股市波动、金融政策和宏观经济关系研究——基于因子VAR模型

通过因子分析从诸宏观经济变量中提取了金融政策因子和宏观经济状态因子,建立了基于VAR的股价波动、金融政策和宏观经济三变量回归模型。研究表明：金融政策影响股价的表现,而宏观经济状态对股价、股价对金融政策和宏观经济状态的影响均不显著;基于标准差的VAR（5）模型相对于基于收益率的VAR（3）模型能更好地刻画股市波动与金融政策、宏观经济三者之间的关系。     

The impact of mergers on acquiring firm shareholder wealth: The 1905–1930 experience

From the standpoint of investors successful acquisitions increase profitability and stock Contemporary studies find acquiring firm shareholders earning small gains before and large losses after consolidation. Using modern financial market procedures, we examine a portfolio of 191 acquiring firms from 1905 to 1930 to determine the impact on firm owners of early industrial acquisitions in the United States and the effect of institutional changes on takeover gains. Acquisitions from 1905 to 1930 raised shareholder wealth by more than 3 percent, an increase exceeding gains from more recent mergers. Stock price continued to rise after completion for acquisitions before World War I, but fell dramatically for acquisitions during the oligopoly merger wave of the late 1920s.We would like to thank Patrick Byrne and Tara Nussman for help in collecting the financial data, Ralph Nelson for permitting us to use his and Carl Eis's worksheets on merger activity from 1905 to 1930, and George Bittlingmayer, Malcolm Burns, David Gulley, Stephen Grubaugh, Lori Leeth, John Matsusaka, Dennis Mueller, Rexford Santerre, Scott Sumner, Tugrul Temel, and Nikhil Varaiya for their helpful comments.     

Tactical Asset Allocation and Stock Issuance in the Korean Stock Market

Stock issuance predicts future stock returns in the Korean market. This creates profitable trading opportunities. Abnormal returns exist in the zero-cost portfolio that short the firms issuing large numbers of shares and longs those issuing small numbers of shares. Their average abnormal return is 12 percent per annum, which is highly significant even after controlling for market, size, value, and momentum factors as well as transaction costs. The authors suggest the possibility of fixed costs in equity market timing. Only the sizable benefit from market timing over fixed costs motivates firms to increase net equity shares.     

The winner-loser anomaly: recent evidence from Greece

This article finds evidence of significant reversals in returns over the medium term in Greek stocks. In contrast with previous research, return reversals are more pronounced for past winners, suggesting that the market overreacts to a greater extent to good news. These contrarian returns are particularly elevated when portfolios are formed using quartiles and during tranquil and bull markets. The optimum contrarian strategy involves skipping the first 6 months of the holding period and implementing the contrarian strategy for a period of 18 months, as returns exhibit continuation followed by reversal. The profitability of the contrarian investment strategy is robust to adjustments for risk and seasonalities. It is the tranquil times and not the crisis/volatile times that generates a significant and profitable contrarian strategy. The recent credit crisis and resulting stock market falls, resulted in extreme movements in some Greek stocks and testing of the contrarian strategy problematic, especially when portfolios are decile ordered. Our findings also highlight the importance of survivorship bias and also suggest that contrarian strategies that just use market beta may be ill-equipped to take into consider extreme market movements, illiquidity and short-sales constraints.     

大众媒体与青少年的非正常消费行为——以我国城市中学生为例

消费者社会化是个体获得与消费活动有关的知识、技能和态度的过程,而大众媒体是个体社会化最重要的影响因素之一。通过对中国城市青少年的问卷调查,以青少年对媒体广告的信任度和各类媒体接触频率为纬度,揭示了大众媒体如何对中国城市青少年社会化产生影响,而后分析大众媒体如何影响青少年的非正常消费倾向。研究结论为营销管理者利用大众媒体广告强化青少年的顾客忠诚度提供了理论依据。     

Information in stock prices: the case of the 2016 U.S. presidential election

On the day before the 2016 U.S. presidential election, the odds of Hillary Clinton winning the presidency, according to political prediction markets, were above 90%. Surprisingly, Donald Trump won the Electoral College handily. In this study, we examine how movements in specific stock prices foreshadowed the eventual outcome. Specifically, we conduct a series of standard event-study tests focused on pharmaceutical companies, which became a focal point during the presidential campaign. Results show that while stocks of pharmaceutical companies significantly underperformed the market prior to the election, prices substantially increased beginning three days before the election outcome. This increase is both statistically significant and economically meaningful and robust to various event-study methodologies. These results suggest that some sectors of the stock market seemed to anticipate the election outcome.     

浅析日本汇率改革历程对我国的借鉴意义——基于对日本GDP和汇率的相关性分析

从1970年开始,日本采取了新的汇率制度,即浮动汇率制度,之后又迫于美国为首的大国压力,大幅度提升了对美元的汇率。今天,贸易持续顺差的中国也面临着同样的处境。通过分析日本实施新汇率制度后GDP和汇率水平的关系,建立回归模型并根据残差,分析汇率政策在1970年后的经验、教训和对我国的借鉴意义。     

企业碳交易的有效性——基于中国A股上市公司的实证研究

从上市公司的角度,分析了我国CDM项目交易的有效性,即将衡量碳交易有效性的标准设定为能够使企业股票产生价值溢价,实证检验了碳交易对我国A股上市公司股市表现的影响。检验结果显示,上市公司发布CDM项目注册公告当日,能给上市公司带来显著为正的异常收益率;对事件窗及事件发生后15个交易日的检验显示,公告没有使股市产生显著为正的累计异常收益率。对沪市和深市的对比检验表明,上市公司发布公告当日,两市的反应存在较大的差别。