适应性市场假说及其在中国资本市场的实证

金融危机近些年爆发频繁,传统市场理论如有效市场假说和行为金融面对复杂的现实金融世界未能给出合理解释.Lo提出的适应性市场假说则弥合了这两个学派的分歧,逐渐引起了学术界的重视.本文尝试从动态市场效率、时变贝塔和技术交易策略演变这三个角度对适应性市场假说能否解释我国资本市场进行实证研究.研究发现:我国股票市场效率在动态变化,无效的时段与金融危机或政策巨变等重大事件联系密切;股市风格指数贝塔随市场环境变化而改变;技术交易策略绩效随投资者适应环境变化而演变.研究结果表明,适应性市场假说相比有效市场假说和经典资本资产定价模型,能够更好地解释我国资本市场上述现象.最后对投资者如何根据市场环境变化制定适应性投资策略给出几点建议.     

From advocacy to service provision: state transformation and the disability rights movement in Taiwan

This research uses the development of the disability rights movement in Taiwan as a case study to analyze the impact of state transformation, in particular marketization of social welfare policy, on the disability rights movement. First, the institutionalization of the disability rights movement enabled it to expand its organizational structure and become involved in shaping policy. Secondly, when disability rights organizations started to undertake state-funded projects, their focus shifted from advocacy to service provision. Thirdly, competition for limited state-funding gave the organizations led by urban-middle class advocates a significant advantage over small, community-based NPOs and gathered significantly greater resources. Finally, this paper suggests that, in a context in which the state did not provide basic social services for its citizens with disabilities, the institutionalization of SMOs turned advocacy groups into service providers. Although the number of disability civic organizations increased, the voices of advocacy groups were weakened.     

Establishing a new scopic regime: the new landscape painting of Mao’s era

ABSTRACT

After 1949, with ‘serving the people’ established as the basic guideline of art, the reform of traditional landscape painting, which had been appropriated by the cultural elites for thousands of years, was put on the agenda as well. Beginning from the early of 1950s, there were continual debates on the reform of traditional Chinese painting within the art field, through which many artists gradually reached a consensus on the development direction of Chinese painting. At the same time, stimulated by the large-scale xiesheng movement sponsored by the government, Chinese landscape painting changed dramatically in subject, theme, and brushstroke technique, and developed a new style which has its own signifying system. Blending both Chinese and western drawing skills, the new landscape painting successfully created a unique scopic regime, which can establish an organic relationship between personal aesthetic experience and collective historical experience. As a prominent cultural achievement of Mao’s era, the new landscape painting embodies the cultural politics and the technologies of the self at that time.     

Survival and lifetime data analysis with a flexible class of distributions

We introduce a general class of continuous univariate distributions with positive support obtained by transforming the class of two-piece distributions. We show that this class of distributions is very flexible, easy to implement, and contains members that can capture different tail behaviours and shapes, producing also a variety of hazard functions. The proposed distributions represent a flexible alternative to the classical choices such as the log-normal, Gamma, and Weibull distributions. We investigate empirically the inferential properties of the proposed models through an extensive simulation study. We present some applications using real data in the contexts of time-to-event and accelerated failure time models. In the second kind of applications, we explore the use of these models in the estimation of the distribution of the individual remaining life.     

社会转型与观念变迁--以“道德缺失”为中心的考察

尽管“道德缺失”是转型期中国一个不容忽视的社会问题，但当代的“道德缺失”现象并非严重到了危机阶段，中国古代也不是“道德天堂”。今天的道德困境可以归因于社会环境的巨大变化。这种问题的解决，需依靠有效的维护机制作为保障。落实到根本，还是要大力发展经济，建设市民社会。     

城市综合体建设面临的一系列问题探讨--以南通市为例

随着房地产调控和城市化进程的加快，商业地产越来越受到开发商的青睐。城市综合体作为商业地产的典型代表以其多结构多层级的功能组合迅速提升区域价值而拥有了“城中之城”的美誉，在东部地区二三线城市大量涌现。但城市综合体带动城市发展的同时，也引发了一系列风险亟待关注。     

Modifications of sequential designs in bioequivalence trials

Bioequivalence (BE) studies are designed to show that two formulations of one drug are equivalent and they play an important role in drug development. When in a design stage, it is possible that there is a high degree of uncertainty on variability of the formulations and the actual performance of the test versus reference formulation. Therefore, an interim look may be desirable to stop the study if there is no chance of claiming BE at the end (futility), or claim BE if evidence is sufficient (efficacy), or adjust the sample size. Sequential design approaches specially for BE studies have been proposed previously in publications. We applied modification to the existing methods focusing on simplified multiplicity adjustment and futility stopping. We name our method modified sequential design for BE studies (MSDBE). Simulation results demonstrate comparable performance between MSDBE and the original published methods while MSDBE offers more transparency and better applicability. The R package MSDBE is available at https://sites.google.com/site/modsdbe/ . Copyright © 2015 John Wiley & Sons, Ltd.     

Estimation of Several Intraclass Correlation Coefficients

An intraclass correlation coefficient observed in several populations is estimated. The basis is a variance-stabilizing transformation. It is shown that the intraclass correlation coefficient from any elliptical distribution should be transformed in the same way. Four estimators are compared. An estimator where the components in a vector consisting of the transformed intraclass correlation coefficients are estimated separately, an estimator based on a weighted average of these components, a pretest estimator where the equality of the components is tested and then the outcome of the test is used in the estimation procedure, and a James-Stein estimator which shrinks toward the mean.     

中国第三条农村城镇化道路探索--基于劳动力供给视角

当前中国以异地化转移的城镇化模式已暴露出众多的问题，这种以人口非家庭式迁移和异地转移为主要特点的城镇化发展模式不可持续，必须予以改变。通过对中国第三条农村城镇化道路进行探索可知，以企业战略推动的统筹发展型就地城镇化模式能够弥补前两条道路的不足，可以实现整村、全家同步转移，农民到市民一步的转换，具有多元正效应。在就地转移的第三条道路中，个体的搜寻成本、心理成本、交通成本和住房成本明显低于第二条道路中相应的成本，而生活成本和学习成本则相差不大。将个体劳动供给经典模型进行扩展可知，当工作时间相同时，第三条道路的劳动者个体拥有较高的实际收入和效用水平；从家庭效用模型中也可发现，家庭部门愿意提供的就地转移劳动数量要多于异地转移劳动数量，其更倾向于第三条道路下的就地转移方式。     

Interquantile shrinkage in additive models

In this paper, we investigate the commonality of nonparametric component functions among different quantile levels in additive regression models. We propose two fused adaptive group Least Absolute Shrinkage and Selection Operator penalties to shrink the difference of functions between neighbouring quantile levels. The proposed methodology is able to simultaneously estimate the nonparametric functions and identify the quantile regions where functions are unvarying, and thus is expected to perform better than standard additive quantile regression when there exists a region of quantile levels on which the functions are unvarying. Under some regularity conditions, the proposed penalised estimators can theoretically achieve the optimal rate of convergence and identify the true varying/unvarying regions consistently. Simulation studies and a real data application show that the proposed methods yield good numerical results.