现代证券投资组合理论在我国应用的局限与思考

我国证券市场是一个新兴市场,借鉴投资理论和推进科学化投资管理对我国证券市场长期稳定发展具有重要的现实意义。文章分析了现代证券投资组合理论在我国证券市场运用受到局限的主要原因。结合我国证券市场的发展的实际,提出了规范和发展我国证券市场的建议。     

投资组合理论中的组合选择问题研究

经典的Markowitz投资组合理论在选择最优投资组合时,没有考虑到投资实践中大量存在的委托代理关系,从而使得最优投资组合的选择可能会偏离投资者的利益。本文对这一问题做了详细的描述,并对目前解决此问题的方法,即委耗投资组合管理的原理进行了分析。     

The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

旅游业上市公司多元化经营能够降低公司风险吗？——基于2004—2012年A股上市公司数据的实证研究

我国的旅游业上市公司普遍存在进入房地产业、高新技术产业等行业的多元化经营现象。国内外学者对多元化经营与公司风险之间的关系展开了一系列的研究,但是没有得出一致的结论。截至目前,对旅游类企业多元化经营能否降低公司风险的研究仍较为欠缺。因此,文章以2004—2012年国内23家A股旅游业上市公司1的184个截面数据为样本,利用多元回归分析法检验了旅游业上市公司多元化经营对其公司风险的影响。旅游行业自身的行业特征及其多元化特点使得针对旅游业上市公司多元化经营行为的分行业研究产生了与以往整体层面的研究截然不同的结论：旅游业上市公司多元化经营能够降低公司的财务风险,但无法降低公司的经营风险。进一步对多元化类型进行区分后发现：旅游业上市公司相关多元化水平的提升可以显著地降低公司的财务风险,但无法显著地降低公司的经营风险;而非相关多元化水平的提升无法显著地降低公司的财务风险与经营风险。基于上述研究成果,文章从促进融资体系多元化、完善主业发挥自身优势、谨慎选择多元化行业3个角度对旅游业上市公司的多元化发展提出了建议。     

福建省上市企业多元化经营对企业绩效的影响

多元化经营是一个公司的重要发展战略,对公司绩效有着重要的影响,因此一直是战略管理领域的研究重点。文章根据学者对多元化与企业绩效的研究提出相应的假设,并以福建省上市企业2007、2008年末和2009年第三季度末共135个样本数据进行实证分析,研究发现,福建省专业化经营的上市企业比多元化经营的上市企业具有更大的经济绩效,但多元化程度与经济绩效并无显著的负相关关系。     

Modelling interactions among the housing market and key US sectors

This study evaluates the dynamic interactions among the housing market and ten key US sectors including: consumer discretionary, consumer staples, energy, financials, industrial, technology, health care, materials, utility and telecommunications. Long-run results indicate that the housing market is integrated with each of the ten sector and that the degree of convergence has increased over time and especially after the onset of the most recent housing crisis. Moreover, the housing market contributes most heavily to the common trends indicating that the housing market is the ‘leader’ market that drives each sector towards the long-run equilibrium relationships. Short-run analyses indicate causal linkages emanating from the housing market to each sector with reciprocal feedback. Finally, impulse response function analysis reveal that shocks from each sector affect the housing market but that shocks from the housing market have a (comparatively) more profound and persistent impact on each sector.     

Risk sharing and counter-cyclical variation in market correlations

I present a consumption-based dynamic asset pricing model in which international market correlations vary counter-cyclically over time. The driving force in the model is the time-varying effective risk aversion induced by external habit formation. Market returns are driven by fundamental outputs and discount rates. When risk aversion is high, the effect of discount rates on market returns rises with the market price of risk. To the extent that countries share risk, the cross-country correlation of discount rates exceeds the cross-country correlation of fundamental outputs. In bad times, market correlations rise as returns are mostly driven by discount rates. Thus, consistent with the empirical evidence, periods of high risk aversion are associated with high market correlations and high market volatility. After calibration, my model is consistent with the observed variation in market correlations, as well as other features of asset prices including the equity premium and market volatility.     

主房公积金沉淀资金存款收益优化研究

在我国住房公积金制度的发展与普及过程中,沉淀资金投资收益低下的问题目益明显。基于某市近年来住房公积金沉淀资金投资银行存款的数据,利用基于持续期的多目标规划模型,分析了沉淀资金存款收益与风险的变化关系,提出了提高沉淀资金收益的存款优化方案。结果表明,优化方案可在当前风险条件下使收益率提高0．213个百分点,或在风险调整的条件下使收益率提高0．518个百分占、。相关结论可为改进住房公积金沉淀资金银行存款管理策略提供支撬提高公积金沉淀资金的存款收益。     

Dynamic causality between the U.S. stock market,the Chinese stock market and the global gold market: implications for individual investors’ diversification strategies

This paper proposes a generalization of the prior VAR and EGARCH model to explore the linkage between returns and volatility transmissions in the U.S. stock market, the Chinese stock market, and the global gold market from 10 July 1996 to 20 July 2018. We found that past returns of the U.S. stock market can predict the current returns of the other two markets, and that significant reciprocal volatility transmission existed within and across all three markets. We further implemented average out-of-sample (OOS) forecasting to show that a risk-adjusted portfolio, such as mean-variance with sample estimator, does not outperform an equal-weighted portfolio. This provides insights for individual investors and helps to explain the ongoing disagreement in the portfolio literature concerning the effectiveness of risk-adjusted portfolios and equal-weighted portfolios when the number of assets is small.     

Corruption’s impact on foreign portfolio investment

Corruption has significant effects on a nation’s financial markets through its adverse impact on foreign portfolio investment (FPI). Yet, the effects of corruption on FPI are nonlinear and reverse J-shaped, with intermediate levels of corruption yielding the most negative effects. Highly transparent nations, where a “level playing field” exists between foreign and local investors due to lack of information asymmetries related to corruption, attract the most foreign investment. However, at the margin, very corrupt countries attract more investment than moderately corrupt countries because a “perverse level playing field” in the former countries may put foreigners and locals on an even footing in terms of resolving asymmetric information problems. This nonlinear pattern is consistent with foreign investors’ desire to trade in markets where they are not at an informational disadvantage.