Anomalies and stock returns: Australian evidence

Prior research has identified the existence of several cross‐sectional patterns in equity returns, commonly referred to as effects. This paper tests for the existence of a number of well‐known effects using data from the Australian equities market. Specifically, we investigate the size effect, book‐to‐market effect, earnings‐to‐price effect, cashflow‐to‐price effect, leverage effect and the liquidity effect. An additional aim of this paper is to investigate the capability of the Fama–French model in explaining any observed effects. We document a size, book‐to‐market, earnings‐to‐price and cashflow‐to‐price effect but fail to find evidence of a leverage or liquidity effect. Although our findings indicate that the Fama–French model can partially explain some of the observed effects, we conclude that its performance is less than satisfactory in Australia.     

Understanding evolutionary processes in non-manufacturing industries: Empirical insights from the shakeout in pharmaceutical wholesaling

Although the empirical pattern of industry shakeout has been documented for many manufacturing industries, we know little about the processes by which market structure evolves in non-manufacturing service industries. This paper establishes detailed empirical observations about the consolidation of a single non-manufacturing industry, the wholesale distribution of pharmaceuticals. These observations are used to explore differences between manufacturing and wholesaling in both the patterns and explanations for consolidation and analyze the explanatory power of theories that link consolidation to technological change. The analysis demonstrates that theories developed to explain consolidation in new manufacturing industries have varying degrees of applicability to the consolidation of drug wholesaling. The observed patterns of exit, innovation, and growth suggest important modifications to evolutionary theories of market structure.     

准备金率和资本充足率影响商业银行贷款规模的机制分析

货币银行传统理论认为:货币当局以准备金率控制贷款规模,以资本充足率控制贷款风险。本文从分析准备金与资本充足率对贷款规模的约束机制入手,引入银行资产负债表模型,证明银行贷款规模主要受资本充足率影响。研究结论是:准备金率对贷款规模的控制作用已经弱化,资本充足率对贷款规模的控制作用趋强。     

小企业需要怎样的金融服务——以义乌箱包行业为例

小企业金融服务是长期探讨和研究的话题,但很少有人会从小企业具体运行的业务模式和资金流向去分析探究其资金需求的特点,本文以具有准入门槛低、劳动就业容量大、生产涉及面广等特征的义鸟的箱包行业入手去分析小企业的金融服务需求,先分析了箱包行业的业务模式、再分析箱包行业的资金特征和对应的资金需求,再是银行可根据这些资金需求开展哪些业务创新,最后得出银行做好小企业金融服务的关键点是:寻求可靠的风险控制点,把可能产生的各类风险通过合理、规范的设计进行转移消除这个结论.     

A supply-demand model of public sector size

We develop a supply-demand model for the public sector with a political equilibrium. The model considers the inefficiencies caused by taxes and includes costs associated with the provision of public goods to consumers. We show that the size of the public sector may depend on the median voter's income, population size, costs associated with paying tax, and quality of institutions, all of which reflect the costs of provisioning public goods. The estimates for the Organisation for Economic Co-operation and Development member countries are compatible with theoretical predictions; however, they do not confirm Wagner's law, which holds that the public sector share does not grow with an increase in income. A greater dependency ratio and the Gini coefficient increase demand for redistribution policies. Greater government effectiveness is a supply-side factor that increases the public sector's share in an economy.     

Trade-size clustering and price efficiency

Using a sample of 26 markets, this paper investigates if trade-size clustering affects price efficiency. Our results suggest that more clustering trades are associated with greater resemblance of a random walk, less pricing errors, and shorter price delays. Moreover, we examine three underlying mechanisms to explain how clustering improves efficiency. First, we show that clustering trades are informative, consistent with the idea that stealth traders leverage such tactics to convey private information to prices. Second, we discover that clustering trades are positively related to investor attention (stock liquidity), implying that informed clustering trades happen at the presence of enormous uninformed investors. High attention and liquid markets help reduce the trading friction, thereby prompting quick price adjustments to private information released by the stealth trading.     

董事会规模与公司价值关系的进一步检验——基于公司规模门槛效应的分析

对于董事会规模与公司价值之间的关系,以往的研究得出了完全不同的两种结论,分析原因可能是因为公司在确定董事会规模时很大程度上取决于公司规模大小。本研究通过检验发现,公司规模对董事会规模具有门槛效果,通过使用门槛自回归模型可以更好地解释董事会规模和公司价值之间的关系,实证研究的结果表明,在公司规模相对较小的门槛区间,董事会规模和公司价值之间存在显著的正相关关系,而在公司规模较大的门槛区间,董事会规模与公司价值之间的关系在统计上不显著,但符号上表现为负相关关系。     

Scaling the volatility of GDP growth rates

The distribution of shocks to GDP growth rates is found to be exponential rather than normal. Their standard deviation scales with GDP^β where β=−0.15±0.03. These macroeconomic results place restrictions on the microeconomic structure of interactions between agents.     

IPO performance and the size effect: Evidence for the US and Canada

This study provides new evidence on the interaction between firm size and IPO underpricing in the US and Canadian markets. We find a size effect on IPO underpricing in both Canada and the US, which is larger for Canadian firms. Canadian small firms show more underpricing than US small firms (19.32% vs. 13.87%). Large Canadian firms also exhibit more underpricing than their US counterparts over the sample period (12.83% vs. 10.09%). A size effect on performance is not apparent for holding periods beyond six months from the IPO in both countries, consistent with seasoning effects that reduce information asymmetries across firms over longer investment horizons.     

Interaction of size,book‐to‐market and momentum effects in Australia

This study seeks to disentangle the effects of size, book‐to‐market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book‐to‐market. Three key findings emerge. First, the size premium is the strongest, particularly in the loser portfolios. Second, the value premium is generally limited to the smallest portfolios. Third, the momentum premium is evident for the large‐ and middle‐sized portfolios, but loser stocks significantly outperform winner stocks in the smallest size portfolio. When these interactions are controlled with multivariate regression, we find a significant negative average relation between size and returns, a significant positive average relation between book‐to‐market and returns, and a significant positive average relation between momentum and returns.