组合证券投资决策Beta分析法

在证券市场上,证券价格由于种种原因经常波动,且每种证券受市场影响所产生的波动性的程度也有差异。Beta分析法就是用以求出Beta系数来代表某种证券受到市场影响而产生价格的波动性的大小,以测定这种证券的风险程度。这种分析法是对统计数据依据最小二乘法而产生的回归方程式Y=α+βX+ε来确定证券的Beta系数,即式中的β。按一般形式,Y代表证券收益率,X代表市场平均收益率或市场证券     

金融危机下中美保险公司Beta系数的实证研究

2007年末爆发的次贷危机对美国以及全世界的经济造成了巨大影响。作为现代金融体系重要组成部分的保险行业也受到了前所未有的冲击。以Cummins(1991)的简化保险公司模型为基础,通过对保险公司利润两大组成部分的比较,论文说明了危机如何改变保险公司的风险特征。对中美两国保险行业相关数据及Beta系数的实证研究,进一步验证了金融危机对两国保险行业的不同影响,揭示出合理的保险公司收益结构对于保险公司持续稳健经营的重要性。     

Beta核函数在违约回收率密度估计上的应用

在理论分析了非对称beta核的估计性质后,使用蒙特卡罗模拟方法就beta核与均值、beta分布在拟合不同回收率形态上的效果差异作了比较,得出理论上,beta核在一定程度上克服了边界问题,具有收敛速度快的优势;实际中,beta核在单峰、偏斜等较简单的分布形态上与beta分布差别较小,在较复杂形态上明显优于beta分布,较平坦分布上在边界处优于beta分布,两者均明显优于以均值来描绘回收率的传统做法。     

Beta核函数在违约回收率密度估计上的应用

在理论分析了非对称beta核的估计性质后,使用蒙特卡罗模拟方法就beta核与均值、beta分布在拟合不同回收率形态上的效果差异作了比较,得出理论上,beta核在一定程度上克服了边界问题,具有收敛速度快的优势;实际中,beta核在单峰、偏斜等较简单的分布形态上与beta分布差别较小,在较复杂形态上明显优于beta分布,较平坦分布上在边界处优于beta分布,两者均明显优于以均值来描绘回收率的传统做法。     

Are Smart Beta strategies suitable for hedge fund portfolios?

In the equity context different Smart Beta strategies (such as the equally weighted, global minimum variance, equal risk contribution and maximum diversified ratio) have been proposed as alternatives to the cap-weighted index. These new approaches have attracted the attention of equity managers as different empirical analyses demonstrate the superiority of these strategies with respect to cap-weighted and to strategies that consider only mean and variance. In this paper we focus our attention to hedge fund index portfolios and analyze if the results reported in the equity framework are still valid. We consider hedge fund index and equity portfolios, the approaches used for portfolio selection are the four ‘Smart Beta’ strategies, mean–variance and mean–variance–skewness. In the two latter approaches the Taylor approximation of a CARA expected utility function and the Polynomial Goal Programing (PGP) have been used. The obtained portfolios are analyzed in the in-sample as well as in the out-of-sample perspectives.     

金融产品创新策略：Alpha回报和Beta回报的分离

自从19世纪30年代格雷汉姆出版了经典的《证券分析》专著之后．美国专业的证券投资界基本上使用定性的基本面分析工具，并维持了传统主动型价值投资一统天下三十多年的局面。     

Does the dog know the proverb？

The little boy did not like the look of the barking dog. ＂It＇s all right.＂said a gentleman.＂Don＇t be afraid.Don＇s you know the proverb.Barking dogs don＇t bite？＂     

Are Incentives the Bricks or the Building?

The efforts of economists to emphasize the importance of incentives as determinants of organizational performance, while successful to some degree, may have left the mistaken impression that "getting the incentives right" is the only task requiring the attention of senior executives when designing corporate organizations. The author identifies the incentive-intensive companies envisioned by economists as "mercenary organizations" (or MOs), or companies whose distinguishing feature is near-complete reliance on financial rewards and controls. Citing the difficulties of devising an effective incentive system that cannot be gamed (which he calls the organizational equivalent of "an anti-gravity machine"), the article questions whether such organizations are likely to yield superior performance.
As an alternative to paying more attention to incentive design, the author suggests devoting more corporate resources to seeking and attracting individuals with low "monitoring costs." After holding up examples of top executives who appear committed to that search, the author posits a "character-rich" organization (CRO) as an alternative to the MO of the economists.
Then, viewing all companies as occupying points on a continuum with the MO and CRO as its poles, the author argues that all companies combine elements of both kinds of organizations. And perhaps most important, the CEOs of many of the most successful large organizations, without minimizing the importance of incentives, pay even greater attention to the search for trustworthy individuals and the creation of a culture of teamwork and accountability.     

Beijing will lift the control over Renminbi at the end of the year.

To realize the promise made at the entry to WTO in 2001, Beijing will lift the control over Renminbi for foreign investment banks on December 1 this year.     

