灰色-马尔可夫链模型在股市预测中的应用

用GM(1,1)预测具有良好的精确性和规律性,但对于随机波动性较大的股市行业,它的预测精度比较低,而马尔可夫模型可以克服波动性较大的局限性,弥补灰色模型的不足,因此将两者结合起来对股市进行预测将能提高预测的精度。本文依据上交所20个月末收盘指数预测后四个月的月末收盘指数范围,实证分析表明灰色马尔可夫链模型在股市预测中应用的可行性     

Overreaction in the Hong Kong stock market

Overreaction reported in the equity markets of the United States, Spain, and Brazil is also observed in the Hong Kong stock market. The “loser” portfolios of the 33 stocks in the Hang Seng Index (HSI), on average, outperform the “winner” portfolios by 9.9% 1 year after the formation periods. Besides its emphasis on the importance of the Hong Kong market in international investment, this paper is unique in some special features related to the overreaction study. Hong Kong has markets for index futures and stock futures. Only three stocks are used in the portfolios. All the stocks in the HSI have large market capitalization and liquidity and can be shorted with no up-tick rule. Unlike other studies in international stock markets, the “arbitrage” portfolio of buying the loser portfolio and shorting the winner portfolio can actually be formed with minimum cost and easy execution, which makes the overreaction phenomena in this study very powerful.     

Cash Flows and Discount Rates,Industry and Country Effects and Co‐Movement in Stock Returns

We apply the Campbell decomposition to industry‐by‐country, national, global industry, and world stock index returns using 1995–2003 data. World, global industry, and country factors are all important for each of the two key components of stock returns: news about future dividends and news about future discount rates. Furthermore, the world component of future discount rates is more important than the idiosyncratic component, while the reverse is true for news about future dividends. Our results are broadly consistent with co‐movement in future discount rates arising from perceptions of common elements of risk in international equity markets.     

企业家人力资本参与分配模式的研究综述

企业家人力资本参与企业分配问题已成为社会关注的热点问题。在对国内外关于企业家人力资本参与分配模式研究综述的基础上,发现国内外在企业家人力资本参与企业分配与企业业绩的关系上还没有得到一致的结论,有待于我们进一步研究。     

混合渠道分销的商品分析与库存订货策略选择

对混合渠道分销中根据不同商品的需求特性选择科学的库存订货策略可建立一个定性分析模型,借助此模型,采用混合渠道分销的企业可根据所经营商品的不同需求特性选择合理的订货策略,从而降低库存成本,提高服务水平.     

Conflicts of Interest and Research Quality of Affiliated Analysts in the German Universal Banking System: Evidence from IPO Underwriting

The quality of equity research by financial analysts is a prerequisite for an efficient capital market. This study investigates the quality of earnings forecasts and stock recommendations for initial public offerings (IPOs) in Germany. The empirical study includes 12,605 earnings forecasts and 6,209 stock recommendations of individual analysts for the time period from 1997 to 2004. The focus of this study is on analysing the potential conflicts of interest that arise when the analyst is affiliated with the underwriter of an IPO. In a universal banking system these conflicts of interest are usually more pronounced and therefore interesting to investigate. The empirical findings for the German financial market suggest that earnings forecasts and stock recommendations of the analysts belonging to the lead-underwriter are on average inaccurate and biased, indicating some conflicts of interest. Moreover, the stock recommendations of the analysts that are affiliated with the lead-underwriter are often too optimistic resulting in a significant long-run underperformance for the investor. In contrast, unaffiliated analysts provide better earnings forecasts and stock recommendations that result in a superior performance for the investor.     

行政操控、投机主导与股市困境——中国股票市场20年回顾

规范的股票市场具有筹措资金、优化资源配置、改善公司治理、价格发现及促进经济发展等重要功能，是国民经济的“晴雨表”。由于上市公司违规猖獗加之市场监管不力，中国股票市场成为造假圈钱、投机冒险、杀贫济富、权贵洗钱的场所。20年当中既没有成就一家世界级企业，也没有引发全民财富效应。相反，它浪费社会资源，将中产阶级打回原形，严重伤害民众参与改革的热情。     

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

We present a valuation framework that captures the main characteristics of employee stock options (ESOs), which financial regulations now require to be expensed in firms' accounting statements. The value of these options is much less than Black–Scholes prices for corresponding market-traded options due to the suboptimal exercising strategies of the holders, which arise from risk aversion, trading and hedging constraints, and job termination risk. We analyze the combined effect of all of these factors along with the standard ESO features of multiple exercising rights, and vesting periods. This leads to the study of a chain of nonlinear free-boundary problems of reaction-diffusion type. We find that job termination risk, vesting, finite maturity and non-zero interest rates are significant contributors to the ESO cost. However, we find that in the presence of vesting, the impact of allowing multiple exercise rights on ESO cost is negligible.     

Bitcoin市场的长记忆性的实证分析

Bitcoin是一种新型的虚拟电子货币。运用初步的统计方法和R/S分析法分析其市场交易数据，对其长记忆性进行实证分析。分析结果表明，现阶段，Bitcoin的交易市场具有聚集性和持续性，当前的价格对于未来很长一段时间都有影响。     

如何规范股份支付的税务处理

股份支付的研究最早开始于美国,随着我国资本市场的发展,股份支付成为我国企业尤其是上市公司的常见经济业务,因此,对股份支付的核算进行规范十分必要。我国新会计准则第11号对股份支付的会计处理进行了规范,但股份支付的税务处理尚未写入所得税法,成为我国税法的一个盲点。