The relationship between the valuation effect of equity financing and firm-specific characteristics

The findings of this study indicate that although the overall announcement effect of equity offerings is negative on the issuing firms' common stock prices, 23 percent of the sample firms have a positive two-day announcement period stock abnormal return (CAR). Further tests show that firms in the positive CAR group have significantly higher research and development (R&D) and profitability than firms in the negative CAR group, while the average leverage ratio of firms in the positive CAR group are significantly lower. Results of the regression analysis suggest a positive relation between the price effect and R&D as well as the profitability ratio. It also is found that only in the sample of large R&D firms is the magnitude of R&D significantly associated with the magnitude of announcement effect.     

Robust results on the sharing of firm-specific information: Incentives and welfare effects

Contrary to much of the existing literature, we obtain robust and clear-cut results for the incentives and welfare effects of information sharing when information is firm-specific. We show that firms’ incentives to share this type of information are aligned with social welfare. Whenever revealing information is the dominant strategy (such as for Cournot firms revealing costs or Cournot and Bertrand firms revealing demand), it is socially beneficial. Only cost information in Bertrand competition will not be revealed but this is socially desirable, too. These findings are independent of distributional assumptions on random shocks and signals and hold for general asymmetric oligopoly with any mixture of substitute, complementary and independent goods.     

The New Keynesian Phillips Curve and staggered price and wage determination in a model with firm-specific labor

We develop a DSGE model with firm-specific labor where wage and price setting are subject to Calvo-type staggering. This is in general an intractable problem due to complicated intertemporal dependencies between price and wage decisions. However, the problem is significantly simplified if we, in line with empirical evidence, assume that prices can be changed whenever wages are. We show that the price- and wage-setting relationships are substantially altered by the introduction of firm-specific labor. Specifically, the inflation response is substantially dampened, whereas the wage inflation response is increased as compared to models with freely mobile labor. These distinctive features of the model with firm-specific labor are supported by empirical evidence from a structural VAR.     

A Hotelling model with a ceiling on the stock of pollution

Environmental agreements such as the Kyoto Protocol aim to stabilize the amount of carbon in the atmosphere, which is mainly caused by the burning of nonrenewable resources such as coal. We characterize the solution to the textbook Hotelling model when there is a ceiling on the stock of emissions. We consider both increasing and decreasing demand for energy. We show that when the ceiling is binding, both the low-cost nonrenewable resource and the high-cost renewable resource may be used jointly. A key implication is that if energy demand were to decline in the long run, we may supplement energy supply through ‘clean’ renewables to meet the environmental standard, but then revert back to using only ‘dirty’ fossil fuels in the future when the ceiling has become non-binding. That is, the much heralded societal ‘transition’ to clean energy resources may be short-lived.     

Hypothesis testing in nonparametric models of production using multiple sample splits

Several tests of model structure developed by Kneip et al. (J Bus Econ Stat 34:435–456, 2016) and Daraio et al. (Econ J 21:170–191, 2018) rely on comparing sample means of two different efficiency estimators, one appropriate under the conditions of the null hypothesis and the other appropriate under the conditions of the alternative hypothesis. These tests rely on central limit theorems developed by Kneip et al. (Econ Theory 31:394–422, 2015) and Daraio et al. (Econ J 21:170–191, 2018), but require that the original sample be split randomly into two independent subsamples. This introduces some ambiguity surrounding the sample-split, which may be determined by choice of a seed for a random number generator. We develop a method that eliminates much of this ambiguity by repeating the random splits a large number of times. We use a bootstrap algorithm to exploit the information from the multiple sample-splits. Our simulation results show that in many cases, eliminating this ambiguity results in tests with better size and power than tests that employ a single sample-split.

     

Forecasting the direction of the US stock market with dynamic binary probit models

Several empirical studies have documented that the signs of excess stock returns are, to some extent, predictable. In this paper, we consider the predictive ability of the binary dependent dynamic probit model in predicting the direction of monthly excess stock returns. The recession forecast obtained from the model for a binary recession indicator appears to be the most useful predictive variable, and once it is employed, the sign of the excess return is predictable in-sample. The new dynamic “error correction” probit model proposed in the paper yields better out-of-sample sign forecasts, with the resulting average trading returns being higher than those of either the buy-and-hold strategy or trading rules based on ARMAX models.     

