R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the post announcement drift decrease in R&D progress. More importantly, the decrease is proportional to the increase in the drug development success rate driven by R&D progress. Findings suggest that R&D progress conveys useful risk-relevant information, and plays an important role in explaining stock price volatility change and market anomalies.     

Board Members and Company Value

This essay surveys research about the value of individual members of boards of directors. When directors join or exit corporate boards, company stock prices respond, often in magnitudes of 1% of firm value or more. Related research shows that when a significant event impacts the stock price of one company, the effects are transmitted to other companies that share board members in common with the primary company. Share price reactions are sensitive to variables such as a director’s occupation, independence, and professional qualifications. Together, this evidence suggests that a well-functioning market for directors might already exist, making direct regulation unnecessary and possibly counter-productive.     

我国基金选股选时能力实证分析

本文运用西方基金绩效评价中较为常见的选股选时能力模型及其FF3改进模型对我国证券投资基金进行实证研究,在处理过程中考虑了不同取样频率和不同样本区间的影响.研究结果表明:(1)我国基金只存在很小程度的选股能力,而基本不存在选时能力,更没有基金同时具有选时能力和选股能力;(2)多因素改进模型与原模型相比显著提高了解释能力,说明在可能的情况下应尽可能使用多因素模型;(3)加快取样频率后基金表现出更强一些的选股能力,但在各年度内基金的选股能力有所差异.     

Corporate Governance and Expected Stock Returns: Evidence from Germany

Recent empirical work shows evidence for higher valuation of firms in countries with a better legal environment. We investigate whether differences in the quality of firm‐level corporate governance also help to explain firm performance in a cross‐section of companies within a single jurisdiction. Constructing a broad corporate governance rating (CGR) for German public firms, we document a positive relationship between governance practices and firm valuation. There is also evidence that expected stock returns are negatively correlated with firm‐level corporate governance, if dividend yields are used as proxies for the cost of capital. An investment strategy that bought high‐CGR firms and shorted low‐CGR firms earned abnormal returns of around 12% on an annual basis during the sample period.     

Modelling the behaviour of the new issue market

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.     

A text book treatment of calculating returns on non-traditional portfolios

This paper addresses a gap in traditional portfolio literature by providing techniques for identifying returns on non-traditional portfolios.Futures contracts require daily cash flows over the holding period; these cash flows determine the rate of return. The security deposit represents a tied investment since the funds are not available for other uses and do not earn a risk adjusted return. To initiate a short option or a short stock position also requires a cash outflow. The cash outflow or equity deposit effectively constitutes an investment since the trader postpones consumption in a risky medium that does not guarantee the return of the funds.By identifying the amount of the investment and rates of returns, it is possible to extend normative investment analysis to non-traditional portfolio holdings. This paper introduces four propositions to aid in this process.     

The Wealth Effects of Fairness Opinions in Takeovers

This paper explores the wealth effects associated with a bidder's decision to solicit a fairness opinion in a takeover transaction. Using a hand‐collected sample with bidders’ filing proxy statements, this paper finds that the use of fairness opinions does not negatively affect bidder shareholders’ wealth, a finding that contradicts prior studies’ findings. In addition, I find a positive wealth effect associated with bidder use of fairness opinions in the post‐Rule 2290 period. Collectively, these results are consistent with a fairness opinion being used by bidder management as a means to facilitate transactions rather than a mechanism to entrench management.     

Monetary policy and stock valuation: structural VAR identification and size effects

This paper examines the relationship between the US monetary policy and stock valuation using a structural VAR framework that allows for the simultaneous interaction between the federal funds rate and stock market developments based on the assumption of long-run monetary neutrality. The results confirm a strong, negative and significant monetary policy tightening effect on real stock prices. Furthermore, we provide evidence consistent with a delayed response of small stocks to monetary policy shocks relative to large stocks.     

Stakeholder Returns of Islamic Banks Versus Conventional Banks

Sharia principle shaping the Islamic banking model is most determinant on collection and deployment of funds with its ban on interest. This study aims to look at the results of funded activities in isolation for a healthier comparison between Islamic and conventional deposit banks with respect to their financial stakeholders. The differences are reflected as lower asset returns and lower returns for depositors of Islamic banks. These differences sustain throughout normal and crisis periods. Our findings show that despite differences in asset structures and returns, Islamic banks retain similar returns for shareholders to position themselves close to and in competition with their conventional counterparts.     

基于第二次全国R&D资源清查的农业科技资源配置效率分析

[目的]农业科技资源配置效率的高低在一定程度上决定着农业科技系统的运行效率,而农业科技系统的运行效率状况对提高农业科技资源的高效利用、增强农业科技创新能力、加快促进农业现代化进程有着重要的影响。文章基于2009年第二次全国RD资源清查数据,对政府部门属农业科研机构的配置效率进行测算,并分析其规模报酬以便为相关决策部门提供参考。[方法]通过构建农业科技资源配置效率评价的投入产出指标体系,选取包含科技人员、科技经费及科技成果在内的6个投入产出指标,运用数据包络分析方法 (DEA)中的超效率模型测算全国32个省份政府部门属自然科学和技术领域研究机构(含直辖市)的综合效率、纯技术效率、规模效率。[结果]全国农业科研机构科技资源技术效率平均值为0.581,科技运行效率还有较大的提升空间。按机构学科领域分,水产学学科的效率值最高(TE Score=2.867 9);按机构服务的国民经济行业分,渔业的效率值最高(TE Score=1.901 1)。各省(市、区)农、林、牧、渔业农业科研机构的综合运行效率值大于1的有天津、吉林、贵州、宁夏、北京、辽宁。规模效率的平均值是0.686,规模收益递减的省(市、区)占87%。[结论]DEA非效率地区所占比例较大,技术效率低于全国平均值的地区占56%,地区规模效率的提升可以依靠加大科研投入来实现。农业科技资源配置的结构需要进行调整,在合理调控种植业科研机构的发展规模的同时优化其科技人员结构。通过开展农业科技计划绩效评价、组建农业科技创新联盟来促进农业科技协同创新。同时应根据农业科研机构的不同类型提出相应的管理措施,以便实现分类指导和科学管理。