On the predictive power of the surplus consumption ratio

This paper shows that the surplus consumption ratio, specified by Campbell and Cochrane [1999. Journal of Political Economy 107, 205–251], is a good predictor of excess returns at long horizons. We also provide empirical evidence that this variable captures a component of expected returns, not explained by the proxies for the consumption to wealth ratio, cay and cdy, proposed by Lettau and Ludvigson [2001a. Journal of Finance 56, 815–849; 2001b. Journal of Political Economy 109, 1238–1286; 2005. Journal of Financial Economics 76, 583–626]. Moreover, used as a conditioning information for the Consumption based Asset Pricing Model (C)CAPM, the resulting linear model helps to explain for the variation in average returns across the Fama–French (25) portfolios sorted by size and book-to-market characteristics.     

Corporate Sales, Equity Trading, and Risk

This paper proposes and investigates an explanation for a positive association between the signed value of common share returns and trading activity. The mixture of distributions model for stock returns and trading is applied with the added assumption that product sales for a firm is the directing process which generates the flow of information to equity markets. Because trading depends upon information arrival, sales and trading are positively related. Also, because contribution margin is positive, cash flows increase with sales. Dependence of both cash flows and trading on sales implies that returns and trading are also positively related. This explanation is tested in this paper.     

Predicting Stock Returns Using Financial Statement Information

We examine the profitability of the Ou and Penman (1989a) Pr trading strategy and the Holthausen and Larcker (1992) Prob trading strategy over the period 1980–1992 in the UK. This is a test of whether an investor can earn abnormal returns by exploiting fundamental accounting data. We employ alternative abnormal return metrics and research designs to control for risk. Using a UK dataset offers an independent test because the UK differs from the US in its formal and informal financial reporting environment, its structure of share ownership, and the behaviour of its economy over the study period. We find consistent evidence that an investor could have used a summary measure of financial statement information to predict future abnormal returns by indirectly predicting one-year-ahead earnings changes, but only weak and inconsistent evidence that an investor could have used a summary measure of financial statement information to predict one-year-ahead stock returns directly. We offer some thoughts on the reasons for these different results.     

Security Choice, Information Effects and Firm Characteristics: A Factor Analytic Approach

Abstract:   We examine the marginal choice between debt and equity securities using a factor analytic approach. This data reduction property eliminates the need to select the one best variable to proxy for a particular theoretical construct. Our results reinforce numerous existing findings using traditional methods and suggest both static tradeoff and asymmetric information based considerations are relevant in determining security choice. Two new results are presented related to the accounting liquidity of the firm. First, the preference for equity is increasing with liquidity as suggested by the window of opportunity hypothesis. Secondly, the market response to equity issuance announcements is inversely related to the liquidity of the firm. Profitability and growth measures support Jensen's (1986) agency cost of free cash flow as a potential explanation for the second finding.     

Stock market booms and real economic activity: Is this time different?

Since World War II, the United States has experienced two large booms on the stock market. During the first boom, which lasted from the late 1940s to the mid-1960s, stock returns were clearly leading real activity. Moreover, the evidence also suggests the existence of predictable return variations in the discount rate through time as a response to changing business conditions. Therefore, the first boom does not stand out as unusual because previous studies, such as Fama (1990) or Chen (1991), confirm these results for the whole period from the 1950s to the 1980s. But during the current boom, which started in the early 1980s, these results do not hold up any more. Stock returns do not seem to lead real activity and predictable return variations as a response to business conditions cannot be detected.     

网络组织超额利润分配研究

网络组织合作模式能够为网络成员带来超额利润（网络租金）,然而目前关于网络成员如何分配超额利润的问题仍是一个“黑箱”,基于此,本文对网络组织超额利润分配问题进行了探讨。在“最大化馅饼”原则下,超额利润分配存在最优比例,企业所处资源位越高,能分得的份额越高。进一步分析表明,知识溢出难易度可通过影响企业所处资源位影响超额利润分配,较高的知识溢出难度为高资源位企业提供了壁垒效应,强化了其优势地位,使其能分得更多的超额利润。为验证上述假设,本文以《世界企业研发投入排名Top1500》中2007～2011年的企业为样本进行了计量检验。最后提出了相应建议。     

价值溢价与一月效应——来自上海A股市场的经验证据

以2000年1月至2011年12月沪市A股上市公司为样本,按Size-B/M方法构建6投资组合,考察我国股市的价值溢价是否存在一月效应现象,检验大盘股、小盘股价值溢价在1月和非1月是否不同,并采用CAPM模型检验价值溢价的一月效应。实证结果发现:1)采用账面市值比B/M划分成长-价值型股票组合,大盘股和小盘股股票都存在价值溢价;2)大盘股和小盘股的价值溢价在1月与非1月存在不同的模式——大盘股在1月存在显著的价值溢价,而小盘股的价值溢价主要在非1月的月份出现;3)CAPM模型能够解释我国股市从2007年1月至2011年12月期间的价值溢价。相对小盘股,大盘股的价值溢价的一月效应更为显著。     

Failures to Deliver,Short Sale Constraints,and Stock Overvaluation

Studying a large sample of publicly available data on failures to deliver, we find that stocks reaching threshold levels of failures become significantly overvalued. Where short sale constraints are especially binding, we report extreme overpricing and subsequent reversals. These findings support the overvaluation hypothesis, although the mispricing is likely to be difficult to arbitrage because of extreme shorting costs. In addition, threshold stocks with low short interest become more overvalued than threshold stocks with high short interest. This suggests that the level of short interest reflects supply‐side effects when the examination conditions on the difficulty of borrowing shares.     

Financial density selection

We propose and study simple but flexible methods for density selection of skewed versions of the two most popular density classes in finance, the exponential power distribution and the t distribution. For the first type of method, which simply consists of selecting a density by means of an information criterion, the Schwarz criterion stands out since it performs well across density categories, and in particular when the DGP is normal. For the second type of method, general-to-specific density selection, the simulations suggest that it can improve the recovery rate in predictable ways by changing the significance level. This is useful because it enables us to increase (reduce) the recovery rate of non-normal densities by increasing (reducing) the significance level, if one wishes to do so. The third type of method is a generalisation of the second type, such that it can be applied across an arbitrary number of density classes, nested or non-nested. Finally, the methods are illustrated in an empirical application.