The Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2008 Financial Crisis

I develop a new risk measure called the Total Fear Premium that generalizes Faugere‐Van Erlach (2009) and accounts for both flight‐to‐safety and flight‐to‐liquidity behavior. This new measure helps to explain why the daily S&P 500 forward earnings yield (E/P ratio) is strongly negatively correlated with daily Treasury yields of all maturities during the 2008 financial crisis, which is a reversal from the relation that prevailed before the crisis. The Total Fear Premium “mimics” the VIX during the financial crisis. Once the basic GARCH formulation modeling the interaction between the earnings yield and Treasury yields is augmented with the Total Fear Premium, the relation between the earnings yield and short‐term Treasury yields becomes significantly positive, in line with Fama's (1975) view that short‐term yields are good proxies for expected inflation. Two by‐products of this analysis are: 1) a new risk premium measure associated with flight‐to‐liquidity and 2) a new way to measure the inflation risk premium on a daily basis.     

Improving Firm Environmental Performance and Reputation: The Role of Employee Green Teams

This paper examines the link between a firm's organization environmental management capability, represented by the development of green teams made up of employees, and its performance. In particular, two categories of firm performance will be analysed: environmental performance and environmental reputation. This link has been investigated in a sample made of the largest publicly traded US companies. Data about green teams have been collected through the content analysis of firm environmental/sustainability/corporate social responsibility reports and/or their websites, whereas data about environmental performance and reputation are those reported in the US 500 Newsweek's 2010 Green Ranking. Regression analysis results show that the creation of employee green teams positively affects both environmental performance and environmental reputation. Copyright © 2014 John Wiley & Sons, Ltd and ERP Environment     

PLC在WCD-500型稳定土拌和站改造中的应用

WCD-500型稳定土拌和站搅拌锅没有防护设施,时常发生安全事故,危害人身安全,应用PLC对WCD-500型稳定土拌和站进行改造,增加安全防护的控制电路,投资少,效果好。同时,用PLC实现电动机Y-Δ起动,节省中间继电器,简化控制电路,降低故障率。     

500kV变电站改扩建常见问题探讨

文章分析了在500kV变电站扩建改造工程中二次回路接线容易出现的问题及施工人员容易犯的错误,并提出相应的解决办法,以便在500kv变电站扩建改造工程中引起相关人员的注意。     

Substantive and Associative Claims in Environmental Communication: A Study of Fortune 500 Websites

Corporations have increasingly used their websites to communicate their environmental policies with their stakeholders. Their claims fall into two categories: substantive claims, which include product- or process-related claims, and associative claims, which are not directly related to a firm's products or its processes. This paper aims to explore the use of these two types of claims on Fortune 500 websites. The findings indicate that both types of claims are used, although there are more substantive claims than associative claims. Both types of claims are positively correlated with firm sales. Implications of the research are also discussed.     

Left out in the cold? New energy tariffs,low‐income households and the fuel poor

Two new gas tariffs were introduced in 2000, with contrasting effects. One abolished a fixed standing charge, while the other, specifically targeted at low‐income consumers, introduced a preset charge, independent of fuel consumption, for eligible consumers. We analyse the effect of the abolition of the standing charge on different household groups, including the fuel poor, the current focus of government and regulatory policy. We find that while low‐income groups have benefited more than others from abolition of the standing charge, the fuel poor have gained less than average. We contrast this with the other targeted preset charge scheme.     

中国企业500强基于网站的客户关系管理聚类特征研究

随着市场竞争激烈程度的不断加剧,客户关系管理的理念被越来越多的企业所接受.信息时代,网络对企业发展起着越来越重要的作用,企业利用网络的一个普遍方式便是建立网站.网站在客户关系管理中的重要作用正逐步的被企业所重视.文章采用分层抽样的方法,从中国企业500强中抽取100家企业作为样本,利用聚类分析的方法研究其利用网站开展客户关系管理的特征.     

Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets

We modify a simple agent-based model (ABM) proposed by Franke and Westerhoff [J. Econ. Dyn. Control, 2012, 36(8), 1193–1211] through considering the price limits and the motion of the fundamental value. The method of simulated moments is applied to calibrate both initial and modified ABMs with CSI 300 and S&P 500 respectively, and the goodness-of-fit of each ABMs is tested. The calibration results indicate that the modified model performs better than initial one. Then, we utilize the GSL-div, proposed by Lamperti [Econometrics Stat, 2018, 5, 83–106.], to verify the explanatory power of ABMs. In this procedure, 13 ARCH family models are introduced as benchmarks. The result shows that the explanatory power of modified ABM exceeds ARCH models in both markets, while initial ABM may be defeated by some of the ARCH family models in explaining the microstructure of CSI 300. Finally, a heuristic algorithm is designed to disentangle the insights of Chinese and US stock markets to the observed time horizon through calibrating the initial fundamental value, and Kupiec test is used to check the robustness of the calibration. The result indicates that the explanation of modified model is robust in both markets, while initial model lost its robustness when explaining S&P 500.     

A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500's ‘gold seal’

This study examines the abnormal returns, trading activity, volatility and long-term performance of stocks that were added to the S&P 500 index. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to shed new light on the widely observed ‘index effect’. We find that the CAPM tends to overstate the performance of large firms and to understate the performance of small firms. We also find a transitory increase in trading volume between the announcement and a few days after the effective date. In terms of the firm's operating performance, we find a significant increase in earnings per share after inclusion, which combines with the stock price rise to leave the average price-earnings ratio largely unaltered. Examining a unique sample of deletions of international companies and replacements with US companies, we find that deleted stocks experienced a considerable and permanent fall in price, inconsistent with the Investor Recognition Hypothesis. The “seal” of S&P 500 index membership has very long-term effects and inclusion appears not to be an information-free event.