Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the B-share and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.     

铁路客运量季节指数计算方法研究

为在铁路客运量预测中消除季节性变化的影响,采用平均数季节指数法、移动平均趋势剔除法、最小平方趋势剔除法对2002年—2004年的铁路客运量计算季节指数,通过误差分析,说明最小平方趋势剔除法能更好地反映运量的季节变动状况,是预测的最佳选择方案。     

完善铁路分局收入清算指标的探讨

通过对洛阳铁路分局现行收入清算办法进行分析,指出现行清算办法存在的不足:铁路分局实施货运局界管直清算不符合市场经济分配原则;铁路分局模拟区域运价定价系数难以真正公平合理;局管内跨分局货运机车牵引服务缺乏收入补偿等。并提出对现行分账核算的运输进款清算办法进行修正、完善和补充的建议,以充分调动铁路分局参与市场竞争的积极性。     

青藏线运输能力适应性综合评价分析

在分析影响青藏线运输能力因素的基础上,建立了青藏线运输能力适应性模糊综合评价指标体系和模型,分3个层次对该线运输能力适应性进行综合评价,认为青藏线运输能力适应性水平是高的,整个运输组织方案是可行的,但还需对特大灾害和事故下的应对方案和措施进行研究。     

关于乌鲁木齐铁路局精益生产考核指标体系及其作用的经济学探讨

考核指标体系是价格机制的替代物(Proxy),也是明确多生产要素投入和多产品产出企业内部各部门之间权利边界的重要手段。乌鲁木齐铁路局考核指标体系构建紧密结合铁路运输生产特点和生产流程,以完整运输产品供给为导向,以信息化为基础,以组织模式优化为保障,注重考核指标体系的激励性,实现了列车重量、速度和密度指标的改善效果。     

The role of tax regulation and compensation contracts in the decision to voluntarily expense employee stock options

We show that firms with executive bonuses that qualify for deduction under Internal Revenue Code Section 162(m) were less likely to expense stock option compensation (SOC) in 2002. Additionally, the more likely it is that a qualified firm will incur re-contracting costs, the less likely it is that the firm will expense SOC. CEOs of qualified firms that also expense SOC receive smaller bonuses than CEOs of expensing firms that are not qualified under 162(m), and the lower 162(m) bonuses are not offset by higher SOC. Our results suggest that 162(m) tax incentives are an important determinant of the decision to expense SOC.     

A 10-year retrospective on the determinants of Russian stock returns

We study factors influencing returns at the Russian stock market from 1995 to 2004, putting emphasis on how these evolved over time. We find that the relationship is highly unstable and this instability is not confined to financial crises alone. Most computed statistics exhibit constant ups and downs, but there has been recently a sharp rise in explainability of stock returns. Domestic factors have been playing a gradually diminishing role, while the importance of international factors has been increasing. In recent years, the effect of oil prices and foreign exchange rates has diminished, the impact of US stock prices and international and domestic interest rates has increased, while the influence of monetary aggregates such as gold reserves and credit balances has fallen to practically zero.     

Developing a House Price Index for The Netherlands: A Practical Application of Weighted Repeat Sales

This paper describes the development of a house price index that has been introduced in May 2005 in The Netherlands. This monthly index, called Woningwaarde Index Kadaster (House Price Index Kadaster), is designed to detect changes in the price of the overall stock of owner-occupied homes. Fifty-five indices are calculated: one overall index, four regional indices, 12 provincial indices and 38 indices based on combinations of region/province and dwelling type. We used Case and Shiller’s geometric Weighted Repeat Sales Model to calculate monthly house price indices. We used recorded data on the sales of over 500,000 owner-occupied homes in The Netherlands, all representing repeat sales between January 1993 and December 2006. The accuracy of the index was determined using the 95% confidence interval. We observed that accuracy might become a problem in smaller sub samples. Revision volatility was explored by comparing the index values computed from all available data until December 2005 with the index values computed from the data available until December 2006. Our analysis showed that revision volatility does not seem to be a major problem to the index. We also explored heteroskedasticity in the Repeat Sales method but did not find conclusive evidence for the proposed heteroskedasticity. Given our target (a geometric mean index value) and the characteristics of the dataset (very large but without property characteristics) the Repeat Sales Method seems to be adequate for calculating a house price index for The Netherlands.

The capital market implications of the frequency of interim financial reporting: an international analysis

This study examines empirically the extent to which the frequency of interim financial reporting affects stock price volatility over the course of the fiscal year in four countries with different interim reporting regimes: the United States and Canada with quarterly reporting, and Great Britain and Australia with semi-annual interim reporting. It is hypothesized that, in the tradeoff between timeliness and predictive value of the interim reports, semi-annual interim reporting will lead to lesser price volatility after accounting for other potential influences. These expectations are supported in the results found. Moreover, additional tests conducted on American ADRs of British and Australian companies show that those firms have higher volatility than comparable purely domestic firms on their home stock exchanges.

Firm diversification and earnings management: evidence from seasoned equity offerings

Popular press suggests that diversified firms are more aggressive in managing earnings than non-diversified firms. We examine this claim in the seasoned equity offering (SEO) setting, where firms have been shown to have the incentive to manage earnings upwards. Using the cross-sectional modified Jones [(1991) J Accounting Res 29:193–228] model to measure discretionary current accruals, we find that discretionary current accruals are higher among diversified firms than in non-diversified ones. Our evidence is consistent with the view that the extent of firm diversification is directly related to the degree of earnings management. We further show that diversified issuers with high discretionary accruals underperformed other SEO firms.