成为促进银行存差不断扩大的重要因素;而股票市价总值增长率与银行存差增长率存在着负向的相关关系,股票市场的发展有利于缩小银行存差.在此基础上,本文就应对商业银行信贷资金流动性过剩问题提出了相应的政策建议.     

关于我国城镇职工平均收入失真问题的研究

2009年4月,国家统计局公布了2008年全国城镇单位在岗职工的平均工资,引起了社会各界的强烈反响,人们普遍认为该工资水平一定程度上高于实际收入.本文以统计学原理为基础,结合我国具体国情,分析了平均工资与实际收入之间的偏差度,以及造成这种偏差的原因;另外,本文还分析了现行平均工资计算方法的适用性和必要性.最后提出克服现行平均工资计算方法局限性的建议和意见.     

我国私营经济历史地位的演变

改革开放以来 ,私营经济的产生和发展以及对这一经济力量的认识 ,在理论和实践上都是一个不断探索和发展的过程 ,人们对私营经济历史地位的认识也经历了一个曲折的过程。文章就改革开放以来党和国家对私营经济的社会定位进行了历史回顾 ,说明对私营经济的科学定位对私营经济乃至整个国民经济发展的重大影响     

我国产业结构调整的内在因素及其趋势

从产业结构调整和经济增长之间的密切关系入手 ,分析了产业结构调整的内在因素 :技术进步、制度变迁、政策环境 ;指出了我国产业结构优化升级的趋势走向 :振兴装备工业、发展高新技术产业、提升传统产业、加快第三产业。     

开放式基金赎回机制的外部效应

开放式基金的赎回机制,是其与封闭式基金相区别的根本特征之一,对基金市场参与各方产生了深刻影响.文章论述了开放式基金赎回机制产生的理论基础,推导出投资者赎回外部效应的一般模型,运用赎回外部效应理论分析了我国开放式基金的大面积赎回现象,最后提出了当前减轻赎回外部效应影响应采取的措施.