中国创业板IPO首日超额收益研究

本文以58家创业板IPO公司为样本,采用类比估价模型来估计新股的内在价值。实证研究结果表明,我国创业板IPO首日超额收益源于二级市场溢价,一级市场抑价不显著;上市首日换手率、上市首日涨跌幅以及市场指数收益率显著影响我国创业板IPO首日超额收益。在此基础上,本文结合海外创业板市场经验以及我国创业板市场表现,给出了相关政策建议,对创业板市场参与者提供了可参考的投资策略。     

The Attributes of a Costly Recall: Evidence from the Automotive Industry

While researchers have extensively documented the equity response to product recalls and subsequent shareholder losses, less attention in the literature has been given to examining the damaging recall attributes. Using 1973–1998 automotive safety recall data, this study identifies the kinds of recalls that cause significant shareholder losses. After constructing an equally-weighted automotive market index to control for industry effects and adjusting the abnormal returns to account for the degree of surprise in the recall announcement, the study estimates both percentage and real dollar abnormal returns. We find that the indirect costs of automotive recalls are likely larger than the direct costs.     

Deep habits and the cyclical behaviour of equilibrium unemployment and vacancies

We extend the standard textbook search and matching model by introducing deep habits in consumption. This assumption generates amplification in the response of labour market variables to technology shocks by producing endogenous countercyclical mark-ups. The cyclical fluctuations of vacancies and unemployment in our model can replicate those observed in the US data, with labour market tightness being 20 times more volatile than consumption. Vacancies display a hump-shaped response to technology shocks and the numerical simulations generate an artificial Beveridge curve that is in line with the data. Our model preserves the assumption of fully flexible wages for new hires and the calibration is consistent with the estimated elasticity of unemployment to unemployment benefits. Finally, we show that in contrast to models with exogenous mark-up shocks, the deep habits model does not require an implausible variation in the elasticity of demand to match the volatility of labour market variables, and the cyclical properties of the mark-up are in line with empirical evidence.     

A new look at variation in employment growth in Canada: The role of industry,provincial, national and external factors

We examine fluctuations in employment growth using Canadian data from 1976 to 2010. We consider a wide range of models and examine the sensitivity of our findings to modelling assumptions. The results from our most preferred model, which we selected using the Bayesian Information Criteria, indicate that most of the variance in employment growth that is not due to the idiosyncratic error comes from domestic sources, with most of this coming from industry and provincial factors. Overall, we find that external and national factors play a much smaller role in employment fluctuations than in earlier research. We provide some possible explanations for these differences and discuss the implications of our findings for public policy and theory.     

甘肃省食用植物油供需波动变化研究

食用植物油是人民群众的生活必需品,其消费量已成为衡量一个国家人民生活水平的重要标志,并在国家食物安全中占有重要的地位,保障其供给安全,对促进经济发展和社会稳定具有重要意义。文章收集整理了1978~2012年甘肃省油料作物和食用植物油相关数据,运用速度法和数理统计等方法,从产量、供给、需求、消费量、库存消费比等方面,分析研究甘肃省食用植物油供需波动变化情况。研究得出油料市场供给基本满足消费需求,但油料作物种植发展缓慢,产业化水平较低;食用植物油供需波动处于紧平衡状态,自给率仅为76%左右,省外购进的量远远大于外销量,消费需求的增长速度超过产量的增长,食用植物油缺口较大,同时存在种植品种与加工品种、品种结构与市场需求、区域性产销不协调之处。通过综合分析研究,构建了\"以自给为主,贸易调剂为铺\"的供给模式,提出了提高食用植物油安全供给的政策选择,为甘肃省食用植物油发展提供了新思路和科学依据,对保障甘肃省食用植物油安全供给具有重要意义。     

基本有色金属期货市场价格波动实证分析

依据铜、铝和锌三种典型性基本有色金属在金融危机前后的期货价格波动数据,运用分解-合成框架和时变TVP-VAR分析模型,考量影响基本有色金属期货价格波动重大事件和长期趋势价格波动的因素及价格时变特征。结果发现:铜、铝和锌三种基本有色金属期货的价格走势基本一致,且与中国宏观经济密切相关,其价格的最低点都出现在金融危机期间,而价格的最高点基本都出现在经济繁荣期;基本有色金属价格存在同涨同跌关系,而且涨跌幅基本趋势相一致。鉴此,可以对具有周期变化特征的基本有色金属价格走势进行预测,并规避价格波动的风险。     

The development of capabilities in new firms

This research explores evidence of corporate capabilities for conducting acquisition and alliance deals in young firms. We hypothesize that investors conjecture about the future based on information about a firm's capabilities. Each successive deal carries intrinsic value, creates experience, generates feedback, and yields information about the firm's underlying capabilities. We evaluate whether stock prices impute expectations that firms will capably pursue particular programs of acquisitions and alliances. The analysis covers how investor responses change across successive deals on the theory that firms with a concentrated program of deals may develop capabilities more intensively than those with programs that involve both acquisitions and alliances. The dataset covers the population of firms that went through an initial public offering (IPO) in the United States between 1988 and 1999. It contains information on all of their post‐IPO acquisitions and alliances, and on how their stock prices changed in response to the announcement of each deal. The results suggest that within the first year after IPO, investors expect firms to execute particular streams of alliances and acquisitions that reflect their unique histories of demonstrated capabilities. We also find evidence that investors cannot fully anticipate deal programs. The findings support a capabilities‐based view of the firm and also show that accurate inference using event‐study methods may require digging deep into the early histories of firms. Copyright © 2009 John Wiley & Sons, Ltd.