股市中的时变汇率风险及汇率风险定价

这篇文章旨在研究中国股市中的时变汇率风险定价问题。不同于其他已有关于时变汇率风险定价的研究,此次我们同时运用了两因素和三因素的无条件、条件资产定价模型(CAPM)以及三个双边汇率(美元、日元、港币)和一个多边有效汇率来探索中国汇率风险是否被定价及其随时间变化的情况。结果发现:在中国股市中汇率风险是存在且随着时间变化,但是其定价系数很小。在不同的汇率估计条件下,汇率波动与股票收益率的变化并不完全相同,但就多边有效汇率而言,两者之间是正向影响关系。再者,在两因素模型中加入国际股票收益率因子对检验结果并没有多大影响,其对于国际股市的波动敏感性不高。     

套利定价理论及其在重工制造业的实证分析

套利定价理论是由美国经济学家Stephen A.Ross提出的一种新的资本资产定价理论,讨论资产收益如何确定的问题,它认为资产的系统风险是由多个因子共同决定的,而不是单一因子,且每个资产对于公共因子的敏感系数不同,从而使得其收益率有不同。本文随机选取四个行业的股票收益率数据,对其股票收益率生成过程分别提取了多个因子,进行实证分析,得出了中国上海证券交易所的钢铁、汽车、医药以及重工业等行业基本符合套利定价理论的结论。     

三因素模型方法探析及适用性再检验:基于上证A股的经验数据

本文较为详细地介绍了Fama因素模型的分组规则和研究方法,以沪市A股上市公司为样本,划分特定时期,分别研究了股票价格上涨和衰退时期Fama-French三因素模型在解释股票收益率变动方面的适用性问题。研究发现,股市衰退时,该模型的拟合性最好,但价值因子(HML)没有显著解释力,而剔除价值因子后的因素模型也能较好地解释股票收益率的变动,说明股市衰退时不存在价值效应。同时,在公司平均规模较大的市场,该模型能更好地解释股票的收益情况。     

偏最小二乘回归的中国证券市场收益影响因素研究

本文利用行为资产定价模型BMPA构建股票组合分类,在股票组合层面上以股票组合收益率为研究对象,在克服各因子间多重共线性下建立了上海证劵市场的偏最小二乘回归模型,以期找出影响收益率的主要因素,为我国证券市场的科学决策提供合理的依据。     

公司盈利、投资与资产定价:基于中国股市的实证北大核心CSSCI

选取1997年7月至2015年6月中国股市月度收益数据为样本,以营业利润与账面价值的比值作为盈利因素的代理变量,以总资产增长率作为投资因素的代理变量。先后运用Fama-Macbeth回归法和投资组合因子模拟法分析了规模、B/M、盈利和投资等因素与资产定价的关系,并对Fama和French近期提出的五因子资产定价模型进行了实证研究。研究发现,规模、B/M、盈利和投资四因素在解释个股横截面收益差异上的显著性依次降低,而且B/M因素在规模大组的显著性要大于规模小组,但盈利和投资因素则表现相反;中国股市的平均收益同样存在与规模、B/M、盈利和投资相关的效应特征,其中B/M效应特征表现出了翘尾现象,盈利效应的主要特征表现为盈利能力越强的公司的股票收益越低,但规模较大的公司则表现为盈利能力越强的公司的股票收益越高,投资效应特征表现为投资越保守的公司的股票收益越高。使用五因子资产定价模型能较好地拟合这些特征,而且在表现上也优于三因子资产定价模型。     

投资者交互网络“模体”对股票资产价格影响研究

传统的资产定价模型从市场的角度对资产价格进行定价,但是市场背后的投资者交互行为与股票资产价格关系密切,仅从市场的角度无法完全解释资产价格。本文使用复杂网络分析方法对投资者线上交互关系进行建模,通过股票论坛投资者交互网络的网络模体结构特征刻画投资者线上交互模式,并在Fama-French三因子模型的基础上加入了投资者交互模式因子构建四因子定价模型,研究发现,投资者交互因子具有较强的定价能力,并且加入交互因子的四因子模型定价效果比传统三因子模型和动量因子四因子模型更好。本研究为大数据框架下非结构化文本信息的市场价值提供了实证依据。     

存在老鼠仓交易时资产定价研究

首先,对老鼠仓情况下市场各方交易行为进行建模.由于市场中做仓机构投资者主动偏离理性决策.做仓股票获取超额收益率,资本资产定价模型不再成立;同时因老鼠仓交易引起的资产价格变动影响投资者对于资产未来收益的预期,加剧投资者之间的信息不对称,从而进一步为做仓股票带来超额收益率.最后,利用时间序列与横截面双程回归的方法对受到证监会查处的老鼠仓股票进行实证分析,证明其结果与理论模型相吻合.     

