Comparing linear and nonlinear forecasts for stock returns

We compare the out-of-sample performance of monthly returns forecasts for two indices, namely the Dow Jones (DJ) and the Financial Times (FT) indices. A linear and a nonlinear artificial neural network (ANN) model are used to generate the out-of-sample competing forecasts for monthly returns. Stationary transformations of dividends and trading volume are considered as fundamental explanatory variables in the linear model and the input variables in the ANN model. The comparison of out-of-sample forecasts is done on the basis of forecast accuracy, using the Diebold and Mariano test [J. Bus. Econ. Stat. 13 (1995) 253.], and forecast encompassing, using the Clements and Hendry approach [J. Forecast. 5 (1998) 559.]. The results suggest that the out-of-sample ANN forecasts are significantly more accurate than linear forecasts of both indices. Furthermore, the ANN forecasts can explain the forecast errors of the linear model for both indices, while the linear model cannot explain the forecast errors of the ANN in either of the two indices. Overall, the results indicate that the inclusion of nonlinear terms in the relation between stock returns and fundamentals is important in out-of-sample forecasting. This conclusion is consistent with the view that the relation between stock returns and fundamentals is nonlinear.     

素质教育与应试教育的经济学分析

在现代教育中,作为以卓越为目标追求的学校,将个人素质或学习能力作为招收学生的一个决定性因素.考试是个人素质与学习能力考核的替代性安排,这种制度安排既节约交易费用,同时又产生社会资源浪费.资源浪费的表现形式体现为提高考试分数,而不是在提高素质上加大投入,即应试教育的产生和壮大.学校招生制度的变革能够在一定程度上减少这种浪费.     

Insolvent trading and voluntary administration in Australia: economic winners and losers?

Australian directors who incur debts while their companies are insolvent can be pursued by the corporate regulator for compensation when their companies fail. Under the Australian insolvent trading laws, directors no longer experience ‘true’ limited liability, and as expected, they adjust their behaviour as a result. Identifying director's rational behaviour in an insolvent trading world is difficult as there are no formal economic models of director decision-making under Australian current corporate law. In this paper, we develop such a model primarily for private companies. We incorporate the threat of insolvent trading as well as director's tactical use of voluntary administration to avoid insolvent trading litigation. We show that neither a combination of insolvent trading or voluntary administration can simultaneously ensure creditors-best outcomes, eliminate insolvent trading and reduce director underinvestment.     

基于“交易圈”的异常利润汇出分析方法

异常利润汇出的方式主要有通过构造利润分配决议、虚构利润等方式实现超额利润汇出和利用跨部门监管薄弱环节违规汇出。对异常利润汇出排查的传统方式主要基于服务贸易外汇监管系统的定期预警指标,成本高企且效率低下。人民银行济南分行在分析异常的利润汇出行为特点及资金流动路径的基础上,提出了将指向性强的筛查指标和"交易圈"分析法相结合的创新性核查方法,有效提升了核查线索的精准度及发现异常违规行为效率。     

碳排放权交易、损益偏离与绿色经济效率关系研究

"双碳"目标展现了中国作为负责任的大国,对建设人类命运共同体的担当,碳排放权交易是实现这一目标的重要途径,但其对地区经济与环境的双重影响依然有待检验。结合1997—2017年中国省级数据,采用包含非期望产出的SBM-DEA模型测度地区绿色经济效率,以碳排放权交易试点为准自然实验,运用合成控制法评估试点政策对地区绿色经济效率的影响,并采用空间计量模型从损益偏离视角展开机制检验。研究发现:碳排放权交易试点政策能够显著提升地区经济效率,运用双重差分模型和PSM-DID进行稳健性检验后,基本结论依然可靠。缓解"收益在外,污染在内"的损益偏离现象,是碳排放权交易试点机制提升绿色经济效率的有效途径。随后提出通过进一步完善碳排放权交易市场机制,进而推动我国绿色发展的相关政策启示。     

International Experience,China’s Development and Prospect of Carbon Market Construction

Carbon market, which is capable of scientific quantifying and marked-based pricing of carbon emission, is an important way for countries to achieve the target of carbon emission reduction. The global carbon market, after more than ten years of development, has developed a mature mechanism. China started the trial of carbon market in 2011. After ten years of exploration, the national carbon trading market was officially launched in mid-July 2021. Against the backdrop of carbon neutrality, the national carbon market will shoulder a greater mission of carbon emission reduction and speed up its financialization and internationalization. However, it should take a dialectical attitude toward the opportunities and risks of carbon market financialization. In the future, China can promote the development of carbon market through efforts to develop market participants, clarify the attributes of carbon finance, prevent potential risks of carbon finance, improve the connection mechanism with the international carbon market, and innovate carbon finance services.     

辽宁省碳交易市场建设中的问题及建议

日本和欧美等发达国家已经建立了较为成熟的碳交易市场,并通过碳交易取得了显著的环境和经济效益。我国国内的碳交易市场机制十分落后,还没有一个成熟的国际碳交易市场。作为能源消耗大省,辽宁省的碳减排压力指数全国位列第六,辽宁省低碳经济建设任重道远,务实发展碳交易市场是发展低碳经济的首要任务。本文首先详细论述了辽宁省发展碳交易市场的重要意义,指出碳交易市场对辽宁经济建设、财政收入、环境改善及增强企业竞争力都具有较大的推动力。通过对辽宁省碳交易市场发展现状的分析,发现辽宁省碳交易市场建设中存在的问题主要集中在CDM项目、碳交易所建设及自愿减排市场上。根据辽宁省发展阶段的特点,提出了推进碳交易市场建设的相关建议。     

低温条件下泵站建设中大体积混凝土裂缝控制研究

文章结合西安市尚苑路雨水泵站工程中的大体积混凝土的设计与施工,对低温条件下进行施工的大体积混凝土的裂缝控制技术进行研究。     

基于体积分方程法的起伏地形三维电场正演

利用体积分方程实现了起伏地形三维电场的正演模拟。首先推导了起伏地形条件下的积分方程,在求解电并矢格林函数积分这一关键问题时,将其分解为一次电流项、一次电荷项和二次项;随后进行了模型试算,结果表明电场在地形和地下不均匀体处均有异常出现。     

水闸大体积常态混凝土底板浇筑方法及保证措施

水闸是水工建筑物中最常见的一种,随着社会的进步,经济的高速发展,工程领域越来越多的技术创新,传统的水工建筑物以及混凝土结构也有了新的突破,以往只能在建筑、市政、水工混凝土大坝中见到的大体积混凝土,由于混凝土是一种最普通但又多变化的材料,说容易也不容易控制的一种材料,但随着技术的成熟及发展,大体积常态混凝土底板在水利工程中出现了,这是水利工程领域的一个突破,大体积常态混凝土底板有浇筑面积大、厚度大、方量大等特点,施工过程中如果控制不好,将产生冷缝、裂缝等质量问题,由此导致混凝土结构发挥不了应有的作用。本文主要介绍水闸大体积常态混凝土底板的施工方法及保证措施。