Social Security Reform with Heterogeneous Agents

This paper analyzes the quantitative role of idiosyncratic uncertainty in an economy in which rational agents vote on hypothetical social security reforms. We find that the role of a pay-as-you-go social security system as a partial insurance and redistribution device significantly reduces political support for a transition to an economy with a fully funded system. We conclude that the status quo bias in favor of an unfunded social security system is stronger in economies in which agents of similar age differ significantly with respect to labor earnings and wealth because of idiosyncratic income uncertainty. Journal of Economic Literature Classification Numbers: H55, E62, H3     

The Profitability of Momentum Investing

We test for the presence of momentum profits in the UK over the period 1977 to 1998. The analysis shows that significant momentum profits are present in both a comprehensive sample of UK stocks and an accounting sub-sample. An analysis of sub-period results, seasonal effects, and the persistence of momentum profits confirms the robustness of the results. Controlling for factors known to be associated with differences in average returns, such as size, stock price, book-to-market ratio, and cash earnings-to-price ratio, cannot explain momentum profits. We also confirm that serial correlation in common factors and delayed price reaction to common factor realisations cannot explain momentum profits. We conclude that the momentum effect derives from market underreaction to either industry- or firm-specific information and it is a significant, independent phenomenon in UK stock returns.     

财务共享、丝路联结与“一带一路”跨国并购绩效

立足于财务共享服务中心,从股权投资、高管背景视角度量公司利用联结关系与“一带一路”沿线国家的公司所建立的社会资本网络,综合考量传导机制与政策效应问题,实证探讨中国上市公司的财务共享、丝路联结与“一带一路”跨国并购绩效之间的关系。研究发现：中国上市公司建立财务共享中心后,运营效率得到持续改善,“一带一路”跨国并购绩效也显著提升。中国公司通过股权资本、高管人脉与“一带一路”沿线国家的公司所建立的丝路联结对“一带一路”跨国并购绩效具有积极影响。特质风险是丝路联结影响“一带一路”跨国并购绩效的可能传导路径。“一带一路”倡议具有显著的政策效应。中国上市公司在“一带一路”沿线国家的跨国并购绩效在“一带一路”倡议提出后显著提升。实践表明,“一带一路”倡议在中国政府的大力支持下,仍需中国公司完善内部财务组织,构建“一带一路”社会资本,为公司在“一带一路”沿线国家跨国并购战略的成功实施奠定基础。     

Can Asset Pricing Models Price Idiosyncratic Risk in U.K. Stock Returns?

I examine how well different linear factor models and consumption‐based asset pricing models price idiosyncratic risk in U.K. stock returns. Correctly pricing idiosyncratic risk is a significant challenge for many of the models I consider. For some consumption‐based models, there is a clear tradeoff in the performance of the models between correctly pricing systematic risk and idiosyncratic risk. Linear factor models do a better job in most cases in pricing systematic risk than consumption‐based models but the reverse is true for idiosyncratic risk.     

物流场理论研究

本文把物流活动视为特殊的“物理场”．物流供需矛盾处理视为客户在物流中心激发的物流场的作用．定义了物流场强、特流动量、物流场势、物流场压等概念,运用场理论分析研究物流活动的基本规律,建立物流场守恒定律。     

对速度瞬心的动量矩定理的教学与应用

对速度瞬心的动量矩定理是理论力学教学中的一个难点,应该突出强调速度瞬心的瞬时性。可用“瞬心角色”的概念来表述这个瞬时性,并且指出对速度瞬心的动量矩与对于平常点的动量矩不同,它是对瞬心角色的动量矩。进而据此推导出对速度瞬心的动量矩定理。     

Uncertainty,firm entry,and investment dynamics

Previous macro- and micro-level evidence indicate that fluctuations in idiosyncratic uncertainty have an important effect on investment, both directly and indirectly through financial market frictions. The objective of this paper was to explore, beyond the two traditional and complementary channels, a new one: firm entry. By utilizing a novel and large dataset on Greek firms covering the entire economy over the period 2000–2014 and employing a panel-VAR methodology, we examine and evaluate the impact of shocks to the number of startups, idiosyncratic uncertainty, and financial conditions on the investment growth at the industry level. Our findings can be summarized as follows. First, a shock to the number of new firms has significant effects on investment that persist for many years. Second, although all the three variables are important drivers of investment growth dynamics, uncertainty has the largest impact (explaining about the 15% of the variability of investment growth), firm creation follows (it explains about the 7%), while financial conditions have the smallest direct effect (explaining the 3.5%). Finally, we demonstrate that firm entry constitutes an important propagation mechanism for the transmission of uncertainty shocks in the investment growth trajectories.     

Another look at momentum crashes: momentum in the European Monetary Union

This article studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union (EMU). In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional price momentum yielded significant positive payoffs. There is evidence of option-like behaviour for strategies based on intermediate past performance. Surprisingly, there is no such evidence for the momentum strategy based on recent past performance.     

An Empirical Study on Momentum and Contrarian Effects in Chinese Futures Market

As Chinese futures market is on track of standardized development, its efficiency and related investors＇ strategy have drawn wide attention from scholars worldwide. This paper aims to provide an empirical study on momentum and contrarian effects in Chinese futures market. It investigates how efficient this market has been after decades of development and what investment strategy can be used to obtain significant positive excess return. The analysis is based on weekly and monthly trading data of the major commodity futures listed in three Chinese futures exchanges since January, 1999. By establishing a zero-cost investment trading strategy as testing method, this empirical study shows that contrarian effect is significant in both weekly frequency （short term） and monthly frequency （long term）, and that as the holding period extends, the contrarian effect disappears. It also concludes that the reverse effects in the short term and long term origin from three factors： defective information transfer system, mean reversion in the contrarian effect, and immaturity of investors＇ mentality.     

External Conditions,the Evolution of Financial Risks,and the Informational Content of Stock Prices: The Case of Chile

ABSTRACT

In this article, we find that the dynamics of local financial risks in the Chilean stock market are associated with the evolution of external economic conditions, with a strong reduction in both idiosyncratic and systematic risks during periods of stable conditions. Despite this, we fail to find any significant change in the traditional measures of stock price synchronicity developed in the R² literature in our sample. We argue that these measures neglect the relationship between stock prices and fundamentals and find that the strength of the association between prices and fundamentals changes during our sample period, being much stronger during times of stable external conditions and diminished stock price volatility.