Does program trading contribute to excess comovement of stock returns?

Daily returns of stocks with high program trading comove more with each other but less with others. This significant comovement is disconnected with market movements and news of fundamentals and becomes stronger when market uncertainty is higher. It can be explained by neither the hypotheses of gradual information diffusion and liquidity provision nor the effects of quantitative trading signals, earnings announcements and index fund trading. Its non-fundamental nature is further demonstrated by the observation of program trading stimulating return reversals. Underlying this comovement is the high persistence of program trading. Our findings support the theory of habitat investing and demonstrate program trading creates a distinct source of excess return comovement.     

Reversal and momentum patterns in weekly stock returns: European evidence

We analyze short‐term reversal and medium‐term momentum patterns in weekly stock returns in Europe. Focusing on raw and stock‐specific returns, our empirical results show for both return specifications (a) a negative relation between weekly past returns and future returns in the short run and (b) a positive relation in the medium run. However, returns from reversal and momentum strategies based on stock‐specific returns are less volatile. In further analyses, we find short‐term reversal and medium‐term momentum patterns to be connected to stock characteristics. Looking at the potential causes of these effects, our results do not support the idea that short‐term reversal in weekly stock returns is due to an over‐ or underreaction to firm‐specific news nor that it is mainly driven by illiquidity. Medium‐term momentum in weekly stock returns, on the other hand, can be connected to behavioral biases. Our concluding tests confirm that our findings are robust among industries, in subperiods, for the January effect and in varying market states. Finally, while medium‐term momentum strategies remain profitable after accounting for transaction costs, short‐term reversal strategies can be mainly explained by transaction costs due to their high turnover.     

Fundamental strength and short-term return reversal

We document that the fundamental strength (FSCORE) of a firm exerts a significant influence on the performance of short-term reversal strategies. Past losers with strong fundamentals significantly outperform past winners with weak fundamentals. Our FSCORE approach is complementary to Da et al. (2014) cash flow news metrics based on analysts’ forecast revisions in that many firms do not have analyst following. Our approach also seems capable of capturing the lagged effects from past fundamental news shocks. After controlling for fundamental strength, we find that investor sentiment plays a more dominant role than do liquidity shocks in explaining return reversal.     

Stepwise ordinal efficiency for the random assignment problem

We introduce a notion of efficiency, called Stepwise Ordinal Efficiency (SOE), and prove that it coincides with a fairness notion of interim favoring ranks, in the sense of Harless (2018). We also prove that SOE implies ordinal efficiency, while it is not compatible with rank efficiency. Then, we provide an impossibility result which states that no mechanism meets SOE, weak strategy-proof, and strong equal treatment of equals. Finally, we show that a modified eating algorithm satisfies SOE.     

我国上市公司资产减值若干问题研究

财政部于2006年2月15日发布了《企业会计准则第8号—资产减值》,并规定2007年1月1日起在上市公司中执行。文章从资产减值会计的基本理论问题入手,对其相关概念、理论基础进行探讨,并对新资产减值准则在资产减值确认、计量和信息披露等方面的规定进行分析,然后结合对我国目前上市公司资产减值会计政策执行情况,指出了新资产减值准则的实施对上市公司造成的影响,并提出了可能会影响新会计准则实施的一些问题,最后提出了如何健全我国资产减值会计的几点意见。     

Loss persistence and returns in the UK

In this study, we examine whether estimated loss reversal probabilities are fully reflected in UK stock market prices. Overall, we provide evidence of varying degrees and types of loss firm mispricing with respect to estimated loss reversal probabilities. In particular, a significant and positive relationship between loss reversal probability and annual returns is found only for firms with higher trading costs. When looking at monthly returns, however, especially for the financial statement release month subsequent to the loss year, a significant and positive relationship is found for all firms. Thus, the evidence is consistent with UK market participants not fully incorporating relevant information into the pricing of loss firms and, as a consequence, being surprised by the content of the earnings for many or all UK loss firms.     

中国宏观经济分析与预测2:011～2012

2011年,在全球经济复苏受阻、国际资本流动变异、国内各种刺激政策全面回收、货币政策回调以及房地产调控政策全面加码等多重因素的作用下,中国宏观经济复苏的步伐放缓,呈现出经济增速逐季回落、通胀压力高位回缓、经济泡沫逆转、资源错配加剧、金融风险上扬与结构刚性持续的局面。2012年,中国宏观经济一方面将延续2011年的发展趋势,另一方面也将面临欧洲主权债务危机的深度调整、中国房地产市场的全面逆转以及中国宏观经济政策转向等因素冲击,呈现出前低后稳的发展态势。进而跟进9条政策建议。     

基于时间反演的无线通信系统仿真及探测信号选择

为改善无线通信系统抗干扰性能,将目前广泛应用于水声通信、超声波探测等领域的 时间反演技术移植至无线通信系统,在介绍基本原理的基础上建立了基于被动式时间反转镜 的单阵元无线通信系统模型,通过理论分析讨论了系统聚焦增益,通过计算机仿真研究了收 发信号的波形特点、分析论证了三种典型探测信号对接收波形的影响,并得出了相关结论。 仿真结果表明,给定信道条件下,系统性能主要取决于探测信号的选择。基于仿真结果和分 析,对探测信号的选择给出了更清晰的一般性原则,为实际通信系统性能的提高提供了科学 依据。     

A stochastic programming model to analyze ordinal preference data

Many marketing situations require analysis of ordinal preference data. Existing analysis methods include OLS, variations of the logit model and methods such as LINMAP. An alternative method is proposed that has the following features: 1) Tie rankings are allowed; 2) all rank order information is incorporated into the estimation — not just first preferences; 3) the procedure is formulated as a L.P. model, which is easily implemented with existing software; 4) statistical inference is supported by the underlying stochastic model; and 5) it supports estimation of individual and group preferences.     

Existence of a Universal Comparative Statics Matrix for Differentiable Optimization Problems

A universal existence theorem is established that yields exhaustive and constraint-free comparative statics information for a general, differentiable optimization problem in the preferred form of a semidefinite matrix. It subsumes all comparative statics formulations of differentiable optimization problems. Its relationship to comparative statics methods extant is establishedWe are grateful to an anonymous referee for a particularly helpful comment on the contents of this paper.