Dissecting the idiosyncratic volatility anomaly

The idiosyncratic volatility (IVOL) anomaly, documented in Ang, et al. (2006), has garnered a great deal of attention in the literature. Yet questions remain regarding the robustness and pervasiveness of the IVOL anomaly, with a particular concern that the IVOL anomaly might simply be the manifestation of market microstructure effect. In this paper, we show that the IVOL anomaly is strong and pervasive after we exclude stocks most susceptible to market microstructure noise — such as microcap stocks, penny stocks, and stocks with strong short-term return reversal. These results are robust to equal-weighting or value-weighting stocks in the IVOL portfolios. Our findings suggest that rather than being the cause of the anomaly, market microstructure noise actually weakens the IVOL anomaly.     

Profitable candlestick trading strategies—The evidence from a new perspective

This paper aims to investigate the profitability of two-day candlestick patterns by buying on bullish (bearish) patterns and holding until bearish (bullish) patterns occur. Our data set includes daily opening, high, low, and closing prices of component stocks in the Taiwan Top 50 Tracker Fund for the period from 29 October 2002 through 31 December 2008. We examine three bullish reversal patterns and three bearish reversal patterns. We find that three bullish reversal patterns are profitable in the Taiwan stock market. For robustness checks, we evaluate the applicability of our results to diverse market conditions, conduct an out-of-sample test and employ a bootstrap methodology.     

市场竞争环境、研发支出异常削减逆转与经营业绩

聚焦于研发活动中的真实盈余管理行为,发现以研发支出异常削减后逆转对研发活动中真实盈余管理行为进行衡量更为准确。以我国2008—2018年沪深A股上市公司为研究样本,研究市场竞争环境、真实盈余管理与公司未来经营业绩的关系,实证检验结果表明：与研发支出异常削减而未逆转相比,研发支出异常削减后逆转行为明显损害公司未来经营业绩;激烈的行业竞争加剧了该逆转对未来经营业绩的损害;公司在行业内的竞争优势可缓解该逆转对未来经营业绩的损害。进一步研究发现高质量审计对研发支出异常削减逆转有抑制作用。研究结果为抑制管理层研发操控的真实盈余管理提供了实证依据。     

基于Logistic回归的上市公司亏损逆转识别模型研究

为了建立合理有效的上市公司亏损逆转识别模型,本文分别从亏损历史状态、公司财务状况、股利支付情况及投资者预期因素四个层面选取18个指标作为备选变量,并运用Logistic过程中逐步回归的方法从中选择了7个对因变量影响显著的自变量,然后以2005年度发生亏损的我国127家上市公司为样本,分别对亏损逆转样本组(88家)和非逆转样本组(39家)进行Logistic回归检验,并建立了最终的基于Lo-gistic回归的上市公司亏损逆转识别模型,最后通过检验样本组回代判定,发现该模型对识别亏损公司在亏损后第二年度是否会发生逆转情形具有较高的预测准确性。     

几种中国农村居民食品消费需求模型的比较研究

本文选取6种需求系统模型,运用中国30个省份农民食品消费截面数据进行了比较研究,得到以下结论:以希克斯需求为理论依据的需求模型拟合优度优于以马歇尔需求为理论依据的需求模型;需求支出弹性及其标准差比较显示,QUAIDS模型的估计结果表现最优,而QES模型的表现最差;数据的秩检验结果显示,3秩模型更适合于研究中国农民食品消费,说明现有研究可进一步改善。因此农民对食物消费需求结构更趋于合理化,但较低的收入水平和较差的消费环境仍是制约农民食品消费结构升级的重要因素。     

A Bayesian survey technique for rare subjects

We propose a methodology to draw a representative sample from a population with a small fraction of potential customers for a certain product or a service. The objective is to increase the expected number of potential customers in a sample of fixed size representing the whole population. The method also provides a useful way of incorporating subjective judgement and uncertainty into the sampling plan. This approach has produced very satisfactory results for rare event problems in a number of telecommunications applications.     

Reform reversals and output growth in transition economies*

This paper tests whether reform reversals during transition carry an economic cost. Reform is measured by an average reform index, while reform reversals are characterized by a drop in the average reform index. In the standard empirical framework the current level of reform affects growth negatively, while the lagged level affects growth positively. This non‐linear effect implies a counterintuitive, short‐lived positive effect of a reversal. In a simultaneous equation system with growth and the level of reform as dependent variables we explicitly introduce a reversal parameter. Empirical results suggest that reversals have an immediate negative impact on real output growth. Controlling for the level of reform shows that reversals are more costly at higher levels of reform.     

An integrated performance evaluation approach for the Indian international airports

This paper deals with the applications of best worst method (BWM) and multi-attributive border approximation area comparison (MABAC) method to assess the performance of 32 major Indian international airports based on eight evaluation criteria. The BWM is applied to derive the criteria weights based on the opinions of four decision makers, while MABAC method is employed to rank the considered airports from the best to the worst along with the identification of their relative strengths and weaknesses. The advantages of these methodologies are also enumerated. It is observed that annual revenue is the most important evaluation criterion, followed by the total number of passengers. Based on this integrated analysis, Indira Gandhi International Airport and Surat International Airport respectively emerge out as the best and the worst performing international airports in India.     

受众心理与广告定位策略

广告定位是针对受众的，通过分析受众心理，我们便可以找出相应的广告定位策略，从而达到意想不到的效果。     

FFT快速捕获算法在GPSC／A码与P（Y）码中的应用

一种快速、有效的GPS信号捕获方法是通过在整段数据上并行搜索伪码相位,对一段输入数字中频(IF)序列和一段本地复现伪码序列进行快速傅里叶变换(FFT)运算来实现。分析了用FFT实现循环相关及其在GPS C/A码捕获中的应用,采用整区间相关、扩展复现码折叠、叠加相加和叠加丢弃法实现P(Y)码快速直接捕获,用补零、线性内插、Sinc内插、平均相关和双倍长度补零法解决计算点数问题,用扩展计算点数方法解决由导航数据引起的相位反转、超长序列与短序列进行线形相关运算及用循环相关实现线形相关等应用中的具体问题。