Bear beta

We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow–Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor’s (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta also predicts future bear market risk exposure. We conclude that bear market risk is priced in the cross section of stock returns.     

The Impact of Farmland Transfers on Agricultural Investment in China: A Perspective of Transaction Cost Economics

There is growing concern that farmland transfers lead to less agricultural investment, which may adversely affect agricultural productivity growth in China. Prior research has primarily focused on the differences between owned cultivated land and rented plots, but little is known about how farmland transfers between relatives, which are popular in rural China, specifically affect agricultural investment. In this paper, we present a conceptual framework of transaction cost economics to compare different contracting strategies in China's farmland rental markets. As farmland rental markets in China are immature, land transfer between relatives establishes bilateral governance, which has the advantage of addressing the opportunistic activities of both parties and can ultimately increase investment by tenants. Based on data from two waves of household surveys, we empirically examine the impact of bilateral governance on the application of organic fertilizer, an indicator for agricultural investment. Our findings show that apart from economic factors, kinship is important to the functioning of farmland rental markets in rural areas.     

专利视角下的中国转基因小麦研究现状及发展分析

利用"智慧芽"数据库对我国1997-2018年间的转基因小麦专利文件进行统计分析,从申请趋势、IPC分类、核心专利分析等层面得出转基因小麦技术发展趋势,从专利角度分析目前我国研究机构所面临的问题并提出专利布局的思路。     

Protection for sale under monopolistic competition: Beyond the CES

We extend the protection for sale model of Grossman and Helpman (1994) by introducing a general model of monopolistic competition with variable markups and incomplete pass-through. We show that the structure of protection emerging in the political equilibrium not only depends on the weight attached by the government to consumer welfare when making its policy decision, but also on the degree of market power of firms and on the terms-of-trade variations due to the degree of pass-through. Our results highlight the importance of preferences in shaping the structure of protection and are consistent with the occurring of protectionism also in unorganized industries.     

Bubbles for Fama

We evaluate Eugene F. Fama's claim that stock prices do not exhibit price bubbles. Based on US industry returns (1926?2014) and international sector returns (1985?2014), we present four findings (1) Fama is correct in that a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward; (2) such sharp price increases predict a substantially heightened probability of a crash but not of a further price boom; (3) attributes of the price run-up, including volatility, turnover, issuance, and the price path of the run-up, help forecast an eventual crash; and (4) these attributes also help forecast future returns. Results hold similarly in US and international samples.     

Trade and dietary diversity in Eastern Europe and Central Asia

In public and academic debates, the linkages between agricultural markets and nutrition across the world are vividly discussed. This paper contributes to the ongoing debate by analyzing the relationship between greater openness to trade and dietary diversity. It focuses on the post-communist countries of Eastern Europe and Central Asia where trade reforms triggered growth in trade flows and foreign direct investment, which in turn affected food systems in these countries. This shift provides a natural experiment for studying the effects of trade openness on agricultural markets and consumer behaviour. Reduction in trade barriers, for instance in the context of the accession to the WTO and the EU, and the gradual integration with world markets after 1991 had implications for diets through changes in production, prices and incomes. We utilize country-level panel data for 26 post-communist countries in the period 1996–2013 to assess the effects of trade costs, agricultural trade openness and incomes on dietary diversity measured by the Shannon entropy index. The results from fixed effects and instrumental variables estimation are consistent with previous findings that income growth affects dietary diversity positively. They also provide novel evidence that trade barriers reduce variety of products available in domestic markets, in particular fruits and vegetables.     

The True Meaning of ‘Social Justice’: A Catholic View of Hayek

Hayek's well‐known dismissal of the concept of ‘social justice’ is examined and questioned. While basically agreeing with Hayek's critique, the author argues that we should not entirely reject this concept, although it is often used in a vague and emotional way – ‘social justice talk’. Drawing on the tradition of classical liberalism and Catholic social teaching, he makes the case for the true meaning of social justice, which applies to the basic legal and institutional framework of a society rather than the distributional outcomes of market processes.     

The side effects of quantitative easing: Evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.     

Who should sell stocks?

Never selling stocks is optimal for investors with a long horizon and a realistic range of preference and market parameters, if relative risk aversion, investment opportunities, proportional transaction costs, and dividend yields are constant. Such investors should buy stocks when their portfolio weight is too low and otherwise hold them, letting dividends rebalance to cash over time rather than selling. With capital gains taxes, this policy outperforms both static buy‐and‐hold and dynamic rebalancing strategies that account for transaction costs. Selling stocks becomes optimal if either their target weight is low or intermediate consumption is substantial.