The ex-dividend day stock price anomaly: evidence from the Greek stock market

This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004. We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading, which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-dividend day stock price anomaly in Greece.

Cointegration and forward and spot exchange rate regressions

We investigate the relationship between cointegration models of the current spot exchange rate, s_t, and the current forward rate, f_t, and cointegration models of the future spot rate, s_t+1, and f_t and the implications of this relationship for tests of the forward rate unbiasedness hypothesis (FRUH). We show that simple models of cointegration between s_t and f_t imply complicated models of cointegration between s_t+1 and f_t. Consequently, standard methods are often inappropriate for modeling the cointegrated behavior of (s_t+1, f_t)′ and we show that the use of such methods can lead to erroneous inferences regarding the FRUH.     

Testing for the Presence of a Tremble in Economic Experiments

The classical trinity of tests is used to check for the presence of a tremble in economic experiments in which the response variable is binary. A tremble is said to occur when an agent makes a decision completely at random, without regard to the values taken by the explanatory variables. The properties of the tests are discussed, and an extension of the methodology is used to test for the presence of a tremble in binary panel data from a well-known economic experiment.     

Darwinism in economics: from analogy to continuity

Currently there is an ongoing discussion about how Darwinian concepts should be harnessed to further develop economic theory. Two approaches to this question, Universal Darwinism and the continuity hypothesis, are presented in this paper. It is shown whether abstract principles can be derived from Darwin’s explanatory model of biological evolution that can be applied to cultural evolution. Furthermore, the relation of the ontological basis of biological and cultural evolution is clarified. Some examples illustrate the respective potential of the two approaches to serve as a starting-point for theory development.

经济人假设与人的发展在经济学中的位置思考

经济人假设是经济学形成时最好的前提假设。以经济人假设为基础的经济分析视角在不断变化,由此推动了经济学理论不断发展。人的发展经济学研究人的发展问题,与经济学分析离不开人的要求相一致。处于经济社会转型的当今中国,对人的发展问题的研究应该是中国经济学研究的重要任务之一。文章认为,如同传统经济学把经济人作为一种分析方法一样,人的发展经济学应在正确理解人与经济学关系的基础上,找准对人的发展分析的视角。     

上市公司可转债融资动机理论述评

随资本市场以及公司财务理论的发展,公司融资的渠道也在不断拓宽,不再局限于以往传统的权益融资与债务融资,出现了通过发行以可转债为代表的一系列创新型衍生金融工具来为公司投资项目融资。对公司融资动机(特别是使用衍生金融工具)的研究无论在理论上,还是实践上都有着非常重大的意义,而国内学者在该领域研究较少。对国内外学者在上市公司转债融资动机方面的研究从理论假说和实证分析两方面做一个较为全面、系统的梳理,旨在为以后对公司转债融资进行的相关分析奠定一定的理论基础。     

"生态人"的人性假设在管理学中的价值

"生态人"是继"经济人"社会人"复杂人"之后对人性假设的发展.在西方管理学的理论中,人性假设理论的发展推动着管理学理论的发展,即与人性的假设"经济人"-"社会人"-"复杂人"的路线相对应形成的管理学理论是科学管理理论、行为科学管理理论、现代管理理论."生态人"的人性假设的提出,已经在管理科学中得到广泛应用,必然会推动管理学理论向更高层次发展.     

On Testing the Random-Walk Hypothesis: A Model-Comparison Approach

The main intention of this paper is to investigate, with new daily data, whether prices in the two Chinese stock exchanges (Shanghai and Shenzhen) follow a random‐walk process as required by market efficiency. We use two different approaches, the standard variance‐ratio test of Lo and MacKinlay (1988) and a model‐comparison test that compares the ex post forecasts from a NAÏVE model with those obtained from several alternative models: ARIMA, GARCH and the Artificial Neural Network (ANN). To evaluate ex post forecasts, we utilize several procedures including RMSE, MAE, Theil's U, and encompassing tests. In contrast to the variance‐ratio test, results from the model‐comparison approach are quite decisive in rejecting the random‐walk hypothesis in both Chinese stock markets. Moreover, our results provide strong support for the ANN as a potentially useful device for predicting stock prices in emerging markets.     

Fixed income excess returns and time to maturity

The paper explores the relationship between fixed income excess returns and maturity differentials. In a quest to quantify this relationship, we go beyond testing the monotonicity of excess returns, by exploring the functional form of excess returns' dependence on the maturity differential. Essentially, the paper tests whether the monotonicity of excess returns is linked to maturity differential in a linear or nonlinear fashion. The findings suggest that a quadratic relationship fits the data adequately, and therefore imply that excess returns exhibit sensitivity both to maturity differential and also to their location on the yield curve. Thus, although excess returns increase monotonically with maturity they do so at a decreasing rate.     

The Applied Cointegration Analysis for the Open Economy: A Critical Review

Most applied cointegration investigations for the open macro economy rely on error correction models to infer causality, predictability, market efficiency, dominance, and market segmentation. The error correction model is well defined only when cointegration is due to simultaneous common factors. When common factors are not explicitly described as in a latent common factor model, however, error correction models are misspecified. Researchers should therefore be careful in using the error correction model for cointegrated time series to ensure that they are indeed generated from simultaneous common factor models. Analysts should investigate the exact nature of both long-run and short-run relationships by presenting a full-fledged simultaneous equations model. Without such an explicit simultaneous equations model, the presence of cointegration will only uncover the existence of a long-run relationship, but not causality, predictability, market efficiency, dominance, or market segmentation. A best practice will be prescribed for the proper use and interpretation of cointegration application.