How many factors are important in U.K. stock returns?

I use the sequential approach of Harvey and Liu ([2018]. Lucky factors (Working Paper). Duke University) to build linear factor models in U.K. stock returns among a set of 13 candidate factors using individual stocks and three groups of test portfolios between July 1983 and December 2017. My study finds that the Market factor is the dominant factor in reducing mispricing in individual stocks and test portfolios regardless of the pricing error metric used. The Market factor has a bigger impact when using a value weighting pricing error metric. Whether a second factor is used or not depends upon which metric is used for mispricing and the time period examined. My study finds support for a two-factor model for the whole sample period of the Market factor and the Conservative Minus Aggressive (CMA) factor of Fama and French ([2015]. “A five-factor asset pricing model.” Journal of Financial Economics 116: 1–22) when giving greater weight to the mispricing of larger companies.     

Discovering bank risk factors from financial statements based on a new semi‐supervised text mining algorithm

This paper aims to comprehensively uncover bank risk factors from qualitative textual risk disclosures reported in financial statements, which contain a huge amount of information on bank risks. We propose a new semi‐supervised text mining approach named naive collision algorithm to analyse the textual risk disclosures, which can more accurately identify bank risk factors compared with the typical unsupervised text mining approach. We identified 21 bank risk factors in total, which is far more than identified in previous studies. We further analyse the importance of each bank risk factor and how the importance of each risk factor changes over time.     

中国半导体产业链GVC嵌入度与全要素生产率

构建双向固定效应模型,检验半导体产业链GVC嵌入度对全要素生产率的影响及作用机制。结果显示：半导体产业链GVC嵌入度与全要素生产率具有先升后降的倒U形关系,在这两者之间,进口中间品质量起部分中介作用,市场竞争具有显著调节作用,且半导体产业链GVC嵌入度与全要素生产率的非线性关系在不同环节存在差异。鉴于此,应抓住GVC重构和区域化机会,拓宽进口中间品合作渠道,改善市场竞争环境,提升半导体产业链全要素生产率。     

Financial Stress Regimes and the Macroeconomy

Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).     

Model-driven statistical arbitrage on LETF option markets

In this paper, we study the statistical properties of the moneyness scaling transformation, which adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which indicate that the implied volatility smiles are statistically different after moneyness scaling has been performed. An empirical application shows that there are trading opportunities possible on the LETF market. A statistical arbitrage type strategy based on a dynamic semiparametric factor model is presented. This strategy presents a statistical decision algorithm which generates trade recommendations based on comparison of model and observed LETF implied volatility surface. It is shown to generate positive returns with a high probability. Extensive econometric analysis of the LETF implied volatility process is performed including out-of-sample forecasting based on a semiparametric factor model and a uniform confidence bands' study. These provide new insights into the latent dynamics of the implied volatility surface. We also incorporate Heston stochastic volatility into the moneyness scaling method for better tractability of the model.     

Human approach in the quality management system of manufacturing SMEs in Mexico Theoretical review and proposal of a conceptual model

Currently, globalization and competitiveness exert an enormous pressure on small and medium enterprises (SMEs) in the manufacturing sector in Mexico, for that reason they must be more effective and flexible to meet customer demand. In this article, we reviewed the literature on the subject according to the level of significance of variables like human factor, quality culture, quality management system (QMS) and innovation, considered as key elements of a latent competitive scale as from their exploration and explanation. The main objective of this research is to carry out a critical analysis by relating the importance of the human factor of QMS, through research on socio-emotional, intellectual factors and ethics values for achieving the effectiveness of QMS at all organization levels; it also provides a link between variables of quality culture, value propositions, and innovation. Finally, this work discusses the design of a human factor-based quality model to ensure the value propositions for customer and stakeholders’ satisfaction.     

Real effects of private equity investments: Evidence from European buyouts

This study investigates the effects of buyout deals on the ex-post performance of target companies. The analysis is based on a sample of 241 private-to-private buyouts involving European companies between 1997 and 2004 and a control sample of non-buyouts selected through a propensity score matching methodology. The paper explores three different dimensions of firm performance: size, profitability and productivity. The results indicate a positive impact of buyouts on the growth of total assets and of employment in target firms in the short- and mid-term. An equivalent clear pattern cannot be identified for productivity, while we estimate a lower operating profitability for buyout companies with respect to the control group three years after a deal is made. When we restrict the analysis to the sub-sample of buyout companies, we find that generalist funds negatively and significantly impact the mean ex-post operating profitability of PE-backed firms, while turnaround specialists are positively associated with operating profitability. The evidence also highlights that target companies whose lead investor is located in the same country show relatively higher ex-post profitability performance.     

Foreign Direct Investment in Sub-Saharan Africa: Motivating Factors and Policy Issues

Sub-Saharan Africa's (SSA) foreign direct investment (FDI) share has persistently averaged 1% of global flows. The location decision and perceptions of investors are therefore instructive for policy making. This article factor analyses a survey of perceptions, operations, and motivations of 758 foreign investors in 10 SSA countries. We find that the provision of transaction cost–reducing information on industries and markets and utility services to investors before and after a firm's FDI decision are significant factors. FDI location decision in SSA is influenced strongly by political economy considerations. Labor and production input variables are not influential.     

跨国零售商海外市场进入模式及其选择

本文认为,并购、特许、合资、有机增长与战略联盟是目前跨国零售商进入海外市场的常用模式,这几种模式具有不同的优势与劣势以及不同的适用条件;跨国零售商海外市场进入模式选择应综合考察东道国环境因素(包括市场因素、经济环境因素、法律政治因素和社会文化因素等)与零售商特定因素(包括零售商规模、零售商专业技能和国际化经验)等。     

The residual market factor,the APT,and mean-variance efficiency

The rapidly increasing volume of both published and unpublished work on the arbitrage pricing theory (APT) of Ross (1976) has given rise to a number of misunderstandings at the interface of theoretical and econometric work. In this article we extend the theoretical structure of our previous work (McElroy and Burmeister, 1985, 1988; Burmeister and McElroy, 1987, 1988) to provide a broad yet rigorous framework both for econometric estimation and for better economic interpretation of new empirical results. We begin with the case where allK factors are observed, and then present the second case ofK−1≡J observed APT factors and one unobserved factor, theresidual market factor introduced in McElroy and Burmeister (1985). The economic interpretations for equivalent specifications of this model are discussed, and we enumerate several immediate payoffs to these specifications. The main new results are concerned with the sometimes intricate relationships among APT models withK factors and APT models withK factors that are constrained to satisfy mean-variance efficiency restrictions. These results are not only of theoretical interest, but more importantly they provide the basis for econometric estimation and testing of nested hypotheses. These econometric issues are discussed in detail.