COVID-19, stock market and sectoral contagion in US: a time-frequency analysis

We assess the conditional relationship in the time-frequency domain between the return on S&P 500 and confirmed cases and deaths by COVID-19 in Hubei, China, countries with record deaths and the world, for the period from January 29 to June 30, 2020. Methodologically, we follow Aguiar-Conraria et al. (2018), by using partial coherencies, phase-difference diagrams, and gains. We also perform a parametric test for Granger-causality in quantiles developed by Troster (2018). We find that short-term cycles of deaths in Italy in the first days of March, and soon afterwards, cycles of deaths in the world are able to lead out-of-phase US stock market. We find that low frequency cycles of the US market index in the first half of April are useful to anticipate in an anti-phasic way the cycles of deaths in the US. We also explore sectoral contagion, based on dissimilarities, Granger causality and partial coherencies between S&P sector indices. Our findings, such as the strategic role of the energy sector, which first reacted to the pandemic, or the evidence about predictability of the Telecom cycles, are useful to tell the history of the pass-through of this recent health crises across the sectors of the US economy.     

Some issues in blockchain for accounting and the supply chain,with an application of distributed databases to virtual organizations

This paper reviews some recent blockchain‐based applications for information capture, distribution and preservation. As part of that review, this paper examines two key concerns with current blockchain designs for accounting and supply chain transactions: data independence and multiple semantic models for the same information distribution problem. Blockchain applications typically integrate database, application and presentation tiers all in the same ledger. This results in a general inability to query information in the ledger and other concerns. Further, since most applications appear to be private blockchain applications, there is a concern of agents needing to accommodate multiple blockchains depending on who their trading partners are and what they request. Finally, this paper uses a distributed database to design a ‘blockchain‐like’ system for virtual organizations.     

Audit Firm Attributes and Auditor Litigation Risk

This study examines the association between auditors' litigation risk and audit firm attributes. Using professional liability insurance premiums as a proxy for auditors' litigation risk, we present evidence that the risk is lower in audit firms having: (1) separate non-audit and audit divisions; (2) a higher proportion of partners; and (3) a higher annual growth in number of CPAs employed. Additionally, we find that the risk is higher in audit firms having: (1) operating losses; and (2) high revenue growth. Our results are consistent with the idea that audit firms' financial condition and organizational structure affect their independence/ expertise, and, in turn, their litigation risk. Our results are broadly supportive of the PCAOB's (2015) and US Department of Treasury's (2008) views that investors, audit committees, management, and other regulators could benefit from having access to financial and organizational information about audit firms.     

A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations

This paper provides a side-by-side comparison of loan-level statistical models for fixed- and adjustable-rate mortgages. Multinomial logit models for quarterly conditional probabilities of default and prepayment are estimated. We find that the estimated impacts of embedded option values for prepayment and default are generally quite similar across both FRM and ARM loans, providing additional empirical support for the basic predictions of the options theory. We also find that differences in estimates of conditional probabilities of prepayment and default associated with mortgage age, origination period, original LTV, and relative loan size, indicate the continued significance of these other economic and demographic factors for empirical models of mortgage terminations.     

Comparing the True Cost of Living Indices of Demographically Different Households

The comparison of true cost of living indices between demographically different households (relative equivalence scale) is argued to be sensitive to the way demographic characteristics enter demand analysis. In particular, parameters reflecting the cost of demographic characteristics at base prices, though themselves do not have welfare (equivalence scale) interpretation, can alter the benchmark from which demographically varying inflation effects are measured. The empirical analysis, based on a rank‐3 demand system applied to UK individual household data, shows that the inflation adjustment of child benefits can vary with the way demographic costs at base period prices are specified.     

The Random Walk Hypothesis in the Emerging Indian Stock Market

This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.     

信托财产独立性释解

信托财产的独立性是指信托财产独立于委托人、受益人和受托人等信托关系人并仅为信托目的而存在的基本特性 ;信托财产的独立性可以产生直接和间接的法律后果 ;为了保护第三人的利益 ,信托财产独立性在一定条件下应当加以否认 ,但这种否认在受托人破产中不应简单化操作     

Who are better monitors? Comparing styles of supervisory and independent directors

This paper compares the unobservable style effect between independent directors and supervisory directors on firm performance. Utilizing the unique Chinese board system with both independent and supervisory directors and a large panel data of 2,240 public firms from 2003 to 2017, this paper finds that both supervisory and independent style is crucial in determining variations of firm performance. The effects of both independent and supervisory director style are less significant when the “type II” agency problem is more severe in a firm. Moreover, outside independent director style is more effective when information costs are low or when firms need more outside resources, while inside supervisor director style is more effective when there are no major internal changes. Finally, the results also suggest that increasing qualified supervisor representations are beneficial to firms.     

我国地区经济增长收敛的动态变化:1978—2017年

改革开放40年来，我国地区经济增长收敛现象较为明显。地区人均GDP增长不仅持续上升，而且水平差距也在不断缩小，存在条件收敛现象，并且东部和沿海地区经济增长的"俱乐部收敛"现象显著。进入20世纪90年代后，增长收敛趋势愈发突出，2008年国际金融危机也未影响增长收敛的发展态势。未来要继续坚持改革开放，补上各地制度和要素的短板，积极培育和发展有利于地区人均GDP增长收敛现象产生的一系列基础性因素，以实现区域更加协调发展。     

Conditional mean functions of non-linear models of US output

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied conditional mean. First version received: Feb. 1999/Final version received: June 2001