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.     

中国老年家庭的经济脆弱性与贫困

利用中国健康与营养调查(CHNS)2006和2009年的面板数据测度了老年家庭的经济脆弱性,检验各因素对经济脆弱性和贫困的相对影响力。老年家庭的经济脆弱性高于贫困;户主特征和家庭变量不同程度地影响到了经济脆弱性及贫困,代际间向上流动的私人转移支付对老年家庭的经济脆弱性和贫困没有作用;超过24%的非贫困家庭是经济脆弱性家庭;期望效用的脆弱性(VEU)方法表明,不平等虽然减少了脆弱性,但其影响经济脆弱性的力量最小,不可解释的风险是最重要的因素,异质性风险和协同性风险的力量居中。     

浙江家具产业群的特征与动因分析

以浙江家具产业群为研究对象,阐述了浙江家具产业群的基本情况,重点分析了它所具有的典型特征和发展原因。事实说明,浙江的家具产业群并不是简单的产业集聚体,更重要的是具有专业化分工与协作的地方网络,它具有较为突出的以中小企业为主的企业规模结构,以分工专业化与合作为基础的地方网络,较强的地方网络根植性,相对完整的部门结构以及以特色产业集群基地为新的地域组织形式等特征。其动力来源于自然地理的、社会文化的、经济体制的和政治等因素的综合影响和作用。     

行业板块股价对重大污染事件的应急反应分析

金融市场有效性争议至今没有定论,中国股票市场有效性判断仍有争议。本文从突发性重大污染事件冲击角度,通过行业板块受突发事件冲击后股票价格在H股与A股两个市场应急反应的对比分析,考察我国股票市场的有效性状况,发现H股表现出的反应不足甚于A股,表明我国股票市场已存在短期动量效应,能在一定程度上对当前公开信息作出反应;但这种反应是不足和滞后的,还未达到半强式有效。可见,我国股票市场处于发育初期,公司治理结构政府主导和环境管制不力等综合因素导致了行业板块股价的特殊走势。     

我国证券市场公司特质波动能够被定价吗——基于“非资产定价模型分解法”的测度与检验

根据我国A股市场数据,运用非资产定价模型分解法将个股风险分解为市场风险、行业层面风险和公司特质风险,并通过实证检验得出如下结论:(1)从1995年到2010年的15年中,我国证券市场的平均公司特质风险经历了下降和上升的U型趋势,并且时间序列平稳;(2)公司特质风险在个股波动中的比例不断升高,逐渐成为个股风险的主要来源;(3)在三个层面风险中,只有市场风险具有市场收益的预测能力,公司特质风险和行业层面风险则不具备这样的能力。上述实证结果表明,公司特质风险没有被市场收益定价,也就是说,在我国证券市场上,特质风险只是反映了公司层面信息的不确定性。     

An Empirical Investigation of Bilateral Investments and Opportunism in Buyer-Supplier Relationships

Collaboration between buyers and their suppliers often requires both parties to dedicate specialized investments to the relationship. These bilateral idiosyncratic investments serve as mutual hostages and signal commitment to the relationship, yet they are susceptible to expropriation. Drawing on research in social psychology and transaction cost economics, we argue that the nature of the bilateral idiosyncratic investments influences perceptions of a supplier's opportunism that in turn influences retailer opportunism and relationship outcomes. Data collected from 120 Norwegian managers of consumer electronics retail stores provide an assessment of the proposed model. The results indicate that the total and asymmetrical nature of the bilateral idiosyncratic investments influence perceptions of supplier opportunism and these perceptions, in turn, influence the retailer's opportunism and commitment to the relationship. Implications of these findings and future research are discussed.     

Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia

We explore a relation between expected returns and idiosyncratic risk in Russia. Investors in the Russian stock market cannot fully diversify their portfolios due to transaction costs, information gathering and processing costs, and shortcomings in investor protection. This implies that investors demand a premium for idiosyncratic risk. We estimate the price of idiosyncratic risk using MIDAS regressions and a cross section of Russian industry portfolios. We find that idiosyncratic risk is economically significant and commands a negative (positive) premium, on average, of 10.0% (8.0) per year before (after) the global financial crisis in 2008. The results remain unaffected after controlling for global pricing factors and return reversal.     

Fundamentals or Managerial Discretion? The Relationship between Accrual Variability and Future Stock Return Volatility

This study extends the theoretical framework of Callen and Segal (2004) and Vuolteenaho (2002) to investigate the association between accrual variability and firm‐level stock return volatility. The empirical evidence supports our prediction that increased uncertainty in current‐period accounting accruals is associated with significantly higher volatility of future stock returns, and the results are valid for measures of both systematic and idiosyncratic volatility. When accrual variability is decomposed into fundamental and discretionary portions, we find that the positive relationship between accrual variability and future stock return volatility is dominated by the fundamental component of accrual variability. Overall, our results suggest that uncertainty reflected in accrual information is subsequently reflected in the fluctuation of future stock returns, and that the predictive content in accruals primarily reflects firms' fundamental uncertainty, rather than any effects of managerial choices and interventions in the accounting process.     

论国内经济大循环的动能提升 ——基于资源配置视角的分析

当前,因受新冠肺炎疫情影响,国际经济形势变化,贸易保护主义抬头,出现了逆全球化趋势,但国际分工深入发展,国际经济联系日益加深的事实不会改变.贸易保护主义其实也是一种国际竞争,是一种竞争策略.面对贸易保护主义抬头,我国提出了构建"双循环发展新格局",采取了新的发展策略.经济循环畅通的首要条件就是生产与消费的有效对接,无论是国内经济循环,还是国际经济循环,都会涉及资源有效配置和产业结构调整.目前,我国要实现资源的高效配置,提升发展动能,扩大国内经济循环,构建双循环良性发展新格局,一是要实现发展方式的转变,疏通流通与分配渠道,促进国内生产与消费的平衡;二是要充分调动全国各群体、各阶层、各地区的积极性,把更多资源纳入双循环;三是要占领科技制高点,实施技术换市场战略,探索更高层次的对外开放.