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.     

回归模型中异性方差问题的克服

提出了回归分析中异性方差的检验和对估计结果带来的影响以及消除其异方差性的两种方法：对原模型进行变换和加权最小二乘法．     

关于城乡教育投资收益率的比较

本文对城乡教育投资收益率进行了分析及比较。本文主要结论:(1)因城乡人口流动性大,定量估算的横截面教育收益率不能代表城乡居民真实收益率,利用其作经济分析应十分慎重;(2)农民由于收入较低只能在较高的边际收益率下停止对子女教育支出,所以农民的家庭教育支出较少,收益率反而较高,因此更多教育资本向农民倾斜将提高全社会经济效率。     

The Mexican Dream? The effect of return migrants on hometown development

Mexican migrants are returning to their homeland at record rates. Along with material goods, these former migrants may bring with them new ways of thinking about the world and envisioning the future. Still, relatively little is known about the degree to which former migrants affect the wellbeing of their local communities over time. This study evaluates the effect of return migrants on health, education, income, and political participation in Guanajuato, Mexico during the period 2000–2010. The findings imply that returnees may have positive effects within local economies, improving not only income, but also education, healthcare, electoral participation, and overall wellbeing. The results of this study have important implications for policy makers operating within emigration-prone regions of the world.     

我国正规就业者的教育收益率

针对教育收益率测算中可能存在的弱工具变量问题,本文利用2006年中国健康与营养调查数据,结合工具变量估计框架下的各种模型设定检验,对我国正规就业者的教育收益率进行测算。检验和测算结果表明：受教育程度的变量存在内生性,个体配偶的受教育年限是内生变量受教育程度的强工具变量,而个体的出生季度是弱工具变量。广义矩估计结果显示我国正规就业者的教育收益率为10.1%。     

一类基于非参数回归的条件异方差检验

现有基于参数模型构造的条件异方差检验往往存在模型设定偏误问题。为了避免模型误设对检验结果的影响,并且同时捕获多种条件异方差现象,本文基于非参数回归构造了不依赖于特定模型形式的条件异方差检验统计量。该统计量可视作条件方差和无条件方差之间差异的加权平均,在原假设成立时渐近服从标准正态分布。数值模拟结果一方面表明本文统计量具有良好的有限样本性质,另一方面也说明条件均值模型误设会导致错误地拒绝条件同方差的原假设,凸显了本文引入非参数方法构造条件异方差检验的必要性。实证分析采用本文统计量探讨了国际主要股指收益率的条件异方差现象,得到了与Engle (1982)不同的检验结果,可能意味着股指收益率呈现出非线性动态特征。     

中国农村地区的家庭禀赋与外出务工劳动力回流

中国农村地区家庭禀赋对个人的行为决策有着重要的影响,需要学术界予以更多的关注。为了考察外生性的家庭禀赋对劳动力就业流动的影响,文章通过构建新生代外出务工劳动力和户主子女的回流决策两个计量模型来进行经验论证。分析结果表明,农村劳动力的迁移选择是综合考虑家庭禀赋状况的理性决策,尤其是对于年轻一代的外出劳动力。家庭经济资本的增加会阻碍家庭外出务工成员的回流。外出劳动力回流的概率起初随着家庭人力资本和家庭自然资本的增长而上升,达到一定程度后开始下降。家庭成员只有拥有较为丰富的人力资本,外出务工劳动力才能对家庭社会资本加以充分利用。另外,分析显示年轻一代劳动力和第一代劳动力对家庭社会资本和自然资本的利用是有差异的。     

《还乡》女主人公尤苔莎的形象解读——以女性主义为视角

《还乡》是哈代一本非常成功的"性格与环境小说"。小说以男主人公克林从巴黎回到家乡荒原,试图改造荒原,实施"广泛教育计划"过程中遭遇的一系列经历为主线。其中女主人公尤苔莎值得认真去研究:她生于繁华却流落荒原,千方百计逃离荒原最后却葬身于此。基于女性主义视角来解读这个反叛者的精神内涵,在追求和谐的今天,深入挖掘其作品思想,认真解读哈代经典,无疑有着很大的现实意义和指导作用。     

Coordinating a three level supply chain with flexible return policies

This paper studies the coordination issue of a three level supply chain selling short life cycle products in a single period model. The manufacturer first negotiates the trade contract with the retailer, then with the supplier. We construct the so-called flexible return policy by setting the rules of pricing while postponing the determination of the final contract prices. With return policies between each pair of adjacent firms, unsold products or used modules dissembled from the unsold products are returned level by level from the retailer to the upstream firms and each firm shares in the loss due to the overstock. We show that the three level supply chain can be fully coordinated with appropriate contracts and the total profit of the channel can be allocated with any specified ratios among the firms.     

Controlling Access to Sick Leave Programmes: Practices of Physicians in the Netherlands

Policymakers in industrialized countries attempt to contain the costs of sick leave and disability schemes by limiting access to include medically proven cases only. However, a person's incapacity to work cannot be fully deduced by referring to his or her medical condition. It is the question whether using more restrictive eligibility criteria that focus on medical evidence actually reduces the number of benefit recipients and makes access to employee benefit arrangements fairer. This ethnographic study shows that physicians working in Dutch illness certification practices use alternative methods to restrict access to sick leave programmes. Doctors do not control their clients in a restrictive sense of the word. Rather, they exercise control over their clients by inciting them to internalize norms about being active and responsible. While we do not claim that this is good per se, we do contend that this control style may have some advantages over and above more restrictive control mechanisms. Elaborating on policy that supports this alternative notion of control, therefore, seems worthwhile.