上市公司股票收益率影响因素的实证研究

以2005年我国股票市场的数据为研究基础,采用偏最小二乘回归方法对股票收益率的影响因素进行研究。模型结果显示,振幅、主营业务增长率和公司市值是影响股票收益率的主要因素,反映企业经营状况和财务状况的指标对股价收益率的作用则不明显。     

我国A股市场航运企业股票收益率波动性分析

本文运用GARCH模型和EGARCH模型对我国航运企业股票收益率波动性进行分析,并将其与上证综合指数的收益率进行对比,探索航运企业股票收益率的波动性特征。实证研究结果表明:航运企业股票的收益率序列存在着较为显著的异方差性,航运企业股票的波动性与市场风险性较大,并且其收益率序列的波动具有较强的持续性和非对称性,航运企业股票市场总体上存在着杠杆效应,利空消息较利好消息更容易引起较大的波动。     

中国A股房地产业股票收益率的实证研究——基于Fama-French多因子模型

本文选取中国A股市场68只房地产企业股票,利用Fama-French三因子模型及五因子模型,对其2007年7月至2021年6月的月度收益率数据进行实证分析。研究表明,五因子模型对于我国A股房地产企业股票的解释效果更佳,加入CMA因子对三因子模型解释能力的提升效果相较RMW因子而言会更好。在A股房地产业股票中,规模效应、账面市值比效应和投资效应较为显著,其效应体现与我国股市以散户为主的投资者结构、房企高周转的运作模式有关。本文为探究多因子模型在我国重要行业的适用性研究提供借鉴意义。     

老龄化社会背景下养老旅游市场发展研究——以承德市为例

利用承德市2003-2017年的时间序列数据,深入探究影响老年人旅游需求的各项因素,并对养老旅游市场的发展进行综合评价。研究表明:老年人出游人数、地区发展水平、旅游经济规模和医疗保障服务水平对养老旅游发展具有显著地推动作用;承德养老旅游市场发展的综合实力逐年提升。     

偏最小二乘神经网络在建筑造价预测中的应用

偏最小二乘回归方法在提取主成分方面具有很好的解释性,而且可以避免因素之间的多重相关性,提取的成分作为输入变量再用神经网络进行预测仿真,影响因素考虑周全,不用计算工程量,计算速度快,克服了普通神经网络运算量大,样本有限情况下易出现问题的弊端。     

中国A股市场涨停股票正向收益概率研究

涨跌停机制的设置初衷一是为了防止股票交易价格暴涨暴跌,二是抑制投资者的过度情绪,在实际操作过程中发现涨跌停机制会将投资者的过度情绪后延,尤其涨停板的股票更容易得到投资者的追捧。本文通过对中国A股市场部分涨停股票的后5个交易日的交易数据进行研究,发现该类型股票出现正向收益的概率远远大于负向收益出现的概率。     

基于偏最小二乘回归的农产品种植评价研究

粮食是人类最基本的生活消费品,粮食问题是关系到国家国计民生的头等问题。本文通过分析影响粮食种植面积的指标,研究粮食最低收购价政策,以湖南省为例,建立关于水稻种植影响因素的数学模型。首先选取了农业劳动力人口、农民人均受教育程度、城乡收入差距、农民家庭负担、粮食的市场价格、粮食生产成本、粮食相对收益竞争力、农作物播种面积、受灾情况、我国粮食净出口量、城市化水平11个影响粮食种植面积的候选因素;然后,利用非参数Spearman相关检验法通过SAS软件对湖南省水稻的影响其种植面积的指标与其种植面积进行相关性检验,得到影响因素的指标体系;最后,以所选取的水稻种植面积相关的指标为自变量以水稻的种植面积为因变量运用偏最小二乘回归的方法建立模型。经检验,模型具有很好的拟合结果。本文研究对我国的粮食保护政策具有十分重要的作用和意义。     

基于PLS-SEM的烟草生产研究

烟草具有上瘾性、垄断性和高税收等特征,一直以来都是政府重点规制的商品,且从2016年开始逐渐加大了公共场合禁烟的力度。而烟草生产受到多个因素的影响,并包括纵向和横向影响,通过单一模型很难进行全面和深入的研究。因而文章通过结构方程模型来整合相关影响因素,并通过偏最小二乘法来测度其影响方向和程度。通过研究发现烟草生产受到烟叶种植、税收及消费等因素的影响,并与地方财政收入联系紧密。因此,文章提出有针对性的政策建议:有效规制烟草生产与消费,进一步完善国家烟草专卖制度,以实现中国烟草的健康发展。     

中国农村金融发展对农村居民收入结构影响的实证研究

农村金融对农村资金的调配具有重要作用,对农村居民的收入结构也具有一定的影响。通过提取农村金融与农村居民收入相关指标,结合1997-2016年的相关统计数据,采用偏最小二乘回归分析方法构建模型进行实证研究,以确定农村金融对农村居民收入结构的影响。结果表明:农村金融各项指标对农村居民各项收入指标的影响程度不同,总体均呈现正向关系;伴随着农村金融的发展,农村居民收入结构也从早期较为单一,以农业生产经营为主的一头独大模式,逐渐演变为双向引导,并朝着更具科学性、综合性的收入结构模式方向发展。因此提出保持财政支农投入的增长、促进农村信贷供给、提高农业保险保额等促进我国农村金融发展的合理化建议。     

中国A股萧条局面有望结束

香港一位基金经理说,以人民币计价的中国A股市场预计将最终摆脱长达3年的萧条,原因是A股市场的本益比现在已经降低,而这一市场向更多投资者开放也刺激了投资需求。这位基金经理本人就是中国A股市场的积极参与者。     

