Value stocks and market efficiency

We form portfolios based on firm book-to-market equity ratios and apply stochastic dominance tests. Value (high book-to-market) portfolios dominate low book-to-market portfolios. Thus, value stocks are not rationally priced by the market and the book-to-market ratio is not an efficiently priced proxy for equity risk. We also find that the superior performance of value stocks is not due to the January effect.     

New evidence on innovation and market structure

Arrow and Demsetz have disagreed on theoretical grounds as to whether the incentive to invent is likely to be greater in a competitive industry or a monopoly one. Past empirical studies of the relationship between the rate of innovation and market structure have suggested that innovation occurs at a faster rate within a competitive market structure. This paper employs more detailed data and a larger sample of markets than have most previous studies of this relationship. Using a sales-weighted measure of innovation, the paper finds a positive and statistically significant relationship between the overall rate of innovation In individual markets and the level of seller concentration. This implies that public policy which reduces concentration may, through its impact on incentives, have the side effect of reducing the rate of innovation in the markets involved.     

Index fund rebalancing and market efficiency

Stocks newly added to the S&P 500 Stock Index experience significantly positive abnormal returns on the date of their inclusion. This study looks at the rebalancing required by index funds when RJR/Nabisco was replaced by First Union. On that date, approximately one percent of the market capitalization was removed and had to be reallocated among the remaining 499 stocks in the Index, but there was no change in information or attention for these 499 stocks. We find that while there was abnormal trading volume on the original takeover date, there were no abnormal returns. The only hypotheses consistent with previous results, as well as these results, are the information or the attention hypotheses, that stocks newly added to the index have positive information disclosed or experience increased investor attention.     

以开拓创新满足市场需求——访上海先达企业发展有限公司营销总监许晓军

上海先达企业发展有限公司（以下简称“上海先达”）成立于1992年,专注于条码、RFID等自动识别技术的技术研发与行业应用。公司面向零售、物流、制造、金融、医疗、公用事业等行业,提供“基于自动识别技术解决方案”的系统集成,在条码打印、数据采集、跟踪管理、系统处理及专业咨询方面拥有丰富的行业经验。     

Volatility of stock prices and market efficiency

Recently, historical price series along with the dividend series have been used to severely question the Efficient Markets Hypothesis. The literature suggests that the stock prices vary too much to be explained by subsequent changes in dividends. It is argued in this paper that these results require the assumption of stationarity of the price process and that this assumption is not compatible with the random walk model of Efficient Markets. A non-stationary dividend process, which is compatible with the random walk model of Efficient Markets, results in a reversal of earlier results. The new results are shown to be consistent with the empirical findings. Simulations are run to verify the results.     

Product market integration,wage dispersion and unemployment

International product market integration enhances both the export possibility of supplying to foreign markets and the import threat of foreign firms penetrating into domestic markets. These mechanisms affect labour markets since they amount to increased job mobility. At the same time heterogeneity may increase since it is unlikely that the opportunities and threats are uniformly distributed across different groups/sectors. In a Ricardian trade model admitting heterogeneity in the labour market, it is shown that lower trade frictions are associated with aggregate welfare gains, increased trade and specialization, but also more dispersion in wages. Structural labour market problems caused by union market power are reduced while those caused by minimum (reservation) wages are strengthened.     

Toward efficiency in the crude-oil market

The ‘official’ (OPEC) prices of crude oil before the collapse in the oil market in the mid-1980s can be interpreted as contract prices and analysed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex-post spot prices at the time of delivery. Efficiency is rejected for the sample period 1978–1985 as a whole, but evidence is found of improvements over time. Further, the GMM Wald and Hansen tests, although asymptotically equivalent, are shown to differ greatly when applied to a small sample of monthly oil price data.     

Vertical separation of transmission control and market efficiency in the wholesale electricity market

This study examines how vertical separation of transmission control affects the wholesale market efficiency in the electric power industry. We analyze a unique regional electricity wholesale market in the U.S. where initially restructuring only occurred in the transmission sector. Following a commonly-used best dispatch model (Wolfram, 1999; Borenstein et al., 2002), we simulate competitive benchmark prices and compare with the best estimates available for actual prices to measure price-cost markups of the wholesale market. Empirical results demonstrate that the vertical separation of transmission control led to a significant increase in market markups in peak-load hours, documenting evidence of enhanced market power. Although we also find a reduction in the price-cost margin in low-demand hours, we reserve caution for this finding.     

Incomplete regulation, market competition and collusion

Regulators often do not regulate all firms competing in a given sector. Due to product substitutability, unregulated competitors have incentives to bribe regulated firms to have them overstate their costs and produce less, thereby softening competition. The best collusion-proof contract entails distortions both for inefficient and efficient regulated firms (distortion ‘at the top’). But a contract inducing active collusion may do better by allowing the regulator to ‘team up’ with the regulated firm to indirectly tax its competitor. The best such contract is characterized. It is such that the unregulated firm pays the regulated one to have it truthfully reveals its inefficiency. We finally compare those contracts.     

Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency

This study employs single and multiple variance ratio tests to reexamine the weak-form efficient market hypothesis (EMH) of A- and B-shares on the Shanghai and Shenzhen exchanges in Chinese stock market. The study also examines the influence of the release of investment restriction of B-share markets on market efficiency. For the whole sample period, the weak-form EMH is only supported for Shanghai A-shares, and is not supported for the remaining shares. For the sub-sample period, the Shenzhen A-share and B-shares of both exchanges being rejected for the weak-form EMH in the earlier sample period are supported following the regulatory change. Rolling multiple variance ratio test statistic values provide additional evidence of weak-form EMH. The improvement of market efficiency can be explained by the increased liquidity and maturity accompanying deregulation and liberalization.     

On the efficiency of national innovation systems

This paper presents a non-parametric approach to the disentanglement of the related effects of efficiency and productivity of a country's technological effort. The ultimate purpose is to identify the extent to which the alleged decrease in the productivity growth of many countries can be explained by differences in efficiency and by differences in its components, namely scale and congestion. The role of moderators in explaining productivity fluctuations if also assessed. The database consists of the countries included in the World Competitiveness Report.     

联合卡车整合产业链优势占领重卡市场

联合卡车带着打造"中国主流卡车"的决心,正式加入到国内高端重卡市场的竞争行列。     

创新技术敲开市场大门——访浙江佳力科技股份有限公司董事长龚政尧

浙江佳力科技股份有限公司是国家重点高新技术企业，主要生产“佳力”牌系列防爆电动叉车以及用于石油、化工行业的各类泵、阀门、燃气设备，拥有15万平方米的生产制造基地，总资产达4亿元。佳力科技拥有浙江省级技术中心、省级研发中心，专业技术力量雄厚，并在德国设立了跨国研发机构。     

Technological opportunity and the relationship between innovation output and market structure

This study examines influences of technological opportunity on the relationship between market structure and the innovation output of different‐size firms. A simultaneous‐equations model is specified and estimated separately for technologically progressive and technologically unprogressive industries. The study finds that innovation activities of small firms and large firms bear different relationships to market structure, in part resulting from interindustry differences in technological opportunity. In technologically progressive industries, innovation output (especially of small firms) is lower in the presence of high concentration and is increased substantially by high R&D intensity. Large‐firm innovation output has a positive effect on industry concentration, but only in technologically unprogressive industries. Copyright © 2005 John Wiley & Sons, Ltd.     

Bettor preferences and market efficiency in football totals markets

The betting markets for totals in college football and arena football provide additional evidence of bettor preference for scoring. The results for college football and arena football markets are similar to those found in the professional football and professional basketball totals market. In all of these leagues, the overs are overbet. We suggest that there is a clear preference for bettors to bet the over and the extent of the bias depends upon the volume of uninformed bettors to informed bettors and limits placed on bets in these markets.     

Product market objectives and the formation of research joint ventures

In this paper we extend the existing literature on research and development (R&D) investments and research joint ventures (RJVs) in two important ways. First, we analyze and compare the case where firms collude in the product market to the benchmark case of competition in the output market. Second, we allow firms to form coalitions endogenously as a separate stage in the game. We develop profit functions that depend on the partition of firms into joint ventures and the nature of product competition between venture partners. Our results illustrate the restrictive nature of some assumptions made in the literature. Typically multiple RJVs of different sizes form in equilibrium. In general, RJVs should not be promoted if they entail product market collusion. Given the information available to policy‐makers, it is unlikely that an R&D policy more refined than analyzing and allowing RJVs on a case‐by‐case basis is feasible. Copyright © 1999 John Wiley & Sons, Ltd.     

经营城市:功能导向与制度创新

在我国市场化改革日益深入的条件下 ,在全球化浪潮中 ,面对城市化快速发展 ,地区竞争日益激烈的挑战 ,经营城市必须由资金导向转向功能导向 ,以实现城市资源资本在容量、结构、秩序和功能上的最大化与最优化 ,城市建设投入和产出的良性循环以及城市的可持续发展。在此过程中 ,政府必须在经营城市中发挥积极的作用 ,促成市场行为和政府行为的有机结合 ,并积极推进功能导向的城市经营制度创新 ,从而实现城市经营模式的战略转变。     

资本市场开放推动经济均衡发展和技术创新

中国经济发展的不均衡影响到发展的可持续性,本文重点讨论了对经济不均衡发展的承受能力和转向均衡发展的有效路径,考察了对经济竞争力有重要影响的制度改革、人力资源成本、内外投资环境和规模效应等四个方面的因素,以期通过对这些要素进行合理调整,借助资本市场开放,推进制度创新和技术创新,在保持竞争力的情况下,优化产业结构,使经济均衡发展。