使用基于组合的回归方法检验A股市场动量效应的存在性

本文引入基于组合的回归方法探讨A股市场个股动量效应的存在性。基于组合的回归方法可以允许同时考察个股动量效应、规模效应和价值效应。本文的实证研究结果表明A股市场存在个股动量效应,将价值效应和规模效应纳入对个股动量效应的考察并不改变这一结论,但选择同时属于赢者个股动量效应组合和赢者价值效应组合的个股可以获得更高的期望收益。     

有序选择因子结构模型的MCMC估计及应用

为了评估中国分布类政策效应,根据中国微观数据的变量可得性,本文在Heckman等构建的因子结构模型基础上,将Heckman基准模型中的连续型测度方程调整为离散型有序选择模型,建立了有序选择因子结构模型,并推导出MCMC估计方法。运用该方法,结合中国样本数据,本文对高等教育的分布类政策效应进行了实证估计。有序选择因子结构模型及其MCMC估计方法对于经济政策的分布类效应评估具有普遍的理论适应性和实际应用价值。     

基于知识管理的成本控制研究

以协同产品设计为研究环境,以产品生命周期的成本为研究对象,根据知识来源和所影响的成本因子对成本知识进行归纳,抽象出成本知识的类,论述了各类成本知识的构成内容,分析了成本知识类之间的关联控制关系,采用面向对象的技术将知识类之间的关系映射到知识库中,使各类成本知识成为一个严谨的逻辑整体,为协同产品设计的成本控制工作提供有效的知识支撑。     

动量生命周期演进透视及引入分形理论的研究探索

本文对动量生命周期的国外研究动态进行系统梳理,认为现有文献在分析动量生命周期形成机理、生命阶段识别方面存在不足。本文对动量生命周期的提出及其演进进行了透视分析,认为动量生命周期揭示了动量和反转效应的相互转换关系,蕴含的证券价格趋势变化,符合分形随机游走的特征。据此,通过引入分形理论对动量生命周期的研究进行修正探索设想,使其比较符合分形市场的现实背景,以期弥补与丰富现有动量生命周期的理论成果,为理论界和实务界提供决策参考。     

基于因子分析法的绿色办公建筑成本影响因素研究

为了绿色办公建筑项目各参与方能够有效的对成本进行控制,本文运用因子分析法分析21个影响成本的因素,结合SPSS20软件提取出影响绿色办公建筑成本的六大影响因子,为绿色办公建筑成本控制提出措施和建议。     

制造业企业成本粘性效应研究

本文基于营运能力视角对成本粘性效应进行了分析，并选取了2009－2013年的824家我国制造业上市公司为样本进行了实证研究。结果发现：制造业企业的收入成本关系，不仅表现出成本粘性，还表现出反成本粘性；不同行业企业的成本粘性程度以及成本粘性效应不同；成本粘性与企业的存货周转率、固定资产周转率存在相关关系。     

不完全信息投标报价模型

考虑现实竞标过程中投标方彼此成本信息不对称及未来市场的不确定性。利用模糊数刻画竞标方彼此成本信息不对称,并用线性风险损失刻画竞标方面临的失标风险及赢者诅咒风险,构造信息不完全背景下竞标方报价模型。通过数据模拟分析通胀风险因子对竞标方报价及期望效用的影响,得到以下结论:通胀风险因子的存在会致使竞标方报价高于传统报价,且竞标方报价与通胀风险因子呈正比;竞标方的期望效用则由于通胀风险因子相应降低,与通胀风险因子呈负相关。     

长三角空间趋同俱乐部影响因子研究

区域经济增长趋同问题被广泛关注根据空间趋同俱乐部形成的初始条件、结构特征以及长三角的地方特色构建影响因子筛选框架,使用固定效应的空间滞后模型和固定效应的空间误差模型对长三角空间俱乐部趋同的影响因子进行了筛选,利用β趋同回归模型和固定效应的空间滞后模型对长三角空间趋同俱乐部的影响因子进行严格的双重检验。结果表明:区域发展政策和产业结构是长三角空间俱乐部趋同的重要影响因子,市场化水平是比较重要的影响因子,投资水平和对外开放程度为一般影响因子。     

