居民最优消费与投资组合 ——基于不完全市场的分析

运用动态最优控制理论与随机金融分析方法,研究由劳动收入的特质风险与借贷约束导致的非完全市场对消费者最优投资和消费策略、波动及福利损失的影响,得到相应的动态最优投资和消费策略.研究发现:非完全市场会显著抑制消费者的消费动机和投资动机,并加剧消费波动和投资波动.此外,财务困境下非完全市场会对消费者造成高达40％ 的福利损失.     

Return Predictability of Turkish Stocks: An Empirical Investigation

Employing the portfolio method and cross-sectional regressions, this paper provides a comprehensive analysis of stock return predictability in Turkey from January 1997 to July 2011. In the risk-related predictors, we found predictive power for beta, total volatility, and idiosyncratic volatility. The "cheapness" variable, book-to-market ratio, is the most important return predictor for the stocks traded on the Istanbul Stock Exchange (now part of the Borsa Istanbul). Grouping the stocks as small and large according to the median value of the market capitalization of the stocks adds important insights to the analysis. Our results show the set of large stocks on the Istanbul Stock Exchange to be the least predictable set of stocks.     

个性化工作协议如何影响创造力？——基于自我归类理论的被调节中介模型

在创新驱动发展的今天，为保护员工弥足珍贵的自我创造空间，个性化工作协议成为了越来越重要的工作范式。已有研究基于自我决定理论揭示个性化工作协议促进个体创造力，但忽视了缺乏组织约束下可能带来的潜在消极影响。文章从创造蕴含的高失败风险特性和个性化工作协议潜在的身份认同特性出发，基于自我归类理论，由自我归类过程的“自我提升”和“减少不确定性”两大动机引入个性化工作协议和上级发展性反馈，构建了一个有调节的中介模型，探讨个性化工作协议对员工创造力的影响机制。通过区间估计Bootstrap法以及Johnson-Neyman法对325个有效样本进行假设检验，结果表明：个性化工作协议正向影响员工创造力；内部人身份认知发挥中介作用；上级发展性反馈正向调节内部人身份认知在个性化工作协议与员工创造力之间的中介作用。文章拓展了个性化工作协议的研究视角，表明它不仅仅是一种工作时的协议，还蕴含着高度的情感连带与主体互动，这为组织实施个性化工作协议提供了理论基础和实践启示。     

Momentum or market? Determinants of large stock price changes in an emerging market

The aim of this study is to investigate the determinants of large price changes in Turkey. We also provide additional evidence on determinants of large price changes in different macroeconomic environments, specifically on the pre-crisis and post-crisis periods. Using recurrent event analysis with stratified observations and frailty effects, our findings suggest that momentum has a significant impact on large price changes during both pre-crisis and post-crisis periods. However, the impact of market is more significant on the estimation of large price declines in the pre-crisis period and of large price increases in the post-crisis period. Additional findings suggest that liquidity and market-to-book ratio have positive, firm size has a negative impact on likelihood of large price changes regardless of the direction of the stock price change and macroeconomic environment. Findings of this study provide new insights into the understanding of large price changes in an emerging market.     

Earnings Momentum,Adaptation Value,and Nonlinearities in the Valuation of Chinese Equity Stocks

We demonstrate that when the variables comprising a firm's investment opportunity set depend on their past values then the present value of the cash flows the firm expects to earn will be stated in terms of the levels and the momentum of the affected variables. It is also shown that the market value of a firm's equity is comprised of the present value of the cash flows it expects to earn from operating under its existing investment opportunity set plus the value of the real options the firm possesses to modify or even completely change its existing investment opportunity set. Our empirical analysis, based on both Chinese and US data, shows that earnings momentum and the adaptation and growth options typically available to firms all appear to have a significant impact on equity prices.     

Can tail risk explain size,book‐to‐market,momentum, and idiosyncratic volatility anomalies?

We examine the impact of tail risk on the return dynamics of size, book‐to‐market ratio, momentum and idiosyncratic volatility sorted portfolios. Our time‐series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value, high idiosyncratic volatility and low momentum stocks exhibit negative and statistically significant tail risk betas. Our cross‐sectional analyses at the individual stock level suggest that tail risk helps in explaining the four pricing anomalies, particularly size and idiosyncratic volatility anomalies.     

