Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004

We examine momentum and contrarian effects in China＇s stock market during 1994-2004 and find that no medium momentum effects exist. Meanwhile, contrarian strategy works effectively over the horizon of 18-36 months. 1-month gap for avoiding bid-ask bounce and lead-lag effect make no considerable change to our empirical results. Transaction costs seem to have no significant impact on contrarian strategies＇ profit.     

On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

新会计准则影响股东权益变化因素的分析

文章针对新会计准则的颁布对股东所有者权益的变化各影响因素进行分析，选取巨潮资讯网、上海证券交易所网站、深圳证券交易所网站等公开披露的国内A股上市公司2006年的年度报告数据，对影响所有者权益变化的15个因素进行了描述性统计、单因素敏感性分析和回归分析，得出在所有的影响因素当中，长期股东权益投资差额对股东权益的变化的影响是显著的。     

Long-Term Performance Following Rights Issues and Open Offers in the UK

Abstract:  This study finds evidence of significant long-term underperformance following rights issues made during 1986-95 in the UK. The findings are resilient to a number of methodological controls. In contrast, our results for a smaller sample of open offers made during 1991-95 show strong positive performance over a 5-year post-issue period, implying that firms making open offers had better growth prospects than firms making rights issues. During 1986-90, a period when open offers were rarely used, firms appeared to be making rights issues to exploit overvaluation. However, this was not evident for rights issues made during 1991-95, a period when open offers were more commonly used.     

太行山文化视角下文化创意产业扶贫路径与长效机制研究

论文在太行山文化视角下,基于该地区特色物质文化、乡土村落文化、非遗文化、红色文化等资源,一方面从发挥特色资源优势、构建区域创新体系、升级传播平台等角度拓展太行山地区文化创意产业扶贫的创新路径,另一方面构建出以“宏观引导—中观支持—微观参与”为主要内容的太行山地区文化创意产业扶贫长效保障机制。从文化层面助力“防贫”,使乡村振兴取得进一步进展。     

“不期而寓”--青年城市配套综合体可行性调研报告

随着时代发展,独居、年轻化已成为租房人群的关键词。观念的升级和住房租赁政策的完善,使得90后的置业观悄然改变。经过市场调查,市面上还没有针对大学毕业生这一群体的长租公寓,多数是针对有一定经济能力的上班族。因此,大学毕业生的住房需求仅仅通过政府采取措施远远无法满足。论文从国家的宏观政策及市场微观细分因素中的人口因素、地理因素、行为因素等方面对“不期而寓”——青年城市配套综合体进行了分析,为项目的推进提供可靠的数据和科学性支持。     

中国GDP最终消费的长期均衡与短期波动的协整分析

本文依据协整理论和误差修正模型 ,测定了我国GDP最终消费与国内生产总值、价格水平及利率之间的长期均衡关系和短期波动效应 ,并对当前消费需求疲软做出了新的解释     

新农村金融:理论、成因及中国相关制度安排——基于建设社会主义新农村视角

发展农村经济、建设社会主义新农村离不开农村金融的支持,我国现存农村金融体制的种种缺陷已经成为阻碍农村进步的绊脚石。本文对我国农村金融体制进行考察,对其农村金融组织体系及配套的扶持政策进行评介,找出我国农村金融的不足,提出与社会主义新农村建设相适应的农村金融体制改革路径选择。主要结论有:我国农村金融体制改革,要发挥市场机制的导向作用,建立农村资金良性循环机制;政府应该承担主导作用,建立多层次、全方位的农村金融体制等。     

上市公司如何在非理性世界中确定股权回报率

确定股权回报率是进行长期投资决策的关键步骤,但在现实非理性世界中难以直接运用传统财务理论所推荐的资本资产定价模型来确定股权回报率。针对FAR与NEER方法,本文首先探讨这两类方法的理论依据并揭示其本质内涵,然后说明:在非理性世界中,如果上市公司管理者追求公司价值最大化目标,那么就应该基于公司项目的基本风险来确定股权回报率;相反地,如果管理者追求近期股价最大化,那么就应该基于市场投资者的预期来确定股权回报率。     

Does the cost of capital differ across countries? An agency perspective*

In this keynote speech, I ask the question: Does the cost of capital differ for firms located in different countries? I argue that there are two ways to look at the cost of capital. First, there is the neoclassical perspective, which assumes that there are no agency problems. In integrated markets, the neoclassical cost of capital is the same in every country. Second, there is the agency perspective. Agency costs increase the cost of capital understood as the expected rate of return necessary for an investment to leave the value of the firm unaffected. Adjusting the cost of capital for agency costs, I argue that it differs across countries because of differences in corporate governance. I then provide a comparison of the agency-adjusted cost of capital between Japan and the US.