From carry trades to curvy trades

Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of currency portfolios, where the signals to buy and sell currencies are based on summary measures of the yield curve. We find that a strategy based on the relative curvature factor, the curvy trade, yields higher Sharpe ratios and a smaller return skewness than traditional carry strategies. Curvy trades build less upon the typical carry currencies and are hence less susceptible to crash risk. In line with that, standard pricing factors of traditional carry returns fail to explain curvy trade returns.     

Run length analysis of Shewhart charts applied to drifting processes under an integrative SPC/EPC model

Engineering Process Controllers (EPC) are frequently based on parametrized models. If process conditions change, the parameter estimates used by the controllers may become biased, and the quality characteristics will be affected. To detect such changes it is adequate to use Statistical Process Control (SPC) methods. The run length statistic is commonly used to describe the performance of an SPC chart. This paper develops approximations for the first two moments of the run length distribution of a one-sided Shewhart chart used to detect two types of process changes in a system that is regulated by a given EPC scheme: i) changes in the level parameter; ii) changes in the drift parameter. If the drift parameter shifts, it is further assumed that the form of the drift process changes from a linear trend under white noise (the in-control drift model) into a random walk with drift model. Two different approximations for the run length moments are presented and their accuracy is numerically analyzed. Received: August 1998     

消耗性林木资产会计计量属性的比较与应用分析——基于专家问卷调查的分析

在明确研究背景的基础上,分析了会计计量属性的主要类型及其在消耗性林木资产会计计量中的应用与影响;阐述了消耗性林木资产的特点及其对会计计量属性的影响;论证了消耗性林木资产会计计量属性的选择思路,即应根据不同的发展阶段选择合适的计量属性,在当前过渡阶段应以历史成本计量为主,但将来应逐步过渡到公允价值计量;最后提出了在消耗性林木资产会计核算中推行公允价值计量的对策。     

英美法系国家(地区)审查逮捕中适用宽严相济与我国的比较

通过采用比较研究的方法,以宽严相济为视角,分析了英美法系中美国、英国、澳大利亚、加拿大以及我国香港地区的审查逮捕制度。在此基础上,分别从理念、宏观制度、微观制度等三个层面,深入比较分析了我国大陆与英美法系国家、地区之间在审查逮捕制度上适用宽严相济的异同,以期有裨益于我国宽严相济地适用审查逮捕制度。     

Resolving distributional conflicts between generations

Summary. We describe a new approach to the problem of resolving distributional conflicts between an infinite and countable number of generations. We impose conditions on the social preferences that capture the following idea: If preference (or indifference) holds between truncated paths for infinitely many truncating times, then preference (or indifference) holds also between the untruncated infinite paths. In this framework we use such conditions to (1) characterize different versions of leximin and utilitarianism by means of equity conditions well-known from the finite setting, and (2) illustrate the problem of combining Strong Pareto and impartiality in an intergenerational setting.Received: 8 May 2002, Revised: 12 June 2003, JEL Classification Numbers: D63, Q01.Correspondence to: Geir B. AsheimWe thank Kaushik Basu, Marc Fleurbaey, David Miller, Tapan Mitra, Lars-Gunnar Svensson, and an anonymous referee for helpful comments. Asheim gratefully acknowledges the hospitality of the Stanford University research initiative on the Environment, the Economy and Sustainable Welfare, and financial support from the Hewlett Foundation through this research initiative.     

中小学体育教学中学生创新素质培养研究

体育新课程确立起新的知识观,强调＂以学生发展为本＂的课程改革方向,突出强调学生创新素质的培养。为此,体育教育工作者应有效地将创新教育贯穿于体育教学中,充分认识体育教学中学生的主体地位,积极引导学生自主学习、探究发现,拓展学生学习知识的渠道,培养学生的创新素质。     

Ordinal Methodology in the Analysis of Likert Scales

Likert scales are widely used in survey studies for attitude measuring. In particular, the questionnaires propagated by the SERVQUAL approach are based on Likert scales. Though the problem of attitude suggests an ordinal interpretation of Likert scales, attitude survey data are often evaluated with techniques designed for cardinal measurements. The present paper discusses the interpretation of scales for attitude measuring and gives a survey of data analysis techniques under the proper ordinal understanding.     

大一学生上网情况的调查与思考

以某高校大一学生为样本,通过实际的问卷调查,在掌握了第一手材料的基础上,对大一学生上网的基本情况进行了整理分析。指出大学生网上行为是否健康直接影响其成长,抓好对大学生网民的教育已经刻不容缓,而大一阶段是规范大学生网上行为的最佳时机。加强高校的网络阵地建设,使大学生树立起正确的网络伦理观和网络文化观,才能使互联网这一高科技手段在大学教育中发挥积极的作用。     

基于SD方法研究社会资本与经济发展问题探讨

经济发展历来是经济学家们研究的重要内容,在相继强调物质资本、人力资本、知识资本后,社会资本因素引起人们的关注。在对社会资本与经济发展相关文献梳理的基础上,尝试性地采用SD方法对这一问题进行探讨。通过建立社会资本与经济发展的宏观概念基模———＂滚雪球＂基模以及社会资本的成长上限基模来分析社会资本与经济发展的关系。最后指出了后期研究的方向和有待解决的问题。     

中国上市公司治理结构的实证研究

我国上市公司的市场价值与其治理结构有无联系?投资者愿为治理良好的公司付出多大的溢价?本文旨在对上述两大问题进行全面和系统的实证研究,揭示当前上市公司存在的治理弊病,为建立具有中国特色的公司治理体系提供依据。为此,我们充分考虑了公司治理的内外部机制,并结合中国的市场环境,归纳出一系列变量来描述公司治理在我国的具体实践。基于这个变量体系,我们运用主元因素分析法编制了一个可反映上市公司治理水平的综合指标——G指标。我们的实证研究发现:( 1 )治理水平高的企业其市场价值也高;( 2 )投资者愿为治理良好的公司付出相当可观的溢价。