中国股市新股发行(IPOs)的初始收益率研究

本文通过研究1996—1999年在沪深证券交易所上市的529家首次公开发行的A股股票,发现这些股票初始收益率的平均值为129.8％,初始收益率的分布呈正偏的凸峰态,这说明中国股市的IPOs存在短期定价偏低的现象.本文认为IPOs定价偏低的原因是股票发行市场的制度性缺陷和股票二级市场的运行及投资者的投机行为共同作用的结果.     

高风险低收益？基于机器学习的动态CAPM模型解释

我国股票市场存在高风险股票反而伴随较低收益的低风险定价异象,这有悖于传统资产定价理论．本文使用宏观经济和微观企业特征构建了六百多个变量的宏微观混合大数据集,并结合多种经典机器学习算法开发了基于大数据和机器学习的智能动态ＣＡＰＭ模型,检验了时变系统性风险对我国股市收益解释能力．实证结果表明：本文的智能动态ＣＡＰＭ定价模型能够显著解释我国股市低风险定价异象;随机森林等非线性机器学习算法表现最佳;影响股票时变系统风险的主要因素是市场类因子,基本面因子居次．本文对于我国股市系统性风险测度、动态资产定价模型构建和金融与大数据和人工智能融合创新有重要理论与实践指导意义．     

基于随机折现因子方法的流动性定价机制研究

流动性影响股票收益的渠道在文献中需进一步厘清,本文采用随机折现因子的方法构建了SDF-LCAPM模型,将流动性影响股票收益的渠道分为两个:第一个渠道是股票自身的流动性特征直接影响股票收益;第二个渠道为流动性是系统风险的组成部分,影响股票的收益。SDF-LCAPM模型提供了联接两个渠道的框架,解开了流动性的波动性与资产收益负向关系之谜,解释了系统流动性与股票收益率对市场流动性的敏感度不被定价的可能原因,还发现了流动性与资产收益的协方差在资产定价中的重要作用。本文通过实证发现,这两个渠道在不同类型股票中的表现是不同的,这一发现为投资者流动性风险管理提供参考依据。此外,SDF-LCAPM模型应用在中国股票市场上,可以提高投资组合的Sharpe比率。     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.     

Dermal Uptake of 18 Dilute Aqueous Chemicals: In Vivo Disappearance‐Method Measures Greatly Exceed In Vitro‐Based Predictions

Average rates of total dermal uptake (K_up) from short‐term (e.g., bathing) contact with dilute aqueous organic chemicals (DAOCs) are typically estimated from steady‐state in vitro diffusion‐cell measures of chemical permeability (K_p) through skin into receptor solution. Widely used (“PCR‐vitro”) methods estimate K_up by applying diffusion theory to increase K_p predictions made by a physico‐chemical regression (PCR) model that was fit to a large set of K_p measures. Here, K_up predictions for 18 DAOCs made by three PCR‐vitro models (EPA, NIOSH, and MH) were compared to previous in vivo measures obtained by methods unlikely to underestimate K_up. A new PCR model fit to all 18 measures is accurate to within approximately threefold (r = 0.91, p < 10^?5), but the PCR‐vitro predictions (r > 0.63) all tend to underestimate the K_up measures by mean factors (UF, and p value for testing UF = 1) of 10 (EPA, p < 10^?6), 11 (NIOSH, p < 10^?8), and 6.2 (MH, p = 0.018). For all three PCR‐vitro models, log(UF) correlates negatively with molecular weight (r² = 0.31 to 0.84, p = 0.017 to < 10^?6) but not with log(vapor pressure) as an additional predictor (p > 0.05), so vapor pressure appears not to explain the significant in vivo/PCR‐vitro discrepancy. Until this discrepancy is explained, careful in vivo measures of K_up should be obtained for more chemicals, the expanded in vivo database should be compared to in vitro‐based predictions, and in vivo data should be considered in assessing aqueous dermal exposure and its uncertainty.     

Systems Resilience for Multihazard Environments: Definition,Metrics, and Valuation for Decision Making

The United Nations Office for Disaster Risk Reduction reported that the 2011 natural disasters, including the earthquake and tsunami that struck Japan, resulted in $366 billion in direct damages and 29,782 fatalities worldwide. Storms and floods accounted for up to 70% of the 302 natural disasters worldwide in 2011, with earthquakes producing the greatest number of fatalities. Average annual losses in the United States amount to about $55 billion. Enhancing community and system resilience could lead to massive savings through risk reduction and expeditious recovery. The rational management of such reduction and recovery is facilitated by an appropriate definition of resilience and associated metrics. In this article, a resilience definition is provided that meets a set of requirements with clear relationships to the metrics of the relevant abstract notions of reliability and risk. Those metrics also meet logically consistent requirements drawn from measure theory, and provide a sound basis for the development of effective decision‐making tools for multihazard environments. Improving the resiliency of a system to meet target levels requires the examination of system enhancement alternatives in economic terms, within a decision‐making framework. Relevant decision analysis methods would typically require the examination of resilience based on its valuation by society at large. The article provides methods for valuation and benefit‐cost analysis based on concepts from risk analysis and management.     

