The predictability of stock returns - a nonparametric approach

This paper reexamines the predictability of stock returns with a nonparametric model. We first identify, through a set of diagnostic tests, five lagged predictive factors from a linear model. Using these factors, we predict one-month-ahead stock index returns with a nonparametric approach. We find that our nonparametricmodel. We first identify, through a set of diagnostic tests, five lagged predictive factors from a linear model. Using these factors, we predict on -month-ahead stock index returns with a nonparametric approach. We find that our nonparametric model can correctly predict about 74% of stock index return signs. With various ex ante trading rules based on nonparametric predictions and transaction cost schedules, we then compare the performance of "managed" portfolios with that of the buy and hold portfolios. We fmd that the managed portfolios are mean-variance dominant over the buy-and-hold strategies when no or low transaction costs are assumed. When high transaction costs are assumed instead, the mean-variance dominance diminishes However,the Sharpe index of risk-adjusted portfolio performanceindicates that the managed portfolios significantly outperform the buy-and-hold strategies even for the high-transaction cost scenario. We show that the difference in performance between the managed portfolios and the buy-and-hold strategies can be partially explained by the January effect or the small firm effect. In sum, this paper demonstrates the merits of using a nonparametric approach for predicting stock returns and testing market efficiency.     

Family policy in Korea

In Korea, family policy as a public policy gained interest in the 1980s, when the Ministry of Health and Social Affairs (since January 1995 the Ministry of Health and Welfare) renamed the Maternal and Child Bureau the Family Welfare Bureau. This paper first presents a brief overview of the traditional family system and values in Korea and examines changes in economic and social indicators, changes in family functions and roles, and changes in attitudes toward family that have occurred following industrialization and urbanization. The paper then briefly explains some of the problems Korean families face today. It next examines the Family Planning Program and its results. Finally, it turns to an examination and critique of the policies and programs administered by the Family Welfare Bureau.Yeonoak Baik is a Family Advocacy Therapist for the 8th U.S. Army c/o Commander, 43rd Surgical Hospital (MA), ATTN: EAMC-SH-FAP, Room D-108, Unit #15190, APO AP, 96271-0126. She works in Korea with U.S. military soldiers and their dependents. Her research interests include child welfare, single-parent families, and domestic violence. Her MSW was received from the School of Social Work, University of Michigan, Ann Arbor.Her research interests include children of divorced families, social welfare policy, and social work administration in Korea. She received her Ph.D. in Social Welfare at Seoul National University in Korea.     

Patterns of Advanced Manufacturing Technology Utilization and Manufacturing Capabilities

The objectives of this research are first to empirically replicate Advanced Manufacturing Technology (AMT) utilization taxonomies identified in foregoing research, second to investigate the relationship between patterns of AMT utilization and manufacturing capabilities attainment, and third to explore differences in context, and performance across AMT groups. Theories of performance frontiers and capability progression provide the basis for our hypotheses. Data were collected from 224 U.S. manufacturing plants in industries considered to have potential utilizations of AMTs. A cluster analysis of the data yields a solution that closely resembles a previous AMT utilization taxonomy, including four groups labeled, respectively, as Traditionalists, Generalists, High Investors, and Designers. Significant manufacturing capability differences across these four groups indicate that plants that utilize a broader scope of AMTs enjoy a greater breadth of manufacturing capabilities. The implied capability attainment pattern is consistent with cumulative capability theory. However, the results suggest that cost capability is not included in the capability mix when broad‐based AMT utilization is the enabler of capability gains. A post hoc exploration of the AMT groups indicates significant differences in performance across the groups. Collectively, the results extend prior research by providing added insights into the possible rationale and impact of AMT utilization patterns.     

专业、科学、本土化:中国社会工作十年的三个迷思

在中央政府大力倡导建立一支庞大社工队伍的形势下,中国社会工作已渐渐进入政府不同的职能部门,社会工作岗位的建设亦日见增多。在快速增长的过程中,中国社会工作的发展已突破了很多原来的限制,如教材不足、师资不够等。但是在关于社会工作作为一个专业在中国的发展的讨论中,至少有三个问题仍然不断缠扰着中国社会工作学界:社会工作的专业性、科学性、本土化。中国社会工作的发展一定要扎根于中国复杂的国情,有机地结合本土和非本土社会工作的技术和文化价值基因。     