On time-varying predictability of emerging stock market returns

The two recent studies of Cajueiro and Tabak (2004b) and Hull and McGroarty (2014) investigate the predictability of emerging stock market returns based on the Hurst coefficient—a simple but powerful measure of long-range dependence. Unfortunately, the insights gained in these studies are limited because they (i) present conflicting evidence on the time-varying nature of the estimated Hurst coefficients and (ii) incorrectly equate random walk behaviour with market efficiency. In this note, we revisit the issue of time-varying predictability for a rich sample of 21 emerging markets in the 27-year period from 1988 to 2015. Extending the two aforementioned studies by various alternative fractal estimators of the Hurst coefficient, trend regressions and several robustness checks, our analysis reveals significant downward trends in the local Hurst coefficients of almost all markets. Specifically, we document vanishing predictability over time, which indicates that profitable emerging market investment strategies based on past returns may not continue their good performance in the future. Furthermore, we explicitly point out why a random walk is neither a necessary nor a sufficient condition for rationally determined security prices, and thus signs of predictability (randomness) should not be interpreted as evidence for market inefficiency (efficiency).     

中国A股上市公司社会责任报告研究(2012)

作为一种主要以自愿性为主的信息披露机制,社会责任报告很大程度上是上市公司管理层对公司社会责任信息使用者的选择性披露,也是上市公司与各利益相关方最直接、最有效的沟通工具。上市公司向公众披露社会责任报告,对于促进公众及投资者了解上市公司社会贡献情况,倡导社会责任价值投资具有重要作用。由于特殊的制度背景,如股权结构较为特殊、资本市场信息披露监管不规范、投资者法律保护机制不健全、公司治理机制不完善等,使得中国上市公司社会责任报告信息质量影响因素日趋多元。但对该问题的研究有助于深入了解公司社会责任报告信息、披露背后的深层次动机和策略性行为,进而为制定合理的监管政策或信息决策提供理论依据及     

Mismeasurement of market returns

Virtually all empirical tests of the Capital Asset Pricing Model have assumed (usually implicitly) that returns of some New York Stock Exchange index measure the returns of the “market factor” without error. However, recent theoretical developments suggest that this assumption may be inappropriate. In this effort, an obverse tack is adopted — the asset pricing model is assumed correct and attention is focused on the impacts of incorrect specification of market returns. A simple errors-in-variables econometric technique is used to reevaluate the oft-cited study of Black, Jensen, and Scholes. The conclusion is reached that incorrect measurement of the market is itself an onerous and unreconciled problem which adds marked bias to tests of asset pricing mechanisms.     

Dynamic return predictability in the Russian stock market

This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. During periods of high information, conditional exposure to the local market risk and changes in oil price influence the expected return on the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.     

Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China

We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market inefficiency explains the DGTW_CAR3 premium. Further analysis shows that, in addition to earnings information, the optimism reflected in the management discussion and analysis section of the annual or half-year report also contributes to the DGTW_CAR3 premium. This finding implies that DGTW_CAR3 may contain new fundamental information that correlates significantly and positively with future stock performance. Finally, we find that the institutional ownership change of a stock associated with DGTW_CAR3 also significantly and positively predicts the stock's return, suggesting that institutional investors adjust their holdings according to DGTW_CAR3 and consequently influence the demand for the stock in the China's A-shares market.     

The risk and predictability of equity returns of the EU accession countries

This paper investigates the importance of global risk factors and the predictability of returns of the 13 EU accession countries, using both unconditional and conditional asset-pricing tests during the turbulent period of 1997–2002. Applied for the first time to the full sample of EU accession countries, we conclude that the world excess return has only somewhat importance for Hungary, Poland and Turkey, indicating low financial liberalization and low integration with the world. The real G-7 interest rate followed by the world excess return, global foreign exchange rate and global inflation rates are the most influential in their explanation of the variation of local market returns. Predictability of local returns is high and variant; global instrumental variables have higher predictive power for eight countries, especially for Bulgaria, Cyprus, Estonia, Lithuania, Romania and Hungary, whereas local instruments are more important for the Czech Republic, Latvia, Poland and Slovenia. The failure of the conditional asset-pricing model to correctly price assets confirms partial integration with the world. Except for Bulgaria, Hungary, Latvia and Malta, predictability cannot be explained by time variation in economic risk premiums, but by local information, market inefficiency and/or investor irrationality.     

Electric utility returns and the market model

Use of estimates of the single factor market model has been criticized on a number of fronts including the allegedly poor empirical “fit” of the characterization for regulated firms. Countervailing evidence is presented here that indicates the market model is a better characterization of electric utilities than of unregulated companies     

Information share and its predictability in the Indian stock market

The study investigates price discovery in the Indian stock market and finds that spot market plays a dominating role in price discovery when it is estimated for the entire period as a whole. However, periodic measures of price discovery suggest that it does not remain the same throughout the period, but varies with time. Panel data analysis also indicates that spot market is more efficient in price discovery for majority of size and sector panels. Finally, while market state-related variables are found to impact information shares in a majority of the cases, macroeconomic announcements rarely predict the price discovery.     

The cross-section of emerging market stock returns

Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative factor definitions. In contrast, the anomalous returns associated with cash flow-to-price, gross profitability, composite equity issuance, and momentum are pervasive as they show up in equal- and value-weighted portfolio sorts as well as in cross-sectional regressions. In contrast to financial theory and in line with previous findings, we do not find a positive cross-sectional relationship between risk and return. Finally, return forecasts derived from the alternative factor definitions are superior in their out-of-sample predictive ability to the ones derived from the five-factor model.