Industry Costs of Equity: Incorporating Prior Information

I examine whether incorporating economically motivated prior information yields more accurate forecasts of industry costs of equity. I find that incorporating the long‐run mean of the Capital Asset Pricing Model (CAPM) parameters and the industry characteristics in the cross section produces more accurate parameter estimates, which subsequently translate into more accurate out‐of‐sample forecasts of industry costs of equity. The outperformance of this method over rolling‐window estimates becomes larger as the forecast horizon extends into the future. These findings provide evidence that the CAPM parameters have a long‐run mean‐reversion property and correlate with the industry characteristics in a systematic way.     

ETF Premiums and Liquidity Segmentation

Exchange traded funds (ETFs) provide a means for investors to access assets indirectly that may be accessible at a high cost otherwise. I show that liquidity segmentation can explain the tendency for ETFs to trade at a premium to net asset value (NAV) as well as the life‐cycle pattern in premiums. ETFs with larger NAV tracking error standard deviations (TESDs) tend to trade at higher premiums and the liquidity benefits offered by foreign ETFs and fixed income ETFs are revealed to be the most valuable to investors. Further tests validate that TESD has the desirable properties of a liquidity segmentation measure.     

Fair value disclosures and crash risk

In response to the public criticism of the inadequate disclosures mandated by SFAS No. 157, Fair Value Measurements, the FASB issued ASU (Accounting Standards Update) 2010–06, Improving Disclosures about Fair Value Measurements, and ASU 2011–04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements, in an effort to increase the reporting transparency. We examine whether the increased fair value disclosures required by these two updates effectively decrease crash risk, defined as the frequency of extreme negative stock returns. In support of the hypothesis, we find that increased transparency from these updates reduces crash risk among U.S. banking firms and that the reduction is greater in banks that have a higher level of Level 3 financial assets.     

Relative Liquidity,Fund Flows and Short‐Term Demand: Evidence from Exchange‐Traded Funds

We show that highly liquid Exchange‐Traded Funds (ETFs), especially those that are more liquid than their underlying basket of securities (i.e., positive relative liquidity), are particularly attractive to investors. Using three definitions of liquidity, we find that relative liquidity predicts net fund flows, as well as inflows and outflows positively and significantly. We further document a liquidity clientele among institutional investors: (i) relative liquidity is significantly more important for short‐ than for long‐term investors; and (ii) relative liquidity is inversely related to investors’ average holding duration in the ETFs. These two findings provide evidence that relative liquidity encourages short‐term demand.     

Does Foreign Direct Investment Affect the Growth of Local Firms？ The Case of China＇s Electrical and Electronics Industry

Does foreign direct investment(FDI) into developing countries affect the growth of local firms in host countries? Using a dataset of 38 sectors in China’s electrical and electronics industry,in this paper,we analyze whether FDI has a positive effect on local firms,with technology spillovers,added value and increasing total factor productivity,or a negative, market stealing,effect.Estimating the relationship between growth of local firms and investment of foreign firms,our results show that FDI is likely to have a negative impact on the growth of local firms in sectors with large disparities in technology and less experience in business.Therefore,local firms lacking in technology need to find markets with no competition from foreign firms or determine strategies to compensate technology disparities.     

浅析金融危机下我国出口企业对信用证欺诈的防范

金融危机下进口商的信用和支付能力普遍下降,信用证对出口商收汇安全的优越性凸显出来。但任何一种结算方式都不能完全防止欺诈的发生。如何防范信用证欺诈,充分发挥信用证的优越性已成为众多出口企业和银行关注的话题。本文介绍了我国出口贸易中常见的信用证欺诈方式,提出了一些防范信用证欺诈的有效措施。     

EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT

This paper uses the generalised extreme value (GEV) distribution to model the extreme losses that are likely to occur during market crashes, in the case of an investor who has long positions in stocks and currencies. The null hypothesis – which tests for normality of asset returns – is rejected due to asymmetry of these returns. We assume that the asymmetric behaviour and volatility of the returns are captured by the shape and scale parameters, respectively, of a GEV distribution. The data set includes stock indices for the United States, Japan, the United Kingdom, Germany, France and South Africa, and the South African rand exchange rates against the US dollar observed from 3 January 2005 to 30 December 2009. In addition, we divide this sample period into two periods: the pre‐crisis period, from 3 January 2005 to 31 December 2007 and the crisis period, from 1 January 2008 to 30 December 2009. We compared the estimates of value at risk (VaR) using an extreme value theory (EVT) model, with the estimates derived from the traditional variance–covariance method and found that during the crisis the 99% extreme VaR estimates are more reliable as they lie within the Basel II green zone. These results suggest that, at higher quintiles, the VaR estimates based on EVT are reliable and more accurate than estimates from the traditional method.     

野生纤维之王——罗布麻

文章阐述了罗布麻纤维的物质组成、形态结构,探索了提取罗布麻纤维的初加工工艺流程,分析了其药用价值和纺织保健开发价值。     

Oil risk contracts,business conduct and performance patterns: Data panel analysis

Using the economic and financial performance data of international companies for the exploration, and exploration–extraction (E&E) of oil, as well as the patterns of institutional situation and orientation with the government market and national oil companies or NOCs that receive project offers, we analyze the institutional development and behavior patterns by type of E&E contract, following the strategic actor approach, or the so-called agency theory. Additionally, in light of Mexico's energy reform being implemented between 2015 and 2019, we analyzed the types of license contracts compared to those for production and shared profit. Subsequently, it was determined-through panel data methods in the analysis of 17 companies between 2005 and 2015-that global companies present bigger yields and commitments compared to specialized companies, confirmed by their net income and returns on equity or ROE.     

Macroeconomic Announcements and the Distribution of Price-Endings in the U.S. Treasury Market

We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid-ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near-normal levels within the hour. Effects are strongest for more liquid on-the-run notes and for the announcements typically associated with substantial information flow. The strong positive comovement of clustering, quote activity, price volatility, and bid-ask spreads supports the conclusion that innovations of these variables are endogenous to the arrival and incorporation of information into prices.