Rational functions: an alternative approach to asset pricing

This paper shows that asset prices are linear polynomials of various underlying explanatory factors and asset returns being ratios of these polynomials, are rational functions that do not add linearly when averaging. Hence, average returns should be modeled based on stock prices. However, continuous returns may be treated as approximately linear across time and modeled directly. Our new Rational Function (RF) models, empirically outperform the traditional asset pricing models like the Capital Asset Pricing Model (CAPM) and the Fama–French three and five-factor models for both average and continuous returns. Moreover, the RF theory also provides a model to estimate the asset volumes. The average change in asset volumes together with average returns provide the estimates for average change in market values of assets. Thus, the RF model approach can be used to select assets that provide either highest returns for profit maximization or highest change in market values for wealth maximization for given levels of risk.     

Taxation, Uncertainty, and the Cost of Equity

Traditionally the pre-tax cost of capital is a function of the interest rate and the tax system. However, uncertainty implies that the market's required return is no single interest rate, but depends on risk. Different tax systems split risk differently between firm and government. Thus the required expected return after corporate taxes depends on the tax system. Expressions for this are derived, based on a CAPM-type model. The weighted average cost of capital is decreasing in the tax rate, even for fully equity financed projects. This effect can be substantial, but is neglected in much of the literature.     

普通高校健美操课改革初探

本文以体育课程目标改革为依据,强调了通过健美操教学使学生身体、心理、社会完满统一的健康目标,并使学生养成终身体育锻炼的习惯。     

基于案例观察的交易主体异质性对水权价格的影响

基于国家交易平台实例,运用回归模型和调节效应实证研究了水权交易价格影响因素,结果表明:受让方地区GDP越低,人均水资源占有量越低,交易主体所处行业平均利润率越高,水权交易价格越高,同时,人均水资源占有量对水权交易价格的作用机制受到交易主体所处行业平均利润率的调节作用。以农业-工业这一主体类别为基组参照类,当交易发生在农户和农户之间时,人均水资源占有量对水权交易价格的负面影响会削弱;当交易发生在政府与政府之间时,人均水资源占有量对水权交易价格的负面影响会进一步增强。     

就业结构变动与经济增长关系的实证研究

依据相关理论,运用SPAERMAN相关检验、线性回归等计量方法及1985—2011年面板数据、1978—2011年时间序列数据,本文对我国就业结构变动与经济增长关系进行实证分析,发现在研究期内除个别时间段内出现了就业份额的＂逆趋势变动＂现象外,我国就业结构变动与经济增长具有较强的一致性,但是就业结构升级滞后于经济发展阶段;二、三产业就业份额的人均GDP弹性系数偏小,且第二产业就业份额的人均GDP弹性系数远小于第三产业就业份额的人均GDP弹性系数;就业因素对人均GDP存在总量性及结构性双重影响,且两种影响分别具有明显的阶段性、周期性特征。     

基于主成分分析法的特征价格模型

将主成分分析法与特征价格模型相结合,对房地产项目的销售均价进行定价。解决了分析样本数据少、部分特征属性间相关性强的问题;建立了住宅项目的特征定价模型。通过实证分析,验证出模型的效果较好,可用于确定新建项目的销售均价。     

人力资本对地区经济增长的相关性分析

近年来我国经济不断发展,地区间的经济发展水平却呈现不平衡性。地区间经济增长的主要因素包括物质资本、自然资源、人力资本等。通过分析全国各省市人均GDP与平均受教育年限、每千人所拥有的卫生技术人数的相关数据间的关系,发现人力资本与经济增长具有正相关,进而促进地区经济增长。在认识人力资本对地区经济增长具有积极作用的基础上,对提高地区经济增长水平和缩小地区间的差距而提出若干建议,以期更好地促进整个社会经济的长期、稳定发展。     

What can we learn from the history of gasoline crack spreads?: Long memory,structural breaks and modeling implications

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named detrended moving average (MF-DMA). We find that the auto-correlations display multiscaling behaviors and are dominated by the anti-persistence (mean-reversion) in the long-term. Moreover, the auto-correlations are multifractal, indicating that various small and large fluctuations display different scaling behaviors. Using a technique of rolling windows, we find that some extreme events can drive the degree of anti-persistence and the multifractality (complexity) to rise up. In other words, these events have negative impacts on market efficiency. However, the effects of these events are not alike. We also detect long-range auto-correlations in crack spread volatilities and find a strong persistent behavior and multifractality. Finally, we discuss the modeling implications of the findings on long-range auto-correlated patterns. Our results indicate that ARFIMA-GARCH models can capture the major dynamics of large fluctuations. For small fluctuations, they are misspecified. Interestingly, we find that the strong long-range auto-correlated behaviors do not imply that ARFIMA model which takes long memory into account can outperform random walk model in the sense of out-of-sample prediction. The major reason may be that market complexity exploited in this paper causes the low predictability of ARFIMA model.     

基于“共享式增长”的京津冀商贸物流产业新体系构建

基于"共享式增长"理念,运用投入产出模型及APL模型优化了京津冀商贸物流产业关联机制,并据此构建了京津冀商贸物流产业新体系。研究发现:北京的商贸物流业与其服务业和技术产业的关联密切,天津的商贸物流业与其制造业和金融业的联动发展较好,河北的商贸物流业与其制造业、采掘业和农林牧渔业的关联效应显著;北京的商贸物流发展趋于饱和,河北商贸物流业的产业关联结构相比天津更加均衡,其产业波及效应提升也更加明显。提出建议:为实现京津冀的资源与发展成果共享,京津在满足本地商贸物流需求的同时,应将部分商贸物流企业转移至河北,同时给予相关技术、资金支持;河北应承担起京津冀的主要商贸物流建设,完善商贸物流产业关联机制,加快发展工业品、采选品和农产品等专项商贸物流,保障对京津生产生活原料的供给。     

人民币实际汇率与中国两部门生产率差异的关系——基于巴拉萨—萨缪尔森效应的实证分析

长期实际汇率主要取决于经济的供给面,即生产率的变化,这一思想体现在巴拉萨—萨缪尔森效应的模型中。文章从巴拉萨—萨缪尔森效应的理论出发选择合适的计量模型,然后以制造业和服务业分别表示贸易品部门和非贸易品部门,通过差分回归模型和协整检验来分析人民币实际汇率与中国两部门间生产率差异之间的关系,回归结果符合巴拉萨—萨缪尔森效应的结论。在1980~2004年间,人民币实际汇率的变动趋势与中国两部门间的生产率差异变化趋势基本相符:非贸易品部门生产率提高幅度大时,人民币趋向于贬值;而贸易品部门生产率提高幅度大时,人民币实际汇率趋向于升值。