A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

ABSTRACT

We introduce a new methodology for estimating the parameters of a two-sided jump model, which aims at decomposing the daily stock return evolution into (unobservable) positive and negative jumps as well as Brownian noise. The parameters of interest are the jump beta coefficients which measure the influence of the market jumps on the stock returns, and are latent components. For this purpose, at first we use the Variance Gamma (VG) distribution which is frequently used in modeling financial time series and leads to the revelation of the hidden market jumps' distributions. Then, our method is based on the central moments of the stock returns for estimating the parameters of the model. It is proved that the proposed method provides always a solution in terms of the jump beta coefficients. We thus achieve a semi-parametric fit to the empirical data. The methodology itself serves as a criterion to test the fit of any sets of parameters to the empirical returns. The analysis is applied to NASDAQ and Google returns during the 2006–2008 period.     

Unequal returns to social capital: the study of Malays in Singapore through a network lens

Using the concepts of ‘social capital deficit’ and ‘return deficit’, this study considers the social network aspects of social disadvantage among Malays in Singapore, as compared to Singaporean Chinese. Analysing a 2005 representative survey, we find Malays have less social capital than Chinese, a social capital deficit partly explained by their lower educational attainment. We find no return deficit in earnings: that is, every additional unit of social capital increases earnings equally for Chinese and Malays. However, we find return deficits in education: every additional unit of social capital (e.g. ties to educated parents) increases educational attainment more for Chinese than Malays. In all, this study offers a social capital explanation for Malay ‘plight’, complementing the more conventional explanations of human and economic capital.     

“收益率宽幅”是导致宏观杠杆率攀升的原因吗

从会计学收益的微观视角研究宏观经济运行风险,发现货币性资产与投资性房地产之间的资产收益率差距持续拉大的经济现象,诱发宏观杠杆率攀升、金融风险加大。选取中国2000—2018年的年度数据,构建Koyck模型,实证检验不同类型资产之间的收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率的相关关系。结果表明,收益率宽幅与政府部门杠杆率、居民部门杠杆率、非金融企业部门杠杆率、实体经济部门杠杆率之间存在着显著的正相关关系,收益率宽幅持续拉大,各部门宏观杠杆率不断攀升,资产泡沫难以抑制,宏观经济运行风险较大,这为平缓去杠杆、守住不发生系统性金融风险的底线提供了新视角。     

改革开放以来中国保险业发展的回顾与展望

中国保险业自改革开放以来,取得了快速发展。从40多年的发展历程来看,保险业大致经历了恢复和准备、规范和试点、快速发展和入世承诺、完全开放4个阶段,取得了保费规模不断扩大、保险多元化主体逐渐形成、外资保险公司市场份额逐渐提升、保险产品不断多样化、保险中介市场快速发展、公司治理和行业自律逐渐完善等系列成就。在此期间,保险市场主要呈现出8组矛盾,包括保险供给与社会需求的矛盾、规模优先与利润优先的矛盾、所有者缺位与市场化运行的矛盾、市场发展与结构失衡的矛盾、强保险市场与弱资本市场的矛盾、业务国际化与行业不完全市场化的矛盾、保险人才需求旺盛与供给不足的矛盾、社会保险与商业人身保险不匹配的矛盾。未来,保险业进一步加强改革开放要适应社会环境和经济环境的最新变化。具体而言,应当注重开放模式数量化、经济基础市场化、保险意识整体化、条款费率市场化、营销渠道多元化、产业结构优质化、保险人才专业化、保险投资盈利化等12个方面。唯有深化改革、加速开放,才能促使中国从保险大国向保险强国迈进。     

保险素养、收入差异与农民商业保险参与

乡村振兴战略的实施激发了农民在“医、养、住、行”等方面对美好生活的追求,与之对应的各类保险保障需求也随之涌现。对保险素养影响农民商业保险参与的机理进行了阐释,并使用陕西省565户农户的调查数据,实证检验了保险素养对农民商业保险参与选择的影响,以及农民个人收入差异对保险素养影响其商业保险参与的调节效应。研究表明,保险素养会显著促使农民商业保险参与概率增加3.1%。此外,个人经济收入差异对保险素养促进农民商业保险参与并未发挥出调节作用,即提升个人收入水平并不会增强保险素养对农民商业保险参与的促进作用。因此,有必要采取提高农民保险素养、有针对性地开发设计符合农民诉求的保险产品等措施促进农民商业保险消费,进而促进商业保险在农村地区的发展。     

医疗保险对老年人身体机能健康和心理健康的影响及其机制研究

随着我国人口老龄化不断加剧,切实保障好老年人健康格外紧迫。基于此,文章采用中国健康与养老追踪调查数据从身体机能健康和心理健康两个维度实证考察了医疗保险对老年人健康的影响及其作用机制。研究发现,医疗保险能够显著提高老年人身体机能健康和心理健康。机制研究表明,医疗保险能够显著提高老年人医疗服务利用、降低老年人慢性病发生率进而影响到老年人健康。因此,进一步扩大老年人医疗保险覆盖面、提高医疗保障水平、促进医疗服务公平性和可及性,是我国人口老龄化不断加剧状况下保障老年人健康的重要途径。     

Social Return on Investment for Good Foot Delivery

This article provides reflections on a social return on investment (SROI) research process with Good Foot Delivery, a work integration social enterprise in Toronto, Canada, engaged in package delivery and employing people with developmental challenges. The article has three aims: (1) to assess Good Foot's key business inputs, activities, and outputs, and the social impact that these have had on its key stakeholders for the 2013 calendar year; (2) to critically reflect on how the research team arrived at the SROI’s inputs, outputs, outcomes, proxies, and other findings; and (3) to discuss some of the strengths and challenges of the SROI process in practice.     

Social Return on Investment of an Innovative Employment Option for Persons with Developmental Disabilities

Common Ground Co‐operative (CGC) provides training, administrative, and job coach support to five social enterprises for which persons with developmental disabilities are the non‐share‐capital partners. This study examines the use of social return on investment (SROI) as a means of determining the value of program impacts related to quality‐of‐life changes for enterprise partners and their families. The process of conducting this SROI analysis is described and analyzed in terms of its utility in employment services for persons with developmental disabilities.     

What's In It for the Volunteers?

This article reports on a social return on investment (SROI) analysis of volunteers of the Good Food Market program, a food access initiative run by FoodShare Toronto, one of Canada's largest food‐justice organizations. Unlike conventional SROI research, which typically focuses on the entire ecology of an organization or program, this article focuses solely on isolating the return volunteers receive on their investment of time, skills, energy, and the like—an SROI of volunteering. The article reviews the challenges of adapting the SROI methodology to the context of volunteer benefits and finds that ultimately SROI is a useful tool for articulating the value of volunteering.     

Social Return on Investment Analysis

This article uses a social return on investment (SROI) methodology to analyze the social impact of a social enterprise offering a job and skills training program to an unemployed, largely female population. The social enterprise is based in Toronto (Canada) and run by a nonprofit agency dedicated to the advancement and empowerment of women, primarily immigrants, through access to employment. We focus our analysis on a job and skills training program that provides clients with the skills and tools that they need to successfully seek employment in their efforts to (re‐)enter the Canadian labor market. Our goal is to determine the tangible and intangible program outcomes by applying and testing the SROI methodology.