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。     

发出存货计价方法浅析

选择不同的存货计价方法将会导致不同的成本水平、报告利润和存货估价,并对企业的税收负担,现金流量产生较大影响。文章在分析影响发出存货计价方法选择因素的基础上,提出基于税务筹划的发出存货计价方法。     

Predicting economic contractions and expansions with the aid of professional forecasts

Traditional econometric models of economic contractions typically perform poorly in forecasting exercises. This criticism is also frequently levelled at professional forecast probabilities of contractions. This paper addresses the problem of incorporating the entire distribution of professional forecasts into an econometric model for forecasting contractions and expansions. A new augmented probit approach is proposed, involving the transformation of the distribution of professional forecasts into a ‘professional forecast’ prior for the economic data underlying the probit model. Since the object of interest is the relationship between the distribution of professional forecasts and the probit model’s economic-data dependent parameters, the solution avoids criticisms levelled at the accuracy of professional forecast based point estimates of contractions. An application to US real GDP data shows that the model yields significant forecast improvements relative to alternative approaches.     

影响股票价格的两因素模型

我国股票价格的波动较发达国家成熟的金融市场来讲有很大的非理性成分,因而应从整体宏观实体经济发展和货币供应量两个因素来研究股票价格的波动.     

影响股票价格的两因素模型

我国股票价格的波动较发达国家成熟的金融市场来讲有很大的非理性成分,因而应从整体宏观实体经济发展和货币供应量两个因素来研究股票价格的波动。     

Macroeconomic influences on the stock market

The paper studies the dynamic interactions among indicators of economic activity, such as industrial production, interest rate and exchange rate, the performance of the foreign stock market, oil prices, and stock returns to examine whether economic activity movements affect the performance of the stock market for Greece. The empirical evidence suggests that stock returns do not lead changes in real economic activity while the macroeconomic activity and foreign stock market changes explain only partially stock market movements. Oil price changes explain stock price movements and have a negative impact on macroeconomic activity.     

中国上市公司A股和H股价格差异的实证分析

本文构建了2008年12月之前已经分别在中国内地和香港上市的38家A+H双重上市公司A股和H股的差价模型,实证研究发现:A股对市场整体收益率的敏感度越高,A+H股二级市场交易价格差异水平越大;而H股对香港市场整体收益率的敏感度越高,A+H股二级市场交易价格差异水平越小;H股在第t期对A股实际可流通比率增加时,H股的折价程度会增加;同时股权分置改革因素是影响A+H股价格差异的重要因素.     

曲面响应法预测砂浆性能的试验研究

本试验以砂浆性能为研究对象,采用Box-Behnken的中心组合实验设计及响应面分析方法对腻子粘结强度进行预测研究。试验选用三因素三水平的响应曲面分析法,建立了粘结强度的二次多项数学模型,并以粘结强度为响应值作响应面和等高线,考察了水粉比、灰粉比和胶粉比对粘结强度的影响,并根据实际选择响应曲面方程,利用最小二乘法估计相应的系数,剔除最不显著因素,建立最终的数学方程。结果表明:该预测模型能很好地描述粘结强度与水粉比、灰粉比和胶粉比之间的关系,可以对腻子粘结强度进行分析和预测,为砂浆性能研究提供一种新方法。     

Microscopic spin model for the stock market with attractor bubbling on scale-free networks

A multi-agent spin model for changes of prices in the stock market based on the Ising-like cellular automaton with interactions between traders randomly varying in time is investigated by means of Monte Carlo simulations. The structure of interactions has topology of scale-free networks with degree distributions obeying a power scaling law with various scaling exponents. The scale-free networks are obtained as growing networks where new nodes (agents) are linked to the existing ones according to a preferential attachment rule with an initial attractiveness ascribed to each node. In certain ranges of parameters, depending on the exponent in the degree distribution, the time series of the logarithmic price returns exhibit intermittent bursting typical of volatility clustering, and the tails of the distributions of returns obey a power scaling law with exponents comparable to those obtained from the empirical data. The distributions of returns show also dependence on the number of agents, in particular in the case of networks with the scaling exponents of the degree distributions typical of the social and communications networks.     

Strategy switching in the Japanese stock market

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals.     

Business cycle asymmetry and the stock market

We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomic forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.     

股票市场会计信息披露的司法管制

针对我国股票市场会计信息披露方面存在的不足,本文对我国股票市场会计信息披露司法管制的加强问题进行了阐述,以提高股票市场会计信息披露的质量.