Conditioning manager alphas on economic information: another look at the persistence of performance

This article presents evidence on persistence in the relativeinvestment performance of large, institutional equity managers.Similar to existing evidence for mutual funds, we find persistentperformance concentrated in the managers with poor prior-periodperformance measures. A conditional approach, using time-varyingmeasures of risk and abnormal performance, is better able todetect this persistence and to predict the future performanceof the funds than are traditional methods.     

Using proxies for the short rate: when are three months like an instant?

The dynamics of the unobservable short rate are frequently estimateddirectly using a proxy. We examine the biases resulting fromthis practice (the 'proxy problem'). Analytic results show thatthe proxy problem is not economically significant for single-factoraffine models. In the two-factor affine model of Longstaff andSchwartz (1992), the proxy problem is only economically significantfor pricing discount bonds with maturities of more than fiveyears. We also describe two different numerical procedures forassessing the magnitude of the proxy problem in a general interestrate model. When applied to a nonlinear single-factor model,they suggest that the proxy problem can be economically significant.     

Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset.     

企业技术能力结构化研究

从企业技术能力构成角度,给出了企业技术能力六个构成要素,并分别探讨了企业识别技术能力、选择技术能力、获取技术能力、利用技术能力、保护技术能力及技术库.     

我国民营企业贷款的距离影响因素分析

选取我国2011年沪深两市 A股的628家民营上市企业的贷款数据为样本进行实证分析发现：银行贷款量与银行到企业之间距离具有显著的负相关关系,说明银企距离是制约我国民营企业贷款的一个重要影响因素;地区金融发展与企业的银行贷款量之间具有显著的负相关的关系,说明了竞争关系对企业外地银行贷款的抑制作用不是表现在区域的银行网点的竞争,而是地区的金融发展。因此,应重视银企距离,加大地区金融发展。     

跨国公司人力资源系统、企业文化与创新绩效关系的实证研究

本文通过实证研究确定跨国公司人力资源系统和企业文化对创新绩效的影响,以及企业文化在人力资源系统和创新绩效间存在的中介作用。在前人研究的基础上,构建了三者之间关系的基本模型,提出了三条基本假设。通过对长三角地区的150家跨国企业进行问卷调查,运用多元回归法分析了有效数据,发现注重培训、基于绩效的薪酬、发展团队三项人力资源实务和企业文化对创新绩效有影响,其中注重培训和公司文化对创新绩效的影响显著,而人力资源系统主要通过企业文化的中介作用来影响创新绩效。     

上市公司权益相关方博弈与均衡研究——从会计信息失真谈起

在信息不对称的条件下,企业经营者为追求自己的利益最大化,采取种种手段与利益相关方进行博弈.对此.文章试图运用博弈理论,探究会计信息失真的根源.寻求治理会计信息失真的对策,使博弈双方达到权益的均衡.     

Money and banking in a mature Walrasian economy

All financial transactions in the original Walrasian economy, as written in the édition définitive of the éléments, occur in the markets for short-term money services (the short-term bond market) and commodity E (the equity market). However, introduction of the long-term bond and the deposit markets requires only minor surgery to the original and they are now supplied, inspiring the name mature Walrasian economy. Transactions in numeraire then entail all institutions of the banking system and provide completely for money and credit. Into this economy the condition of inconvertibility, a discretionary numeraire with reserve requirements, and a central bank are introduced and clarified. Finally, multiple monetary subsystems in the same global economy are recognized and reconciled, thus establishing a global economy with a single numeraire commodity.