住宅与股票投资价值比较

住宅作为一种不动产,不仅具备使用价值,更蕴含着与股票、债券等有价证券不同的投资价值。从理论和实证两方面比较住宅一级市场置业投资和股票投资价值,总结两项资产投资成本、投资风险和投资收益的差异,以1993至2003年上海住宅市场和上海证券交易所季度数据为基础,定量分析住宅和股票的投资收益与风险,以及资产收益间的相关性,为投资者更好地了解住宅投资特性及其价值提供参考。     

串并混合型自适应PCM帧同步器研究

文章把序贯概率比测试(SPRT)技术用于PCM帧同步检测电路。并行相关法和串行相关法配合使用,以提高帧同步码的捕捉概率,减少失锁时间。     

基于灰关联分析的常州市物流需求表征量选择

在进行物流需求预测时,选择正确的物流需求表征量尤为重要,它将直接影响预测的精度。本文利用灰关联分析法对常州市物流需求表征量进行建模分析,最终选取货运量来表征常州市物流需求水平。     

信用风险内部评级法下商业银行监管资本套利策略研究--从监管资本公式视角出发

为了获得更有效的资本竞争优势,首先从核心定义入手,阐述了新资本协议信用风险内部评级法下商业银行进行监管资本套利的可行性。随后,以信用风险内部评级法监管资本公式为基础,利用数理解析和图形分析等方法,详细分析了监管资本要求（K）与违约概率（PD）、违约损失率（LGD）、有效期限（M）之间的相关性,以及在不同风险暴露中监管资本要求（K）的系统性差异。最后,以数理分析和图形分析结果为基础,提出商业银行应采取积极推进内评应用、优化资产结构、以组合管理模式积极推进微型和小型企业业务发展、提升合格风险缓释品的覆盖比例、设置合规且有效的合格风险缓释拆分规则等策略,实现监管资本套利。     

中国省域能源-经济-环境系统协调性实证研究

3E 系统协调是系统内和系统间同时达到协调的一种均衡状态。结合系统内协调和系统间协调,建立3E 系统协调性综合评价模型,对中国30个省份(西藏除外)3E 系统协调性进行综合评价实证研究。总体来看,各省份3E 系统均处在勉强协调状态以上,个别省份达到优质协调状态。2002~2012年,各省份协调程度整体呈现上升态势,同时各省份之间横向差异较大,各地区面临不同程度的经济结构转型和提高发展效率压力。     

基于改进灰关联度的金融服务业竞争力评价

构建了一套基于改进灰关联度的金融服务业竞争力评价体系,并实证验证了该方法的可行性和科学性. 首先,通过问卷调查法,利用问卷调查数据对初选评价指标重要性评价值的集中度、分散度,筛选出了构成金融服务业竞争力评价的指标体系;然后,利用变异系数法确定了竞争力评价指标权重;最后,针对灰关联度的不足进行改进,基于理想解法( TOP-SIS)的原理,构建了基于改进灰关联度的金融服务业竞争力评价方法.     

Dependence patterns among Asian banking sector stocks: A copula approach

Asian banks have recorded 22 banking crisis between 1945 and 2008 and its total share of years in a banking crisis since 1945 is 12.4%, the highest compared to all regions. Interestingly, most of the financial institutions in the region remained largely unscathed during the recent global financial crisis, mainly due to their strong liquidity and capital buffers. Yet, given the episodes of past crisis, the rapid increase in regional corporations and cross-border flows in the region, as well as the paramount importance of the banking sector in the Asian region, it is interesting to study how the banking sectors in the various economies co-move with each other. Against this backdrop, we examine the dependence structure between banking sectors in the region using copula functions. Several findings are documented. First, average dependence generally remain at moderate levels, though dependence between the banking sectors of the developed Asian markets are relatively higher than the emerging markets. Second, we find evidence of asymmetric dependence, suggesting that banking sector returns co-movement varies in bearish and bullish markets. Third, our results show a mild increase in the bivariate dynamic correlations during crisis periods, indicating very limited risk of contagion. Our results provide significant implications for portfolio managers and policymakers.     

Do commodities make effective hedges for equity investors?

The purpose of this paper is to evaluate whether commodities are effective hedges for equity holders. We employ three different methodologies to calculate time varying hedge ratios. First, we examine time-varying hedge ratios and how much portfolio risk can be reduced relative to a long position in the S&P 500. We calculate hedge ratios from realized variances and covariances; second, we estimate a recursive multivariate GARCH (BEKK) model and calculate the hedge ratios from the estimated covariances; and thirdly, we calculate the hedge ratios by estimating recursive OLS regressions. The results of our paper are very clear. First, commodities are not effective hedges for the S&P 500. Equity market investors and asset managers looking for a way to manage and reduce portfolio risk will be well advised to search for alternative hedges for the S&P 500 than commodities. Second, our results do not support the claim that commodities were a good hedge for the equity market during the financial crisis.     

Motives for partial acquisitions between firms in the spanish stock market

The paper analyses the motivations for inter-company investment on the Spanish Stock Market through the study of a sample of significant acquisitions reported to the CNMV (the Spanish Securities and Exchange Commission) by quoted firms. By analysing the sign of the cumulative abnormal returns (CAR) and of the correlations among the gains produced by the operation, an attempt is made to find out which motives predominate of the three most important ones suggested by the literature for takeovers: synergy, agency and hubris. Empirical evidence is presented that in the Spanish Stock Market the main motive for acquiring a holding is similar to synergy, especially in partial acquisitions with positive total gains. However, in the samples with negative total gains a main motive similar to hubris always appears. The analysis takes into account the size of the investment and distinguishes between the first report and subsequent ones. Results are similar to those obtained by other authors for takeovers in the US Stock Market, except that in this sample, agency motives do not appear clearly.     

An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

This article employs the asymmetric dynamic conditional correlation (DCC) model to assess impacts of the recent sovereign debt crisis on the time-varying correlations of five European financial institutions holding large amounts of Greek sovereign bonds (National Bank of Greece, BNP Paribas, Dexia, Generali, and Commerzbank). Contrary to the results of preceding studies, we find significant increases in the correlations between several combinations of the financial institutions’ stock returns after the inception of the sovereign debt crisis, indicating contagion effects. Moreover, our findings show that the parameter of the standardized negative residuals is statistically significant in the case of DCC estimates between two specific institutions. This suggests that the conditional correlation of stock returns between the two institutions is more significantly influenced by negative shocks than by positive innovations to return.