出口企业国际物流管理中的几个问题

首先介绍了UCP600关于转运的规定,并结合案例分析了对北美出口采用OCP条款,选用“货交承运人”贸易术语的利益,最后分析了风险提前转移的情况。     

On the forecastability of share prices on the Viennese stock exchange

In this paper the Viennese stock exchange data are analysed by using ARMA and GARCH technology. After using AIC and BIC for estimating the linear structure of the time series, to the resulting innovations a GARCH(1,1) model is fit. The resulting residuals are then tested for serial independence and constancy of its distribution to check whether the models are reasonable. Main result is that the residuals of this ARMA-GARCH(1,1)-model are reasonably iid (which is checked by BDS and classical independence tests) for index data and significantly less well-behaved for stock data. Second, there is considerable autocorrelation in the data (especially in the Viennese indices WBK and ATX) which can be exploited even with 1.25% transaction costs (which is checked by a posteriori analysis of a strategy which exploits an underlying time-varying AR(1) model), however, much higher profit can be made with 0.5% transaction costs. Furthermore, the same techniques are applied to US Standard & Poor 500 index and the results for both data sets are compared giving the result that the US-market looks much more mature than the Viennese one.Financial Support by the Institute for Advanced Studies, Vienna, and the Fonds zur Förderung der wissenschaftlichen Forschung, Vienna, Grant P 9176 is gratefully acknowledged. This paper is a slightly abbreviated version of the Research Report No. 135 by the same authors (see References), which contains many detailed plots of the results.     

Accounting for decarbonisation and reducing capital at risk in the S&P500

This article accounts for carbon emissions in the S&P 500 and explores the extent to which capital is at risk from decarbonising value chains. At a global level it is proving difficult to decouple carbon emissions from GDP growth. Top-down legal and regulatory arrangements envisaged by the Kyoto Protocol are practically redundant given inconsistent political commitment to mitigating global climate change and promoting sustainability. The United Nations Environment Programme (UNEP) and European Commission (EC) are promoting the role of financial markets and financial institutions as drivers of behavioural change mobilising capital allocations to decarbonise corporate activity.     

An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

S&P 500 Affiliation and Stock Price Informativeness

Abstract

When firms are added to a stock index, more information should be discovered, traded on, and incorporated into their stock prices, making them more informative. We test this hypothesis using a large sample of additions to the S&P 500 index. Using two alternative statistical tests, we find that the stocks added experience more random, less predictable return and, thus, appear to be priced more efficiently information-wise. We further find concurrent increases in institutional ownership and investor awareness, which tend to contribute to the higher pricing efficiency, adding to the literature. These findings should be of interest to academics and practitioners.     

Value of hedge and expected returns

We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of an S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the value-weighted S&P 500 index portfolio (including dividends) of the Center for Research in Securities Prices for 1967:01–2011:12, using the capacity utilization and the unemployment rates in real time to determine if a hedge position should be initiated or closed. A hedge is initiated if the capacity utilization, the unemployment rate or a combination of the two signals a contraction in the real economy. The hedge position is closed if it signals otherwise an expansion. We use utility gains (Campbell and Thompson 2008), the manipulation-proof performance measure (MPPM) statistics (Ingersoll et al. 2007) and the P-Sharpe ratio (Bailey and López de Prado 2012) to evaluate the performance of a particular hedge strategy. The empirical results show that there are infinitely many hedges that can generate positive utility gains, higher MPPM statistics and higher P-Sharpe ratios.     

中国500强企业竞争力发展的结构性研究

上财中国500强企业竞争力评价指标由盈利、成长和规模三个子指标构成。本文通过追踪2004-2010中国500强企业竞争力变化趋势及深入分析发现:2008年以来中国500强整体竞争力呈加速上升态势,但不同行业、地区之间企业竞争力存在差异性;国有企业和民营企业整体竞争力差距不大,国有企业占据规模优势,民营企业更具盈利能力。500强在发展中仍存在诸多问题,如产业结构不合理、过度求大和尚待做强等。对此,本文提出了促进中国500强企业由大变强的建议。     

基础贸易合同对信用证独立性的干预分析

信用证的法律性质是契约关系,核心法律关系是开证行和受益人之间有条件的付款承诺关系,这种承诺关系被认为具有很强的独立性。但在信用证的开立与履行的整个过程中,基础贸易合同都会干预到信用证的独立性。基础贸易合同的履行得当与否会直接干预信用证的正常履行。开证申请人和开证行之间的商业利益关系决定了开证行能否正常对外付款。     

基于与中国企业500强对比的民企500强发展研究

为了深入地了解民企500强的发展状况,掌握民企500强的不足,依据《中华工商时报》每年发布数据。运用比较分析法来分析民企500强的优势与不足,探讨民企500强与中国企业500强差距大的原因,有针对性地提出民企500强进一步发展的对策具有重要作用。     

浅析金融危机下我国出口企业对信用证欺诈的防范

金融危机下进口商的信用和支付能力普遍下降,信用证对出口商收汇安全的优越性凸显出来。但任何一种结算方式都不能完全防止欺诈的发生。如何防范信用证欺诈,充分发挥信用证的优越性已成为众多出口企业和银行关注的话题。本文介绍了我国出口贸易中常见的信用证欺诈方式,提出了一些防范信用证欺诈的有效措施。