绿电绿证交易对电力碳排放因子影响分析

本文通过分析绿电绿证交易对电力碳排放因子的影响,提出了修正电力平均碳排放因子的建议,以解决碳减排贡献双重计算和搭便车效应的问题。根据实证案例和数据,指出目前的电力平均碳排放因子未考虑绿电绿证交易影响,导致可再生能源碳减排贡献被重复计算,购买绿电绿证的企业享受了低碳电力但未支付相应环境溢价成本。建议修正电力平均碳排放因子,扣除绿电绿证交易电量,准确反映电力系统的实际碳排放。同时,加强透明度与监管,增强绿证消纳追踪和认证机制,并将离网可再生能源项目纳入绿证核发范围,推动能源低碳化发展。     

异质性厂商合作研发的最优投入水平及其成本分摊机制

在产品差异化的Betrand模型中引入具有需求创造效应的创新,构建一个异质性厂商进行合作研发和价格竞争的两阶段动态博弈模型,研究异质性厂商合作研发的最优研发投入以及研发成本的分摊机制.研究发现,异质性厂商间合作研发的最优研发投入水平和成本分摊比例主要取决于市场容量、自身价格效应、交叉价格效应及研发的需求创造效应;根据自身价格效应、交叉价格效应及研发的需求创造效应确定合作研发成本的分摊比例时,基于Betrand竞争的异质性厂商通过合作研发可以提高其均衡价格、产量和利润.     

Seasonality and momentum across national equity markets

This paper examines seasonality and momentum jointly across national equity markets at the index level. We find that seasonality and momentum are almost uncorrelated and appear to arise from different global or local risk factors, rather than from different loadings on the same risk factors. Employing a trading strategy that integrates seasonality and momentum parametrically, we confirm our conclusion about the relationship between seasonality and momentum: while the pure seasonality and momentum strategies individually generate sizable and significant returns, the combination strategy significantly outperforms the pure strategies in a way that is quantitatively consistent with their lack of correlation.     

Do real estate investors trade on momentum?

Real estate markets are known to be less-than-efficient for many reasons, but what roles short-term trading plays are unclear. Do short-term investors bring additional risk to the market and cause prices to deviate from fundamental values? Based on an extensive dataset of property transactions and a policy shock that substantially raised the cost of short-term trading in Hong Kong, we estimate ‘real estate risk’ with and without short-term trading based on return predictability, return volatility, and price dispersion. Our results show that as short-term investors exit the market, market returns are less predictable and less volatile, while prices are less dispersed cross-sectionally. Consistent with herding models in behavioral finance, the findings suggest that short-term investors are momentum traders who do not enhance price efficiency.     

Research on entropy generation strategy and its application in carbon trading market

The study seeks to provide a deeper insight and strategies into the carbon trading market, the internal mechanism, and the linkage mechanism for emission reduction in the carbon trading market right from its inception. The study differs from most prior research on carbon trading, as this current paper incorporates the carbon market with the dissipative structure theory. Based on the dissipative structure theory, this study adapts the entropy generation principle as the base for the carbon trading market. The study captures the following key dimensions: the change of carbon market value, the entropy generation principle of carbon quota trading process, and the replacement process involved in production factors in carbon trading. The study revealed that the entropy generation of the carbon trading market is mainly caused by the cost gradient formed as a result of the cost difference of emission reduction and the increase of production factor input required by economic development. Moreover, the study revealed clearly the dynamics of the entropy index and the carbon market emission reduction efficiency. Thus, the lower the entropy value of the carbon market, the higher the emission reduction efficiency.     

