Spurious relationships in high-dimensional systems with strong or mild persistence

This paper is concerned with the interactions of persistence and dimensionality in the context of the eigenvalue estimation problem of large covariance matrices arising in cointegration and principal component analysis. Following a review of the early and more recent developments in this area, we investigate the behaviour of these eigenvalues in a vector autoregression setting that blends pure unit root, local to unit root and mildly integrated components. Our results highlight the seriousness of spurious relationships that may arise in such big data environments even when the degree of persistence of the variables involved is mild and affects only a small proportion of a large data matrix, with important implications for forecasts based on principal component regressions and related methods. We argue that, prior to principal component analysis, first-differencing may be suitable even in stationary or nearly stationary environments.     

Hedge fund return,volatility asymmetry,and systemic effects: A higher-moment factor-EGARCH model

We investigate whether: (i) co-skewness and co-kurtosis are significant factors in modeling hedge fund (HF) returns, (ii) HF return volatility displays clusters, asymmetry and shock persistence, (iii) volatility clusters of HF styles drive volatility clusters of one another, major asset classes, and major banking organizations, (iv) HF return and volatility patterns changed after the financial crises of 1998 and 2007–2009. A higher-moment EGARCH model and monthly data over January 1993–April 2014 period on 13 HF styles are employed. Out-of-sample forecasts are generated over the period of May 2014–April 2016. Results show: (i) most of the co-skewness and co-kurtosis coefficients are statistically significant, strongly supporting the higher-moment return generating models; (ii) there is strong evidence in favor of EGARCH specification, volatility clustering, asymmetry, and shock persistence; (iii) there were distinct effects on the returns and volatilities of HFs during the 1998 Russian bond crisis, Long-Term Capital Management crisis, and the 2007–2009 financial crisis; and (iv) shocks to volatility clusters of a HF style do spillover to other HF styles, major banking firms, and key asset classes. Our findings have major implications for regulators, investors, HF managers and hedging strategists.     

技术创新与垄断市场结构的可维持性

不同条件下的技术创新对于垄断市场结构的作用机制不同：在确定性备件下，在位垄断企业通过加大技术创新投入，获取先占专利，形成对潜在进入者的可置信威胁，保持垄断地位；在不确定性条件下，在位垄断企业实现技术“自我替代”的成本增加，创新动力减弱，潜在进入者将通过高于在位企业的技术创新投入进入垄断市场，从而打破垄断市场结构。因此，增加科技投入，鼓励技术创新，有利于形成有效竞争，优化市场结构。     

我国经济周期波动的非对称性和持续性研究

本文利用1979年至2004年之间中国GDP季度数据,采用三区制马尔可夫均值和方差转移的二阶自回归(MSMV(3)-AR(2))模型和贝叶斯Gibbs抽样非参数估计方法,对我国经济周期波动的非对称性和持续性进行了实证分析。实证结果表明,MSMV(3)-AR(2)模型对我国经济状况提供了很好的拟合,显著支持增长率序列具有三区制状态:低速增长阶段,适速增长阶段和高速增长阶段。我国经济周期的非对称性主要体现在各个增长阶段的均值、方差、阶段性之间的转移概率的不同。我国经济周期的持续性主要体现在各个增长阶段的自维持概率和阶段性之间的转移概率的不同。此外,我国经济"适速增长阶段"的稳定性最高,"高速增长阶段"的平均持续期最长。     

On the robustness of persistence in mutual fund performance

This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds. In the first stage we apply contingency tables and transition matrices in accordance with previous literature. Results show how these methodologies are biased towards finding evidence of persistence too easily. In the second stage, we take a recursive portfolio approach, which assesses the performance of investing by following recommendations based on past performance. Results show the importance of both estimating persistence by distinguishing among fund style groups, and considering the cross-sectional significance of recursive portfolios. In general, our results support evidence of persistence in mutual fund performance, especially for the case of the best mutual funds. However, this evidence does not hold for the most recent subperiod, 2008–2015. Empirical evidence of persistence is conditioned by the sample period, a result that could explain the inconclusive results found in the literature.     

现金流组成要素对企业盈利能力的预测作用——基于核心与非核心现金流

本文选取757家沪深A股上市公司2006-2009年的数据作为研究样本,考察了在企业的现金流组成要素中,不同要素对于企业盈利现状的解释能力和对盈利前景的预测能力有何差异,以及不同要素的盈余持续性有何差异。研究发现:(1)拆分后的现金流比现金流总额对盈余和股票报酬具有更强的解释和预测能力。(2)核心现金流对盈余和股票报酬率的解释和预测作用比非核心现金流的要强。(3)核心现金流的盈余持续性比非核心现金流的要强。本文的研究结果为今后盈利预测研究充分挖掘现金流组成要素的信息含量和预测价值提供了实证依据。     

Healthcare resource use and costs of privately insured patients who switch,discontinue, or persist on anti-muscarinic therapy for overactive bladder

Objectives:

To compare the healthcare costs of patients with overactive bladder (OAB) who switch vs persist on anti-muscarinic agents (AMs), describe resource use and costs among OAB patients who discontinue AMs, and assess factors associated with persisting vs switching or discontinuing.

Methods:

OAB patients initiating an AM between January 1, 2007 and March 31, 2012 were identified from a claims database of US privately insured beneficiaries (n?≈?16 million) and required to have no AM claims in the 12 months before AM initiation (baseline period). Patients were classified as persisters, switchers, or discontinuers, and assigned a study index date based on their AM use in the 6 months following initiation. Baseline characteristics, resource use, and costs were compared between persisters and the other groups. Resource use and costs in the 1 month before and 6 months after the study index date (for switchers, the date of index AM switching; for persisters, a randomly assigned date to reflect the distribution of the time from AM initiation to switching among switchers) were also compared between persisters and switchers in unadjusted and adjusted analyses. Factors associated with persisting vs switching or discontinuing were assessed.

Results:

After controlling for baseline characteristics and costs, persisters vs switchers had significantly lower all-cause and OAB-related costs in both the month before (all-cause $1222 vs $1759, OAB-related $142 vs $170) and 6 months after the study index date (all-cause $7017 vs $8806, OAB-related $642 vs $797). Factors associated with switching or discontinuing vs persisting included index AM, younger age, and history of UTI.

Conclusion:

A large proportion of OAB patients discontinue or switch AMs shortly after initiation, and switching is associated with higher costs.     

BN周期成分的符号与我国GDP的真实周期

本文从理论上证明了以下的定理：当度量序列持久性的方差比大于1时,BN周期成分的符号应予反号,否则,不予反号。为验证定理,我们设计Monter-Carlo仿真实验,其结果也证实了理论定理。本文的理论结论和仿真结果,第一次从持久性的角度解释了文献中的“周期之谜”。在此基础上,我们应用BN周期分解方法和本文的理论结果,分解我国GDP的BN周期。结果显示,由于我国GDP的方差比为1.97,所以周期成分的符号应反号,由此形成我国GDP的真实周期。样本期内（2000Q2-2011Q4）我国共经历了六轮周期,这六轮周期不仅与我国实际经济增长的波动基本一致,而且与我国所遭遇的主要冲击相吻合;我国经济增长的周期具有波动幅度较大、持续时间又存在明显差异的特征。基于这些特征,本文认为,减弱我国经济增长的周期性波动,应成为宏观调控的重要内容。