Passive Investment Strategies and Efficient Markets

This paper presents the case for and the evidence in favour of passive investment strategies and examines the major criticisms of the technique. I conclude that the evidence strongly supports passive investment management in all markets—small–capitalisation stocks as well as large–capitalisation equities, US markets as well as international markets, and bonds as well as stocks. Recent attacks on the efficient market hypothesis do not weaken the case for indexing.     

Contrarian Investment in the Dutch Stock Market

The efficient markets hypothesis states that at any times security prices fully reflect all available information. Contrarian investment strategies do not recognize the efficiency of capital markets. They call for buying undervalued stocks, i.e. stocks with a low price relative to their fundamentals. The idea behind such a strategy is to take advantage of the extrapolation behaviour of naive investors. Using a fresh and extensive data set from the Dutch stock market, we found that these strategies yield an outperformance without a higher risk. Our results make it hard to maintain the efficient market hypothesis.     

Efficient Liability Rules: Complete Characterization

Received May, 18, 2000; revised version received March, 19, 2001     

Designing Optimal Crop Revenue Insurance

When the indemnity schedule is contingent on the farmer's price and individual yield, an optimal crop revenue insurance contract depends only on the farmer's gross revenue. However, this design is not efficient if, as is the case with available contracts, the coverage function is based on imperfect estimators of individual yield and/or price. The producer's degree of prudence and the extent of basis risks have important influences on the optimal indemnity schedule. In this broader context, optimal protection is not provided by available U.S. crop insurance contracts and may include combinations of revenue insurance, yield insurance, futures, and options contracts.     

Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures

This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer "newsworthy," that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest-time corn price expectations, which are uncovered using a Hamilton-type modeling approach. Results show that reports are still "newsworthy," as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis.     

On the Use of Value Efficiency Analysis and Some Further Developments

The purpose of this paper is to discuss the use of Value Efficiency Analysis (VEA) in efficiency evaluation when preference information is taken into account. Value efficiency analysis is an approach, which applies the ideas developed for Multiple Objective Linear Programming (MOLP) to Data Envelopment Analysis (DEA). Preference information is given through the desirable structure of input- and output-values. The same values can be used for all units under evaluation or the values can be specific for each unit. A decision-maker can specify the input- and output-values subjectively without any support or (s)he can use a multiple criteria support system to assist him/her to find those values on the efficient frontier. The underlying assumption is that the most preferred values maximize the decision-maker's implicitly known value function in a production possibility set or a subset. The purpose of value efficiency analysis is to estimate a need to increase outputs and/or decrease inputs for reaching the indifference contour of the value function at the optimum. In this paper, we briefly review the main ideas in value efficiency analysis and discuss practical aspects related to the use of value efficiency analysis. We also consider some extensions.     

论电信业互联互通规制创新

互联互通是一个世界性的监管难题,但又是电信业改革的基础。如果没有互联互通,新兴的运营商就难以进入市场,电信业的竞争发展就无从谈起。从我国实际情况出发,有效成分定价原则和整体价格上限法的综合运用不但能提高企业效率,降低成本,促进行业竞争,而且能避免掠夺性定价行为,价格战等行为的发生,它是我国现阶段可以考虑的一种较优的接入定价选择。     

"节水型社会"概念初探

建立节水型社会是解决水资源供需矛盾和持续利用水资源最根本最重要的途径之一。而“何为节水型社会”是当今人们比较关注的话题,从质和量两个方面来论述节水型社会一般的、本质的特征。     

基于现代物流技术的精确保障及我军构建策略

阐述了基于现代物流技术精确保障的内涵;结合伊拉克战争美军的保障实践,昭示了精确保障正成为信息化战争保障的发展趋势;就如何实现我军装备、后勤传统保障模式向精确模式的转型,提出了构建策略.     

公共项目分配效果评价指标

采用公平化指数、区域协调发展系数和国民收入分配系数，可以评价公共项目的收益在不同人群和区域的分配效果。本文应用以上述评价指标对秦巴项目进行了投资分配效果分析，结果表明该项目对收入分配的公平化和均衡化有较大贡献。