The asymmetric relationship between returns and implied volatility: Evidence from global stock markets

We investigate the asymmetric relationship between returns and implied volatility for 20 developed and emerging international markets. In particular we examine how the sign and size of return innovations affect the expectations of daily changes in volatility. Our empirical findings indicate that the conditional contemporaneous return-volatility relationship varies not only based on the sign of the expected returns but also upon their magnitude, according to recent results from the behavioral finance literature. We find evidence of an asymmetric and reverse return-volatility relationship in many advanced, Asian, Latin-American, European and South African markets. We show that the US market displays the highest reaction to price falls, Asian markets present the lowest sensitivity to volatility expectations, while the Euro area is characterized by a homogeneous response both in terms of direction and impact. These results may be safely attributed to cultural and societal characteristics. An extensive quantile regression analysis demonstrates that the detected asymmetric pattern varies particularly across the extreme distribution tails i.e., in the highest/lowest quantile ranges. Indeed, the classical feedback and leverage hypotheses appear not plausible, whilst behavioral theories emerge as the new paradigm in real-world applications.     

Risks from self-referential peer review echo chambers developing in research fields: 2018 Keynote Address presented at The British Accounting Review 50th Anniversary Celebrations,British Accounting and Finance Association Annual Conference,London

Denigration of academic experts and expertise, amid a resurgence of political populism, poses a challenge to the legitimacy of academic research. Addressing this challenge requires us to continually demonstrate the importance of basing policy interventions on reliable evidence, rather than unevidenced assertions that gain traction through communication echo chambers. However, unconscious confirmation biases in collection and analysis of evidence can impair the reliability of our research insights. A key source of such confirmation biases are unchallenged ideologies and other taken-for-granted assumptions underlying any research (sub)field. This essay argues that informal and formal peer review processes at many stages of research need to highlight and challenge both conscious selectivity bias and unconscious confirmation bias. However, they are unlikely to do so where researchers only take on board feedback from peers in the same (sub)field who share ideological commitments and taken-for-granted assumptions. In such circumstances, self-referential peer review echo chambers can develop that entrench rather than challenge weaknesses in a research (sub)field. This can be a major risk to the effectiveness and reputation of any academic research (sub)field; a risk we need to confront.     

Housing demand in Russia: Rationing and reform1

In a number of articles Alexeev (1988a) and (1988b) shows that in the former Soviet Union the administrative rationing of housing was partially replaced by market forces acting through the second economy. This paper uses a much richer dataset to update his analysis for Russia to consider housing demand in 1992, the last year of the administrative allocation system. Almost immediately after the survey used for this analysis Russia began to privatize the housing stock as part of its movement towards a market economy. The questions we ask are: Were households really able to beat the system, as argued by Alexeev and, if so, were they still able to do so in 1992? Our answer to the second question is that in 1992 households were not able to beat the system. Income had no observable effect on housing demand. Furthermore, we do not think that the difference in our empirical results and Alexeev's is due only to the broader economic changes that occurred since his estimation or the richer dataset available to us. Indeed, our answer to the first question is that there are good reasons for arguing that Alexeev's estimates of the income elasticity of housing demand are biased upwards.     

论永州现代物流业的发展思路

剖析了永州物流业发展的现状，分析了永州物流业发展面临的优势和劣势．并提出“以政策为导向，以设备设施和信息化为基础．以建设物流园区为突破口。以培育有竞争力的物流企业和企业联盟为载体，以人才为保障，打造现代物流中转基地．把现代物流业培植成为全市服务业的重要支柱”的发展思路。     

基于终极产权论的股权结构与公司绩效研究

文章依据终极产权理论,对我国制造业上市公司股权进行重新划分,分为国有终极控制权和非国有终极控制权.采用面板数据方法,在控制样本选择偏差和股权内生变量的前提下研究股权结构对公司绩效的影响.实证结果表明,终极控制权比例与国有控股公司绩效CFOA、M/B呈显著的倒U性关系,而与传统绩效指标ROE、ROA无显著关系,在非国有终极控股公司中则不存在上述关系.流通A股比例与公司绩效关系不确定.样本选择偏差、机构投资者和外资股对公司绩效也有不同的影响.     

我国保险业的发展现状及其对企业执行力的要求

近年来,在良好的发展环境下,我国保险业在整体实力、结构调整、经营效益和深化改革等方面都取得了长足进展。但在发展过程中也遇到许多困难与问题有待解决。从市场适应能力、整体素质和服务意识、风险防范与内控力度以及制度建设与完善等方面来看,我国保险业还处于发展的初级阶段。为了抓住机遇,迎接挑战,必须加强保险企业执行力建设。这既是宏观环境和行业自身发展的要求,也是缩短我国保险业与国际水平差距的必经之路。     

城市流动人口生存现状与管理转型

我国城市流动人口目前的突出问题包括管理体制、居住条件、就业与社会稳定。城市流动人口管理转型的方向，应是建立强有力的管理协调机制，把城市流动人口就业问题纳入日程，建立流动人口社会保障机制，加强对流动人口的教育培训，探索降低治安刑事案件、加强流动人口社会治安工作的途径。     

Biases in demand analysis due to variation in retail distribution

Aggregate demand models typically assume that consumers choose between all available products. Since consumers may be unwilling to search across every store in a given market for a particular item, this assumption is problematic when product assortments vary across stores. Using supermarket scanner data for five product categories we demonstrate that approximately one third of products have limited retail distribution, which account for one fourth of dollar sales. Monte Carlo analysis demonstrates that the level of limited product availability observed in the data can significantly bias the results of aggregate demand models that incorrectly assume all consumers in a given market face the same choice set.     

辽宁省加工贸易发展现状研究

加工贸易是推动辽宁省对外经济贸易持续、快速发展的主要动力。在十一五建设期间，如何利用加工贸易的转型升级来促进辽宁省产业结构的调整是一项十分重要的课题。本文对辽宁省加工贸易发展的现状及存在的问题进行了全面深入分析，并提出依托国内企业，沿着价值链上下游延伸，开展技术创新，发展自主知识产权和自我品牌，是辽宁省加工贸易的发展之路。