Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications

We find nonsynchronized movements of two new measures of financial market uncertainty—good and bad volatility—which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with better (worse) expectations about the future economic situation and clearly signals acceleration (deceleration) in economic activity. The VAR results indicate that (i) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses to a good volatility shock are modest, and (ii) bad volatility shocks explain the bulk of economic activity and stock price fluctuations in the medium run.     

Macroeconomic fundamentals,jump dynamics and expected volatility

In this paper, we develop a new volatility model capturing the effects of macroeconomic variables and jump dynamics on the stock volatility. The proposed GARCH-Jump-MIDAS model is applied to the S&P 500 index. Our in-sample results indicate that macroeconomic activities have important impacts on aggregate market volatility. Out-of-sample evidence suggests that our model with macroeconomic variables significantly outperform a wide range of competitors including the original GARCH(1,1), GARCH-MIDAS and GJR-A-MIDAS models. The volatility timing results also show that the information from jumps and macroeconomic activity is helpful for improving the portfolio performance.     

EFFECT OF CORPORATE SCIENTISTS ON FIRMS’ INNOVATION ACTIVITY: A LITERATURE REVIEW

This study reviews the literature on the effect of corporate scientists on firms’ innovation activities. Traditionally, the scientist's role in a firm is linked to the processes of generation and absorption of scientific knowledge. However, a growing number of studies over the years show that the scientist's role in firm innovation processes is more extensive and that they contribute to the development of successful new products, processes and services. However, there are no comprehensive reviews of this literature. This paper fills the gap by providing a systematic review of the empirical literature on the role of the corporate scientists in the innovation process by investigating: (1) theoretical approaches used to evaluate the impact of scientists, (2) the importance for the firm's innovation activity of scientists’ heterogeneity, (3) those firm innovation activities over which scientists exhibit more influence, (4) the variables moderating the effect of scientists and (5) research implications for managers.     

制造企业最优物流作业批量模型研究

文章在基于作业和时间相结合的产品物流成本核算法的基础上,构建了制造企业最优物流作业批量模型,旨在降低企业物流流程成本,提高客户满意度,并通过案例证明了该模型的可行性和适用性。     

Going for gold as a leisure tourism continuum: clustering motivations for gold panning revisit intention

The way in which people use their spare time differs. Leisure activities and tourism are among the most common of these. Gold panning is a rather unusual niche leisure and tourism activity. Despite some differences, leisure and tourism are generally interrelated in many ways, thus gold panning, is a good example of the leisure tourism continuum. In this study, gold panning is considered as a set of leisure activities within the context of tourism. The aim of the paper is to determine the profile of a gold panner based on their motivations. Therefore, respondents are clustered by means of motivation into two homogenous groups defined as ‘nature seekers’ and ‘true gold panners’. The results suggest that the clusters differ significantly with regards to age, education and marital status, but also in terms of the degree of interest in gold and revisit intention. The originality of the research lies in the fact that gold panning as a leisure activity has seldom been explored under the guise of a leisure and tourist context within existing literature, especially through the means of quantitative research.     

The Effect of Option Listing on Bid-Ask Spreads,Price Volatility,and Trading Activity of the Underlying OTC Stocks

This paper examines the changes in spreads, price volatility, and trading activity surrounding option listing for a sample of 144 OTC stocks. For this sample, both price volatility and volume increase, but the evidence on spreads is mixed. The increase in price volatility is attributed primarily to an increase in residual return variances. Furthermore, price volatility increases even after controlling for volume, insider trading, and spreads. Although these variables do not fully explain the causes for the increase in price volatility after option listing, the results suggest that liquidity trading or volume has a stronger effect on price volatility than insider trading. This study also finds that both the number of trades and institutional holdings show substantial increases, which are supportive of the notion that listing of options on OTC stocks attracts more attention.     

Two Perspectives on DEA: Unveiling the Link between CCR and Shephard

In this paper we contrast the DEA and activity analysis approaches by Charnes, Cooper and Rhodes (1978) and Shephard (1970), respectively. We show that by appropriately normalizing Shephard's output price model the two approaches coincide.     

Lagged order flows and returns: A longer-term perspective

In this paper, we consider the large-sample relation between returns and lagged order flows over horizons of up to 2 months. The analysis is motivated by work in market microstructure which suggests that the effects of inventory control on stock returns should be discernible over horizons longer than those considered in the literature. We begin our analysis by developing a simple model of inventory effects in the presence of public information. Using mid-quote return data, we then find some evidence of return predictability using order flows, even after controlling for lagged returns, which is consistent with our theoretical setting. The relation is present only for negative imbalances and is stronger in large firms rather than small ones. Overall, the analysis is consistent with the notion that inventory control effects span several weeks.     

应用写作课延伸教学的思考

仅靠写作课教学来提高学生的写作能力,客观上存在局限性。其只能是对常用应用文体的基础知识和基本写作技法的传授和训练,难以全面提高学生的写作能力。而通过写作课延伸教学,利用人文选修课、校园文化活动以及社团活动,在丰富学生的人文修养,进一步锻炼学生的思维能力,提高其综合素质的同时,也有利于学生写作能力的培养和提高。