Examining heterogeneity in implied equity risk premium using penalized splines

Financial data exhibit complex structures and relations and it is therefore not always possible or expedient to find a suitable parametric functional form to adequately describe the data. To overcome this problem, nonparametric techniques can be used to extract the functional process directly from the data without any a priori specification of the functional shape. We take advantage of this flexibility and use a penalized spline approach to model, over time, the implied equity risk premiums of companies that belong to a local stock exchange index. In finance and macroeconomic research it is common practice to use simple averaging techniques to aggregate the single values, thus obtaining an overview of the stock market of a country or particular groups defined by stock-specific characteristics. The objective is to obtain common patterns or dependencies from individual characteristics. A precondition here is a substantial heterogeneity of the individual stocks, because otherwise one constituent can represent the whole index and the required diversification effect fails. Hence, in this paper we explore if and how this assumption is justified. The examined stock indices are the Dow Jones Industrial Index and the German DAX 30. It turns out that the constituents of both indices show very stock-specific behaviors of their equity risk premium over time. Thus the application of these indices in, e.g., macroeconomic research seems adequate.     

Asset Prices Under Habit Formation and Reference-Dependent Preferences

This article explains the high level and the countercyclical variation of the equity premium in a consumption-based asset pricing model with low large-scale risk aversion. Investors have gain-loss utility over consumption relative to slowly time-varying habit. Stocks deliver low returns in recessions when consumption falls below habit; investors therefore require a high premium for holding stocks. The model's conditional moment restrictions are tested on consumption and asset returns data. The empirical estimate of large-scale risk aversion is low, whereas the estimate of loss aversion agrees with prior experimental evidence.     

Methods for gauging the target populations that community colleges serve

For many community colleges, expanding enrollment demands coincide with shrinking resources, confronting policymakers with multiple competing constituencies of discouraged college-goers. At issue are whether community college enrollments are keeping pace with local growth among the subpopulations that typically attend community colleges; how enrollment levels might differ had participation rates remained unchanged; and which specific population groups, in which subareas of an overall region, are most affected by funding constraints. These issues focus attention on identifying and measuring the diverse populations such colleges serve. We present methods for tracking those populations (1) to gauge how completely (or incompletely) the local community college-going population is enrolling in various campuses, and (2) to delineate the functional service areas of individual campuses. Our methods have applicability to the needs of community college systems generally, especially where the size and geographic distribution of their populations are changing significantly through, for example, immigrant influx and regional expansion. These methods and measures add to the applied demographer’s repertoire of techniques for strengthening local decision-making.     

Lack of reciprocity among Dutch teachers: Validation of reciprocity indices and their relation to stress and well-being

This research presents the results of two related studies on the convergent and construct validity of three measures of reciprocity in exchange relationships at work. In Study 1, 71 Dutch teachers were interviewed about their specific investments and outcomes in the exchange relationships with their students, colleagues and school. ANOVA revealed that they reported significantly more investments than outcomes, and that the number of reported investments and outcomes mentioned varied as a function of the type of exchange relationship. Building on these results, multi-item scales were created to assess reciprocity at a detailed level for each of the three exchange relationships. Study 2 validated these specific reciprocity measures by relating them to two global assessments of reciprocity (convergent validity) as well as to measures of job stress and well-being (construct validity). LISREL-analysis of data obtained from a further sample of 224 teachers revealed that for each type of exchange relationship there were significant, consistent and meaningful relationships among the three reciprocity measures. Further, hierarchical regression analysis showed that the reciprocity measures were differentially related to job stressors and measures of well-being. Implications are discussed.     

品牌的阴阳二重性——品牌形象的市场研究方法

品牌形象研究一直以来都是市场研究中最重要的领域之一。然而,品牌形象如何运作,它与品牌资产的关系是怎样的,它的组成要素以及形成来源是什么,这些问题作为品牌形象研究的前提,首先必须解决。本文旨在解决这些问题,并对品牌形象研究从定性及定量研究角度提供了一些具有代表性的方法。     

刑事和解的契约法视角解读

诉讼是对抗性的,而和解是合作性的,诉讼的关键词是对峙,和解的关键词是妥协,诉讼的姿态是"为权利而斗争",和解的理念是"为和谐而妥协",对当事人而言和解协议是心甘情愿的"作茧自缚".在诉讼已成为现代社会主流法治意识形态和主流法治话语的背景下,重估和解的价值,重视轻伤和解的作用,实现传统意义和解文化本土资源的合法性转化,应当是我们面临的现实任务.     

Lessons learned using a values-engaged approach to attend to culture,diversity, and equity in a STEM program evaluation

Evaluation must attend meaningfully and respectfully to issues of culture, race, diversity, power, and equity. This attention is especially critical within the evaluation of science, technology, engineering, and mathematics (STEM) educational programming, which has an explicit agenda of broadening participation. The purpose of this article is to report lessons learned from the implementation of a values-engaged, educative (Greene et al., 2006) evaluation within a multi-year STEM education program setting. This meta-evaluation employed a case study design using data from evaluator weekly systematic reflections, review of evaluation and program artifacts, stakeholder interviews, and peer review and assessment. The main findings from this study are (a) explicit attention to culture, diversity, and equity was initially challenged by organizational culture and under-developed evaluator–stakeholder professional relationship and (b) evidence of successful engagement of culture, diversity, and equity emerged in formal evaluation criteria and documents, and informal dialogue and discussion with stakeholders. The paper concludes with lessons learned and implications for practice.     

股权结构、投资者保护与公司绩效关系研究

公司治理的核心是对投资者利益的保护。投资者利益保护、股权结构与企业绩效之间存在着非常密切的内在联系。我国股权分置改革后,股权结构与公司绩效的关系如何,投资者保护对股权结构与公司绩效的影响如何,对我国上市公司的公司治理存在的问题提出了建议。     

股票联系票据研究

股票联系票据(EquityLinkedNotes)作为一种新型的金融创新产品在发达国家受到众多投资者的青睐,特别是进入20世纪90年代,股票联系票据在发行规模、品种创新和交易手段等方面取得了突飞猛进的发展,而目前国内尚未出现这类证券品种,投资者对股票联系票据还不熟悉,相关的理论研究还较为欠缺,基于这种情况,本文对股票联系票据进行深入的经济学分析,研究该投资工具的风险收益特征和定价原理,并提出我国发展股票联系票据市场的政策建议。     

经济公平的经济学三原则——十七大报告中分配政策的基础理论支持研究

经济公平是社会公平最根本的内容,要实现经济公平,从经济学的角度讲,就是要坚持三个相关的经济学原则：一是等量活劳动投入获得等量活劳动收入的原则;二是等量死劳动投入获得等量死劳动收入的原则;三是等量活劳动投入与等量死劳动投入获得等量社会纯收入的原则。剥削是死劳动投入者对活劳动投入者活劳动收入的占有。经济公平具有绝对性和相对性。