Tests of risk premia in linear factor models

We show that statistical inference on the risk premia in linear factor models that is based on the Fama–MacBeth (FM) and generalized least squares (GLS) two-pass risk premia estimators is misleading when the β$\beta$’s are small and/or the number of assets is large. We propose novel statistics, that are based on the maximum likelihood estimator of Gibbons [Gibbons, M., 1982. Multivariate tests of financial models: A new approach. Journal of Financial Economics 10, 3–27], which remain trustworthy in these cases. The inadequacy of the FM and GLS two-pass t$t$/Wald statistics is highlighted in a power and size comparison using quarterly portfolio returns from Lettau and Ludvigson [Lettau, M., Ludvigson, S., 2001. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. Journal of Political Economy 109, 1238–1287]. The power and size comparison shows that the FM and GLS two-pass t$t$/Wald statistics can be severely size distorted. The 95% confidence sets for the risk premia in the above-cited work that result from the novel statistics differ substantially from those that result from the FM and GLS two-pass t$t$-statistics. They show support for the human capital asset pricing model although the 95% confidence set for the risk premia on labor income growth is unbounded. The 95% confidence sets show no support for the (scaled) consumption asset pricing model, since the 95% confidence set of the risk premia on the scaled consumption growth consists of the whole real line, but do not reject it either.     

城市交通系统的节能降耗技术政策研究

能源逐渐枯竭和环境日益恶化成为世界各国所面临的最严峻的问题.城市交通是能源消耗、温室气体和污染物排放不容忽视的领域,加快城市交通节能降耗技术的研究和推广,是我国应对全球性能源危机不可缺少的环节,也是实现城市可持续发展、构建资源节约型和环境友好型社会的重要举措和发展策略.本文分析了城市交通能耗状况,提出了城市交通节能降耗技术政策建议.     

中国为什么难以启动内需——基于省级动态面板数据模型的实证检验

根据中国1990～2008年各省的数据,本文使用动态面板模型对引起中国居民消费需求不足的各种原因进行验证。实证结果表明:居民收入占GDP的比重持续下降、由计划生育导致的少儿扶养比持续下降、不断攀升的行政管理费用、住房制度改革是导致我国居民消费率下降的最主要因素。其中收入GDP比、人口结构变迁、行政费用支出占总财政支出的比重和住房制度改革导致的居民消费率下降约7.1个百分点。     

Getting a second chance: the role of imagery in the influence of inaction regret on behavioral intent

Prior research has demonstrated that consumers who take an opportunity and are satisfied (satisfied takers) are likely to avail of a future opportunity when it is presented again but those who forsake an opportunity and experience regret (regretful forsakers) are less likely to do so, exhibiting inaction inertia. In this research we demonstrate when and why regret for inaction may result in the intent to avail of a future opportunity and compare this intent with that of satisfied consumers. Specifically, we demonstrate in two studies that (1) when consumers forgo an opportunity and experience regret, they are motivated to avail of a similar opportunity when it is presented in the future, and (2) this intent by regretful forsakers may be more intense than that experienced by satisfied customers due to the elicitation of mental imagery regarding the anticipated consumption episode. All authors contributed equally to this paper.