A note on the behaviour of the “tail” of the mixture-poisson distribution

Abstract

A mixture-Poisson distribution is defined by where U(x) is a distribution function concentrated on (0, ∞). This distribution has been applied as a model of the number of claims occurring in an insurance business during a certain period of time.     

Survival of the Fittest or the Fattest? Exit and Financing in the Trucking Industry

This paper studies the impact that capital market imperfections have on the natural selection of the most efficient firms by estimating the effect of the prederegulation level of leverage on the survival of trucking firms after the Carter deregulation. Highly leveraged carriers are less likely to survive the deregulation shock, even after controlling for various measures of efficiency. This effect is stronger in the imperfectly competitive segment of the motor carrier industry. High debt seems to affect survival by curtailing investments and reducing the price per ton-mile that a carrier can afford to charge after deregulation.     

Why Does the Interest Rate Decline Over the Day? Evidence from the Liquidity Crisis

We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday pattern, implicitly creating a positive intraday interest rate. While this normally reflects only some frictions, a liquidity crisis introduces a new component: the chance of an upward jump of the ON rate, which must be compensated by an intraday decline of the ON rate. By analyzing real time data for the e-MID interbank market, we show that the intraday rate has increased from a negligible level to a significant one after the start of the liquidity crisis in August 2007, and even more so since September 2008. The intraday rate is affected by the likelihood of a dry-up of the ON market, proxied by the 3M Euribor—Eonia swap spread. This evidence supports our model and it shows that a liquidity crisis impairs the ability of central banks to curb the market price of intraday liquidity, even by providing free daylight overdrafts. Such results have implications for the efficiency of the money market and of payment systems, as well as for the operational framework of central banks.     

What is the Intrinsic Value of the Dow?

We model the time-series relation between price and intrinsic value as a cointegrated system, so that price and value are long-term convergent. In this framework, we compare the performance of alternative estimates of intrinsic value for the Dow 30 stocks. During 1963–1996, traditional market multiples (e.g., B/P, E/P, and D/P ratios) have little predictive power. However, a V/P ratio, where V is based on a residual income valuation model, has statistically reliable predictive power. Further analysis shows time-varying interest rates and analyst forecasts are important to the success of V. Alternative forecast horizons and risk premia are less important.     

Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?

This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our methodological innovation is the use of a non-linear specification rather than the linear VECM specification customarily employed. Using a panel smooth transition model during the 2008–2010 period, we find that: 1) linearity tests clearly reject the null hypothesis of a linear transmission mechanisms between the bond and the CDS markets; 2) market distress alters the mutual influence and 3) the higher the distress the more the CDS market dominates the information transmission between CDS and bond markets.     

Without the denominator where is the quality improvement paradigm in the nation's health care reform?

This paper will argue that there is room for improvement in the quality of health care delivered in the United States. A quality improvement paradigm requires an assessment, inventory and prioritization of areas for improvement. It further nurtures the imperative of process improvement for the achievement of a targeted outcome. The dual obligations of reduction in outcome variability, and resource management, provide an exciting milieu for the integration of clinical practice, the numerator, with population based medicine, the denominator.     

Housing and the Tax System: How Large Are the Distortions in the Euro Area?*

This paper presents new evidence on the impact of the preferential treatment of owner‐occupied housing in the euro area. We find that tax benefits to homeowners reduce the user cost of housing capital by almost 40 per cent compared with the efficient level under neutral taxation. On average, the tax subsidy translates into an excess consumption of housing services equivalent to 7.8 per cent of the value of owner‐occupied housing, or about 30 per cent of financial asset holdings in household portfolios. The bulk of the subsidy stems from undertaxation of the return to home equity, while the average contribution of the tax rebate for mortgage interest payments is driven down by relatively low loan‐to‐value ratios in the data. However, at the margin, the tax‐induced incentive to use mortgage debt to finance the purchase of the main residence is sizeable.     

Quantifying the components of the banks’ net interest margin

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: liquidity and payment management for customers, bearing credit risk, and term transformation. For 2013, the costs of liquidity and payment management correspond, in the median, to 47% of the net interest margin, with bearing of credit risk and earnings from term transformation accounting for 12 and 37%, respectively.     

Is the Average Investor Smarter than the Average Euro?

In this study, we collect a unique data set of Spanish domestic equity funds for the period 1999–2006 to test the existence of the well-known “smart money” effect. Our focus is to test whether superior performance follows fund flows, demonstrating investor skills, and whether the results are robust for aggregate portfolio analysis and for individual fund analysis. Empirical evidence shows that investor abilities reported by aggregate portfolio analysis are not very evident from a fund-level perspective. This study provides two major contributions to the literature: the separate consideration of purchases and redemptions, and the proposal of a “smart investor” effect which considers investor movements instead of traditional money flows. Results show that investors’ selling decisions are less smart than their buying decisions and that investors, as individuals, are not significantly smarter than money.