An efficient nonparametric estimator for models with nonlinear dependence

We provide a convenient econometric framework for the analysis of nonlinear dependence in financial applications. We introduce models with constrained nonparametric dependence, which specify the conditional distribution or the copula in terms of a one-dimensional functional parameter. Our approach is intermediate between standard parametric specifications (which are in general too restrictive) and the fully unrestricted approach (which suffers from the curse of dimensionality). We introduce a nonparametric estimator defined by minimizing a chi-square distance between the constrained densities in the family and an unconstrained kernel estimator of the density. We derive the nonparametric efficiency bound for linear forms and show that the minimum chi-square estimator is nonparametrically efficient for linear forms.     

A versatile and robust metric entropy test of time-reversibility,and other hypotheses

We examine the performance of a metric entropy statistic as a robust test for time-reversibility (TR), symmetry, and serial dependence. It also serves as a measure of goodness-of-fit. The statistic provides a consistent and unified basis in model search, and is a powerful diagnostic measure with surprising ability to pinpoint areas of model failure. We provide empirical evidence comparing the performance of the proposed procedure with some of the modern competitors in nonlinear time-series analysis, such as robust implementations of the BDS and characteristic function-based tests of TR, along with correlation-based competitors such as the Ljung–Box Q-statistic. Unlike our procedure, each of its competitors is motivated for a different, specific, context and hypothesis. Our evidence is based on Monte Carlo simulations along with an application to several stock indices for the US equity market.     

Instrumental values

This paper studies identification of partial differences of nonseparable structural functions. A model is defined which admits structural functions exhibiting a degree of monotonicity with respect to a latent variate. The model identifies partial differences when there are instrumental values of covariates over which the latent variate exhibits a local quantile invariance, and a local order condition holds. The result is useful when covariates exhibit discrete variation, as arises often in practice, and when restricting latent variates and covariates to be statistically independent is unpalatable. The results are illustrated with data from the returns-to-schooling study of Angrist and Krueger [1991. Does compulsory schooling attendance affect schooling and earnings? Quarterly Journal of Economics 106, 979–1014].     

基于价值网的移动通信运营商标准竞争战略研究

标准是经过各方协商并由公认部门公布的统一规范。随着中国进入后WTO时代,特别是移动通信3G时代的来临,基于标准的竞争日益成为通信技术领域企业竞争的战略方向。而价值网是价值链向外延伸发展的高级阶段,在标准竞争战略中占有重要地位。文章从技术进步与融合背景下运营商所面临的机遇与挑战入手,构建了一个标准竞争战略的分析框架,探讨了移动通信运营商基于价值网的标准竞争战略。     

Measuring volatility with the realized range

Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson [1980. The extreme value method for estimating the variance of the rate of return. Journal of Business 53, 61–65] we replace each squared intra-day return by the high–low range for that period to create a novel and more efficient estimator called the realized range. In addition, we suggest a bias-correction procedure to account for the effects of microstructure frictions based upon scaling the realized range with the average level of the daily range. Simulation experiments demonstrate that for plausible levels of non-trading and bid–ask bounce the realized range has a lower mean-squared error than the realized variance, including variants thereof that are robust to microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirms the potential of the realized range.     

Econometric analysis of copyrights

This paper explores the impact of copyrights on firm value and on the demand for firm output. Using panel data on franchise value and ticket sales from the National Football League over the 1991–2000 period, we analyze the effect of copyrights (in this case, team logos) using several parametric estimators, the Arellano and Bond [1991. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58, 277–297] dynamic panel data estimator, and a semi-non-parametric method based on difference-in-differences propensity score matching. We find a negative effect of logo changes on franchise value that is robust across multiple specifications. In addition, logo changes also appear to have a moderate positive, albeit not particularly robust, impact on ticket sales.     

Short sellers and insider trading profitability: A natural experiment

We examine the impact of short sellers on insider trading profitability using a natural experiment of a pilot program which relaxed short-selling constraints for randomly selected pilot stocks. We find that pilot firms experienced a significant decrease in insider trading profitability during the pilot program. The results are more pronounced for the pilot firms with poor information quality, and for the pilot firms without corporate restrictions on insider trading. Our evidence suggests that short sellers serve an important market disciplinary role by reducing insider trading profitability.     

Terrorism activities and long-term annual management forecasts

We study the effects of terrorist attacks on firms’ long-term annual management earnings forecasts bias. We find that the managers of firms located closer to the epicenters of attacks are more likely to issue optimistic long-term annual earnings forecasts relative to the managers of a control group of unaffected firms. The exposure effect is stronger for more severe terrorist events, and firms with more uncertain fundamentals and less geographic diversification. In addition, we document that managers’ forecast optimism intensifies for firms with stronger negative stock market reaction to the terrorist event, for CEOs with higher ability and for companies that are more likely to issue equity or engage in acquisitions following the terrorist event. Overall, our results are consistent with the idea that long-term annual earnings forecasts are used by managers to counterbalance the short-term pessimistic response to terrorist attacks.     

Media attention and regulatory efficiency of corporate violations: Evidence from China

We examine the influence of media attention on the regulatory efficiency of corporate violations in a restrictive media environment. Using a hand-collected sample of corporate violations in China during 1998–2018, we find that fraudulent firms accompanied by more negative media attention are associated with a higher hazard rate of the violation being investigated and enforced. The effect is not diminished by the political connections of the fraudulent firms and is robust after controlling for potential confounding factors. Our findings suggest that by influencing regulatory efficiency, the media serve as an effective governance mechanism even in markets with strict media control.     

适应需求的技术才能最终驱动市场--浅论技术与市场的关系

本文从移动短信业务的蓬勃发展和铱星的"陨落"这正反两方面入手,有针对性地分析了技术与市场的关系,指出了只有适应需求的技术才能最终驱动市场.同时,就如何以市场观念正确认识和把握第三代移动通信(3G)的发展提出了建设性意见.