Incentive‐compatible contracts in merger negotiations: The role of acquirer idiosyncratic stock return volatility

We show that the acquiring firm's idiosyncratic stock return volatility (sigma) is an important determinant of the selection and perceived valuation effects of earnouts in Mergers and Acquisitions (M&As). Earnout‐based M&As are more often announced by high‐sigma acquirers (nearly 40% of all earnout‐based M&As), yet the documented higher risk‐adjusted returns accrued to acquirers in earnout‐based M&As, relative to M&As settled in cash, stock or mixed payments (the earnout effect), appear in deals announced by low‐sigma acquirers (nearly 20% of all earnout‐based M&As). High‐sigma acquirers employing earnouts appear to break even, or even experience losses, relative to their counterparts employing single up‐front payments. These results are confirmed based on a quasi‐experimental design through which the earnout effect is measured in isolation. We argue that in M&As announced by high‐sigma acquirers, the earnout effect is potentially elusive due to the presence of an acquirer‐specific information revelation effect, resulting from the heightened extent of information asymmetry between (small) acquirers’ managers and outside investors. On the contrary, the use of earnouts in M&As announced by low‐sigma (large) acquirers, whereby the acquirer‐specific information revelation effect is likely negligible, sends a strong signal for value creation that also prevents investors from inducing a size‐related discount.     

Analyst underreaction and the post-forecast revision drift

The post-forecast revision drift (PFRD), the phenomenon of delayed stock price reactions to analyst forecast revisions, is a well-documented market anomaly. Prior research attributes PFRD to underreaction by investors to analyst forecast revisions. This study investigates the role of the analyst forecast revision process itself in the PFRD anomaly. Using a large sample of US firms, we confirm prior findings of a positive serial correlation (momentum) in individual analysts’ revisions to their earnings forecasts and, based on both indirect and direct tests, document a positive association between this momentum and PFRD. Further analyses reveal that both the forecast revision momentum and PFRD vary in similar ways with respect to the nature of the news driving the revisions and the information environment. Collectively, our findings show that underreaction by individual analysts in the forecast revision process is an important contributor to the PFRD phenomenon.     

Improving momentum strategies using residual returns and option-implied information

This paper provides an alternative method for enhancing momentum profits by combining residual returns and option-implied information. The results show that the main benefit of applying residual returns to construct momentum portfolios is generating stable returns. Additionally, the incorporation of implied volatility (IV) spread or IV skew into a residual momentum portfolio is found to significantly raise profits, particularly during bad times and high-sentiment periods. This is because IV spread and IV skew can dissociate winners/losers with a price underreaction from those with a price overreaction, which suggests that informed traders who perceive price underreactions/overreactions trade in option markets.     

Idiosyncratic deals and work‐to‐family conflict and enrichment: The mediating roles of fit perceptions and efficacy beliefs

Idiosyncratic deals (i‐deals), which involve personalised work arrangements negotiated between employees and their managers, offer a promising approach to accommodating the demands of a diverse workforce. In contrast with the traditional social exchange theory perspective, we integrate the theories of person–environment fit and self‐efficacy to examine the effect of flexibility i‐deals on both work‐to‐family conflict and enrichment. We specifically consider two mediating mechanisms: needs–supplies (N‐S) fit and family‐role efficacy. Results from two Chinese samples reveal that supervisor‐rated flexibility i‐deals relate positively with employees' family‐role efficacy and N‐S fit. These, in turn, relate to work‐to‐family conflict negatively and to work‐to‐family enrichment positively. Monte Carlo bootstrapping analyses confirm the indirect effects of N‐S fit and family‐role efficacy. By using an alternative theoretical perspective, we add to our understanding of the mechanisms underlying the i‐deals effect. This study expands existing i‐deals research to an empirically underrepresented area: work–family enrichment. Our findings also confirm the work–family benefits of i‐deals and strengthen managers' confidence regarding the merits of implementing i‐deals in the workplace.