孔隙水对深部巷道稳定性影响研究

随着经济的飞速发展,对资源的需求量越来越大,长期大强度的开采导致浅部的矿产资源已日渐枯竭,矿产资源的开采向深部转移,巷道的稳定性将受到高地应力和高孔隙水压力等深部恶劣环境的影响。因此本文运用岩体力学理论和有限差分软件FLAC3D,考虑流-固耦合的情况下,对高地应力下孔隙水压力的巷道的变形和稳定性进行了理论分析和数值模拟,得到孔隙水的存在使巷道变形增大,巷道的稳定性减弱。     

The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study

This study analyzes the role of bank and corporate balance sheets on early warning systems (EWS) of currency crises. Using firm-level data on debt structure, leverage, liquidity, and profitability, this study presents estimations of EWS for a panel of emerging markets. Using calibration experiments, we assess the performance of alternative EWS specifications in a comprehensive range of crisis-probability cut-offs?. These models supplement EWS based on traditional macroeconomic indicators, improving forecasting performance substantially. The results support the third-generation models of currency crises and can assist policymakers on the design of surveillance strategies tailored for heterogeneous levels of risk tolerance and country specificities.     

Screening: Value enhancing or diminishing?

Using an international sample of environmental and social firm-level ratings between 2007 and 2019, we form synthetic overlapping region-based equity portfolios to examine the impact of screening stringency on abnormal returns and specific risk. While previous literature analyzes this relationship in a bidimensional setting, inferences made in this study are additionally robust to regional levels of market efficiency. Our results suggest that (1) screening stringency displays an inverted curvilinear relationship with risk-adjusted returns and (2) the impact on specific risk is strictly increasing. Thus, portfolios that employ marginal and substantial screening incur the cost of responsible investing. However, moderate screening has the benefit of increasing performance without the burden of financing the least responsible corporations.     

The complementarity effect of exporting,importing and R&D on the productivity of Ukrainian MNEs

After two decades of research on Emerging Market Multinational Enterprises (EMNE), the debate still concerns the antecedents and strategies of their foreign expansion. However, much less has been said on the effects of international participation on their productivity. Building on insights from the Resource-Based View of the firm and agency theory, we develop hypotheses on the presence of complementarities among export, import and R&D and their impact on productivity. Our empirical analyses on a panel of 23,000 time-year observations of Ukrainian MNEs over the period 2000–2006, confirm that: (i) EMNEs benefit from complementarities stemming from the assimilation and integration of knowledge from international external sources (import and export) with internal knowledge (own R&D investment); (ii) the effect is more pronounced for private-owned enterprises (POEs) rather than state-owned enterprises (SOEs), and (iii) especially when they trade with partners in/from advanced markets.     

Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability

In this paper, we empirically examine whether superior performance in corporate social responsibility (CSR) results in lower credit risk, measured by credit ratings and zero-volatility spreads (z-spreads). We are especially interested in how the environmental, social, and governance (ESG) related performance of the corresponding countries moderates this relationship. We find only weak evidence that superior corporate social performance (CSP) results in systematically reduced credit risk. However, we do find strong support for our hypothesis that a country’s ESG performance moderates the CSP–credit risk relationship. Superior CSP is regarded as risk-reducing and rewarded with better ratings and lower z-spreads only if it is recognized by the environment. In addition, we find a reduction of corporate bonds’ z-spreads by approx. 9.64 basis points if the CSP of a company mirrors the ESG performance of the country it is located in.     

Volatility returns with vengeance: Financial markets vs. commodities

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled consistently within the correlation dynamics of the ADCCX. We find evidence that return and volatility spillovers do exist between commodity and financial markets and that in turn, their relative impact on each other is very substantial.     

Short-term overreaction to specific events: Evidence from an emerging market

This paper investigates the short-term overreaction to specific events and whether stock prices are predictable in the Egyptian stock exchange (EGX). We find evidence of the short-term overreaction in the EGX. Losers (“bad news” portfolios) significantly outperform winners (“good news” portfolios) and investors can earn abnormal return by selling the winners and buying losers. Terrorist attacks have negative and significant abnormal returns for three days post event followed by price reversals on day four post event. Whereas, the tensions in the Middle East region have a negative and significant abnormal returns on event day followed by price reversals on day one post event. Moreover, the formation of a new government has no effect on the average abnormal returns post event in the EGX. The results also show that small firms tend to have greater price reversals compared to large firms. Overall, our results provide evidence of the leakage of information in the EGX.     

El efecto fin de mes en los principales mercados accionarios latinoamericanos

In equity markets, it is common to find calendar anomalies, which have been the subject of several studies in recent decades, even some of them showing that over time these anomalies have disappeared. In this context, this paper analyzes one of these anomalies, the end-of-the-month effect, in both return and volatility in six Latin American stock markets, namely Brazil, Mexico, Chile, Colombia, Peru and Argentina during the period of 1993-2011. The importance of the evidence for the existence of this anomaly is to allow testing whether the effect has been disappearing over time. The findings of this research show the existence of positive abnormal returns and abnormal volatilities on days associated with the change of months for most of the countries under analysis. This research was performed according to three different periods defined in the literature to analyze the impact of the end-of-the-month effect. This research not only examines the key indexes of each market, but also the individual stocks of each, giving a much larger and demanding sample, which can lead to better conclusions about the existence of the phenomenon. Also, the transaction volume analysis is included to validate some hypotheses related with the high cash flow in the turn-of-month period.     

Equity financing activities and European value-growth returns

This paper extends the U.S. evidence in Bali et al. (2010) to European stock markets. Like in the United States, European value-growth returns are strongly dependent on the valuation signals contained in the firm’s equity financing activities. The high returns of value firms are due to value purchasers, while the low returns of growth firms are due to growth issuers. Among value issuers and growth purchasers, there exists no value premium at all. The large return difference between value purchasers and growth issuers cannot be explained by common risk factors. However, employing Piotroski and So’s (2012) recently proposed market expectation errors approach shows that the observed value-growth returns can be attributed to mispricing.     

反思与超越：水权交易中公民参与维度的构建

在水权交易中提高公民参与的力度,契合民主社会发展之需要,促进水资源的优化配置。利益博弈是公民参与水权交易主要动因,社会讯息互动、法律制度保障、公民参与精神等的缺失是当前制约公民参与水权交易的现实困境,因而今后应着力进行公民参与的多重建构,具体可在水权交易中引入公共参与的概念并对之进行具体体系构建,从法律和精神两个层面出发,通过全局体系构建模式完善公民参与制度。