Shorting costs and profitability of long–short strategies

We examine how the profitability of long–short arbitrage strategies based on anomalies is affected after adjustment for two shorting costs: implicit cost due to unavailability of stocks in the short-leg to sell short and loan fees actually paid to stock lenders. The combined shorting cost amounts to almost 40 percent of long–short gross returns over the sample period from January 2006 to December 2017. After adjustment for these shorting costs, long–short arbitrage profits are thus reduced by almost 40 percent. Even after adjustment for risk, the proportion of shorting costs is also substantial. If other trade-related transaction costs are considered, long–short arbitrage profits would be reduced further. Our results provide explicit evidence that casts doubt on the profitability of long-short arbitrage strategies based on anomalies.     

公共充电基础设施对电动汽车购买的异质性影响研究

交通部门是中国最重要的碳排放源之一，交通电动化对实现双碳目标至关重要。本文以中国纯电动汽车消费为例，采集2017年1月至2020年11月中国31个省份（因数据缺失，不包含港澳台地区）充电桩数量及电动汽车销量数据构建面板固定效应模型和门槛效益模型，实证分析了不同类型公共充电基础设施对不同用途纯电动汽车购买的影响，以及不同地区温度对销量影响的门槛效应。研究发现公共充电桩数量增加1%，纯电动汽车购买量显著增加0.85%，其中出租租赁用途纯电动汽车销量显著增加1.57%。直流公共充电桩对纯电动汽车购买的影响远大于交流公共充电桩，并对不同用途的电动汽车存在异质性影响。此外，在气温更低的地方公共充电桩对纯电动汽车购买的影响更大，其显著门槛值为15摄氏度，且气温对出租租赁汽车的影响比非营业用途更大。政策制定者应合理考虑公共充电桩等基础设施的增设布局以保障电动汽车的续航能力，从而促进交通运输部门的脱碳进程。     

Reverse stress testing: Scenario design for macroprudential stress tests

We propose a systematic algorithmic reverse-stress testing methodology to create “worst case” scenarios for regulatory stress tests by accounting for losses that arise from distressed portfolio liquidations. First, we derive the optimal bank response for any given shock. Then, we introduce an algorithm which systematically generates scenarios that exploit the key vulnerabilities in banks' portfolio holdings and thus maximize contagion despite banks' optimal response to the shock. We apply our methodology to data of the 2016 European Banking Authority (EBA) stress test, and design worst case scenarios for the portfolio holdings of European banks at the time. Using spectral clustering techniques, we group 10,000 worst-case scenarios into twelve geographically concentrated families. Our results show that even though there is a wide range of different scenarios within these 12 families, each cluster tends to affect the same banks. An “Anna Karenina” principle of stress testing emerges: Not all stressful scenarios are alike, but every stressful scenario stresses the same banks. These findings suggest that the precise specification of a scenario is not of primal importance as long as the most vulnerable banks are targeted and sufficiently stressed. Finally, our methodology can be used to uncover the weakest links in the financial system and thereby focus supervisory attention on these, thus building a bridge between macroprudential and microprudential stress tests.     

自媒体对大学生群体购买保险行为影响分析

互联网+自媒体+保险销售成为目前各家保险公司商品传播的重要形式之一。然而利用保险排斥模型与学银在线互联网金融概论在线开放课程平台互联网金融商品的设计与改善章节问卷的184位大学生受访者样本研究发现，互联网+自媒体+保险销售模式会降低大学生对于保险自我排斥的效果，并且产生购买保险的羊群效应。因此建议互联网+自媒体+保险销售模式应该在平台上设置认识你的客户特征问卷，并且尽可能提醒客户应该注意的事项、流程，做好让客户充分了解自己购买的保险商品工作，减少保险消费纠纷，维持金融市场有序发展。     

Do online sales channels save brands of global companies from consumer boycotts? A geographical analysis

This study empirically investigates the link between global companies' brand strength and consumers' actual purchase behavior by considering online purchasability and the geographical area in the context of boycott campaigns. To test the hypotheses, we employ a hierarchical multiple regression model using online survey data collected from 571 South Korean consumers. Our findings reveal that online purchasability with strong brand strength could be a beneficial strategy for global companies to increase consumers’ actual purchase behavior. Further, non-metropolitan consumers show an increase in actual purchase behavior as compared to metropolitan consumers. This study has implications for global companies to adequately respond to unexpected consumer boycotts.     

