Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk

We characterize co-movements in investor attention by modeling multivariate internet search volume data. Using a variety of copula models that can capture both asymmetric and skewed dependence, we find empirical evidence of strong non-linear and asymmetric dependence in the attention investors give to companies. Modeling three years of daily stock returns and search volumes from Google Trends for 29 bank names, we find a striking similarity between the dependence structure inherent in stock returns and the dependence in the corresponding time series of search queries. We then document the existence of significant asymmetric and skewed tail dependence in the joint distribution of stock returns and investor attention. Finally, stock returns and internet search volumes appear to evolve concurrently in real time with neither one leading the other. Our findings have important implications, e.g. for the analysis of banks' interconnectedness based on equity data and the pricing of investor attention in the cross-section of stock returns.     

Market approval of phytosanitary active substances in Europe: An empirical duration analysis

The aim of this paper is to analyze empirically the main determinants of delays to market approval of active substances in Europe. An interesting feature of this regulation is that it is based on both a decentralized examination by the rapporteur country and a centralized examination by the European Food Safety Authority (EFSA). Our econometric analysis is based on standard survival and competing risks models. The data cover 393 active substances reviewed between 1993 and 2013.We show that the review process is affected by regulatory factors, the characteristics of the active substances and the characteristics of agri-chemical firms. Log-logistic and log-normal survival models are the preferred parametric specifications, and the results suggest that the hazard function is non-monotonic over time.     

宏观税率对国债依存度影响的实证分析

近年来,国内有些学者认为积极的财政政策应逐渐淡出,然而2008年国际金融危机的发生,使得我国在今后的一段时间内,将继续实施积极的财政政策。本文以改革开放以来为研究时间段,选取国债依存度Y为因变量,国债依存度的滞后一期Y1和宏观税率X1为自变量,通过协整理论和格兰杰因果关系检验等方法,有效地揭示了它们之间的相关关系。研究结果表明宏观税率对国债依存度存在着负向作用。本文通过以上结论,以期为政府继续实施积极财政政策,为保持我国经济平稳较快发展提供理论支持。     

Generalized runs tests for the IID hypothesis

We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational simplicity in that they do not require kernel density estimation, with the associated challenge of bandwidth selection. Simulations show levels close to nominal asymptotic levels. Our tests have power against both dependent and heterogeneous alternatives, as both theory and simulations demonstrate.     

Effects of social influence on consumers' voluntary adoption of innovations prompted by others

Research on innovation adoption focuses on voluntary adoption, although non-voluntary or prompted adoption decisions are prevalent in real life, especially for high-tech products and services. This study aims to investigate the effect of social influence on consumers' innovation adoption in the context of prompted adoption. In particular, the present paper models the duration of voluntary adoption as a function of social norms, attractiveness of the prompter, number of prompters, and so on. Prior knowledge is not only a control variable, but also a moderating variable for a few social factors. This paper validates models relying on the illustrative application of a mobile gift service called Gifticon. The results provide much insight for marketing practitioners on how to accelerate consumers' adoption behavior and therefore the diffusion of innovative products.     

AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE

Abstract.  This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research.     

Endogenous technical progress,R&D periods and durations of business cycles

How do growth and cycles interact? Endogenous growth and business cycle theories are integrated to explain business cycles over different frequencies, especially at lower frequencies, on the balanced growth path. A new variable-R&;D time period-broadens the concept of intertemporal substitution and determines the durations of the medium and long cycles. As a result, the evolution of technology is separated from short-run shocks. A more promising new invention shrinks the R&;D period since waiting is costly, which pushes up the level of economic activity and causes a boom, while a less promising new invention does the opposite. The level of economic activity in turn affects the near-term growth rate. Thus, a recession is not caused by a negative shock as in the standard real business cycle models, but can be associated with a positive, though lower, growth rate of technology. The results capture the major features of U.S. data in both time and frequency domains.     

城市商业银行股权结构改革的制度经济学解释

产权结构的优化依然是城市商业银行完善公司治理、提高银行经营效率的决定因素。城市商业银行制度演变的逻辑起点,决定了地方政府对城市商业银行的绝对控制权的掌握,进而决定了城市商业银行产权制度安排的非效率特征,也决定了城市商业银行的产权结构改革的趋势。正是城市商业银行的产权结构的制度安排现状,成为产权制度强制性变迁的路径依赖。"金股"机制前提下的多元化股权制度安排,不失为城市商业银行产权变迁的政策切入点。     

交易持续期、交易信息与投资者行为——基于PCD模型的研究

使用 PCD 模型,通过引入买卖价差、交易量、交易规模、委托指令流等交易信息变量探讨交易信息对投资者行为的影响。实证研究表明,买卖价差与期望交易持续期显著正相关,不支持 Easley 和 O’Hara (1992)的观点。同时大规模的交易能够显著地延长交易持续期,而中等规模的交易能够减小交易持续期,证实了知情交易者的隐藏交易假说。指令流信息中的买卖申报数量也对交易持续期有显著的影响,上期买卖申报数量与本期交易持续期正相关。     

递延法与债务法的研究新探

递延法以历史成本为计量属性,税率变动不调整导致暂时性差异转回期间不配比。债务法以现行成本或公允价值为计量属性,税率变动立即调整赋予递延税款未来意义,发生转回整个期间配比性更好,更具相关性。