信息披露与内部人股票交易获利策略——以六起内部人股票交易为基础的案例研究

本文以近期A股市场内部人股票交易活跃的六家公司为例,通过考查信息披露与内部人股票交易间的关系,解释内部人股票交易的获利策略。研究发现,在允许内部人交易本公司股票的情况下,信息披露与内部人股票交易关系密切,内部人存在利用私有信息和策略性信息披露两类获利策略。信息权力是内部人股票交易的获利基础,公司业绩是影响内部人股票交易获利策略选择的重要因素,而法律诉讼风险并没有对我国内部人股票交易和信息披露产生明显约束作用。这些发现对完善我国资本市场内部人股票交易行为规范具有一定借鉴意义。     

Pair trading based on quantile forecasting of smooth transition GARCH models

Pair trading is a statistical arbitrage strategy used on similar assets with dissimilar valuations. We utilize smooth transition heteroskedastic models with a second-order logistic function to generate trading entry and exit signals and suggest two pair trading strategies: the first uses the upper and lower threshold values in the proposed model as trading entry and exit signals, while the second strategy instead takes one-step-ahead quantile forecasts obtained from the same model. We employ Bayesian Markov chain Monte Carlo sampling methods for updating the estimates and quantile forecasts. As an illustration, we conduct a simulation study and empirical analysis of the daily stock returns of 36 stocks from U.S. stock markets. We use the minimum square distance method to select ten stock pairs, choose additional five pairs consisting of two companies in the same industrial sector, and then finally consider pair trading profits for two out-of-sample periods in 2014 within a six-month time frame as well as for the entire year. The proposed strategies yield average annualized returns of at least 35.5% without a transaction cost and at least 18.4% with a transaction cost.     

Overnight stock returns,intraday returns,and firm-specific investor sentiment

In this study, we propose a new index for measuring firm-specific investor sentiment using overnight and intraday stock returns. We use actual equity data to construct the firm-level investor sentiment index and find that the new index has characteristics expected of a sentiment measure. In addition, we propose a novel sentiment-weighted trading strategy and apply it to momentum and short-term reversal strategies. We find that the sentiment-weighted trading strategy generates better performance in momentum and short-term reversal strategies. The sentiment-weighted trading strategy’s superior performance is evidence that our firm-level investor sentiment index possesses predictive powers with regard to future returns.     

基于遗传算法的量化投资策略的优化与决策

面对数量众多的基于数量化模型的交易策略及其多变的参数，采用遗传算法的思想实现了策略参数的优化、多种策略的组合优化以及通过进化产生新的策略。同时发现当前最优策略在未来一段时期的表现也较为优异，于是通过动态调整交易策略，即总是选用当前的最优策略来进行仿真交易，实证结果表明该方法比大多数单一策略具有更稳定和可观的投资回报，可以作为证券投资的一种辅助决策依据。     

排污权二级交易市场建设的必要性与管理策略

论文在梳理当前我国排污权交易效果的基础上,对排污权二级交易市场建设的必要性进行了讨论,并针对性地提出了管理排污权二级交易市场的策略,旨在为不断提高我国排污权二级交易市场建设水平和管理水平提供更多参考与启迪。     

Momentum strategies with stock index exchange-traded funds

Previously reported momentum profits may not be available to individual investors who have more trading constraints. Therefore, I examine the profitability of momentum strategies with international iShares and US sector exchange-traded funds (ETFs) traded on the NYSE. The index ETFs provide individual investors easy access to international stock markets and US sectors for asset allocations. Using cross-sectional momentum strategies, in contrast to prior research, I find that momentum profits are insignificant for the late 1990s–2014 period. Few country and industry ETFs yield positive results using time series momentum, and the overall performance is worse than the buy-and-hold strategy. Time series momentum offers significant profits during the 2008 global financial crisis, but the profits decline sharply for the post-crisis period.     

Institutional investors' attention to environmental information,trading strategies,and market impacts: Evidence from China

Using a large proprietary database of intraday high‐frequency trading, we investigate the trading strategies of institutional investors in dealing with the negative environmental event disclosure of listed companies and their impact on markets, aiming to reveal the mechanism of the lack of “green efficiency” in China's capital market from the perspective of institutional investors. The results show that institutional investors react to negative environmental events prior to the announcements, indicating premature information leakage in the market; in addition, their trading behaviors mitigate the immediate effect of negative environmental event announcements on stock price. After the event is disclosed, institutional investors engage in short‐term selling and long‐term buy and hold. This trading strategy undermines the irrational selling of individual investors in the event of disclosure, short‐term decline in stock price, and long‐term reversal of market overreaction. In a China context, institutional investors generally take environmental information into consideration. However, they fail to recognize the long‐term value effect of negative environmental events and instead cater to trading strategies towards market volatility.