Policy uncertainty and inventory behavior: Evidence from the US manufacturing sector

This study investigates the impact of economic policy uncertainty (EPU) on asymmetric inventory investment (i.e., inventory stickiness or sticky inventory management). Using a sample of 74,912 US firm-year observations over the 1984–2021 period, we observe a significantly negative relationship between EPU and asymmetric inventory investment. Our cross-sectional analyses reveal that managers' pessimistic expectations regarding future demand and higher cost of funding and maintaining capacity are the channels through which EPU affects asymmetric inventory behavior. Moreover, this negative impact is more pronounced for firms that face longer-duration uncertainty, rely heavily on government purchases, and have higher firm-specific political risk. Lastly, we find that reducing inventory stickiness leads to improved firm performance during periods of increasing policy uncertainty.     

企业电子商务集群模式与销售绩效的促进关系——以台州企业为例

为了研究电子商务集群模式与销售绩效间的关系,通过调查分析企业进行电子商务集聚的方式对其进行模式划分,主要为第三方电子商务平台、电子商务行业协会、电子商务产业园区、区域电子商务品牌、自建网站等模式;以集聚模式为因子,以销售量为绩效目标,建立绩效分析的指标结构模型,以台州地区110家企业的调研数据为样本,借助AMOS结构模型分析软件对样本数据进行回归分析。结果表明:第三方电子商务平台、区域品牌、行业协会、产业园区对销售量呈正向影响,影响程度依次减弱,而自建网站对销售量的影响不大。研究结果可为优化企业电子商务集群模式,促进销售绩效的提高提供参考,有助于企业采取相应策略以提高经济效益。     

电子商务网站在线评论对手机销量影响的实证研究

采用数据抓取方法获取京东商城在线评论数据,使用SPSS软件对数据进行多元回归,通过评论数量、负面评论、评论长度和评论时效性4个维度,研究了在线评论对电子商务网站产品销量的影响,并按照品牌的热门程度将产品分类,进一步分析了品牌对负面评论和评论时效性是否具有调节作用。研究发现,评论长度、评论时效性对销量具有显著的正向影响,而评论数量、负面评论和产品价格对销量具有显著的负向影响。在品牌的调节作用下,评论时效性的影响力减弱,而负面评论对销量的影响则增强。根据研究结果,提出改善电子商务网站在线评论机制的针对性建议。     

网络传销犯罪的量化特征及其治理困境

对我国近十年对网络传销案件发生的时空分布特征、犯罪规模特征、刑罚特征及其影响因素进行量化分析与数据模型构建，旨在为我国刑事司法机关提供治理网络传销犯罪的循证依据。以大数据视域为切入视角，运用 Excel、Spss 等分析工具，对发生于 2012-2021 年的 946 起裁判文书判例进行时间序列、空间序列、刑罚特点、刑罚影响因素 , 以及结构特征、行为规律的综合分析与解释模型构建。结果发现：网络传销的犯罪数量呈现出逐年上升的趋势，其案发集中于我国南部省份以及中原地区，被告人被判处有期徒刑并处罚金是其最常见的刑罚种类；传销规模与涉案金额对网络传销犯罪的刑罚严重程度具有显著正向影响，被告人数量对于平均罚金具有显著正向影响；网络传销犯罪在实践中具有犯罪影响规模化、组织层级扁平化、运行模式多元化的结构型特征与行为规律；法律规制粗糙、侦查取证难度高、管辖争议性严重是当前我国刑事司法机关在打击网络传销犯罪的治理困境。