How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap’s maturity. We extract VRP from actual S&P 500 variance swap quotes and we test four classes of predictive models. We find that the best performing model is the one that conditions on trading activity. This relation is also economically significant. Volatility trading strategies which condition on trading activity outperform popular benchmark strategies, even once we consider transaction costs. Our finding implies that broker dealers command a greater VRP to continue holding short positions in index options in the case where trading conditions deteriorate.     

Premium auctions and risk preferences: An experimental study

In premium auctions, the highest losing bidder receives a reward from the seller. This paper studies the private value English premium auction (EPA) for different risk attitudes of bidders. We explicitly derive the symmetric equilibrium for bidders with CARA utilities and conduct an experimental study to test the theoretical predictions. In our experiment, subjects are sorted into risk-averse and risk-loving groups. We find that revenues in the EPA are significantly higher when bidders are risk loving rather than risk averse. These results are partly consistent with theory and confirm the general view that bidders' risk preferences constitute an important factor that affects bidding behavior and consequently also the seller's expected revenue. However, individual subjects rarely follow the equilibrium strategy and revenue in our experiment is lower than in the symmetric equilibrium.     

Equity returns,bond returns,and the equity premium in the German capital market

This article reviews the empirical evidence for equity returns, bond returns, and the equity premium in the German capital market for the period from 1870 to 1995. Taken together, the studies reviewed provide convincing evidence that over longer investment periods, average equity returns have been higher than average bond returns. These excess returns, however, have been highly volatile and negative in many years, illustrating the higher risk of equity investments. Moreover, market timing had a major positive or negative impact on overall returns. Despite the historical evidence of a substantial equity premium there is still little equity investment by German households.     

准确把握当前疫情防控新形势新任务 全力抓好金融支持疫情防控和复工复产工作

新冠肺炎疫情发生以来,浙江省金融系统积极响应,快速落实,对内严格疫情排查防控,对外做实金融服务保障,及时出台疫情防控金融服务政策措施,精准用好专项再贷款资金,主动对接疫情防控领域重点企业生产资金需求,全力构建本外币政策绿色通道,充分发挥金融在疫情防控工作中的重要作用。当前,我省疫情防控工作已经进入新阶段,全省金融系统要进一步巩固阶段性成果,切实帮扶受疫情影响的困难企业,全面做好复工复产金融服务,坚决打赢疫情防控阻击战。     

企业并购溢价对企业绩效的影响研究——基于我国沪深A股的实证检验

近年来,我国并购市场如火如荼,越来越多的企业选择通过并购来实现自己的战略目标,迅速占据市场地位,进入新兴行业。在并购交易热潮下,高溢价似乎也成为并购重组的"标配",高溢价并购屡见不鲜。可是企业支付高溢价换来的是否为优质资产,其是否能给企业带来价值的提升,这些都是值得研究的议题。因此,文章基于我国并购交易市场,研究了国内上市公司并购溢价的绩效反应。运用相关性分析、多元回归分析等研究方法探讨了并购支付溢价对并购绩效的影响。最后,根据实证研究结果阐述本文的结论,给出相应的建议。研究结果表明:并购溢价在一定程度上代表了并购后协同效应的大小,支付的溢价越高表明预期达成的协同效应越大,企业后期的绩效表现会越好。     

我国房地产泡沫与银行信贷规模的相关性研究

本文首先从理论上深刻剖析了房地产泡沫与银行信贷规模相互之间的作用与传导机制,在此基础上选取2006年-2018年相关指标的年度数据,对房地产泡沫与银行信贷规模进行了图形拟合与周期性波动规律分析,分析发现二者存在极高的契合度。建立房地产泡沫的函数,构建协整方程实证发现银行信贷规模对房地产泡沫的长期弹性系数为0.51,从长期来看银行信贷规模每增加1%,房地产泡沫也相应增加0.51%,进一步建立VAR模型实证发现房地产泡沫与银行信贷规模互为格兰杰因果关系,二者相互影响、相互促进。通过方差分解实证发现银行信贷规模对房地产泡沫的变动具有重要的影响,另一方面,房地产泡沫是影响银行信贷规模变动最主要的因素。     

陕西省城乡关联发展与基础设施建设动态关系分析

以陕西省为例,在对近20年城乡关联度和基础设施建设水平测度的基础上,利用格兰杰因果检验、脉冲响应函数及方差分解模型,对其城乡关联发展与基础设施建设的关系进行了计量分析。研究显示：①1990年以来,陕西省城乡关联度和基础设施建设水平经历了同步发展到拮抗的演变过程;②陕西省道路、邮电通信、环保和教育卫生设施建设水平变化与城乡关联度变化互为格兰杰因果关系,而城乡关联度变化仅是能源给水设施建设水平变化的单向格兰杰因果关系;③陕西省城乡关联度变化一直受到自身及道路、邮电通信、环保和教育卫生设施建设水平的影响,且后者的方差贡献逐渐增大,其中道路设施建设水平的方差贡献率在第5期（即1994年）超过了其自身的贡献率。     

基于VAR模型的深圳保险发展与宏观经济增长关联机制研究

深圳特区建立30年以来,随着宏观经济的迅猛发展,深圳保险业也不断发展壮大,创造了诸多全国第一。本文通过建立VAR模型,借助脉冲响应函数、方差分解方法,揭示了深圳保险发展与宏观经济之间的关联机制,分析了金融危机对深圳保险业的影响路径,并在此基础上形成了一些结论和建议。     

Are Asian Sovereign Wealth Funds Different?

Sovereign wealth funds have become a prominent feature of the international financial landscape. However, legitimate concerns have been raised about these funds. Many of those concerns can be addressed via increased accountability and transparency by the funds. The Santiago Principles are a good start in doing so. My sovereign wealth funds scoreboard points to areas where these Principles can be improved. At the same time, the OECD effort to address concerns from the host‐country side has not resulted in the erection of new barriers to that form of cross‐border investment, but the OECD failed to reverse the creeping financial protectionism of the past decade. Because of their size and the source of their funding, some Asian funds stand out. As a result, those funds will be held to a higher standard of accountability and transparency.     

心理学原理在高校学风建设中的运用

学风建设是高校一项长抓不懈的基础性工作,是校园精神文明的重要方面。本文从心理学的角度,对高校学风建设的方式方法提供一点建议,希望能为高校学风建设贡献一份力量。