中国金融资产收益率与宏观经济相关性研究

基于Lamont设立的经济跟踪指标组合体系,选择1997年5月至2006年11月的数据构建了股市各项资产收益率与宏观经济指标之间的多元OLS回归模型(ETP)、向量自回归模型(VAR)、协整检验和向量误差修正模型(VEC),全面考察了我国股市资产收益率与宏观经济变量之间的互动关系。研究发现,OLS模型与VAR模型中资产收益率的回归系数大多不显著,虽然宏观变量和金融资产收益率存在长期均衡关系,但是这种均衡关系非常松散和不明朗。     

内蒙古农村信贷与经济增长关系的实证研究——基于1978～2009年内蒙古自治区数据的分析

本文基于1978～2009年内蒙古自治区农村人均贷款和农村人均GDP的数据,首先,分析了改革开放以来二者的变动趋势,发现二者都呈现"缓慢增长———波动增长———快速增长"的变动趋势;其次,运用协整检验证实二者之间存在长期均衡关系;再次,协整检验和误差修正模型结果表明长期和短期内农村人均贷款与农村人均GDP的关系均为正相关,弹性系数分别为1.30%和17.20%,当短期波动偏离长期波动时,误差修正项将以13.09%作用力做反向调整,促使非均衡状态恢复到均衡状态;最后,格兰杰因果关系检验表明内蒙古农村人均GDP产出和农村人均贷款额之间互为因果关系。     

行为生产:提高预测力的新视角

随着对行为理论研究的深入,行为生产成为生产领域的一个新的研究方向。通过对近10年来国内外有关文献的整理,分析了生产管理与人力资源管理两学科的内在联系,梳理了生产管理和行为理论的研究脉络,提出了对传统生产理论中经济学假设的质疑,最后对行为生产的研究方向和知识结构框架提出了一个初步的设想。     

International evidence on the relative importance of the determinants of earnings forecast accuracy

We analyze earnings forecasting errors made by financial analysts for 18 developed countries over the 1990–2006 period. We use the Heston–Rouwenhorst approach to unravel country-, industry-, and firm-specific effects as a source of variation in financial analysts’ earnings forecast errors. We first estimate each effect with a dummy variable regression, and then decompose the variance of forecast errors into different effects. We provide evidence that the differences between countries, industrial sectors, and analyst-following offer a weak explanation for differences in forecast errors. Country effects however largely dominate industry and analyst-following effects. By contrast, the type of earnings (profits or losses)—and variations in earnings (increases or decreases) play a significant role in the forecast accuracy of financial analysts.     

分析师的现金流预测有用吗——基于信息供给的视角

文章考察了证券分析师现金流预测行为对盈余预测质量的影响。研究发现,相对于没有现金流预测的公司,有预测的公司其盈余预测质量更高;现金流预测的次数越多,盈余预测质量越高;以上关系在盈余波动大、经营活动现金流波动大的公司更加明显。这说明我国分析师提供现金流预测信息的确有用,能够帮助分析师改善其盈余预测质量。文章的发现具有重要的实践价值,能够帮助投资者了解分析师现金流预测对盈余预测的影响,从而更有效地利用证券分析师报告进行决策。     

股票价格波动的信息渠道影响研究——基于媒体报道和分析师预测的视角

文章手工收集、整理了2006-2015年中国A股上市公司的媒体报道倾向数据,实证研究了媒体报道正向倾向与分析师乐观预测偏差对上市公司负收益偏态系数的影响。研究表明,虽然媒体报道正向倾向、分析师乐观预测均分别对上市公司股价负收益偏态系数产生显著的负向影响,但是两者的交互项对股价负收益偏态系数的影响则是显著为正,即当媒体报道正面倾向与分析师乐观预测两者共同作用时,将会触发"信息过度关注偏差"机制,从而降低了上市公司股票收益。文章研究还发现,媒体报道、分析师预测和"信息过度关注偏差"机制的作用强度,在市场化程度高地区要明显大于市场化程度低地区,可能的原因是市场化程度高地区的企业更加容易被媒体报道和分析师关注,进而产生更强的关注效应。     

Excel与SPSS在线性回归预测中的比较分析

线性回归分析是经济管理与预测的一个重要的量化分析方法。分别运用Excel与SPSS对同一实际问题进行线性回归分析,得出两种软件在线性回归预测问题上各有其优势,在经济管理的实际应用中无论选择那种软件都要了解其功能和操作的特点,有助于对实际问题恰当而且正确地分析与预测。     

Efficient estimation of forecast uncertainty based on recent forecast errors

Multi-step-ahead forecasts of the forecast uncertainty of an individual forecaster are often based on the horizon-specific sample means of his recent squared forecast errors, where the number of past forecast errors available decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such samples are investigated. If the forecast uncertainty is estimated by seemingly unrelated regressions, it turns out that the covariance matrix of the squared forecast errors does not have to be estimated, but simply needs to have a certain structure, which is a very useful property in small samples. Considering optimal and non-optimal forecasts, it is found that the efficiency gains can be substantial for longer horizons in small samples. The superior performance of the seemingly-unrelated-regressions approach is confirmed in several empirical applications.     

河南农村物流需求的组合预测及策略研究

河南作为农业大省大力发展农村物流对其率先实现中部崛起有着很重要的现实意义,预测河南农村物流需求对于制定发展战略显得尤为重要。文中以河南农村消费品零售总额为河南农村物流需求预测指标,综合一元线性回归、时间序列双指数平滑法、移动平均法,建立组合预测模型,追求预测误差平方和最小,预测出河南农村物流需求呈良性发展趋势,并就进一步发展河南农村物流提出建议。     

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Past forecast errors are employed frequently in the estimation of the unconditional forecast uncertainty, and several institutions have increased their forecast horizons in recent times. This work addresses the question of how forecast-error-based estimation can be performed if there are very few errors available for the new forecast horizons. It extends the results of Knüppel (2014) in order to relax the condition on the data structure that is required for the SUR estimator to be independent of unknown quantities. It turns out that the SUR estimator of the forecast uncertainty, which estimates the forecast uncertainty for all horizons jointly, tends to deliver large efficiency gains relative to the OLS estimator (i.e., the sample mean of the squared forecast errors for each individual horizon) in the case of increased forecast horizons. The SUR estimator is applied to the forecast errors of the Bank of England, the US Survey of Professional Forecasters, and the FOMC.