A Note on a Framework for Valuation Ratios Based on Fundamentals*

Valuation ratios divide stock price by accounting metrics such as earnings, earnings growth, and book value. This study adapts the general valuation framework in Ohlson and Juettner-Nauroth (2005) and Ohlson (2005) to present a unified approach for developing valuation ratios based on fundamentals, referred to as fundamental valuation ratios. One starts with a valuation model that is driven by an accounting metric a and its abnormal growth, then divides the valuation model by a to get a fundamental valuation ratio. For any valuation ratio, one can find a corresponding fundamental valuation ratio, as long as the valuation model is based on the same metric a as the valuation ratio denominator.     

从中国经济与产业发展前景看石油安全

一、中国经济与产业发展面对更为严峻的能源约束21世纪头二十年是中国经济与产业发展的重要战略机遇期,同时也将面临许多新的重要变化和挑战。在城镇化水平不断提高、居民消费结构发生明显变化、工业化步入关键时期的大背景下,中国经济与产业发展对能源的依赖程度将加深,从而面对较以前更为严峻的能源约束。(一)城镇化产生大量新增能源需求“十一五”时期中国经济发展目标是在优化结构、提高效益和降低消耗的基础上,实现2010年人均国内生产总值比2000年翻一番。考虑人口增长因素“,十一五”时期国内生产总值年均增长率只要达到7.5%左右,即可…     

一种新型高速数字锁相环的研究

本文针对传统方法实现的数字锁相环(DPLL)工作速率低的问题,通过对一种典型的DPLL的分析,找出影响其工作速率的主要因素,研究并提出了一种全新的高速实现方法,并在实验室进行了数据传输位同步提取实验。     

Taxation, growth, and the spirit of capitalism

This paper uses a general two-sector model of endogenous growth to examine how the spirit of capitalism affects the relation between public finance and growth. The spirit of capitalism is defined as acquisitive personal objectives. We find that if the spirit of capitalism is present, an increase in the share of government spending in output reduces the long-run growth rate. The negative relationship between fiscal spending and growth is consistent with empirical evidence.     

The determinants of bilateral trade

Abstract.  In this paper we present a monopolistic competition model that incorporates asymmetric trade barriers and international differences in production costs. The model implies a highly non‐linear bilateral trade equation. Estimation of this equation yields parameters for the elasticity of substitution and trade costs that are more reasonable than those found in previous studies. A simulation indicates that trade liberalization will shift trade from rich countries to poor countries and from within continental trading partners with preferential trade agreements to intercontinental trading partners. JEL Classification: F1     

A theoretical framework to evaluate different margin‐setting methodologies

The margin system is the first line of defense against the default risk of a clearinghouse. From the perspectives of a clearinghouse, the utmost concern is to have a prudential system to control the default exposure. Once the level of prudentiality is set, the next concern will be the opportunity cost of the investors, because high opportunity cost discourages people from hedging futures, and thus defeats the function of a futures market. In this article, we first develop different measures of prudentiality and opportunity cost. We then formulate a statistical framework to evaluate different margin‐setting methodologies, all of which strike a balance between prudentiality and opportunity cost. Three margin‐setting methodologies, namely, (1) using simple moving averages; (2) using exponentially weighted moving averages; (3) using a GARCH approach, are applied to the Hang Seng Index futures. Keeping the same prudentiality level, it is shown that the one using a GARCH approach by and large gives the lowest average overcharge. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:117–145, 2004     

The index futures markets: Is screen trading more efficient?

This article uses a nonparametric test based on the arc‐sine law (see, e.g., Feller, 1965 ), which involves comparing the theoretical distribution implied by an intraday random walk with the empirical frequency distribution of the daily high/low times, in order to address the question of whether the abandonment of pit trading has been associated with greater market efficiency. If market inefficiencies result from flaws in the market microstructure of pit trading, they ought to have been eliminated by the introduction of screen trading. If, on the other hand, the inefficiencies are a reflection of investor psychology, they are likely to have survived, unaffected by the changeover. We focus here on four cases. Both the FTSE‐100 and CAC‐40 index futures contracts were originally traded by open outcry and have moved over to electronic trading in recent years, so that we are able to compare pricing behavior before and after the changeover. The equivalent contracts in Germany and Korea, on the other hand, have been traded electronically ever since their inception. Our results overwhelmingly reject the random‐walk hypothesis both for open‐outcry and electronic‐trading data sets, suggesting there has been no increase in efficiency as a result of the introduction of screen trading. One possible explanation consistent with our results would be that the index futures market is characterized by intraday overreaction. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:337–357, 2004     

Do Gold Market Returns Have Long Memory?

This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short-term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found.     

Comparing the Accuracy of the Minimum-Variance Grid Method to Multiple Regression in Appraised Value Estimates

The adjustment-grid method and the multiple-regression method are the two most frequently used techniques in the sales comparison approach. This paper demonstrates that although both techniques provide unbiased estimators, the minimum-variance grid estimator should result in a smaller standard deviation than the multiple-regression estimator. A technique is also derived to estimate the confidence interval or to perform hypothesis tests for the minimum-variance grid estimator.