中国高技术产业创新生态系统有机性评价——创新四螺旋视角

随着产业创新活动开放性不断增强及知识生产模式的发展演变，四螺旋模式逐渐成为产业协同创新主流模式。当前对于高技术产业创新生态系统的分析与评价多建立在三螺旋模式上，作为反映市场采纳接受程度与公众需求的第四螺旋测度指标应纳入创新生态系统有机性评价体系，以更准确地体现当前创新生态系统协同性，评估创新生态系统可持续发展能力。从四螺旋模式出发，采用协同学与生态学概念及方法对我国高技术产业创新生态系统的有机性进行分析、评价，以期从四螺旋多维度视角评估我国高技术产业创新生态系统的整体协同性和动态可持续发展能力。研究结果发现，当前我国高技术产业四螺旋创新协同性具有显著的地区差异，协同程度普遍较低且波动幅度较大，地区间可持续发展能力与进化空间差距悬殊，第四螺旋创新动能未得到充分挖掘。在未来产业协同创新中还需加大引导与宏观调控力度，在维持多主体利益平衡的同时，充分发挥第四螺旋作用，努力实现各创新螺旋积极效应最大化。     

Momentum is really short-term momentum

We demonstrate the estimation biases that arise when stock returns from 12 month prior and 2 month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US market. There is no significant difference between the predictability of stock performance in the intermediate past and the recent past once we exclude these two months from the construction of momentum strategies in the US and each of the 26 major international markets.     

Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500

There is an established body of work showing that the sources of momentum returns change over time. This paper finds that there is also winner/loser asymmetry – that the sources of the winner and loser components of momentum returns differ from each other at the same point in time. Together, these results raise concerns about the prospect of finding a single cause for momentum profits, as most efforts to date have tried to do. Rather, they indicate that investigation should proceed using time‐varying, nonparametric and ensemble techniques.     

Lottery-like momentum in the cryptocurrency market

Following the methodology of Bali et al. (2011), we construct the lottery-like portfolio based on the maximum return. First, we find that a higher maximum return leads to a higher future return among 64 cryptocurrencies. This phenomenon is called the lottery-like momentum. Controlling for the momentum effect, the lottery-like momentum still exists in the cryptocurrency market. In addition, we find that the major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)—are less likely to have extreme positive returns. And the absence of extreme positive returns is persistent.     

Evolution of price effects after one-day abnormal returns in the US stock market

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market, using Dow Jones Index over the period 1890–2018. We utilise several statistical tests and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, R/S analysis (Hurst, 1951), and the trading simulation approach). The results suggest that a strong momentum effect between 1940 and 1980 after a day of positive abnormal returns was present in the US stock market, and it was exploitable for profit. However, after the 1980s this has since disappeared. Overall, price effects after one-day abnormal returns during the analysed period tend to be unstable in terms of their strength and direction (momentum or contrarian effect). Nowadays, the evidence for the price effects after one-day abnormal returns in the US stock market is weak. Our results, therefore, are consistent with the Adaptive Market Hypothesis (Lo, 2004).     

Information percolation,momentum and reversal

We propose a joint theory of time-series momentum and reversal based on a rational-expectations model. We show that a necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word-of-mouth communication as a mechanism that enforces this condition and generates short-term momentum and long-term reversal. Investors with heterogeneous trading strategies—contrarian and momentum traders—coexist in the marketplace. Although a significant proportion of investors are momentum traders, momentum is not completely eliminated. Word-of-mouth communication spreads rumors and generates price run-ups and reversals. Our theoretical predictions are in line with empirical findings.     

The cross section of international government bond returns

Volatility risk, credit risk, value effect, and momentum are major return drivers in the fixed-income universe. This study offers a four-factor pricing model for international government bonds. The model thoroughly explains the variation of government bond returns and covers a range of more than 60 cross-sectional return patterns in government bond markets, verifying its usefulness for asset pricing. The research was conducted within a sample of bonds from 25 developed and emerging markets for the years 1992 to 2016.     

Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas

Unconditional alphas are biased when conditional beta covaries with the market risk premium (market timing) or volatility (volatility timing). We demonstrate an additional bias (overconditioning) that can occur any time an empiricist estimates risk using information, such as a realized beta, that is not available to investors ex ante. Calibrating to U.S. equity returns, volatility timing and overconditioning can plausibly impact alphas more than market timing, which has been the focus of prior literature. To correct market- and volatility-timing biases without overconditioning, we show that incorporating realized betas into instrumental variables estimators is effective. Empirically, instrumentation reduces momentum alphas by 20-40%. Overconditioned alphas overstate performance by up to 2.5 times. We explain the sources of both the volatility-timing and overconditioning biases in momentum portfolios.     

Momentum Profitability and Market Trend: Evidence from REITs

This study investigates Real Estate Investment Trusts’ momentum returns in different market states, and explains the momentum phenomenon with a risk-based dividend growth theory of Johnson (Journal of Finance 57:585–608, 2002). Our results show that momentum returns of REITs are higher during up markets. This study finds that winners’ dividend/price ratios are higher than those of losers, and momentum returns are positively correlated with the difference between winners’ and losers’ dividend/price ratios. We also find that momentum returns are higher after the legislation change of REITs in 1992, and that dividend/price ratios of REITs are also higher after 1992, suggesting that a persistent shock to REIT’s dividend/price ratios in 1992 partly explains REITs’ higher momentum returns after 1992. In sum, results of this study suggest that momentum returns of REITs can be jointly explained by a time-varying factor (market state) and a cross-sectional variance in dividend yields.

动量策略与外汇市场效率研究

本文以澳大利亚、加拿大、法国、德国、日本、瑞士、英国和美国为例，考察了短期至中期采用股票市场常用的动量策略可否同样在外汇市场获利。结果表明，动量效应在各国表现出了高度的相似性：从第2周起开始显著，在4周达到峰值，从13周起逐渐减弱，直到26周，显著性突然下降甚至出现反转效应，52周时反转效应相对显著，少数持有期也开始出现动量效应。行为金融学的基本理论可以解释上述现象，显示了外汇市场效率的无效性。