Job strain and psychotropic drug use among white-collar workers

The main objective of this study was to measure the association between simultaneous exposure to high psychological demand and low decision latitude at work and the use of psychotropic drugs among white-collar workers. A second objective was to determine whether social support at work modified this association. A cross-sectional study was performed that included 2786 workers from the public sector in the Greater Quebec City area. A self-administered questionnaire was used in order to evaluate psychological demand, decision latitude and social support at work. Psychotropic drug use was measured over a period of 2 days. The prevalence of psychotropic drug use among the participants was found to be 3.9%, even though 20.5% were exposed to job strain. The association between job strain and psychotropic drug use, after adjustment for social support at work, age, gender, education, family income, employment status, occupation, stressful life events, cigarette smoking, alcohol consumption and physical activity, was statistically significant (odds ratio: 4.5, 95% CI 1.7?12.2). Social support did not appear to modify this association. The results of this study suggest that job strain might be a determinant of psychotropic drug use among white collar workers. Social support at work does not appear, however, to modify this association.     

Role clarity, work overload and organizational support: multilevel evidence of the importance of support

The present study extended the demands-control-support model used in occupational stress research in two ways. First, it hypothesized that role clarity (i.e. role ambiguity), like control, would moderate the relationship between demands and psychological strain. Second, the study assessed support (from leaders) as a macro characteristic of the work-group environment. Data were drawn from a large study of US army soldiers, the study sample consisting of 1786 lower enlisted male soldiers. The inclusion of support as a work-group characteristic lead to a multilevel test of the model. A three-way multilevel interaction among work demands, role clarity and support was observed. As predicted, the relationship between demands and psychological strain was moderated by role clarity; however, this moderating relationship was found only when work-group support was high.     

Leadership, levels of analysis, and déjà vu: Modest proposals for taxonomy and cladistics coupled with replication and visualization

In the inaugural issue of LQ's Yearly Review of Leadership, Hunt and Dodge (2000, p. 442) note that, “Within the last two decades, one of the crucial developments in organizational research in general, and in leadership research specifically, is the articulation of specific levels of analysis and their implications for theory building, measurement, and observation.” Their original observations are updated by extending the inferential logic of Yammarino, Dionne, Chun and Dansereau (2005) to determine if any increase in the utilization of a level of analysis perspective has occurred in the last five years. The possible evolution of leadership theory and analysis is discussed, especially with reference to Relational Leadership Theory, Leader–Member Exchange, and Individualized Dyadic Theory. Proposals incorporating taxonomic and visualization tools as a means to help bridge the stakeholder gap are also offered.     

Information Frictions in Trade

It is costly to learn about market conditions elsewhere, especially in developing countries. This paper examines how such information frictions affect trade. Using data on regional agricultural trade in the Philippines, I first document a number of observed patterns in trade flows and prices that suggest the presence of information frictions. I then incorporate information frictions into a perfect competition trade model by embedding a process whereby heterogeneous producers engage in a costly sequential search process to determine where to sell their produce. I show that introducing information frictions reconciles the theory with the observed patterns in the data. Structural estimation of the model finds that information frictions are quantitatively important: roughly half the observed regional price dispersion is due to information frictions. Furthermore, incorporating information frictions improves the out‐of‐sample predictive power of the model.     

The Economics of Density: Evidence From the Berlin Wall

This paper develops a quantitative model of internal city structure that features agglomeration and dispersion forces and an arbitrary number of heterogeneous city blocks. The model remains tractable and amenable to empirical analysis because of stochastic shocks to commuting decisions, which yield a gravity equation for commuting flows. To structurally estimate agglomeration and dispersion forces, we use data on thousands of city blocks in Berlin for 1936, 1986, and 2006 and exogenous variation from the city's division and reunification. We estimate substantial and highly localized production and residential externalities. We show that the model with the estimated agglomeration parameters can account both qualitatively and quantitatively for the observed changes in city structure. We show how our quantitative framework can be used to undertake counterfactuals for changes in the organization of economic activity within cities in response, for example, to changes in the transport network.     

Modelling end-of-life product recovery chains - a case study

European Union legislation, and existing national legislation of many European countries, mandates that manufacturers take back and recover their electronic and electrical equipment. If manufacturers are to comply with legislation, models need to be developed for these activities. Whilst infrastructural and technological deficits exist and must be addressed, so too must the organization of recovery, from a business perspective. In this paper, models of resource recovery are presented and a case study described.