基于R/S分析的上海股市有效性实证研究

以上海股票市场为研究对象,以1995年10月24日至2009年3月16日这一时间段的上证综合指数日收盘价对数收益率序列为研究样本,利用R/S分析方法计算出上证指数的Hurst指数,并对上海股市分形特征加以描述。实证结果表明,上证综合指数日收益率序列的Hurst指数为0.619607,明显偏离0.5,说明上海股票市场具有明显的分形特征,投资者可以通过分析股价的历史数据来获得超额利润,因而市场是无效的。最后,分析了上海股市无效的原因,并提出了政策和建议。     

Can the baseline search and matching model quantitatively explain Okun’s law?

Okun’s Law is an empirically observed, negative relationship between changes in an economy’s unemployment rate and its growth rate of output. The baseline search and matching model with stochastic labour productivity fails to match the Okun’s coefficient, because it generates a too low unemployment volatility and a too high correlation between labour productivity and unemployment. The model is capable of matching the coefficient if it is extended with an addition of employment separation shocks plus a high calibrated value of nonmarket activities. This article also shows that changes in the stochastic properties of exogenous shocks could explain changes in the Okun’s coefficient in the Great Moderation (1984–2007).     

服务型领导供求匹配一致性与创造力：内在动机与主动性人格的作用

服务型领导有效性取决于领导者和下属双方匹配的一致性,但现有研究局限于仅从领导或下属单一视角考察服务型领导的影响。基于个体-环境匹配理论,对服务型领导供求匹配一致性与创造力的关系进行分析,探讨追随者内在动机的中介作用与追随者主动性人格的调节作用。通过对200个领导与726个员工的配对数据进行多项式回归与响应面分析,结果发现：与服务型领导低匹配（低供给-低需求）相比,追随者的内在动机在服务型领导高匹配（高供给-高需求）时更高;服务型领导供求匹配通过追随者内在动机影响创造力;追随者主动性人格在服务型领导供求匹配与追随者内在动机之间并不存在显著调节作用。     

Corporate Governance,Investment, and Firm Valuation in Asian Emerging Markets

We investigate the effects of corporate governance and family ownership on firm valuation through investment efficiency in Asian emerging markets. Using 3 years of time series data from the Credit Lyonnais Securities Asia corporate governance score for 10 Asian emerging markets, we find that good corporate governance leads to better or more efficient investment decisions and eventually to higher firm value. We also find that investors reward firms for improvement in corporate governance. The findings do not hold for Asian firms with a family or concentrated ownership structure. The results are not driven by changes in accounting standards in these markets.     

Employment Effects of the Affordable Care Act Medicaid Expansions

We examine whether the recent expansions in Medicaid from the Affordable Care Act reduced “employment lock” among childless adults who were previously ineligible for public coverage. We compare employment in states that chose to expand Medicaid versus those that chose not to expand, before and after implementation. We find that although the expansion increased Medicaid coverage by 3.0 percentage points among childless adults, there was no significant impact on employment.     

Corporate governance and firm value: Evidence from Chinese state-controlled listed firms

The association between corporate governance and firm value has been extensively studied in Chinese listed firms. Based on the characteristics of their ultimate shareholders, Chinese listed firms can be categorised as (1) central state-controlled, (2) local state-controlled or (3) non-state-controlled. Some scholars have described Chinese government policy as ‘zhuada fangxiao’, thus suggesting that the corporate governance mechanisms (CGMs) of central state-controlled listed firms (SCLFs) are better than those of local state-controlled listed firms. Therefore, this paper specifically examines the influence of CGMs on the value of central SCLFs and local SCLFs. Analysis of 2006 firm-year observations from 2007 to 2009 suggests that the aggregate ownership of other large shareholders and the remuneration of top executives exhibit different effects on firm value in central and local SCLFs. The results also provide evidence that there is no endogenous effect of firm value on the ownership of the largest shareholder in central and local SCLFs.     

科技和全球化如何在二十一世纪驱动中国发展

每当谈起中国，我总不禁提起那次和一个做股票经纪的美国朋友吃饭的故事。他说他在华尔街获利颇丰，且忙得不亦乐乎，因此不需要跟中国打交道，谢谢你的美意。我随后跟他讲述了中国对能源和金属价格，海运，美国债券市场的冲击，以及这些冲击对美国乃至全球利率，甚至房地产价格的影响，更无需强调，“中国价格”正在导致某些人群失业和部分企业倒闭，这些和其他更多的因素无疑会对华尔街产生影响。他无言以对了。     

The impact of consumer inattention on insurer pricing in the Medicare Part D program

The Medicare Part D program relies on consumer choice to provide insurers with incentives to offer low‐priced, high‐quality pharmaceutical insurance plans. We demonstrate that consumers switch plans infrequently and search imperfectly. We estimate a model of consumer plan choice with inattentive consumers and show that high observed premiums are consistent with insurers profiting from consumer inertia. We estimate the reduction in steady state plan premiums if all consumers were attentive. An average consumer could save $1050 over three years; government savings in the same period could amount to $1.3 billion or 1% of the cost of subsidizing the relevant enrollees.     

Information disclosure,transparency ranking system and firms’ value deviation: evidence from Taiwan

Review of Quantitative Finance and Accounting - We examine whether the implementation of the information disclosure and transparency ranking system (IDTRS) affects firms’ value deviation in...     

The Impact of Earnings Guidance Cessation on Information Asymmetry

This paper studies the impact of quarterly earnings guidance cessation on information asymmetry using a large sample of firms during the years 2002–11. After earnings guidance cessation, information asymmetry may increase because less information is provided to the market. Alternatively, information asymmetry may decrease if managers have less pressure to manage reported earnings to meet guidance numbers. Our study shows guidance cessation significantly reduces information asymmetry compared to matched non‐guiders and guidance maintainers. We also find that firms engage in less earnings management after guidance cessation, especially for firms that had provided guidance on a persistent basis.