Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

中国商业银行市场结构分析——基于Panzar-Rosse模型

运用Panzar--Rosse模型这一国际上前沿的市场结构判定方法，分析中国商业银行的市场结构，发现其目前正处于垄断竞争状态，垄断性较强。在此基础上本文提出了降低市场准入门槛、改善市场竞争环境的政策措施。     

Technical Efficiency Estimates of Scottish Agriculture: A Note

Within the UK there has been a lack of studies of technical efficiency at the Scottish level. This note compares the results obtained using Scottish data with a recent study by Hadley [Journal of Agricultural Economics (2006) Vol. 57, pp. 81–100] for English and Welsh farms. Four major sectors are investigated, namely: (i) cereals, (ii) dairy, (iii) sheep and (iv) beef over the period 1989 to 2004. Some distinct differences in efficiencies, returns to scale and causes of efficiency are found.     

Accounting for Option–based Compensation: The Economic Cost Approach

The intrinsic value approach amortizes over the life of the option, the difference between the stock price on the date of the grant and the exercise price of the option. The fair market value approach amortizes over the life of the option, the market value of stock options on the date of the grant. These approaches do not reflect the changes in the option–based compensation cost after the grant date. This paper proposes an economic cost approach that not only adjusts for the changes in the value of the options during its life but also records the issuance of the stock at fair market value on the exercise date.     

Labour use efficiency in the Indian and Pakistani commercial banks

The Indian and Pakistani banking industry is said to have an excessive use of labour due to the significant market share of government owned banks. Both countries have undertaken a process of regulatory reform to bring about market discipline in the usage of inputs and to increase the labour use efficiency and productivity. The focus of this paper is the estimation of productivity and efficiency of labour use in the banking sectors of the Indian sub-continent. The results show that the efficiency of labour use across the Indian sub-continent is improving over time and that foreign banks are more efficient compared to domestically owned banks in their usage of labour.     

陕西旅游商品市场问题探析与对策研究

发展旅游商品对提高区域旅游经济效益具有重要作用。但在陕西旅游产业体系中,购物始终是一个明显的弱项,这制约了陕西旅游经济的持续增长。在系统分析陕西旅游商品市场现存问题的基础上,提出发展陕西旅游商品市场的若干对策。     

完善农户商事主体制度与发展农村市场

解决“三农”问题的重要途径在于发展农村市场，广大农民是农村市场最重要的主体。然而，农户作为农村集体经济组织的成员——农村承包经营户，依照我国现行《民法通则》、《农村土地承包法》等规定，是一种民事法律关系的主体，享有民事权利和承担民事义务。在我国市场经济条件下的商事法律中，关于农民、农户在农村市场的商事经营主体资格的制度设计比较缺乏，从而在一定程度上制约了农民的市场行为。为了充分调动广大农民积极性，更好地建设和发展农村市场，有必要完善农户商事经营主体资格的法律制度。     

How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

Competition and Information Production in Market Maker Models

Abstract:   The microstructure literature models the mechanisms through which fundamental information is incorporated into market prices. This paper extends previous models by endogenising information production and analysing incentives for costly information production. In contrast to the existing literature, increasing the number of informed traders can result in reduced price informativeness. When prices have an allocative role this has welfare consequences: the regulatory implications of a dichotomy between private and public incentives for information gathering are discussed.