A neoclassical interpretation of momentum

The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, long-run risks in momentum, and the interaction of momentum with several firm characteristics. However, the model fails to reproduce the procyclicality of momentum as well as its negative interaction with book-to-market equity.     

Designing and implementing conservation tender metrics: Twelve core considerations

In conservation tenders metrics are intended to describe the values that would result from alternate investments; they are the linkage between individual on-ground projects and tender scheme proponents. These metrics have received little attention by economists yet are the critical linchpin that defines the nature of the values that are traded in markets. In this paper we identify twelve lessons that can guide practitioners in metric design. These lessons embrace the principal biophysical changes likely to result from management change at each site and in combination, and reflect the values that society places on the outcomes from these changes. Practical application is explored through four example tenders encompassing five metrics which demonstrate substantial variation from the lessons identified. The practical consequences for cost-efficiency of investment, and for the use of conservation tenders generally, are unclear because of the practical and political difficulties in developing effective conservation tender approaches.     

Optimal investment strategies in an international economy with stochastic interest rates

We investigate how investors should optimally choose to invest in a dynamically complete international market. We find closed-form solutions for the optimal investment strategy and for the wealth loss an investor suffers from not investing internationally. Theoretically, we show that the gain from international investment is due to the speculative investment only, and why it is important for an investor from a large economy to invest in a small economy. In a numerical example we compare the wealth losses investors from Denmark and the U.S. suffer due to home bias.     

2019年国际大石油公司经营业绩与战略动向

2019年,虽然油气产量稳步增长,但是受经济下行、国际油气价格下跌影响,炼厂开工率与油品销售量双降,国际大石油公司的经营业绩由升转降。国际大石油公司因势利导主动调整发展策略,采取多种举措增储上产、稳定收入,持续在资源优势区域和需求高增长区域优化产业链布局,通过提升海外经营资产集中度、优化资源配置与组合、获取较低成本油气资源、主动拥抱数字化和智能化等经营策略,提升全产业链价值创造能力,向低碳化、清洁化、数字化综合性能源公司转型。这些动向为中国石油企业拓展业务领域、实现能源转型、提升盈利能力提供了新的思路和机会。     

The tactical and strategic value of hedge fund strategies: a cointegration approach

This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships, while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets. Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization. However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification potential, especially in the framework of tactical asset allocation.

股票市场驱动并购研究述评

并购动机理论是并购研究的中心问题之一.从行为金融的角度出发,学者们提出了股票市场驱动并购(SMDA)的并购动机理论模型,这个模型回答了诸如"谁收购谁"、"现金收购还是换股收购"、 "并购浪潮怎么产生"等等问题.本文比较全面地总结了SMDA的理论模型和实证研究两个方面的成果,并做了简要的评述.     

公平与效率:资产证券化的税收政策取向

资产证券化作为当今国际资本市场上最具活力与最有效的一种金融工具正风靡全球,也进入了中国.资产证券化作为一项复杂的结构性融资安排,将受法律、税务、会计等多种制度的影响.本文力图在资产证券化税负分析框架的基础上,阐释税收作用机理,剖析我国税收政策缺失,探索税制优化路径.     

我国社会保障支出的地区差异分析

文章首先运用GE指数分解法,分析我国社会保障支出区域差异及贡献率;然后运用GINI系数分解法,分析社会保障各项支出对总体差异的贡献率。结果表明:三大区域总体、区域内及区域间的差异基本呈下降趋势,期间略有起伏,但区域内差异远远大于区域间差异;东部、中部和西部地区差异变动趋势不一致,且对总体差异的贡献率差别较大;社会保障各项支出的贡献率差异较大,其中社会保障补助支出成为总体差异的主体因素。文章最后对实际测算结果作进一步分析,并提出相应的政策建议。     

Preparing for higher inflation: Portfolio solutions using U.S. equities

Investors have always been interested in reducing inflation risk in their portfolios. However, investors face different types of inflation than those measured by the Consumer Price Index (CPI). Moreover, different asset classes can be used to hedge portfolio inflation. In this paper, we show how individual equities can be used to construct equity portfolios sensitive to customized inflation targets. We illustrate portfolios for three types of inflation: US headline CPI, Forbes Cost of Living Extremely Well Index, and the US Medical Care Price Index. We also show how alternative weighting schemes, such as minimum volatility and maximum inflation beta, can be used to construct inflation‐hedged portfolios.