Non‐linear Predictability of Value and Growth Stocks and Economic Activity

Recent empirical evidence suggests that stock market index returns are predictable from a variety of financial and macroeconomic variables. We extend this research by examining value and growth portfolios constructed by book-to-market ratio, and consider whether such predictability is evident here. Further, we assess whether such predictability is better characterised by a non-linear form and whether such non-linear predictability can be exploited to provide superior forecasts to those obtained from a linear model. General non-linearities are examined using non-parametric techniques, which suggest possible threshold behaviour. This leads to estimation of a smooth-transition threshold model, with the results indicating an improved in-sample performance and marginally superior out-of-sample forecast results.     

Investor attention, overconfidence and category learning

Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure of information, when combined with investor overconfidence, generates important features observed in return comovement that are otherwise difficult to explain with standard rational expectations models. Our model also demonstrates new cross-sectional implications for return predictability.     

Non-linear long horizon returns predictability: evidence from six south-east Asian markets

Whilst the existence of long-horizon returns predictability has been a recurrent theme in empirical finance research, extant work has focused almost exclusively on the US, and more recent work has cast doubt over the validity of such potential predictability due to non-stationarity and serial correlation in the data. The present paper examines long-horizon returns predictability in six South-East Asian markets in the context of unit root tests conducted under corrections for serial correlation and heteroscedasticity. The analysis conducted also extends the investigation of long-horizon predictability to the non-linear setting, and examines whether any detected non-linear predictability is consistent with behavioural approaches to asset pricing which emphasise the role of noise traders. The results obtained suggest the following conclusions. First, long-horizon predictability is present in each of the six South-East Asian markets considered. Second, whilst forecast power increases with horizon, for the majority of series it is maximised for forecast horizons of between 12 and 48 months. Third, non-linear predictability is reported for all series, suggesting that positive and negative values of the (demeaned) dividend yield impart different levels of predictability for returns at different forecast horizons. However, there is no consistency in the pattern of non-linearity reported, and whilst the observed patterns are consistent with noise traders models for some of the markets considered, this is not true of all the markets considered. Nevertheless, the non-linear dynamics detected are suggestive of potential market inefficiencies in all six cases.     

As told by the supplier: Trade credit and the cross section of stock returns

With superior information about their customers’ prospects, suppliers extend trade credit to capture future profitable business. We show that this information advantage generates significant return predictability. After controlling for major firm characteristics, firms that rely more on trade credit relative to debt financing have higher subsequent stock returns. The return predictability by trade credit is stronger among firms with lower borrowing capacity or profitability, and is more significant for firms with a higher degree of information asymmetry. Our findings suggest that trade credit extension reveals suppliers’ information that diffuses gradually across the investing public.     

SECULAR MEAN REVERSION AND LONG‐RUN PREDICTABILITY OF THE STOCK MARKET

The empirical financial literature reports evidence of mean reversion in stock prices and the absence of out‐of‐sample return predictability over horizons shorter than 10 years. Anecdotal evidence suggests the presence of mean reversion in stock prices and return predictability over horizons longer than 10 years, but thus far, there is no empirical evidence confirming such anecdotal evidence. The goal of this paper is to fill this gap in the literature. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons of up to 40 years. Although our results cannot support the conventional wisdom that the stock market is safer for long‐term investors, our findings speak in favor of the mean reversion hypothesis. In particular, we find statistically significant in‐sample evidence that past 15‐17 year returns are able to predict the future 15‐17 year returns. This finding is robust to the choice of data source, deflator, and test statistic. The paper continues by investigating the out‐of‐sample performance of long‐horizon return forecasting based on the mean‐reverting model. These latter tests demonstrate that the forecast accuracy provided by the mean‐reverting model is statistically significantly better than the forecast accuracy provided by the naive historical‐mean model. Moreover, we show that the predictive ability of the mean‐reverting model is economically significant and translates into substantial performance gains.     

认知无线电系统中频谱可预测性的递归定量分析

针对认知无线电系统中的频谱可预测性问题,研究分析了不同观测尺度下频谱状态时间序列的特点,运用递归图技术和递归定量分析方法,从定性和定量两个方面对4种尺度时间序列的可预测性进行了分析和比较,结果表明：随着观测尺度的减小,频谱状态序列的混沌性和随机性增强,可预测性变差;小时频谱占用度序列具有较高的确定度和可预测性,时隙状态序列的随机性强、可预测性弱。所得结论为进一步建立有效的频谱预测模型提供了有益的参考。     

The Riskiness of Corporate Bonds

We use an index of riskiness recently proposed by Aumann and Serrano ( 2008 ) to analyze how the riskiness of diversified portfolios of corporate bonds changes across rating classes and through time and how it compares to the riskiness of other financial instruments. We find that differences in riskiness among portfolios of bonds belonging to different rating classes are seldom statistically significant. We instead find significant time variation in riskiness, driven mainly by return volatility, inflation, and average bond yields. In particular, we find that increases in average bond yields have historically tended to reduce the riskiness of portfolios of corporate bonds by increasing their expected return and by lowering the probability of portfolio losses.     

物流实践型人才素质可持续提升模式研究

通过分析物流行业员工进修培训需求现状,构架物流实践型人才素质可持续提升模型,创新了"定期定向回招进修培训"子模型,将政府、高校、行业企业、协会等多方主体扩充到从业者进修培训平台中,克服单独依靠企业自身开展培训进修的瓶颈约束,多协同方共同完成物流从业员工进修培训,提升物流行业整体作业水平和行业素质。     

中国省际工业新产品技术效率研究

本文在提出新产品技术效率(NPTE)是衡量工业自主创新效率有效标准的基础上,通过方向性距离函数的拓展,从新产品视角构建了一个自主创新效率和生产效率(TE)既区分又联系的分析框架,从而能够以生产效率为参照系对工业自主创新效率进行评价。本文发现,1999—2007年中国省际大中型工业平均TE比NPTE高29%左右;地区工业NPTE呈缓慢上升态势,且东部>中部>西部;近年来中国工业NPTE与TE的差距有所扩大;企业规模、FDI、进口、R&D人员和消化吸收投入促进了NPTE的提高,R&D投资、技术引进和国内技术购买则有抑制作用,产权改革和技术改造的作用也不显著。研究结果还表明,地区工业R&D投资与NPTE负相关,而这又与非国有产权特征密切相关。