基于尾部指数回归方法的CVaR估计以及实证研究

 在险价值VaR是一种非常重要的金融风险度量方法,近期也有很多关于动态VaR以及条件VaR (CVaR) 等方面的研究。根据金融资产的收益率具有重尾特征这一事实,本文假定金融资产收益率服从重尾分布,并假定重尾分布的尾部指数随着收益率发生变化。本文基于尾部指数回归模型对重尾分布的尾部指数进行估计,进而得到收益率尾部数据所服从的条件分布,并首次运用该方法对条件VaR进行估计。本文对沪深300指数进行了实证研究,得到CVaR的估计,并对估计得到的CVaR的预测效果作出检验,并与传统VaR估计方法进行了对比,实证结果发现本文的方法的预测效果更好。     

Serve or skip: the power of rejection in online bottleneck matching

We consider the online matching problem, where n server-vertices lie in a metric space and n request-vertices that arrive over time each must immediately be permanently assigned to a server-vertex. We focus on the egalitarian bottleneck objective, where the goal is to minimize the maximum distance between any request and its server. It has been shown that while there are effective algorithms for the utilitarian objective (minimizing total cost) in the resource augmentation setting where the offline adversary has half the resources, these are not effective for the egalitarian objective. Thus, we propose a new Serve-or-Skip (SoS) bicriteria analysis model, where the online algorithm may reject or skip up to a specified number of requests, and propose two greedy algorithms: GriNN(t) and \({{\textsc {Grin}}^*(t)}\). We show that the SoS model of resource augmentation analysis can essentially simulate the doubled-server-capacity model, and then examine the performance of GriNN(t) and \({\textsc {Grin}^*(t)}\).     

Backward capacity-filtering for electronics Fabs

In electronics Fabs such as semiconductor Fabs and liquid crystal display (LCD) Fabs, which are capital-intensive, finite-capacity planning is critical to achieving full-capacity production and on-time production. However, existing finite-capacity planning methods do not adequately reflect the actual capacity profiles of an electronics Fab. In this paper, we propose a new Fab-level capacity-filtering procedure to generate finite-capacity plan: a backward capacity-filtering procedure for generating finite-capacity release plan. When developing the Fab-level filtering procedures, we use stage-level capacity-filtering algorithms as a key building block. In this study, we enhance the previous capacity-filtering algorithms proposed by one of the authors in order to facilitate the practical requirements of electronics Fabs. We apply the proposed capacity-filtering method to a modern LCD–TFT Fab in Korea. Performance analyses demonstrate that the proposed method is superior to existing methods.     

Drinking: Another glass ceiling? Social drinking and alcohol use among women in Korea

Korean society is experiencing a rapid increase in alcohol consumption among women. Research on women's alcohol use has focused mostly on problems and pathological symptoms associated with alcohol use. Focusing only on problems of alcohol use risks overlooking some important social phenomena where alcohol use is a medium. We examined the association between marital status, childcare responsibility, employment status and social drinking behaviour. Our aim was to examine how these factors influence women's alcohol consumption in order to provide an empirical explanation of how the traditional division of labour limits women's social drinking practices. Findings show that women are structurally excluded from social drinking behaviour due to domestic responsibilities (as a wife and a mother). In other words, social drinking has become another glass ceiling for women. Key Practitioner Message: ● Attention should be given to structural influences on women's alcohol use; ● It is important to consider gender inequality in both formal and informal domains.     

加强中印两大文明国之间的“恕道”

英文字＂empathy＂就是中国传统的＂恕道＂。泰戈尔象征印度对中国表达＂恕道＂的最高典范。尼赫鲁的《印度的发现》与尼勒卡尼新书在探讨印度时都不自觉地拿中国来陪衬,也是中印＂恕道＂的表现。不过后者对＂人口红利＂理论的探讨很深刻,但对中国的了解肤浅,甚至有所误解。中印两国应加强恕道,相互学习,共同发展。     

Effectiveness of Social Welfare Programmes in East Asia: A Case Study of Taiwan

Using the 2008 Family Income and Expenditure Survey, this study examined the effectiveness of social welfare programmes in Taiwan. The empirical evidence shows that most types of social welfare spending were limited in 2008. However, the social welfare programmes that were in place substantially reduced income inequality in Taiwan. Using the Organisation for Economic Co‐operation and Development (OECD) poverty threshold, the results reveal that 14 per cent of the sample's families were poor in terms of market income, but this figure decreased to 7 per cent after government intervention. Income inequality in Taiwan was similar to that of other East Asian countries such as Japan and South Korea, but Taiwan spent much less money on social welfare programmes than OECD countries, and therefore Taiwan's reduction of poverty was much lower as well.