Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea

This paper investigates the feedback relationship between stock market returnsand economic fundamentals in an emerging market. Starting from an intertemporalconsumption-based CAPM (CCAPM), we obtain a restricted VAR model for stockreturns and macroeconomic variables. We then apply this model to Korea and findstatistically significant departures from the restrictions implied by CCAPM.Consequently, an unrestricted VAR model is used to analyze the variations of expectedand unexpected returns in the Korean stock market. It is shown that the expectedmarket returns vary with a set of macroeconomic variables, and that thepredictable component is substantial. Reflecting richer dynamics in the data,relative to the usual single equation modeling in the literature, the estimatedVAR model shows considerable predictive ability for both real economic activityand real returns. Using the model for a variance decomposition of unexpectedreturns, we find that, although we cannot directly observe the market's revisionof expected future dividend growth, we can estimate a large part of therevision with the news in the expected industry output growth from our VAR model.Finally, we also find that economic fundamentals can explain only a smallportion of the variation in unexpected returns in the Korean stock market.     

Sampling distribution of the relative risk aversion estimator: Theory and applications

Brown and Gibbons (1985) developed a theory of relative risk aversion estimation in terms of average market rates of return and the variance of market rates of return. However, the exact sampling distributions of the relative risk aversion estimators have not been derived. The main purpose of this paper is to derive the exact sampling distribution of an appropriate relative risk aversion estimator. First, we have derived theoretically the density of Brown and Gibbons' maximum likelihood estimator. It is shown that the centralt is not appropriate for testing the significance of estimated relative risk aversion distribution. Then we derived the minimum variance unbiased estimator by a linear transformation of the Brown and Gibbons' maximum likelihood estimator. The density function is neither a central nor a noncentralt distribution. The density function of this new distribution has been tabulated. There is an empirical example to illustrate the application of this new sampling distribution.     

我国区域税收优惠政策绩效的实证分析

区域税收优惠政策是我国税收优惠政策体系的一个重要组成部分。本文以西部大开发税收优惠政策为例,以实证分析的方法,详细阐述了税收优惠实施五年来的政策绩效,以及影响政策绩效的其他政策因素。分析结果表明:西部大开发税收优惠实施之后,西部地区的税收负担较过去确实相对下降了,这与理论上对政策效果的预期完全吻合,但东、西部的经济增长率仍然存在较明显的差距,同时东、西部经济发展水平的绝对差距和相对差距还在继续扩大。此外,出口退税与涉外税收优惠等其他一些税收优惠政策也在很大程度上抵消了我国区域税收优惠的政策绩效。     

Estimation of variances in orthogonal finite discrete spectrum linear regression models

The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated.Acknowledgement. The research was supported by the grants 1/0272/03, 1/0264/03 and 2/4026/04 of the Slovak Scientific Grant Agency VEGA.     

Euclidean preferences

This note is devoted to the question: how restrictive is the assumption that preferences be Euclidean in d dimensions. In particular it is proven that any preference profile with I individuals and A alternatives can be represented by Euclidean utilities with d   dimensions if and only if d≥min?(I,A−1)$d\ge \min ?(I\text{,}A-1)$. The paper also describes the systems of A points which allow for the representation of any profile over A alternatives, and provides similar results when only strict preferences are considered. These findings contrast with the observation that if preferences are only required to be convex then two dimensions are always sufficient.     

Changes in Polish Farmers’ Attitudes Toward Risk After Poland’s Accession to the EU

This article presents the econometric estimation of the risk attitudes of Polish farmers. For that purpose, a model of production under risk has been employed. The research is based on data from the Polish Farm Accountancy Data Network (FADN), from the years 2004–2010. For the Polish farming sector, risk-related considerations became increasingly important after Poland’s EU accession in 2004. After the accession, Polish agriculture was affected by market liberalization, which was somewhat mitigated by CAP support. To examine the risk aversion of Polish farmers, an estimation procedure based on Antle’s (1987) approach has been applied. This study suggests that, as was the case in other countries, risk aversion decreased following EU accession, that is, the Arrow-Pratt measure of absolute risk aversion based on producers specializing in field crops systematically decreased over the analyzed period.     

我国"双顺差"成因的实证分析:1994-2007

通过构建VAR模型,对我国外汇储备、FDI流入量、加工贸易顺差和存差1994—2007年的月度数据进行了实证检验。协整检验显示FDI、加工贸易和存差与外汇储备存在协整关系或长期均衡关系。格兰杰因果检验表明FDI、加工贸易和存差均是外汇储备的格兰杰原因。从脉冲响应函数来看,FDI、加工贸易和存差均对外汇储备形成持续的正向冲击,方差分解显示FDI流入量对“双顺差”贡献最大。向量误差修正模型结果表明FDI、加工贸易和存差的短期波动对外汇储备的短期波动有显著影响。在定量分析基础上,就调整我国目前“双顺差”提出了政策建议。     

基于AHP的含偏好DEA物流战略伙伴选择模型研究

物流战略伙伴的评价和选择是一个非常复杂的过程。基于AHP的含偏好DEA物流战略伴选择模型,将物流运作成本和评价指标分别作为模型的输入、输出变量,考虑到了工商企业对物流企业的输出指标的偏好。文章还对输出变量进行了综合处理,使模型更具有实用性和可操作性。     

我国货币政策效应时滞的实证研究

在分析西方货币理论的基础上 ,运用向量自回归模型和方差分解技术对我国货币政策的效应时滞进行实证研究 ,得出我国货币政策无论是对经济产业还是对物价水平均存在一定的效应时滞 ,我国货币政策的价格时滞效应长于产业效应时滞 ,不同的货币供应量效应时滞不同等结论。     

How much does owner type matter for firm performance? Manufacturing firms in China 1998–2007

Who owns the firm (the state, private ownership, foreign investors) has long been an important topic for research on organizations. This paper estimates how much ownership contributes to firm performance, compared to other factors, including industry, region, firm size, year, and the firm itself. The data are on manufacturing firms in mainland China from 1998 to 2007. We find that the effect of owner type is significant and pervasive across regions and interacts with both geography and time, reflecting China's decentralized system and the strong trend in privatization. Copyright © 2014 John Wiley & Sons, Ltd.