How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap’s maturity. We extract VRP from actual S&P 500 variance swap quotes and we test four classes of predictive models. We find that the best performing model is the one that conditions on trading activity. This relation is also economically significant. Volatility trading strategies which condition on trading activity outperform popular benchmark strategies, even once we consider transaction costs. Our finding implies that broker dealers command a greater VRP to continue holding short positions in index options in the case where trading conditions deteriorate.     

Housing Allowance and the Rent of Low‐income Households

This paper analyses the effect of a housing allowance programme on the rent paid by assisted low‐income households. The data consist of 12,000 rental households in the free‐market and municipal sectors. The effect is estimated using the programme reform of 2002 as an instrument. The reform increased the allowance of the assisted households depending on housing characteristics, but it had little effect on the eligibility. Results suggest that in the private sector, one additional euro of allowance increases the rent of claimants by 60–70 cents. The effect is zero in the municipal sector, as rents are tied to the housing costs.     

企业应对劳动力成本增加的品牌战略研究

我国城乡居民人均收入将于2020年翻一番，由此引发的问题是劳动力成本的快速提高。文章在品牌经济学的框架下，分析指出通过品牌战略建设提高产品溢价能力，是企业应对劳动力成本上升的有效手段。通过构建引入选择成本的需求函数，证明了品牌溢价能力与其品牌信用度呈正比关系。在理论分析的基础上，文章提出了应对收入倍增的品牌战略路径，主要包括自主品牌-自主品牌、自主品牌-他人品牌、他人品牌-自主品牌、他人品牌-他人品牌等四种方式。企业可根据实际情况，选择合适路径实现从无品牌到弱势品牌，再到强势品牌的转变。     

二阶自回归效应有限时间最优相对保费稳健性

在汽车保险奖惩系统相对保费研究中,需要考虑随机效应的动态异质性。在假设随机效应是一个二阶自回归随机序列的条件下,李俊海、赵振英、常沙沙(2011)给出了有限时间下最优相对保费计算公式,但是没有研究该公式的稳健性。在相同条件下,可以证明该文保费公式的稳健性。     

专用性人力资本与三项贴水关联性研究

人力资本按专用性程度分为专用性人力资本、普通专用性人力资本和非专用性人力资本,员工的贴水可以分为收入贴水、品牌（信誉）贴水和情感贴水。通过揭示专用性人力资本和三项贴水的内在关联性,将两者进行深化匹配,在此基础上有助于给出组织运行机制的合理设计。     

Tactical Asset Allocation and Stock Issuance in the Korean Stock Market

Stock issuance predicts future stock returns in the Korean market. This creates profitable trading opportunities. Abnormal returns exist in the zero-cost portfolio that short the firms issuing large numbers of shares and longs those issuing small numbers of shares. Their average abnormal return is 12 percent per annum, which is highly significant even after controlling for market, size, value, and momentum factors as well as transaction costs. The authors suggest the possibility of fixed costs in equity market timing. Only the sizable benefit from market timing over fixed costs motivates firms to increase net equity shares.     

Equity Risk Premium Puzzle: Evidence from Indonesia and Sri Lanka

This paper investigates the equity risk premium puzzle in the Indonesian and Sri Lankan stock markets in order to identify the relationship between the volatility of excess returns and the equity risk premium. The asymmetric impact of negative shocks on the equity risk premium is also examined using threshold and exponential GARCH-M models. We analyse data on the excess returns of the Indonesian and Sri Lankan stock markets from 2004 to 2013, and we find that the impact of the conditional volatility of excess returns on the equity risk premium is not significant in either country. Instead, we find an impact from negative return shocks on the equity risk premium only in Sri Lanka. Therefore, we conclude that investors are not compensated for the conditional volatility of the excess returns in these two markets, while Sri Lankan investors are compensated for the risk of negative shocks.     

供需结构优化、分配结构演化与2035年共同富裕目标展望

共同富裕是社会主义的本质要求,中国推动经济社会发展,归根结底是要实现全体人民共同富裕。新发展阶段下中国既要优化供需结构以加快构建新发展格局,又要改善分配结构以全面贯彻新发展理念,而供需结构优化与分配结构演化又是紧密关联的。本文建立了一个包含供给结构、需求结构和分配结构的多部门动态一般均衡模型,将分配结构演化分解到供给结构与需求结构转型上,提出了需求结构通过影响供给结构进而影响分配结构的理论机制。本文对近三十年全球四十余个经济体劳动收入份额和技能溢价的演化进行了发展核算,展示了中国分配结构演化的特征事实、供需动因与国际比较。研究发现,中国分配结构演化道路具有一定的特殊性:一方面,劳动收入份额转为上升,供给侧(需求侧)最主要的推动力是持续提高的劳动密集型产业(消费品)的劳动密集程度;另一方面,技能溢价不断扩大,供给侧(需求侧)最主要的推动力是持续提高的产业内部(消费品)的技能密集程度;供需结构转型在其中也发挥了重要作用。本文还基于历史趋势定量预测了未来中国分配结构的演化趋势,为实现2035年共同富裕目标提供了现实依据与政策参考。     

Premium setting and bank behavior in a voluntary deposit insurance scheme

This study analyzes the effect of premium rates on banks’ incentives to join a deposit insurance scheme and their incentives to invest in risky projects under a voluntary deposit insurance scheme. We find that in order to maximize social welfare, the insurance agency must either set the premium rate to be low so as to attract all banks to join the insurance scheme, or not to have the deposit insurance at all. However, the low premium rate in the voluntary scheme does not balance the budget of the deposit insurance. We also show that in the compulsory deposit insurance scheme, however, it is possible to impose an optimal premium rate that can balance the insurance agency’s budget and achieve the highest social welfare. The results also present the dominance of the compulsory scheme over the voluntary scheme in terms of maximizing social welfare and balancing the budget.