Are Housing Price Cycles Driven by Irrational Expectations?

This paper investigates the extent to which condominium apartment prices are set in an efficient asset market. Unlike previous work that focuses on the time-series properties of measures of excess returns, the analysis is framed in terms of the changes in observable house prices over time. More precisely, the paper develops and applies a test of the joint null hypothesis of rational expectations, perfect markets, and no risk premium in the Vancouver condominium apartment market. The empirical results provide significant evidence against the joint null hypothesis. On average, ex post house price changes move in a direction opposite to their rational expectation. This approach offers a methodological advantage over the standard efficiency literature and is shown to provide a more powerful test of market efficiency than conventional return regressions. Another contribution of the paper is to characterize the time-series properties of deviations of condominium prices from those predicted by the risk-neutral rational expectations model, using cointegration and random coefficients techniques. Deviations in house price changes from their (risk-neutral) rational expectations are time varying, stationary, and related to the stage of the real estate price cycle.     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

论项目管理对投资效益的支持作用

投资活动具有独特的运行规律，政府和企业在管理模式上现存的缺陷不利于投资效益的实现，有必要在实际 工作中引入项目管理的模式，项目管理以效益为直接目标，以项目为核心，以竞争为手段，以协调为基础，以法律为保障，辅以现代化的项目管理方法和技术，为投资效益的实现铺垫了良好的基础，具有坚实的支撑作用。     

中国外商直接投资的区位决定因素分析:城市数据

本文以全国210个地级以上城市为对象,分析了外商直接投资的区位决定因素。本文采用OLS和逐步回归分析方法以及2002年的横截面数据,在以往研究的基础上选择四项区位决定因素包括三种成本因素、三种市场因素、四种集聚因素和四种制度因素进行实证研究。结果表明,劳动力成本对各城市的外商直接投资的区位选择影响不明显,而市场规模、基础设施、教育和研究开发条件以及地方金融规模对外商直接投资的区位选择的影响具有显著性。本文的逐步回归分析结果还表明,就东部地区而言,能源条件和市场规模是较重要的区位决定因素;就中西部地区而言,市场规模、基础设施、教育和研究开发条件以及地方金融成为较重要的区位决定因素。     

On the Role of Weight Restrictions in Data Envelopment Analysis

This paper examines the role that weight restrictions play in Data Envelopment Analysis (DEA). It is argued that the decision to include a factor (input or output) in a DEA model represents an implicit judgement that the factor has a non-trivial weight. It therefore seems perverse to allow DEA to assign a trivial weight to that factor in assessing the efficiency of a unit. There is therefore a strong case for imposing restrictions on factor weights. However, many existing methods of weight restriction are in practice unwieldy. This paper proposes an alternative approach we term contingent weight restriction which is both practical and intellectually consistent with the DEA philosophy. The paper explores the implications of alternative methods of weight restriction using simulated data from a well known production process.     

The Performance of Actively Managed International Mutual Funds

International mutual funds allow individual investors to diversify abroad at a reasonable cost. This paper tests whether international funds that actively engage in country and security selection outperform passive global benchmarks. We apply a mean-variance efficiency test that incorporates the practical prohibition against short sales of open-end mutual funds. Our tests reject the efficiency of the world equity market portfolio over the sample period, and our funds as a group outperform the inefficient world index. However, we find no evidence of security selectivity ability using a 12-country benchmark. We do find that active international funds provide global diversification benefits. Tests using the Positive Period Weight (PPW) measure of Grinblatt and Titman (1989), which is robust to nonlinearity in fund and benchmark returns, yield similar results.     

On efficiency of the ratio estimator

Summary The exact mean square error for the ratio estimator of a finite population total based on simple random sampling without replacement is shown to have an expected value less than that of the variance of the ratio estimator based on Midzuno’s scheme, under a usual super-population model.     

Finding Closest Targets in Non-Oriented DEA Models: The Case of Convex and Non-Convex Technologies

This paper draws attention for the fact that traditional Data Envelopment Analysis (DEA) models do not provide the closest possible targets (or peers) to inefficient units, and presents a procedure to obtain such targets.It focuses on non-oriented efficiency measures (which assume that production units are able to control, and thus change, inputs and outputs simultaneously) both measured in relation to a Free Disposal Hull (FDH) technology and in relation to a convex technology. The approaches developed for finding close targets are applied to a sample of Portuguese bank branches.     

长沙市地下管线测量数字化的更新、软件升级及应用

地下管线的主要特点是隐蔽性,地下分布纵横交错,年代已久的原有手工数据几乎无参考价值且存档不便、使用复杂、工作量大。使用自主开发升级后的计算机程序软件,不仅可以大大提高地下管线测量数据的更新、规划设计及施工的效率,而且可以通过CAD图形分析对特殊地段重要管线是否保留利用作出决定。     

Productive Efficiency of the Swine Industry in Hawaii: Stochastic Frontier vs. Data Envelopment Analysis

Improving productive efficiency is an increasingly important determinant of the future of the swine industry in Hawaii. This paper examines the productive efficiency of a sample of swine producers in Hawaii by estimating a stochastic frontier production function and the constant returns to scale (CRS) and variable returns to scale (VRS) output-oriented DEA models. The technical efficiency estimates obtained from the two frontier techniques are compared. The scale properties are also examined under the two approaches. The industry's potential for increasing production through improved efficiency is also discussed.